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The multi-level Monte Carlo method proposed by M. Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper, a modified…

Probability · Mathematics 2023-01-20 Kristian Debrabant , Andreas Rößler

We present ParaDRAM, a high-performance Parallel Delayed-Rejection Adaptive Metropolis Markov Chain Monte Carlo software for optimization, sampling, and integration of mathematical objective functions encountered in scientific inference.…

Computational Engineering, Finance, and Science · Computer Science 2020-08-24 Amir Shahmoradi , Fatemeh Bagheri

High-performance streams of (pseudo) random numbers are crucial for the efficient implementation for countless stochastic algorithms, most importantly, Monte Carlo simulations and molecular dynamics simulations with stochastic thermostats.…

Computational Physics · Physics 2012-08-30 Markus Manssen , Martin Weigel , Alexander K. Hartmann

In this study, we give an extension of Montanaro's arXiv/archive:1504.06987 quantum Monte Carlo method, tailored for computing expected values of random variables that exhibit infinite variance. This addresses a challenge in analyzing…

Quantum Physics · Physics 2024-03-08 Jose Blanchet , Mario Szegedy , Guanyang Wang

With the goal to provide absolute lower bounds for the best possible running times that can be achieved by $(1+\lambda)$-type search heuristics on common benchmark problems, we recently suggested a dynamic programming approach that computes…

Neural and Evolutionary Computing · Computer Science 2021-02-24 Kirill Antonov , Maxim Buzdalov , Arina Buzdalova , Carola Doerr

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…

Computation · Statistics 2014-02-18 Andrew L. Beam , Sujit K. Ghosh , Jon Doyle

As the Moore's scaling era comes to an end, application specific hardware accelerators appear as an attractive way to improve the performance and power efficiency of our computing systems. A massively heterogeneous system with a large…

Operating Systems · Computer Science 2019-07-02 Kartik Hegde , Abhishek Srivastava , Rohit Agrawal

We present a convex hull algorithm that is accelerated on commodity graphics hardware. We analyze and identify the hurdles of writing a recursive divide and conquer algorithm on the GPU and divise a framework for representing this class of…

Computational Geometry · Computer Science 2015-03-20 Stanley Tzeng , John D. Owens

The vast majority of 21st century AI workloads are based on gradient-based deterministic algorithms such as backpropagation. One of the key reasons for the dominance of deterministic ML algorithms is the emergence of powerful hardware…

Distributed, Parallel, and Cluster Computing · Computer Science 2024-09-19 Tathagata Srimani , Robert Radway , Masoud Mohseni , Kerem Çamsarı , Subhasish Mitra

The rapid evolution of Integrated Circuit (IC) development necessitates innovative methodologies such as code generation to manage complexity and increase productivity. Using the right methodology for generator development to maximize the…

Software Engineering · Computer Science 2024-04-09 Johannes Schreiner , Daniel Gerl , Robert Kunzelmann , Paritosh Kumar Sinha , Wolfgang Ecker

Efficient parallelization of algorithms on general-purpose GPUs is essential in many areas today. However, it is a non-trivial task for software engineers to utilize GPUs to improve the performance of high-level programs in general.…

Programming Languages · Computer Science 2024-07-09 Lars Hummelgren , John Wikman , Oscar Eriksson , Philipp Haller , David Broman

Applications with irregular data structures, data-dependent control flows and fine-grained data transfers (e.g., real-world graph computations) perform poorly on cache-based systems. We propose the UpDown accelerator that supports…

Genetic Programming (GP) is a computationally intensive technique which is naturally parallel in nature. Consequently, many attempts have been made to improve its run-time from exploiting highly parallel hardware such as GPUs. However, a…

Neural and Evolutionary Computing · Computer Science 2018-09-21 Darren M. Chitty

We present a design and implementation of the Thomas algorithm optimized for hardware acceleration on an FPGA, the Thomas Core. The hardware-based algorithm combined with the custom data flow and low level parallelism available in an FPGA…

Computational Finance · Quantitative Finance 2015-10-16 Samuel Palmer

The numerical study of relativistic magnetohydrodynamics (MHD) plays a crucial role in high-energy astrophysics, but unfortunately is computationally demanding, given the complex physics involved (high Lorentz factor flows, extreme…

High Energy Astrophysical Phenomena · Physics 2024-01-09 Luca Del Zanna , Simone Landi , Lorenzo Serafini , Matteo Bugli , Emanuele Papini

This paper presents our work toward correct and efficient automatic differentiation of OpenMP parallel worksharing loops in forward and reverse mode. Automatic differentiation is a method to obtain gradients of numerical programs, which are…

Mathematical Software · Computer Science 2021-11-04 Jan Hückelheim , Laurent Hascoët

We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…

Mathematical Finance · Quantitative Finance 2023-11-20 Jorge Ignacio González Cázares , Aleksandar Mijatović

A Monte Carlo event generator has been developed assuming thermal production of hadrons. The system under consideration is sampled grand canonically in the Boltzmann approximation. A re-weighting scheme is then introduced to account for…

Nuclear Theory · Physics 2009-12-14 M. Hauer , S. Wheaton

Customized hardware accelerators have been developed to provide improved performance and efficiency for DNN inference and training. However, the existing hardware accelerators may not always be suitable for handling various DNN models as…

Hardware Architecture · Computer Science 2021-04-07 Xiaofan Zhang , Hanchen Ye , Deming Chen

Neural architectures and hardware accelerators have been two driving forces for the progress in deep learning. Previous works typically attempt to optimize hardware given a fixed model architecture or model architecture given fixed…