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Parallel and distributed computing issues in pricing financial derivatives through quasi Monte Carlo

Parallel and distributed computing issues in pricing financi...

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International symposium on Parallel and Distributed Processing (IPDPS)

作者： A. Srinivasan Department of Computer Science Florida State University Tallahassee FL USA

Monte Carlo (MC) techniques are often used to price complex financial derivatives. the computational effort can be substantial when high accuracy is required. However, MC computations are latency tolerant, and are thus easily parallelize even with high communication overheads, such as in a distributed compacting environment. A drawback of MC is its relatively slow convergence rate, which can be overcome through the use of quasi Monte Carlo (QMC) techniques which use low discrepancy sequences. We discuss the issues that arise in parallelizing QMC, especially in a heterogeneous computing environment, and present results of empirical studies on arithmetic Asian options, using three parallel QMC techniques that have recently been proposed. We expect the conclusions to be valid for other applications too.

关键词： Distributed computing Pricing Monte Carlo methods Arithmetic Concurrent computing Convergence computer science Delay Mathematical model performance evaluation

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Simulating semiconductor spectra emissions in a PC cluster

Simulating semiconductor spectra emissions in a PC cluster

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International symposium on computer architecture and high performance computing (SBAC-PAD)

作者： G.M. Sipahi G. Travieso Instituto de Física de São Carlos Universidade de Sáo Paulo Brazil

computer simulation is, in our days, one of the most important tools for the correct understanding of physical phenomena. We analyse the improvement of performance by the parallelization of an algorithm used to simula... 详细信息

关键词： Computational modeling computer simulation Luminescence Absorption Charge carrier processes Kinetic energy Poisson equations Eigenvalues and eigenfunctions Clustering algorithms Physics

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Average-case scalability analysis of parallel computations on k-ary d-cubes

Average-case scalability analysis of parallel computations o...

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International symposium on Parallel and Distributed Processing (IPDPS)

作者： Keqin Li Department of Computer Science State University of New York New Paltz NY USA

ISBN: (纸本)0769515738

We investigate the average-case scalability of parallel algorithms executing on multicomputer systems whose static networks are k-ary d-cubes. Our performance metrics are isoefficiency function and isospeed scalability for the purpose of average-case performance analysis, we formally define the concepts of average-case isoefficiency function and average-case isospeed scalability. By modeling parallel algorithms on multicomputers using task interaction graphs, we are mainly interested in the effects of communication overhead and load imbalance on the performance of parallel computations. We focus on the topology of static networks whose limited connectivities are constraints to high performance. In our probabilistic model, task computation and communication times are treated as random variables, so that we can analyze the average-case performance of parallel computations. We derive the expected parallel execution time on symmetric static networks and apply the result to k-ary d-cubes. We characterize the maximum tolerable communication overhead such that constant average-case efficiency and average-case average-speed could he maintained and that the number of tasks has a growth rate ⊗(P log P). where. P is the number of processors. It is found that the scalability of a parallel computation is essentially determined by the topology of a static network, i.e., the architecture of a parallel computer system. We also argue that under our probabilistic model, the number of tasks should grow at least in the rate of ⊗(P log P), so that constant average-case efficiency and average-speed can be maintained.

关键词： Scalability Concurrent computing Parallel algorithms performance analysis Network topology computer networks Measurement Computational modeling Random variables computer architecture

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Generating Java code for TINA systems

Generating Java code for TINA systems

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International symposium on computer architecture and high performance computing (SBAC-PAD)

作者： R.P. Guimaraes W. da Cunha Borelli DCCI-FACHA Brazil DT-FEEC-Unicamp Brazil

the work presented in this paper consists of a tool developed to help the process of prototyping a TINA system. this tool is responsible for generating Java code automatically for a general TINA system, whose objects were previously described by the use of SDL language. the generated code is a distributed system that makes use of CORBA as the distributed environment and is completely functional.

关键词： Java computer architecture Telecommunication services Telecommunication computing Prototypes Telecommunication network management Proposals computer networks computer network management Resource management

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On the structure of concurrent interpreters 16

On the structure of concurrent interpreters

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16th International Parallel and Distributed Processing symposium, IPDPS 2002

作者： Abu-Ghazaleh, N.B. Wilsey, P.A. Computer System Research Laboratory Dept. of CS Binghamton University BinghamtonNY13902-6000 United States Experimental Computing Laboratory Dept. of ECECS University of Cincinnati CincinnatiOH45221-0030 United States

ISBN: (纸本)0769515738

We consider two models for the structure of the algorithm used for concurrent interpretation of MIMD code sequences on SIMD machines. the single-fetch model shares portions of the instruction execution among all the instructions, minimizing the interpreter length. Because the fetch of the next instruction is shared, only one instruction is executed at each PE. In contrast, the multiple-fetch model allows an instruction to be fetched after every instruction in the interpreter program. While the interpreter cycle is longer for this model, it is possible for each PE to interpret more than one instruction per cycle. In this paper, a mathematical characterization of the two models is developed and used to show that, for a given operation set, the relative performance of the two models depends on the granularity of the operations. If the granularity of the operations is large, the sharing of common portions of the interpreter cycle (single-fetch model) harms throughput. © 2002 IEEE.

关键词： Concurrent Interpretation on SIMD Control Parallelism Parallel Processing

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Load balancing in distributed systems: An approach using cooperative games 16

Load balancing in distributed systems: An approach using coo...

