Metropolis Sampling

Monte Carlo (MC) sampling methods are widely applied in Bayesian inference, system simulation and optimization problems. The Markov Chain Monte Carlo (MCMC) algorithms are a well-known class of MC methods which generate a Markov chain with the desired invariant distribution. In this document, we focus on the Metropolis-Hastings (MH) sampler, which can be considered as the atom of the MCMC techniques, introducing the basic notions and different properties. We describe in details all the elements involved in the MH algorithm and the most relevant variants. Several improvements and recent extensions proposed in the literature are also briefly discussed, providing a quick but exhaustive overview of the current Metropolis-based sampling's world.Comment: Wiley StatsRef-Statistics Reference Online, 201

A scalable H-matrix approach for the solution of boundary integral equations on multi-GPU clusters

In this work, we consider the solution of boundary integral equations by means of a scalable hierarchical matrix approach on clusters equipped with graphics hardware, i.e. graphics processing units (GPUs). To this end, we extend our existing single-GPU hierarchical matrix library hmglib such that it is able to scale on many GPUs and such that it can be coupled to arbitrary application codes. Using a model GPU implementation of a boundary element method (BEM) solver, we are able to achieve more than 67 percent relative parallel speed-up going from 128 to 1024 GPUs for a model geometry test case with 1.5 million unknowns and a real-world geometry test case with almost 1.2 million unknowns. On 1024 GPUs of the cluster Titan, it takes less than 6 minutes to solve the 1.5 million unknowns problem, with 5.7 minutes for the setup phase and 20 seconds for the iterative solver. To the best of the authors' knowledge, we here discuss the first fully GPU-based distributed-memory parallel hierarchical matrix Open Source library using the traditional H-matrix format and adaptive cross approximation with an application to BEM problems

Adaptive design of delta sigma modulators

In this thesis, a genetic algorithm based on differential evolution (DE) is used to generate delta sigma modulator (DSM) noise transfer functions (NTFs). These NTFs outperform those generated by an iterative approach described by Schreier and implemented in the delsig Matlab toolbox. Several lowpass and bandpass DSMs, as well as DSM\u27s designed specifically for and very low intermediate frequency (VLIF) receivers are designed using the algorithm developed in this thesis and compared to designs made using the delsig toolbox. The NTFs designed using the DE algorithm always have a higher dynamic range and signal to noise ratio than those designed using the delsig toolbox

Landau Collision Integral Solver with Adaptive Mesh Refinement on Emerging Architectures

The Landau collision integral is an accurate model for the small-angle dominated Coulomb collisions in fusion plasmas. We investigate a high order accurate, fully conservative, finite element discretization of the nonlinear multi-species Landau integral with adaptive mesh refinement using the PETSc library (www.mcs.anl.gov/petsc). We develop algorithms and techniques to efficiently utilize emerging architectures with an approach that minimizes memory usage and movement and is suitable for vector processing. The Landau collision integral is vectorized with Intel AVX-512 intrinsics and the solver sustains as much as 22% of the theoretical peak flop rate of the Second Generation Intel Xeon Phi, Knights Landing, processor