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Monte Carlo simulation with the GATE software using grid computing

R. Reuillon, D. R. C Hill, C. Gouinaud, Z. El Bitar, V. Breton, I. Buvat
2008 Proceedings of the 8th international conference on New technologies in distributed systems - NOTERE '08  
In this paper, we present the distribution of Monte Carlo simulations performed with the GATE software using local clusters and grid computing.  ...  This work has been achieved thanks to a generic object-oriented toolbox called DistMe which we designed to automate this kind of parallelization for Monte Carlo simulations.  ...  The generated status were archived and converted into a documented XML format, in order to be reused with different implementations of the Mersenne Twister 19937 algorithm.  ... 
doi:10.1145/1416729.1416762 dblp:conf/notere/ReuillonHGBBB08 fatcat:f2fi3qv2ffduda25w3escyh5qi

High-Performance Pseudo-Random Number Generation on Graphics Processing Units [article]

Nimalan Nandapalan, Richard P. Brent, Lawrence M. Murray, Alistair Rendell
2011 arXiv   pre-print
The chosen algorithm has configurable state size and period, making it ideal for tuning to the GPU architecture.  ...  We present a comparison of both speed and statistical quality with other common parallel, GPU-based PRNGs, demonstrating favourable performance of the xorgens-based approach.  ...  The Mersenne Twister for Graphic Processors The MTGP generator is a recently-released variant of the well known Mersenne Twister [12, 17] .  ... 
arXiv:1108.0486v1 fatcat:3ltchj3zcrgkrcmphrgbqmmcpu

High-Performance Pseudo-Random Number Generation on Graphics Processing Units [chapter]

Nimalan Nandapalan, Richard P. Brent, Lawrence M. Murray, Alistair P. Rendell
2012 Lecture Notes in Computer Science  
The chosen algorithm has configurable state size and period, making it ideal for tuning to the GPU architecture.  ...  We present a comparison of both speed and statistical quality with other common GPU-based PRNGs, demonstrating favourable performance of the xorgens-based approach.  ...  The Mersenne Twister for Graphic Processors The MTGP generator is a recently-released variant of the well known Mersenne Twister [13, 19] .  ... 
doi:10.1007/978-3-642-31464-3_62 fatcat:s3er4sni35eshlet3fco37yqai

Financial Monte Carlo simulation on architecturally diverse systems

Naveen Singla, Michael Hall, Berkley Shands, Roger D. Chamberlain
2008 2008 Workshop on High Performance Computational Finance  
Computational finance relies heavily on the use of Monte Carlo simulation techniques. However, Monte Carlo simulation is computationally very demanding.  ...  Performance results include a speedup of 74× relative to an 8 core multiprocessor system (180× relative to a single processor core).  ...  Chamberlain is a principal in Exegy, Inc. The authors would also like to thank NVIDIA for their support.  ... 
doi:10.1109/whpcf.2008.4745401 fatcat:msrl3ejzyfbpvnyjvhjdcwwfiu

Monte-Carlo Simulation-Based Financial Computing on the Maxwell FPGA Parallel Machine [chapter]

Xiang Tian, Khaled Benkrid
2013 High-Performance Computing Using FPGAs  
For this, high performance computers, increasingly with off-the-shelf accelerator hardware, are being proposed as an economic high performance implementation platform for Monte-Carlo-based simulations.  ...  Field programmable gate arrays (FPGAs), for instance, offer the high performance of a dedicated hardware solution of a particular algorithm, with a fraction of the area and power consumption of equivalent  ...  To solve this problem and enable Mersenne Twister parallel implementations, the authors of MT19937 developed a library for the dynamic creation of Mersenne Twister parameters.  ... 
doi:10.1007/978-1-4614-1791-0_2 fatcat:tz34xzedmvdulkbwnwxy7numme

FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options

Diego Sanchez-Roman, Victor Moreno, Sergio Lopez-Buedo, Gustavo Sutter, Ivan Gonzalez, Francisco J. Gomez-Arribas, Javier Aracil
2013 Journal of systems architecture  
In this paper we present an FPGA implementation of a Monte-Carlo method for pricing Asian Options using Impulse C and floating-point arithmetic.  ...  Additionally, the use of a HLL-based methodology allowed us to implement a highquality gaussian random number generator, which produces more precise results than those obtained with the simple generators  ...  Implementation Option price calculation The Monte-Carlo algorithm for pricing Asian Options is depicted in Listing 1.  ... 
doi:10.1016/j.sysarc.2013.01.004 fatcat:ovq5d432mfb75budx4qu6eq2bm

On the Quality and Quantity of Random Decisions in Stochastic Local Search for SAT [chapter]

Dave A. D. Tompkins, Holger H. Hoos
2006 Lecture Notes in Computer Science  
Stochastic local search (SLS) methods are underlying some of the best-performing algorithms for certain types of SAT instances, both from an empirical as well as from a theoretical point of view.  ...  Our experimental results indicate that the performance of SLS algorithms for SAT is surprisingly robust with respect to the number of random decisions made by an algorithm.  ...  The previously mentioned Mersenne Twister has all of the qualities that are desirable for a PRNG and overall appears to be the best choice in the context of implementing SLS algorithms. 2 .  ... 
doi:10.1007/11766247_13 fatcat:yag753tyt5govoy33intmp3x3i

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options [article]

