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arXiv · 2511.10363

On The Performance of Prefix-Sum Parallel Kalman Filters and Smoothers on GPUs

Simo Särkkä·Ángel F. García-Fernández
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Abstract

This paper presents an experimental evaluation of parallel-in-time Kalman filters and smoothers using graphics processing units (GPUs). In particular, the paper evaluates different all-prefix-sum algorithms, that is, parallel scan algorithms for temporal parallelization of Kalman filters and smoothers in two ways: by calculating the required number of operations via simulation, and by measuring the actual run time of the algorithms on real GPU hardware. In addition, a novel parallel-in-time two-filter smoother is proposed and experimentally evaluated. Julia code for Metal and CUDA implementations of all the algorithms is made publicly available.

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Simo Särkkä, Ángel F. García-Fernández. 2025-11-13. On The Performance of Prefix-Sum Parallel Kalman Filters and Smoothers on GPUs. https://arxiv.org/abs/2511.10363

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