A Direct Multigrid Poisson Solver for Oct-Tree Adaptive Meshes

We describe a finite-volume method for solving the Poisson equation on oct-tree adaptive meshes using direct solvers for individual mesh blocks. The method is a modified version of the method presented by Huang and Greengard (2000), which works with finite-difference meshes and does not allow for shared boundaries between refined patches. Our algorithm is implemented within the FLASH code framework and makes use of the PARAMESH library, permitting efficient use of parallel computers. We describe the algorithm and present test results that demonstrate its accuracy.Comment: 10 pages, 6 figures, accepted by the Astrophysical Journal; minor revisions in response to referee's comments; added char

Numerical methods for option pricing.

This thesis aims to introduce some fundamental concepts underlying option valuation theory including implementation of computational tools. In many cases analytical solution for option pricing does not exist, thus the following numerical methods are used: binomial trees, Monte Carlo simulations and finite difference methods. First, an algorithm based on Hull and Wilmott is written for every method. Then these algorithms are improved in different ways. For the binomial tree both speed and memory usage is significantly improved by using only one vector instead of a whole price storing matrix. Computational time in Monte Carlo simulations is reduced by implementing a parallel algorithm (in C) which is capable of improving speed by a factor which equals the number of processors used. Furthermore, MatLab code for Monte Carlo was made faster by vectorizing simulation process. Finally, obtained option values are compared to those obtained with popular finite difference methods, and it is discussed which of the algorithms is more appropriate for which purpose

Fast Parallel Operations on Search Trees

Using (a,b)-trees as an example, we show how to perform a parallel split with logarithmic latency and parallel join, bulk updates, intersection, union (or merge), and (symmetric) set difference with logarithmic latency and with information theoretically optimal work. We present both asymptotically optimal solutions and simplified versions that perform well in practice - they are several times faster than previous implementations

GreeM : Massively Parallel TreePM Code for Large Cosmological N-body Simulations

In this paper, we describe the implementation and performance of GreeM, a massively parallel TreePM code for large-scale cosmological N-body simulations. GreeM uses a recursive multi-section algorithm for domain decomposition. The size of the domains are adjusted so that the total calculation time of the force becomes the same for all processes. The loss of performance due to non-optimal load balancing is around 4%, even for more than 10^3 CPU cores. GreeM runs efficiently on PC clusters and massively-parallel computers such as a Cray XT4. The measured calculation speed on Cray XT4 is 5 \times 10^4 particles per second per CPU core, for the case of an opening angle of \theta=0.5, if the number of particles per CPU core is larger than 10^6.Comment: 13 pages, 11 figures, accepted by PAS

Harmonic scheduling of linear recurrences in digital filter design

Linear difference equations involving recurrences are fundamental equations that describe many important signal processing applications. For many high sample rate digital filter applications, we need to effectively parallelize the linear difference equations used to describe digital filters - a difficult task due to the recurrences inherent in the data dependences. We present a novel approach, Harmonic Scheduling, that exploits parallelism in these recurrences beyond loop-carried dependencies, and which generates optimal schedules for parallel evaluation of linear difference equations with resource constraints. This approach also enables us to derive a parallel schedule with minimum control overhead, given an execution time with resource constraints. We also present a Harmonic Scheduling algorithm that generates optimal schedules for digital filters described by second-order difference equations with resource constraints

Computationally efficient algorithms for the two-dimensional Kolmogorov-Smirnov test

Goodness-of-fit statistics measure the compatibility of random samples against some theoretical or reference probability distribution function. The classical one-dimensional Kolmogorov-Smirnov test is a non-parametric statistic for comparing two empirical distributions which defines the largest absolute difference between the two cumulative distribution functions as a measure of disagreement. Adapting this test to more than one dimension is a challenge because there are 2^d-1 independent ways of ordering a cumulative distribution function in d dimensions. We discuss Peacock's version of the Kolmogorov-Smirnov test for two-dimensional data sets which computes the differences between cumulative distribution functions in 4n^2 quadrants. We also examine Fasano and Franceschini's variation of Peacock's test, Cooke's algorithm for Peacock's test, and ROOT's version of the two-dimensional Kolmogorov-Smirnov test. We establish a lower-bound limit on the work for computing Peacock's test of Omega(n^2.lg(n)), introducing optimal algorithms for both this and Fasano and Franceschini's test, and show that Cooke's algorithm is not a faithful implementation of Peacock's test. We also discuss and evaluate parallel algorithms for Peacock's test

Parallel Batch-Dynamic Graph Connectivity

In this paper, we study batch parallel algorithms for the dynamic connectivity problem, a fundamental problem that has received considerable attention in the sequential setting. The most well known sequential algorithm for dynamic connectivity is the elegant level-set algorithm of Holm, de Lichtenberg and Thorup (HDT), which achieves $O(\log^2 n)$ amortized time per edge insertion or deletion, and $O(\log n / \log\log n)$ time per query. We design a parallel batch-dynamic connectivity algorithm that is work-efficient with respect to the HDT algorithm for small batch sizes, and is asymptotically faster when the average batch size is sufficiently large. Given a sequence of batched updates, where $\Delta$ is the average batch size of all deletions, our algorithm achieves $O(\log n \log(1 + n / \Delta))$ expected amortized work per edge insertion and deletion and $O(\log^3 n)$ depth w.h.p. Our algorithm answers a batch of $k$ connectivity queries in $O(k \log(1 + n/k))$ expected work and $O(\log n)$ depth w.h.p. To the best of our knowledge, our algorithm is the first parallel batch-dynamic algorithm for connectivity.Comment: This is the full version of the paper appearing in the ACM Symposium on Parallelism in Algorithms and Architectures (SPAA), 201