This paper reconsiders sequential Monte Carlo approaches to Bayesian inference in the
light of massively parallel desktop computing capabilities now well within the reach of individual
academics. It first develops an algorithm that is well suited to parallel computing
in general and for which convergence results have been established in the sequential Monte
Carlo literature but that tends to require manual tuning in practical application. It then
introduces endogenous adaptations in the algorithm that obviate the need for tuning,
using a new approach based on the structure of parallel computing to show that convergence
properties are preserved and to provide reliable assessment of simulation error in
the approximation of posterior moments. The algorithm is generic, requiring only code
for simulation from the prior distribution and evaluation of the prior and data densities,
thereby shortening development cycles for new models. Through its use of data point
tempering it is robust to irregular posteriors, including multimodal distributions. The sequential
structure of the algorithm leads to reliable and generic computation of marginal
likelihood as a by-product. The paper includes three detailed examples taken from stateof-
the-art substantive research applications. These examples illustrate the many desirable
properties of the algorithm.