We develop a novel parallel resampling algorithm for fully parallelized particle filters, which is designed with GPUs (graphics processing units) or similar parallel computing devices in mind. With our new algorithm, a full cycle of particle filterin
g (computing the value of the likelihood for each particle, constructing the cumulative distribution function (CDF) for resampling, resampling the particles with the CDF, and propagating new particles for the next cycle) can be executed in a massively and completely parallel manner. One of the advantages of our algorithm is that every single numerical computation or memory access related to the particle filtering is executed solely inside the GPU in parallel, and no data transfer between the GPUs device memory and the CPUs host memory occurs unless for further processing, so that it can circumvent the limited memory bandwidth between the GPU and the CPU. To demonstrate the advantage of our parallel algorithm, we conducted a Monte Carlo experiment in which we apply the parallel algorithm as well as conventional sequential algorithms for estimation of a simple state space model via particle learning, and compare them in terms of execution time. The results show that the parallel algorithm is far superior to the sequential algorithm.
