8,004 research outputs found
Stochastic rounding and reduced-precision fixed-point arithmetic for solving neural ordinary differential equations
Although double-precision floating-point arithmetic currently dominates
high-performance computing, there is increasing interest in smaller and simpler
arithmetic types. The main reasons are potential improvements in energy
efficiency and memory footprint and bandwidth. However, simply switching to
lower-precision types typically results in increased numerical errors. We
investigate approaches to improving the accuracy of reduced-precision
fixed-point arithmetic types, using examples in an important domain for
numerical computation in neuroscience: the solution of Ordinary Differential
Equations (ODEs). The Izhikevich neuron model is used to demonstrate that
rounding has an important role in producing accurate spike timings from
explicit ODE solution algorithms. In particular, fixed-point arithmetic with
stochastic rounding consistently results in smaller errors compared to single
precision floating-point and fixed-point arithmetic with round-to-nearest
across a range of neuron behaviours and ODE solvers. A computationally much
cheaper alternative is also investigated, inspired by the concept of dither
that is a widely understood mechanism for providing resolution below the least
significant bit (LSB) in digital signal processing. These results will have
implications for the solution of ODEs in other subject areas, and should also
be directly relevant to the huge range of practical problems that are
represented by Partial Differential Equations (PDEs).Comment: Submitted to Philosophical Transactions of the Royal Society
Monte Carlo evaluation of sensitivities in computational finance
In computational finance, Monte Carlo simulation is used to compute the correct prices for financial options. More important, however, is the ability to compute the so-called "Greeks'', the first and second order derivatives of the prices with respect to input parameters such as the current asset price, interest rate and level of volatility.\ud
\ud
This paper discusses the three main approaches to computing Greeks: finite difference, likelihood ratio method (LRM) and pathwise sensitivity calculation. The last of these has an adjoint implementation with a computational cost which is independent of the number of first derivatives to be calculated. We explain how the practical development of adjoint codes is greatly assisted by using Algorithmic Differentiation, and in particular discuss the performance achieved by the FADBAD++ software package which is based on templates and operator overloading within C++.\ud
\ud
The pathwise approach is not applicable when the financial payoff function is not differentiable, and even when the payoff is differentiable, the use of scripting in real-world implementations means it can be very difficult in practice to evaluate the derivative of very complex financial products. A new idea is presented to address these limitations by combining the adjoint pathwise approach for the stochastic path evolution with LRM for the payoff evaluation
Research and Education in Computational Science and Engineering
Over the past two decades the field of computational science and engineering
(CSE) has penetrated both basic and applied research in academia, industry, and
laboratories to advance discovery, optimize systems, support decision-makers,
and educate the scientific and engineering workforce. Informed by centuries of
theory and experiment, CSE performs computational experiments to answer
questions that neither theory nor experiment alone is equipped to answer. CSE
provides scientists and engineers of all persuasions with algorithmic
inventions and software systems that transcend disciplines and scales. Carried
on a wave of digital technology, CSE brings the power of parallelism to bear on
troves of data. Mathematics-based advanced computing has become a prevalent
means of discovery and innovation in essentially all areas of science,
engineering, technology, and society; and the CSE community is at the core of
this transformation. However, a combination of disruptive
developments---including the architectural complexity of extreme-scale
computing, the data revolution that engulfs the planet, and the specialization
required to follow the applications to new frontiers---is redefining the scope
and reach of the CSE endeavor. This report describes the rapid expansion of CSE
and the challenges to sustaining its bold advances. The report also presents
strategies and directions for CSE research and education for the next decade.Comment: Major revision, to appear in SIAM Revie
A symmetry-adapted numerical scheme for SDEs
We propose a geometric numerical analysis of SDEs admitting Lie symmetries
which allows us to individuate a symmetry adapted coordinates system where the
given SDE has notable invariant properties. An approximation scheme preserving
the symmetry properties of the equation is introduced. Our algorithmic
procedure is applied to the family of general linear SDEs for which two
theoretical estimates of the numerical forward error are established.Comment: A numerical example adde
- …