Let's face it, programming MCMC methods from scratch in
C/C++ is the best approach for time-intensive problems.
At my company, we have been able to achieve speed increases
of 25 - 50 fold (versus WinBUGS) simply by first hard coding
everything and then having a numerical analyst optimize the
code.
-david paul
--- Steve Duffull <[log in to unmask]> wrote:
> Hi all,
>
> We are struggling with the same problem ourselves and would be
> very
> interested to learn if there is a 'LinBUGS'. Some of our runs
> can often
> take > 50000-100000 iterations for the chain to 'converge' so
> running
> more than 2 chains is virtually prohibitive.
>
> Would I be right in thinking that the general feeling is that
> 1 long
> chain (even with some degree of autocorrelation) is
> essentially similar
> to many short ones ... so perhaps the parallelisation 'limit'
> would be
> to run many (perhaps 1000's) of very short chains to gain 1
> independent
> sample from the posterior from each chain. Therefore
> somewhere between
> 1 chain and thousands of very short chains would provide a
> parallel
> processing solution...
>
> Steve
> =========================================
> Stephen Duffull
> School of Pharmacy
> University of Queensland
> Brisbane 4072
> Australia
> Tel +61 7 3365 8808
> Fax +61 7 3365 1688
> University Provider Number: 00025B
> Email: [log in to unmask]
> www: http://www.uq.edu.au/pharmacy/sduffull/duffull.htm
> PFIM: http://www.uq.edu.au/pharmacy/sduffull/pfim.htm
> MCMC PK example:
> http://www.uq.edu.au/pharmacy/sduffull/MCMC_eg.htm
> =========================================
>
>
> > -----Original Message-----
> > From: Wayne E Thogmartin [mailto:[log in to unmask]]
> > Sent: Tuesday, 19 August 2003 4:49 AM
> > To: [log in to unmask]
> > Subject: [BUGS] LinBUGS or BUGS for Linux
> >
> >
> > Here at the Upper Midwest Environmental Sciences Center we
> > are evaluating the potential for developing a Linux-based
> > BUGS. Our interest is in speeding up processing from what
> > currently takes nearly 3 days per run (with final models
> > historically averaging nearly one month of development
> time).
> > We hope that by creating "LinBUGS" we might be able to
> > implement a clustered-processing approach whereby we share
> > the simulations across a number of computers. A simplistic
> > approach would be running single chains on individual
> > computers and then combining them post hoc. Another
> approach
> > might be to actually split some of the processing within
> > chains across multiple computers; it is this latter approach
>
> > that would harness the power of clustered computing. Before
>
> > we go off on some goose chase, I would like to hear from the
>
> > BUGS community about this issue. If you have previously
> > considered or implemented a clustered-computing approach for
>
> > BUGS, please contact me. Also, I'm rather interested in
> > whether others feel processing time currently constrains the
>
> > questions one might ask. We currently run our models on
> > machines (1 gb RAM, 1.80 GHz processing speed) that aren't
> > puny; each iteration takes on the order of 17 seconds.
> > Because convergence on most of the spatial models I'm
> working
> > with doesn't occur until somewhere around 18,000 iterations,
>
> > that's 2.8 days in a single run.
> >
> > Thanks for any discussion this might generate,
> >
> > Wayne E. Thogmartin, PhD
> > Statistician (Biology)
> > USGS Upper Midwest Environmental Sciences Center
> > 2630 Fanta Reed Road
> > La Crosse, WI 54603
> > 608.781.6309
> > [log in to unmask]
> > www.umesc.usgs.gov/staff/bios/wet0.html
> >
> >
>
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> > This list is for discussion of modelling issues and the BUGS
>
> > software. For help with crashes and error messages, first
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> >
> > To mail the BUGS list, mail to [log in to unmask]
> > Before mailing, please check the archive at
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> >
>
>
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This list is for discussion of modelling issues and the BUGS software.
For help with crashes and error messages, first mail [log in to unmask]
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Before mailing, please check the archive at www.jiscmail.ac.uk/lists/bugs.html
Please do not mail attachments to the list.
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