Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk

At the heart of the analytical pipeline of a modern quantitative insurance/reinsurance company is a stochastic simulation technique for portfolio risk analysis and pricing process referred to as Aggregate Analysis. Support for the computation of risk measures including Probable Maximum Loss (PML) and the Tail Value at Risk (TVAR) for a variety of types of complex property catastrophe insurance contracts including Cat eXcess of Loss (XL), or Per-Occurrence XL, and Aggregate XL, and contracts that combine these measures is obtained in Aggregate Analysis. In this paper, we explore parallel methods for aggregate risk analysis. A parallel aggregate risk analysis algorithm and an engine based on the algorithm is proposed. This engine is implemented in C and OpenMP for multi-core CPUs and in C and CUDA for many-core GPUs. Performance analysis of the algorithm indicates that GPUs offer an alternative HPC solution for aggregate risk analysis that is cost effective. The optimised algorithm on the GPU performs a 1 million trial aggregate simulation with 1000 catastrophic events per trial on a typical exposure set and contract structure in just over 20 seconds which is approximately 15x times faster than the sequential counterpart. This can sufficiently support the real-time pricing scenario in which an underwriter analyses different contractual terms and pricing while discussing a deal with a client over the phone.Comment: Proceedings of the Workshop at the International Conference for High Performance Computing, Networking, Storage and Analysis (SC), 2012, 8 page

Genetic algorithm supported by graphical processing unit improves the exploration of effective connectivity in functional brain imaging

published_or_final_versio

Genetic algorithm supported by graphical processing unit improves the exploration of effective connectivity in functional brain imaging

published_or_final_versio

GPU-PCC: A GPU Based Technique to Compute Pairwise Pearson’s Correlation Coefficients for Big fMRI Data

Functional Magnetic Resonance Imaging (fMRI) is a non-invasive brain imaging technique for studying the brain’s functional activities. Pearson’s Correlation Coefficient is an important measure for capturing dynamic behaviors and functional connectivity between brain components. One bottleneck in computing Correlation Coefficients is the time it takes to process big fMRI data. In this paper, we propose GPU-PCC, a GPU based algorithm based on vector dot product, which is able to compute pairwise Pearson’s Correlation Coefficients while performing computation once for each pair. Our method is able to compute Correlation Coefficients in an ordered fashion without the need to do post-processing reordering of coefficients. We evaluated GPU- PCC using synthetic and real fMRI data and compared it with sequential version of computing Correlation Coefficient on CPU and existing state-of-the-art GPU method. We show that our GPU-PCC runs 94.62× faster as compared to the CPU version and 4.28× faster than the existing GPU based technique on a real fMRI dataset of size 90k voxels. The implemented code is available as GPL license on GitHub portal of our lab at https://github.com/pcdslab/GPU-PCC

GLM Analysis for fMRI using Connex Array

In the last decades, magnetic resonance imaging gained lot of popularity, and also functional magnetic resonance imaging (fMRI), due to the fact that MRI is a harmless and efficient technique for human cerebral activity studies; fMRI aims to determine and to locate different brain activities when the subject is doing a predetermined task. In addition, using fMRI analysis, nowadays we can make prediction on several diseases. This paper’s purpose is to describe the General Linear Model for fMRI statistical analysis algorithm, for a 64 x 64 x 22 voxels dataset on a revolutionary parallel computing machine, Connex Array. We make a  comparison to other computing machines used in the same purpose, in terms of algorithm time execution (statistical analysis speed). We will show that by taking advantage on its specific parallel computation each step in GLM analysis, Connex Array is able to answer successfully to computational challenge launched by fMRI computation: thespeed-up

Accelerating Permutation Testing in Voxel-wise Analysis through Subspace Tracking: A new plugin for SnPM

Permutation testing is a non-parametric method for obtaining the max null distribution used to compute corrected $p$-values that provide strong control of false positives. In neuroimaging, however, the computational burden of running such an algorithm can be significant. We find that by viewing the permutation testing procedure as the construction of a very large permutation testing matrix, $T$, one can exploit structural properties derived from the data and the test statistics to reduce the runtime under certain conditions. In particular, we see that $T$ is low-rank plus a low-variance residual. This makes $T$ a good candidate for low-rank matrix completion, where only a very small number of entries of $T$ ($\sim0.35\%$ of all entries in our experiments) have to be computed to obtain a good estimate. Based on this observation, we present RapidPT, an algorithm that efficiently recovers the max null distribution commonly obtained through regular permutation testing in voxel-wise analysis. We present an extensive validation on a synthetic dataset and four varying sized datasets against two baselines: Statistical NonParametric Mapping (SnPM13) and a standard permutation testing implementation (referred as NaivePT). We find that RapidPT achieves its best runtime performance on medium sized datasets ($50 \leq n \leq 200$), with speedups of 1.5x - 38x (vs. SnPM13) and 20x-1000x (vs. NaivePT). For larger datasets ($n \geq 200$) RapidPT outperforms NaivePT (6x - 200x) on all datasets, and provides large speedups over SnPM13 when more than 10000 permutations (2x - 15x) are needed. The implementation is a standalone toolbox and also integrated within SnPM13, able to leverage multi-core architectures when available.Comment: 36 pages, 16 figure

