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Sarkka, Simo; Garcia-Fernandez, Angel F.
IEEE transactions on automatic control, 2021-Jan., 2021-1-00, 20210101, Volume: 66, Issue: 1Journal Article
This article presents algorithms for temporal parallelization of Bayesian smoothers. We define the elements and the operators to pose these problems as the solutions to all-prefix-sums operations for which efficient parallel scan-algorithms are available. We present the temporal parallelization of the general Bayesian filtering and smoothing equations, and specialize them to linear/Gaussian models. The advantage of the proposed algorithms is that they reduce the linear complexity of standard smoothing algorithms with respect to time to logarithmic.
