Efficient rare-event simulation for the maximum of heavy-tailed random walks

Let $(X_n:n\geq 0)$ be a sequence of i.i.d. r.v.'s with negative mean. Set $S_0=0$ and define $S_n=X_1+... +X_n$. We propose an importance sampling algorithm to estimate the tail of $M=\max \{S_n:n\geq 0\}$ that is strongly efficient for both light and heavy-tailed increment distributions. Moreover, in the case of heavy-tailed increments and under additional technical assumptions, our estimator can be shown to have asymptotically vanishing relative variance in the sense that its coefficient of variation vanishes as the tail parameter increases. A key feature of our algorithm is that it is state-dependent. In the presence of light tails, our procedure leads to Siegmund's (1979) algorithm. The rigorous analysis of efficiency requires new Lyapunov-type inequalities that can be useful in the study of more general importance sampling algorithms.Comment: Published in at http://dx.doi.org/10.1214/07-AAP485 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Numerical approximation of statistical solutions of scalar conservation laws

We propose efficient numerical algorithms for approximating statistical solutions of scalar conservation laws. The proposed algorithms combine finite volume spatio-temporal approximations with Monte Carlo and multi-level Monte Carlo discretizations of the probability space. Both sets of methods are proved to converge to the entropy statistical solution. We also prove that there is a considerable gain in efficiency resulting from the multi-level Monte Carlo method over the standard Monte Carlo method. Numerical experiments illustrating the ability of both methods to accurately compute multi-point statistical quantities of interest are also presented

Numerical approximation of statistical solutions of scalar conservation laws

We propose efficient numerical algorithms for approximating statistical solutions of scalar conservation laws. The proposed algorithms combine finite volume spatio-temporal approximations with Monte Carlo and multi-level Monte Carlo discretizations of the probability space. Both sets of methods are proved to converge to the entropy statistical solution. We also prove that there is a considerable gain in efficiency resulting from the multi-level Monte Carlo method over the standard Monte Carlo method. Numerical experiments illustrating the ability of both methods to accurately compute multi-point statistical quantities of interest are also presented

Parallelizing the QUDA Library for Multi-GPU Calculations in Lattice Quantum Chromodynamics

Graphics Processing Units (GPUs) are having a transformational effect on numerical lattice quantum chromodynamics (LQCD) calculations of importance in nuclear and particle physics. The QUDA library provides a package of mixed precision sparse matrix linear solvers for LQCD applications, supporting single GPUs based on NVIDIA's Compute Unified Device Architecture (CUDA). This library, interfaced to the QDP++/Chroma framework for LQCD calculations, is currently in production use on the "9g" cluster at the Jefferson Laboratory, enabling unprecedented price/performance for a range of problems in LQCD. Nevertheless, memory constraints on current GPU devices limit the problem sizes that can be tackled. In this contribution we describe the parallelization of the QUDA library onto multiple GPUs using MPI, including strategies for the overlapping of communication and computation. We report on both weak and strong scaling for up to 32 GPUs interconnected by InfiniBand, on which we sustain in excess of 4 Tflops.Comment: 11 pages, 7 figures, to appear in the Proceedings of Supercomputing 2010 (submitted April 12, 2010

sPLINK : a hybrid federated tool as a robust alternative to meta-analysis in genome-wide association studies

Meta-analysis has been established as an effective approach to combining summary statistics of several genome-wide association studies (GWAS). However, the accuracy of meta-analysis can be attenuated in the presence of cross-study heterogeneity. We present sPLINK, a hybrid federated and user-friendly tool, which performs privacy-aware GWAS on distributed datasets while preserving the accuracy of the results. sPLINK is robust against heterogeneous distributions of data across cohorts while meta-analysis considerably loses accuracy in such scenarios. sPLINK achieves practical runtime and acceptable network usage for chi-square and linear/logistic regression tests.Peer reviewe