42,058 research outputs found
Data Challenges in High-Performance Risk Analytics
Risk Analytics is important to quantify, manage and analyse risks from the
manufacturing to the financial setting. In this paper, the data challenges in
the three stages of the high-performance risk analytics pipeline, namely risk
modelling, portfolio risk management and dynamic financial analysis is
presented
Global Grids and Software Toolkits: A Study of Four Grid Middleware Technologies
Grid is an infrastructure that involves the integrated and collaborative use
of computers, networks, databases and scientific instruments owned and managed
by multiple organizations. Grid applications often involve large amounts of
data and/or computing resources that require secure resource sharing across
organizational boundaries. This makes Grid application management and
deployment a complex undertaking. Grid middlewares provide users with seamless
computing ability and uniform access to resources in the heterogeneous Grid
environment. Several software toolkits and systems have been developed, most of
which are results of academic research projects, all over the world. This
chapter will focus on four of these middlewares--UNICORE, Globus, Legion and
Gridbus. It also presents our implementation of a resource broker for UNICORE
as this functionality was not supported in it. A comparison of these systems on
the basis of the architecture, implementation model and several other features
is included.Comment: 19 pages, 10 figure
The GPU vs Phi Debate: Risk Analytics Using Many-Core Computing
The risk of reinsurance portfolios covering globally occurring natural
catastrophes, such as earthquakes and hurricanes, is quantified by employing
simulations. These simulations are computationally intensive and require large
amounts of data to be processed. The use of many-core hardware accelerators,
such as the Intel Xeon Phi and the NVIDIA Graphics Processing Unit (GPU), are
desirable for achieving high-performance risk analytics. In this paper, we set
out to investigate how accelerators can be employed in risk analytics, focusing
on developing parallel algorithms for Aggregate Risk Analysis, a simulation
which computes the Probable Maximum Loss of a portfolio taking both primary and
secondary uncertainties into account. The key result is that both hardware
accelerators are useful in different contexts; without taking data transfer
times into account the Phi had lowest execution times when used independently
and the GPU along with a host in a hybrid platform yielded best performance.Comment: A modified version of this article is accepted to the Computers and
Electrical Engineering Journal under the title - "The Hardware Accelerator
Debate: A Financial Risk Case Study Using Many-Core Computing"; Blesson
Varghese, "The Hardware Accelerator Debate: A Financial Risk Case Study Using
Many-Core Computing," Computers and Electrical Engineering, 201
Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması
Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized
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