After four years of work, I’m very happy to announce that LibBi is now available as open source software.
LibBi is used for state-space modelling and Bayesian inference on high-performance computer hardware, including multi-core CPUs, many-core GPUs (graphics processing units) and distributed-memory clusters.
The staple methods of LibBi are based on sequential Monte Carlo (SMC), also known as particle filtering. These methods include particle Markov chain Monte Carlo (PMCMC) and SMC2. Other methods include the extended Kalman filter and some parameter optimisation routines.
LibBi consists of a C++ template library, as well as a parser and compiler, written in Perl, for its own modelling language.