An unbiased MCMC FPGA-based accelerator in the land of custom precision arithmetic

Abstract

Markov Chain Monte Carlo (MCMC) based methods have been the main tool used for Bayesian Inference by practitioners and researchers due to their flexibility and theoretical properties that guarantee unbiased sampling-based estimates. Nevertheless, with the availability of large data sets and the constant need to develop more complex models that better capture the targeted problem, significant computational challenges have been presented. Current approaches, based on multi-core CPUs, GPUs, and FPGAs, aim to accelerate the execution time of the MCMC methods using subsampling techniques or custom precision arithmetic, resulting to biased estimates. In this work, a novel FPGA-based construction is proposed that utilises the custom precision support of FPGA devices in order to accelerate the computations, guaranteeing at the same time asymptotically unbiased estimates. Key to this approach is the extension of the parameter space by an extra parameter that indicates the required precision in the computation of the likelihood of a data point. The work proposes an FPGA architecture for the above algorithm, as well as discuss its tuning for maximising the performance of the system. The performance of the FPGA-mapped sampler is evaluated using two Bayesian logistic regression case studies of varying complexity, which show significant speedups compared to existing FPGAand CPU-based works that utilise double floating point arithmetic, without any bias on the sampling-based estimates.