Análisis de los procesos de tratamiento de información en un estudio de análisis de sentimiento utilizando la tecnología de Google

En los últimos años el Big Data se abre camino entre las principales herramientas de análisis de mercado, vinculándose a las técnicas de Machine Learning con el fin de aprender sobre los datos que se posee. Una de las áreas de mayor crecimiento es el Procesamiento de Lenguaje Natural que proporciona al investigador datos sobre estructuras y significados de texto. Con el fin de profundizar en esta área, Google ha creado la API Natural Language, permitiendo a los investigadores trabajar con distintos aspectos de las funciones del lenguaje entre ellas el análisis de sentimiento, proporcionando información sobre la opinión emocional predominante de un contenido seleccionado previamente y permitiendo obtener un score que analiza la valencia de las emociones con valores dicotómicos. El objeto de este estudio es analizar los distintos procesos que un investigador tiene que utilizar para obtener información útil para sus investigaciones. Desde la extracción de información, hasta la obtención de datos que ayuden al investigador a obtener conclusiones, se desarrolla un largo proceso del tratamiento de la información. El estudio nos mostrará como las diversas herramientas de las que dispone Google en su plataforma Google Cloud Platform, aportan a un investigador el apoyo necesario para el desarrollo de su trabajo, una vez que ya se cuenta con la información a analizar. Además, se complementará con herramientas de rastreo para la extracción del texto que se desea, en función de donde se encuentre esta

True 4D Image Denoising on the GPU

The use of image denoising techniques is an important part of many medical imaging applications. One common application is to improve the image quality of low-dose (noisy) computed tomography (CT) data. While 3D image denoising previously has been applied to several volumes independently, there has not been much work done on true 4D image denoising, where the algorithm considers several volumes at the same time. The problem with 4D image denoising, compared to 2D and 3D denoising, is that the computational complexity increases exponentially. In this paper we describe a novel algorithm for true 4D image denoising, based on local adaptive filtering, and how to implement it on the graphics processing unit (GPU). The algorithm was applied to a 4D CT heart dataset of the resolution 512  × 512  × 445  × 20. The result is that the GPU can complete the denoising in about 25 minutes if spatial filtering is used and in about 8 minutes if FFT-based filtering is used. The CPU implementation requires several days of processing time for spatial filtering and about 50 minutes for FFT-based filtering. The short processing time increases the clinical value of true 4D image denoising significantly

Multivariate and repeated measures (MRM): A new toolbox for dependent and multimodal group-level neuroimaging data.

Repeated measurements and multimodal data are common in neuroimaging research. Despite this, conventional approaches to group level analysis ignore these repeated measurements in favour of multiple between-subject models using contrasts of interest. This approach has a number of drawbacks as certain designs and comparisons of interest are either not possible or complex to implement. Unfortunately, even when attempting to analyse group level data within a repeated-measures framework, the methods implemented in popular software packages make potentially unrealistic assumptions about the covariance structure across the brain. In this paper, we describe how this issue can be addressed in a simple and efficient manner using the multivariate form of the familiar general linear model (GLM), as implemented in a new MATLAB toolbox. This multivariate framework is discussed, paying particular attention to methods of inference by permutation. Comparisons with existing approaches and software packages for dependent group-level neuroimaging data are made. We also demonstrate how this method is easily adapted for dependency at the group level when multiple modalities of imaging are collected from the same individuals. Follow-up of these multimodal models using linear discriminant functions (LDA) is also discussed, with applications to future studies wishing to integrate multiple scanning techniques into investigating populations of interest.This work was supported by a MRC Centenary Early Career Award (MR/J500410/1). The example datasets were collected using support from an MRC DTP studentship and an MRC grant (G0900593).This is the author accepted manuscript. The final version is available from Elsevier via http://dx.doi.org/10.1016/j.neuroimage.2016.02.05