Céline Labart
2011 arXiv   pre-print
We have tested our algorithm up to dimension 10 on a cluster of 512 CPUs and we obtained linear speedups which proves the scalability of our implementation  ...  We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing  ...  Figure 1 : 1 Distribution of the CPU time needed for the creation of one Mersenne Twister generator Figure 2 : 2 Convergence of the algorithm for a European put basket option with d = 5, ρ = 0.1, T =  ... 
arXiv:1102.4666v1 fatcat:nfbvnfjlmbbzxj5siux74wtpc4

Comparing performance and energy efficiency of FPGAs and GPUs for high productivity computing

Brahim Betkaoui, David B. Thomas, Wayne Luk
2010 2010 International Conference on Field-Programmable Technology  
The CUDA system has provided a high productivity approach for programming GPUs.  ...  The search for higher performance compute solutions has recently led to great interest in heterogeneous systems containing FPGA and GPU accelerators.  ...  The financial analytics personality provides custom hardware for generating random numbers using the Mersenne-Twister algorithm.  ... 
doi:10.1109/fpt.2010.5681761 dblp:conf/fpt/BetkaouiTL10 fatcat:nanujaq7gbhljc7x67muq3ygjy

Radio-flaring Ultracool Dwarf Population Synthesis

Matthew Route
2017 Astrophysical Journal  
For the first time, I construct a Monte Carlo simulator to model the population of these radio-flaring UCDs.  ...  This simulator is powered by Intel Secure Key (ISK)- a new processor technology that uses a local entropy source to improve random number generation that has heretofore been used to improve cryptography  ...  The Arecibo Observatory is operated by SRI International under a cooperative agreement with the National Science Foundation (AST-1100968) and in alliance with Ana G.  ... 
doi:10.3847/1538-4357/aa7ede fatcat:nd7m2x7fkva5dktqrzjwkkvdgi

Variants of Mersenne Twister Suitable for Graphic Processors

Mutsuo Saito, Makoto Matsumoto
2013 ACM Transactions on Mathematical Software  
This paper proposes a type of pseudorandom number generator, Mersenne Twister for Graphic Processor (MTGP), for efficient generation on graphic processessing units (GPUs).  ...  MTGP is based on linear recursion over the two-element field, and has better high dimensional equidistribution than the Mersenne Twister pseudorandom number generator.  ...  Acknowledgment This study is partially supported by JSPS/MEXT Grant-in-Aid for Scientific Research No.21654004, No.19204002, No. 23244002, No.21654017, and JSPS  ... 
doi:10.1145/2427023.2427029 fatcat:yzbc77le2vdidlcisvoistgvuu

Variants of Mersenne Twister Suitable for Graphic Processors [article]

Mutsuo Saito, Makoto Matsumoto
2012 arXiv   pre-print
This paper proposes a type of pseudorandom number generator, Mersenne Twister for Graphic Processor (MTGP), for efficient generation on graphic processessing units (GPUs).  ...  MTGP is based on linear recursion over the two-element field, and has better high-dimensional equidistribution than the Mersenne Twister pseudorandom number generator.  ...  We mention that there are studies on hardware implementations of Mersenne Twisters. For example, [29] implemented MT19937 on both a FPGA hardware and on a GPU.  ... 
arXiv:1005.4973v3 fatcat:5xvtctwahnfwza4y3vmyozfz2u

Reliable Initialization of GPU-enabled Parallel Stochastic Simulations Using Mersenne Twister for Graphics Processors [article]

Jonathan Passerat-Palmbach , Antoine Mahul, David Hill
2015 arXiv   pre-print
We give a particular focus to the recent Mersenne Twister for Graphics Processors (MTGP) that has just been released.  ...  We propose a survey of the current Pseudo Random Numbers Generators (PRNG) available on GPU.  ...  In 2006, (Saito and Matsumoto, 2008) proposed an SIMD version of the famous 'Mersenne Twister' called SIMD-oriented Fast Mersenne Twister (SFMT).  ... 
arXiv:1501.07701v1 fatcat:qorbazbj6jbermk5as2pchwiey

Optimizing interpreters by tuning opcode orderings on virtual machines for modern architectures

Jason McCandless, David Gregg
2011 Proceedings of the 9th International Conference on Principles and Practice of Programming in Java - PPPJ '11  
VMs are typically implemented using an interpreter, a JIT compiler, or some combination of the two.  ...  Using hardware performance counters, we demonstrate that the performance improvement is primarily the result of indirect branch prediction, not instruction cache locality.  ...  The random permutations for Monte Carlo are generated by the Mersenne twister pseudorandom number generator, which has a period of 2 19937 − 1 [14] .  ... 
doi:10.1145/2093157.2093183 dblp:conf/pppj/McCandlessG11 fatcat:sqk5ba7glffm5gwpr6fscetjdy

Survey on hardware implementation of random number generators on FPGA: Theory and experimental analyses

Mohammed Bakiri, Christophe Guyeux, Jean-François Couchot, Abdelkrim Kamel Oudjida
2018 Computer Science Review  
This research work is the first comprehensive survey on how random number generators are implemented on Field Programmable Gate Arrays (FPGAs).  ...  A rich and upto-date list of generators specifically mapped to FPGA are presented with deep technical details on their definitions and implementations.  ...  A LUT consists of a block of RAM (Random Access Memory) Monte Carlo applications in finance.  ... 
doi:10.1016/j.cosrev.2018.01.002 fatcat:syi7okuckzfyhnimepvs5ditpi
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