Differential Evolution Markov Chain with snooker updater and fewer chains

Differential Evolution Markov Chain (DE-MC) is an adaptive MCMC algorithm, in which multiple chains are run in parallel. Standard DE-MC requires at least N=2d chains to be run in parallel, where d is the dimensionality of the posterior. This paper extends DE-MC with a snooker updater and shows by simulation and real examples that DE-MC can work for d up to 50–100 with fewer parallel chains (e.g. N=3) by exploiting information from their past by generating jumps from differences of pairs of past states. This approach extends the practical applicability of DE-MC and is shown to be about 5–26 times more efficient than the optimal Normal random walk Metropolis sampler for the 97.5% point of a variable from a 25–50 dimensional Student t 3 distribution. In a nonlinear mixed effects model example the approach outperformed a block-updater geared to the specific features of the mode

Effective Monte Carlo simulation on System-V massively parallel associative string processing architecture

We show that the latest version of massively parallel processing associative string processing architecture (System-V) is applicable for fast Monte Carlo simulation if an effective on-processor random number generator is implemented. Our lagged Fibonacci generator can produce $10^8$ random numbers on a processor string of 12K PE-s. The time dependent Monte Carlo algorithm of the one-dimensional non-equilibrium kinetic Ising model performs 80 faster than the corresponding serial algorithm on a 300 MHz UltraSparc.Comment: 8 pages, 9 color ps figures embedde

High performance FPGA implementation of the mersenne twister

Efficient generation of random and pseudorandom sequences is of great importance to a number of applications [4]. In this paper, an efficient implementation of the Mersenne Twister is presented. The proposed architecture has the smallest footprint of all published architectures to date and occupies only 330 FPGA slices. Partial pipelining and sub-expression simplification has been used to improve throughput per clock cycle. The proposed architecture is implemented on an RC1000 FPGA Development platform equipped with a Xilinx XCV2000E FPGA, and can generate 20 million 32 bit random numbers per second at a clock rate of 24.234 MHz. A through performance analysis has been performed, and it is observed that the proposed architecture clearly outperforms other existing implementations in key comparable performance metrics

Using parallel computation to improve Independent Metropolis--Hastings based estimation

In this paper, we consider the implications of the fact that parallel raw-power can be exploited by a generic Metropolis--Hastings algorithm if the proposed values are independent. In particular, we present improvements to the independent Metropolis--Hastings algorithm that significantly decrease the variance of any estimator derived from the MCMC output, for a null computing cost since those improvements are based on a fixed number of target density evaluations. Furthermore, the techniques developed in this paper do not jeopardize the Markovian convergence properties of the algorithm, since they are based on the Rao--Blackwell principles of Gelfand and Smith (1990), already exploited in Casella and Robert (1996), Atchade and Perron (2005) and Douc and Robert (2010). We illustrate those improvements both on a toy normal example and on a classical probit regression model, but stress the fact that they are applicable in any case where the independent Metropolis-Hastings is applicable.Comment: 19 pages, 8 figures, to appear in Journal of Computational and Graphical Statistic

Efficient Monte Carlo Simulation of Biological Aging

A bit-string model of biological life-histories is parallelized, with hundreds of millions of individuals. It gives the desired drastic decay of survival probabilities with increasing age for 32 age intervals.Comment: PostScript file to appear in Int.J.Mod.Phys.

Multi-Architecture Monte-Carlo (MC) Simulation of Soft Coarse-Grained Polymeric Materials: SOft coarse grained Monte-carlo Acceleration (SOMA)

Multi-component polymer systems are important for the development of new materials because of their ability to phase-separate or self-assemble into nano-structures. The Single-Chain-in-Mean-Field (SCMF) algorithm in conjunction with a soft, coarse-grained polymer model is an established technique to investigate these soft-matter systems. Here we present an im- plementation of this method: SOft coarse grained Monte-carlo Accelera- tion (SOMA). It is suitable to simulate large system sizes with up to billions of particles, yet versatile enough to study properties of different kinds of molecular architectures and interactions. We achieve efficiency of the simulations commissioning accelerators like GPUs on both workstations as well as supercomputers. The implementa- tion remains flexible and maintainable because of the implementation of the scientific programming language enhanced by OpenACC pragmas for the accelerators. We present implementation details and features of the program package, investigate the scalability of our implementation SOMA, and discuss two applications, which cover system sizes that are difficult to reach with other, common particle-based simulation methods

Quantum Monte Carlo for large chemical systems: Implementing efficient strategies for petascale platforms and beyond

Various strategies to implement efficiently QMC simulations for large chemical systems are presented. These include: i.) the introduction of an efficient algorithm to calculate the computationally expensive Slater matrices. This novel scheme is based on the use of the highly localized character of atomic Gaussian basis functions (not the molecular orbitals as usually done), ii.) the possibility of keeping the memory footprint minimal, iii.) the important enhancement of single-core performance when efficient optimization tools are employed, and iv.) the definition of a universal, dynamic, fault-tolerant, and load-balanced computational framework adapted to all kinds of computational platforms (massively parallel machines, clusters, or distributed grids). These strategies have been implemented in the QMC=Chem code developed at Toulouse and illustrated with numerical applications on small peptides of increasing sizes (158, 434, 1056 and 1731 electrons). Using 10k-80k computing cores of the Curie machine (GENCI-TGCC-CEA, France) QMC=Chem has been shown to be capable of running at the petascale level, thus demonstrating that for this machine a large part of the peak performance can be achieved. Implementation of large-scale QMC simulations for future exascale platforms with a comparable level of efficiency is expected to be feasible