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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…

Computational Finance · Quantitative Finance 2016-11-28 Tetsuya Takaishi

The ever-growing size of modern space-time data sets, such as those collected by remote sensing, requires new techniques for their efficient and automated processing, including gap-filling of missing values. CUDA-based parallelization on…

Computation · Statistics 2022-12-05 M. Lach , M. Žukovič

A high fidelity flow simulation for complex geometries for high Reynolds number ($Re$) flow is still very challenging, which requires more powerful computational capability of HPC system. However, the development of HPC with traditional CPU…

Computational Physics · Physics 2022-03-03 Chuangchao Ye , Pengjunyi Zhang , Rui Yan , Dejun Sun , Zhenhua Wan

This paper presents the benchmarking and scaling studies of a GPU accelerated three dimensional compressible magnetohydrodynamic code. The code is developed keeping an eye to explain the large and intermediate scale magnetic field…

In this paper we present Open Multi-Processing (OpenMP) Fortran 90/95 versions of previously published numerical programs for solving the dipolar Gross-Pitaevskii (GP) equation including the contact interaction in one, two and three spatial…

Quantum Gases · Physics 2023-02-08 Luis E. Young-S. , Paulsamy Muruganandam , Antun Balaž , Sadhan K. Adhikari

We discuss the development, verification, and performance of a GPU accelerated discontinuous Galerkin method for the solutions of two dimensional nonlinear shallow water equations. The shallow water equations are hyperbolic partial…

Numerical Analysis · Mathematics 2023-07-19 R Gandham , D S Medina , T Warburton

The nonequilibrium description of quantum systems requires, for more than two or three particles, the use of a reduced description to be numerically tractable. Two possible approaches are based on either reduced density matrices or…

Strongly Correlated Electrons · Physics 2013-09-19 S. Hermanns , K. Balzer , M. Bonitz

We show that efficient simulations of the Kardar-Parisi-Zhang interface growth in 2 + 1 dimensions and of the 3-dimensional Kinetic Monte Carlo of thermally activated diffusion can be realized both on GPUs and modern CPUs. In this article…

Distributed, Parallel, and Cluster Computing · Computer Science 2014-01-21 Jeffrey Kelling , Géza Ódor , Máté Ferenc Nagy , Henrik Schulz , Karl-Heinz Heinig

In this paper, the OpenACC heterogeneous parallel programming model is successfully applied to modification and acceleration of the three-dimensional Tokamak magnetohydrodynamical code (CLTx). Through combination of OpenACC and MPI…

Computational Physics · Physics 2019-10-31 H. W. Zhang , J. Zhu , Z. W. Ma , G. Y. Kan , X. Wang , W. Zhang

We demonstrate a high-performance vendor-agnostic method for massively parallel solving of ensembles of ordinary differential equations (ODEs) and stochastic differential equations (SDEs) on GPUs. The method is integrated with a widely used…

Distributed, Parallel, and Cluster Computing · Computer Science 2023-11-20 Utkarsh Utkarsh , Valentin Churavy , Yingbo Ma , Tim Besard , Prakitr Srisuma , Tim Gymnich , Adam R. Gerlach , Alan Edelman , George Barbastathis , Richard D. Braatz , Christopher Rackauckas

Theoretical descriptions of non equilibrium dynamics of quantum many-body systems essentially employ either (i) explicit treatments, relying on truncation of the expansion of the many-body wave function, (ii) compressed representations of…

The simplex algorithm has been successfully used for many years in solving linear programming (LP) problems. Due to the intensive computations required (especially for the solution of large LP problems), parallel approaches have also…

Distributed, Parallel, and Cluster Computing · Computer Science 2022-11-22 Basilis Mamalis , Marios Perlitis

Computing centres, including those used to process High-Energy Physics data and simulations, are increasingly providing significant fractions of their computing resources through hardware architectures other than x86 CPUs, with GPUs being a…

Instrumentation and Detectors · Physics 2021-11-23 Xiaocong Ai , Georgiana Mania , Heather M. Gray , Michael Kuhn , Nicholas Styles

In this paper, we demonstrate how GPU-accelerated BEM routines can be used in a simple black-box fashion to accelerate fast boundary element formulations based on Hierarchical Matrices (H-Matrices) with ACA (Adaptive Cross Approximation).…

Distributed, Parallel, and Cluster Computing · Computer Science 2017-11-07 Kerstin Vater , Timo Betcke , Boris Dilba

The ultrafast hole dynamics triggered by the photoexcitation of molecular targets is a highly correlated process even for those systems, like organic molecules, having a weakly correlated ground state. We here provide a unifying framework…

Chemical Physics · Physics 2021-07-21 Yaroslav Pavlyukh , Enrico Perfetto , Gianluca Stefanucci

The Hierarchical Schur Complement method (HSC), and the HSC-extension, have significantly accelerated the evaluation of the retarded Green's function, particularly the lesser Green's function, for two-dimensional nanoscale devices. In this…

Computational Physics · Physics 2017-02-20 Y. Zhao , U. Hetmaniuk , S. R. Patil , J. Qi , M. P. Anantram

We utilize the Open Accelerator (OpenACC) approach for graphics processing unit (GPU) accelerated particle-resolved thermal lattice Boltzmann (LB) simulation. We adopt the momentum-exchange method to calculate fluid-particle interactions to…

Fluid Dynamics · Physics 2023-10-06 Ao Xu , Bo-Tao Li

In the nonequilibrium Green's function approach, the approximation of the correlation self-energy at the second-Born level is of particular interest, since it allows for a maximal speed-up in computational scaling when used together with…

Computational Physics · Physics 2019-11-11 Riku Tuovinen , Fabio Covito , Michael A. Sentef

In this paper we present a methodology for data accesses when solving batches of Tridiagonal and Pentadiagonal matrices that all share the same left-hand-side (LHS) matrix. The intended application is to the numerical solution of Partial…

Computational Physics · Physics 2021-07-13 Enda Carroll , Andrew Gloster , Miguel D. Bustamante , Lennon Ó' Náraigh

In this work we use the GPU porting task for the operative Japanese weather prediction model "ASUCA" as an opportunity to examine productivity issues with OpenACC when applied to structured grid problems. We then propose "Hybrid Fortran",…

Distributed, Parallel, and Cluster Computing · Computer Science 2017-12-11 Michel Müller , Takayuki Aoki