Citation

Holbrook AJ, Loeffler CE, Flaxman SR, Suchard MA. Stat. Comput. 2021; 31(1): s11222-020-09980-4.

Copyright

(Copyright © 2021, Holtzbrinck Springer Nature Publishing Group)

DOI

10.1007/s11222-020-09980-4

PMID

34354329

Abstract

The Hawkes process and its extensions effectively model self-excitatory phenomena including earthquakes, viral pandemics, financial transactions, neural spike trains and the spread of memes through social networks. The usefulness of these stochastic process models within a host of economic sectors and scientific disciplines is undercut by the processes' computational burden: complexity of likelihood evaluations grows quadratically in the number of observations for both the temporal and spatiotemporal Hawkes processes. We show that, with care, one may parallelize these calculations using both central and graphics processing unit implementations to achieve over 100-fold speedups over single-core processing. Using a simple adaptive Metropolis-Hastings scheme, we apply our high-performance computing framework to a Bayesian analysis of big gunshot data generated in Washington D.C. between the years of 2006 and 2019, thereby extending a past analysis of the same data from under 10,000 to over 85,000 observations. To encourage widespread use, we provide hpHawkes, an open-source R package, and discuss high-level implementation and program design for leveraging aspects of computational hardware that become necessary in a big data setting.

Language: en

Keywords

GPU; Massive parallelization; SIMD; Spatiotemporal Hawkes process