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The realized stochastic volatility (RSV) model that utilizes the realized volatility as additional information has been proposed to infer volatility of financial time series. We consider the Bayesian inference of the RSV model by the Hybrid…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
This paper introduces a new C++/CUDA library for GPU-accelerated stochastic optimization called MPPI-Generic. It provides implementations of Model Predictive Path Integral control, Tube-Model Predictive Path Integral Control, and Robust…
This paper focuses on the parallel implementation of a direct $N$-body method~(particle-particle algorithm) and the application of multiple GPUs for galactic dynamics simulations. Application of a hybrid OpenMP-CUDA technology is considered…
Super-Droplet Method (SDM) is a probabilistic Monte-Carlo-type model of particle coagulation process, an alternative to the mean-field formulation of Smoluchowski. SDM as an algorithm has linear computational complexity with respect to the…
Pseudorandom number generators are required for many computational tasks, such as stochastic modelling and simulation. This paper investigates the serial CPU and parallel GPU implementation of a Linear Congruential Generator based on the…
Hybrid computational architectures based on the joint power of Central Processing Units and Graphic Processing Units (GPUs) are becoming popular and powerful hardware tools for a wide range of simulations in biology, chemistry, engineering,…
This paper introduces a parallel implementation in CUDA/C++ of the Gaussian process with a decomposed kernel. This recent formulation, introduced by Joukov and Kuli\'c (2022), is characterized by an approximated -- but much smaller --…
Motion planning is a fundamental problem in robotics that involves generating feasible trajectories for a robot to follow. Recent advances in parallel computing, particularly through CPU and GPU architectures, have significantly reduced…
We consider the implementation of a parallel Monte Carlo code for high-performance simulations on PC clusters with MPI. We carry out tests of speedup and efficiency. The code is used for numerical simulations of pure SU(2) lattice gauge…
Many-particle continuous-time quantum walks (CTQWs) represent a resource for several tasks in quantum technology, including quantum search algorithms and universal quantum computation. In order to design and implement CTQWs in a realistic…
In recent years, the Hamiltonian Monte Carlo (HMC) algorithm has been found to work more efficiently compared to other popular Markov Chain Monte Carlo (MCMC) methods (such as random walk Metropolis-Hastings) in generating samples from a…
GPUs have significantly accelerated first-order methods for large-scale optimization, especially in continuous optimization. However, this success has not transferred cleanly to problems with discrete variables, combinatorial structure, and…
Lattice Boltzmann method models offer a novel framework for the simulation of high Reynolds number dilute gravity currents. The numerical algorithm is well suited to acceleration via implementation on massively parallel computer…
We present a single-node, multi-GPU programmable graph processing library that allows programmers to easily extend single-GPU graph algorithms to achieve scalable performance on large graphs with billions of edges. Directly using the…
We implemented a GPU based parallel code to perform Monte Carlo simulations of the two dimensional q-state Potts model. The algorithm is based on a checkerboard update scheme and assigns independent random numbers generators to each thread.…
We describe a method for parallelizing the lexicographic enumeration algorithm for the factorization set of an element in a numerical semigroup via bounds. This enables the use of GPU and distributed computing methods. We provide a CUDA…
Much of the current focus in high performance computing (HPC) for computational fluid dynamics (CFD) deals with grid based methods. However, parallel implementations for new meshfree particle methods such as Smoothed Particle Hydrodynamics…
We present Generative Monte Carlo (GMC), a novel paradigm for particle transport simulation that integrates generative artificial intelligence directly into the stochastic solution of the linear Boltzmann equation. By reformulating the…
We develop a novel parallel resampling algorithm for fully parallelized particle filters, which is designed with GPUs (graphics processing units) or similar parallel computing devices in mind. With our new algorithm, a full cycle of…