vSMC

vSMC: Scalable Monte Carlo

View the Project on GitHub zhouyan/vSMC

Introduction

The vSMC library provides a framework for implementing SMC algorithms. It has a core module which performs resampling, etc., operations common to all SMC algorithms and applications. In addition, it provides the bases for implementing parallelized samplers. The SMC algorithms are highly parallelizable, but there are many frameworks for doing this. This library tries to hide the different parallelization mechanism behind a unified interface, and thus increases code reuse.

Installation

This is a header only template C++ library. To install the library just move the contents of the include directory into a proper place, e.g., /usr/local/include in Unix-alike systems. Alternatively, one can use CMake (2.8.3 or later required),

cd /path_to_vSMC_source
mkdir build
cd build
cmake ..
make install

One may need su or sudo permissions to perform the last installation step.

Documentation

To make the documentations one need Doxygen 1.8.3 or later.

make docs

The documentation of the master and develop branches can be found online.

A tutorial is also available. However, it describes an earlier version of the library. There are a few incompatibilities with the current version. It is still highly relevant. Users shall use the Doxygen generated documentations when things do not work exactly the same way as in the tutorial.

Examples

Examples are in the example subdirectory, to build them,

cd /path_to_vSMC_source
mkdir build
cd build
cmake ..
make example

Most examples also come with their own README files that give relevant references.

Parallelization backends

The library support various backends for multi-thread parallelization, unified under a uniform interface. One is C++11 concurrency. For a full C++11 implementation, this means no third-party dependency is required to write a parallel SMC sampler. Other third-party parallelization include, Intel Cilk Plus, Intel TBB and OpenMP. Apple Grand Central Dispatch is also supported on Mac OS X. Microsoft Parallel Patterns Library is supported on Windows when compiled with Microsoft Visual C++ 2012 or later. In addition, this library also support using OpenCL for GPGPU computing, though the interface is different than others.

Third-party dependencies

This library has no dependences other than C++ standard libraries (C++11). Any C++11 language features are optional.

In particular, the library use the <functional> and <random> headers, which are parts of the C++11 standard libraries. Equivalences can be found in recent versions of Boost. The library does its best to detect a usable C++11 solution and falls back to Boost if it fails to do so. This behavior can be changed explicitly through configuration macros.

Compiler support

This library makes heavy use of some template metaprogramming techniques. It requires a standard conforming compiler. Fortunately, most commonly used modern compilers, at least in C++98 mode, is able to compile the examples distributed with the library, provided that they can compile the Boost library.

This library has been regularly tested with recent Clang, GCC and Intel C++ Compiler, in both C++98 and C++11 modes.

Microsoft Visual C++ 2012 or later are also supported. However, this compiler is tested less regularly.

Other compilers might work but are not tested.

License

The vSMC library is distributed with a 2-clause BSD license which can be found in the LICENSE file distributed with the source.