Hurst's Rescaled Range Statistical Analysis for Pseudorandom Number Generators used in Physical Simulations

The rescaled range statistical analysis (R/S) is proposed as a new method to detect correlations in pseudorandom number generators used in Monte Carlo simulations. In an extensive test it is demonstrated that the RS analysis provides a very sensitive method to reveal hidden long run and short run correlations. Several widely used and also some recently proposed pseudorandom number generators are subjected to this test. In many generators correlations are detected and quantified.Comment: 12 pages, 12 figures, 6 tables. Replaces previous version to correct citation [19

Multidimensional Quasi-Monte Carlo Malliavin Greeks

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different techniques that have been previously proposed. Indeed, these techniques may be computationally expensive and do not provide flexibility for variance reduction. In contrast, the Malliavin approach exhibits a higher flexibility by providing a class of functions that return the same expected value (the Greek) with different accuracies. This versatility for variance reduction is not possible without the use of the generalized integral by part formula of Malliavin Calculus. In the multidimensional context, we find convenient formulas that permit to improve the localization technique, introduced in Fourni\'e et al and reduce both the computational cost and the variance. Moreover, we show that the parameters employed for variance reduction can be obtained \textit{on the flight} in the simulation. We illustrate the efficiency of the proposed procedures, coupled with the enhanced version of Quasi-Monte Carlo simulations as discussed in Sabino, for the numerical estimation of the Deltas of call, digital Asian-style and Exotic basket options with a fixed and a floating strike price in a multidimensional Black-Scholes market.Comment: 22 pages, 6 figure

Fast Monte Carlo Simulation for Patient-specific CT/CBCT Imaging Dose Calculation

Recently, X-ray imaging dose from computed tomography (CT) or cone beam CT (CBCT) scans has become a serious concern. Patient-specific imaging dose calculation has been proposed for the purpose of dose management. While Monte Carlo (MC) dose calculation can be quite accurate for this purpose, it suffers from low computational efficiency. In response to this problem, we have successfully developed a MC dose calculation package, gCTD, on GPU architecture under the NVIDIA CUDA platform for fast and accurate estimation of the x-ray imaging dose received by a patient during a CT or CBCT scan. Techniques have been developed particularly for the GPU architecture to achieve high computational efficiency. Dose calculations using CBCT scanning geometry in a homogeneous water phantom and a heterogeneous Zubal head phantom have shown good agreement between gCTD and EGSnrc, indicating the accuracy of our code. In terms of improved efficiency, it is found that gCTD attains a speed-up of ~400 times in the homogeneous water phantom and ~76.6 times in the Zubal phantom compared to EGSnrc. As for absolute computation time, imaging dose calculation for the Zubal phantom can be accomplished in ~17 sec with the average relative standard deviation of 0.4%. Though our gCTD code has been developed and tested in the context of CBCT scans, with simple modification of geometry it can be used for assessing imaging dose in CT scans as well.Comment: 18 pages, 7 figures, and 1 tabl

Periodic orbits of the ensemble of Sinai-Arnold cat maps and pseudorandom number generation

We propose methods for constructing high-quality pseudorandom number generators (RNGs) based on an ensemble of hyperbolic automorphisms of the unit two-dimensional torus (Sinai-Arnold map or cat map) while keeping a part of the information hidden. The single cat map provides the random properties expected from a good RNG and is hence an appropriate building block for an RNG, although unnecessary correlations are always present in practice. We show that introducing hidden variables and introducing rotation in the RNG output, accompanied with the proper initialization, dramatically suppress these correlations. We analyze the mechanisms of the single-cat-map correlations analytically and show how to diminish them. We generalize the Percival-Vivaldi theory in the case of the ensemble of maps, find the period of the proposed RNG analytically, and also analyze its properties. We present efficient practical realizations for the RNGs and check our predictions numerically. We also test our RNGs using the known stringent batteries of statistical tests and find that the statistical properties of our best generators are not worse than those of other best modern generators.Comment: 18 pages, 3 figures, 9 table

