A hardware generator for multi-point distributed random variables

In Monte Carlo simulation of weak approximation of stochastic differential equations, multi-point distributed random variables play an important role. However, they need highly efficient implementations to meet the "real-time" requirements of applications such as the pricing of complex derivative securities. In this paper a fast and fexible dedicated hardware generator of multi-point distributed random variables on a Field Programmable Gate Array (FPGA) is presented. A comparative performance analysis demonstrates that the hardware solution is bottleneck-free, retains the fexibility of a traditional software implementation and significantly increases the computational fficiency of the overall simulation. © 2005 IEEE

A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation

Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often required, one needs highly efficient implementations of the multi-point distributed random number generator underlying the simulations. In this paper a fast and flexible dedicated hardware solution on a field programmable gate array is presented. A comparative performance analysis between a software-only and the proposed hardware solution demonstrates that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in applications such as economics, insurance, physics, population dynamics, epidemiology, structural mechanics, chemistry and biotechnology can benefit from the obtained speedup.random number generators; random bit generators; hardware implementation; field programmable gate arrays (FPGAs); Monte Carlo simulation; weak Taylor schemes; multi-point distributed random variables

GPU in Physics Computation: Case Geant4 Navigation

General purpose computing on graphic processing units (GPU) is a potential method of speeding up scientific computation with low cost and high energy efficiency. We experimented with the particle physics simulation toolkit Geant4 used at CERN to benchmark its geometry navigation functionality on a GPU. The goal was to find out whether Geant4 physics simulations could benefit from GPU acceleration and how difficult it is to modify Geant4 code to run in a GPU. We ported selected parts of Geant4 code to C99 & CUDA and implemented a simple gamma physics simulation utilizing this code to measure efficiency. The performance of the program was tested by running it on two different platforms: NVIDIA GeForce 470 GTX GPU and a 12-core AMD CPU system. Our conclusion was that GPUs can be a competitive alternate for multi-core computers but porting existing software in an efficient way is challenging

Mixing multi-core CPUs and GPUs for scientific simulation software

Recent technological and economic developments have led to widespread availability of multi-core CPUs and specialist accelerator processors such as graphical processing units (GPUs). The accelerated computational performance possible from these devices can be very high for some applications paradigms. Software languages and systems such as NVIDIA's CUDA and Khronos consortium's open compute language (OpenCL) support a number of individual parallel application programming paradigms. To scale up the performance of some complex systems simulations, a hybrid of multi-core CPUs for coarse-grained parallelism and very many core GPUs for data parallelism is necessary. We describe our use of hybrid applica- tions using threading approaches and multi-core CPUs to control independent GPU devices. We present speed-up data and discuss multi-threading software issues for the applications level programmer and o er some suggested areas for language development and integration between coarse-grained and ne-grained multi-thread systems. We discuss results from three common simulation algorithmic areas including: partial di erential equations; graph cluster metric calculations and random number generation. We report on programming experiences and selected performance for these algorithms on: single and multiple GPUs; multi-core CPUs; a CellBE; and using OpenCL. We discuss programmer usability issues and the outlook and trends in multi-core programming for scienti c applications developers

Developing Efficient Discrete Simulations on Multicore and GPU Architectures

In this paper we show how to efficiently implement parallel discrete simulations on multicoreandGPUarchitecturesthrougharealexampleofanapplication: acellularautomatamodel of laser dynamics. We describe the techniques employed to build and optimize the implementations using OpenMP and CUDA frameworks. We have evaluated the performance on two different hardware platforms that represent different target market segments: high-end platforms for scientific computing, using an Intel Xeon Platinum 8259CL server with 48 cores, and also an NVIDIA Tesla V100GPU,bothrunningonAmazonWebServer(AWS)Cloud;and on a consumer-oriented platform, using an Intel Core i9 9900k CPU and an NVIDIA GeForce GTX 1050 TI GPU. Performance results were compared and analyzed in detail. We show that excellent performance and scalability can be obtained in both platforms, and we extract some important issues that imply a performance degradation for them. We also found that current multicore CPUs with large core numbers can bring a performance very near to that of GPUs, and even identical in some cases.Ministerio de Economía, Industria y Competitividad, Gobierno de España (MINECO), and the Agencia Estatal de Investigación (AEI) of Spain, cofinanced by FEDER funds (EU) TIN2017-89842

Uncertainty Analysis of the Adequacy Assessment Model of a Distributed Generation System

Due to the inherent aleatory uncertainties in renewable generators, the reliability/adequacy assessments of distributed generation (DG) systems have been particularly focused on the probabilistic modeling of random behaviors, given sufficient informative data. However, another type of uncertainty (epistemic uncertainty) must be accounted for in the modeling, due to incomplete knowledge of the phenomena and imprecise evaluation of the related characteristic parameters. In circumstances of few informative data, this type of uncertainty calls for alternative methods of representation, propagation, analysis and interpretation. In this study, we make a first attempt to identify, model, and jointly propagate aleatory and epistemic uncertainties in the context of DG systems modeling for adequacy assessment. Probability and possibility distributions are used to model the aleatory and epistemic uncertainties, respectively. Evidence theory is used to incorporate the two uncertainties under a single framework. Based on the plausibility and belief functions of evidence theory, the hybrid propagation approach is introduced. A demonstration is given on a DG system adapted from the IEEE 34 nodes distribution test feeder. Compared to the pure probabilistic approach, it is shown that the hybrid propagation is capable of explicitly expressing the imprecision in the knowledge on the DG parameters into the final adequacy values assessed. It also effectively captures the growth of uncertainties with higher DG penetration levels

JANUS: an FPGA-based System for High Performance Scientific Computing

This paper describes JANUS, a modular massively parallel and reconfigurable FPGA-based computing system. Each JANUS module has a computational core and a host. The computational core is a 4x4 array of FPGA-based processing elements with nearest-neighbor data links. Processors are also directly connected to an I/O node attached to the JANUS host, a conventional PC. JANUS is tailored for, but not limited to, the requirements of a class of hard scientific applications characterized by regular code structure, unconventional data manipulation instructions and not too large data-base size. We discuss the architecture of this configurable machine, and focus on its use on Monte Carlo simulations of statistical mechanics. On this class of application JANUS achieves impressive performances: in some cases one JANUS processing element outperfoms high-end PCs by a factor ~ 1000. We also discuss the role of JANUS on other classes of scientific applications.Comment: 11 pages, 6 figures. Improved version, largely rewritten, submitted to Computing in Science & Engineerin