Algorithm for normal random numbers

We propose a simple algorithm for generating normally distributed pseudo random numbers. The algorithm simulates N molecules that exchange energy among themselves following a simple stochastic rule. We prove that the system is ergodic, and that a Maxwell like distribution that may be used as a source of normally distributed random deviates follows when N tends to infinity. The algorithm passes various performance tests, including Monte Carlo simulation of a finite 2D Ising model using Wolff's algorithm. It only requires four simple lines of computer code, and is approximately ten times faster than the Box-Muller algorithm.Comment: 5 pages, 3 encapsulated Postscript Figures. Submitted to Phys.Rev.Letters. For related work, see http://pipe.unizar.es/~jf

Dynamic Critical Behavior of the Chayes-Machta Algorithm for the Random-Cluster Model. I. Two Dimensions

We study, via Monte Carlo simulation, the dynamic critical behavior of the Chayes-Machta dynamics for the Fortuin-Kasteleyn random-cluster model, which generalizes the Swendsen-Wang dynamics for the q-state Potts ferromagnet to non-integer q \ge 1. We consider spatial dimension d=2 and 1.25 \le q \le 4 in steps of 0.25, on lattices up to 1024^2, and obtain estimates for the dynamic critical exponent z_{CM}. We present evidence that when 1 \le q \lesssim 1.95 the Ossola-Sokal conjecture z_{CM} \ge \beta/\nu is violated, though we also present plausible fits compatible with this conjecture. We show that the Li-Sokal bound z_{CM} \ge \alpha/\nu is close to being sharp over the entire range 1 \le q \le 4, but is probably non-sharp by a power. As a byproduct of our work, we also obtain evidence concerning the corrections to scaling in static observables.Comment: LaTeX2e, 75 pages including 26 Postscript figure

Cluster Hybrid Monte Carlo Simulation Algorithms

We show that addition of Metropolis single spin-flips to the Wolff cluster flipping Monte Carlo procedure leads to a dramatic {\bf increase} in performance for the spin-1/2 Ising model. We also show that adding Wolff cluster flipping to the Metropolis or heat bath algorithms in systems where just cluster flipping is not immediately obvious (such as the spin-3/2 Ising model) can substantially {\bf reduce} the statistical errors of the simulations. A further advantage of these methods is that systematic errors introduced by the use of imperfect random number generation may be largely healed by hybridizing single spin-flips with cluster flipping.Comment: 16 pages, 10 figure

GPU-based fast Monte Carlo simulation for radiotherapy dose calculation

Monte Carlo (MC) simulation is commonly considered to be the most accurate dose calculation method in radiotherapy. However, its efficiency still requires improvement for many routine clinical applications. In this paper, we present our recent progress towards the development a GPU-based MC dose calculation package, gDPM v2.0. It utilizes the parallel computation ability of a GPU to achieve high efficiency, while maintaining the same particle transport physics as in the original DPM code and hence the same level of simulation accuracy. In GPU computing, divergence of execution paths between threads can considerably reduce the efficiency. Since photons and electrons undergo different physics and hence attain different execution paths, we use a simulation scheme where photon transport and electron transport are separated to partially relieve the thread divergence issue. High performance random number generator and hardware linear interpolation are also utilized. We have also developed various components to handle fluence map and linac geometry, so that gDPM can be used to compute dose distributions for realistic IMRT or VMAT treatment plans. Our gDPM package is tested for its accuracy and efficiency in both phantoms and realistic patient cases. In all cases, the average relative uncertainties are less than 1%. A statistical t-test is performed and the dose difference between the CPU and the GPU results is found not statistically significant in over 96% of the high dose region and over 97% of the entire region. Speed up factors of 69.1 ~ 87.2 have been observed using an NVIDIA Tesla C2050 GPU card against a 2.27GHz Intel Xeon CPU processor. For realistic IMRT and VMAT plans, MC dose calculation can be completed with less than 1% standard deviation in 36.1~39.6 sec using gDPM.Comment: 18 pages, 5 figures, and 3 table