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16th International Parallel and Distributed Processing symposium, IPDPS 2002

作者： Grosu, D. Chronopoulos, A.T. Leung, Ming-Ying Dept. of Computer Science Univ. of Texas at San Antonio 6900 N. Loop 1604 West San AntonioTX78249 United States Dept. of Mathematics and Statistics Univ. of Texas at San Antonio 6900 N. Loop 1604 West San AntonioTX78249 United States

ISBN: (纸本)0769515738

In this paper we formulate the static load balancing problem in single class job distributed systems as a cooperative game among computers. It is shown that the Nash Bargaining Solution (NBS) provides a Pareto optimal allocation which is also fair to all jobs. We propose a cooperative load balancing game and present the structure of the NBS For this game an algorithm for computing NBS is derived. We show that the fairness index is, always 1 using NBS which means that the allocation is fair to all jobs. Finally, the performance of our cooperative load balancing scheme is compared with that of other existing schemes. © 2002 IEEE.

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Enforcing resource sharing agreements among distributed server clusters 16

Enforcing resource sharing agreements among distributed serv...

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16th International Parallel and Distributed Processing symposium, IPDPS 2002

作者： Zhao, Tao Karamcheti, V. Department of Computer Science Courant Institute of Mathematical Sciences New York University United States

ISBN: (纸本)0769515738

Future scalable, high throughput, and high performance applications are. likely to execute on platforms constructed by clustering multiple autonomous distributed servers, with resource access governed by agreements between the owners and users of these servers. Such systems raise several new resource management challenges, chief amongst which is the enforcement of agreements to ensure that, despite the distributed nature of both requests and resources, user requests only receive a predetermined share of the aggregate resource. Current solutions only enforce such agreements at a coarse granularity and in a centralized fashion, limiting their applicability. this paper presents an architecture for the distributed enforcement of resource sharing agreements. Our approach exploits a uniform application-independent representation of agreements, and combines it with efficient tune-window based coordinated queuing algorithms running on multiple nodes. We have successfully implemented this general strategy in two different network layers: a Layer-7 HTTP redirector and a Layer-4 IP packet redirector;which redirect connection requests from distributed clients to a cluster of distributed servers. Our measurements of both implementations verify that our approach is general and effective. © 2002 IEEE.

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Fault-tolerance in the network storage stack 16

Fault-tolerance in the network storage stack

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16th International Parallel and Distributed Processing symposium, IPDPS 2002

作者： Atchley, S. Soltesz, S. Plank, J.S. Beck, M. Moore, T. Logistical Computing and Internetworking Lab. Department of Computer Science University of Tennessee KnoxvilleTN37996 United States

ISBN: (纸本)0769515738

this paper addresses the issue of fault-tolerance in applications that make use of network storage. A network storage abstraction called the Network Storage Stack is presented, along with its constituent parts. In particular, a data type called the exNode is detailed, along with tools that allow it to be used to implement a wide-area, striped and replicated file. Using these tools, we evaluate the fault-tolerance of several exNode "files," composed of variable-size blocks stored on 14 different machines at five locations throughout the United States. the results demonstrate that while failures in using network storage occur frequently, the tools built on the Network Storage Stack tolerate them gracefully, and with good performance. © 2002 IEEE.

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An advanced filtering TLB for low power consumption

An advanced filtering TLB for low power consumption

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International symposium on computer architecture and high performance computing (SBAC-PAD)

作者： Jin-Hyuck Choi Jung-Hoon Lee Gi-Ho Park Shin-Dug Kim CS Yonsei University Seoul South Korea SOC center Suwon South Korea

this research is to design a new two-level TLB (translation look-aside buffer) architecture that integrates a 2-way banked filter TLB with a 2-way banked main TLB. One of the main objectives is to reduce power consumption in embedded processors by distributing the accesses to the TLB entries across several banks in a balanced manner. thus, an advanced filtering technique is devised to reduce power dissipation by adopting a sub-bank structure at the filter TLB. And also a bank-associative structure is applied to each level of the TLB hierarchy. Simulation result shows that the miss ratio and Energy*Delay product can be improved by 59.26% and 24.9%, respectively, compared with a micro TLB with 4-32 entries, and 40.81% and 12.18%, compared with a micro TLB with 16-32 entries.

关键词： Filtering Energy consumption Random access memory Filter bank Clocks Capacitance Cities and towns Power dissipation Circuits Reduced instruction set computing

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DEM-1: a particle simulation machine for efficient short-range interaction computations

DEM-1: a particle simulation machine for efficient short-ran...

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International symposium on Parallel and Distributed Processing (IPDPS)

作者： R. Takata K. Kise H. Honda T. Yuba Graduate School of Information Systems University of Electro-communications Chofu Tokyo Japan

this paper describes the architecture of a high performance, particle simulation machine, DEM-1 for short-range particle interaction computations. All existing particle simulation machines have specialized pipelines to calculate long-range particle interactions effectively. However, their ability to perform particle simulations efficiently diminishes with short-range interactions. the communication cost component of particle simulations will play a significant role in performance when the computation cost becomes O(N). DEM-1's three dimensional torus high-speed network reduces the communication cost while 2048 local processors perform the time integration. the elimination of pipeline bubbles in DEM-1 is achieved by specially designed cut off judgment units. Each specialized pipeline consists of dedicated data path supported by position vector prefetch dual ported memory. the performance of DEM-1 is presented with very large-scale Embedded Atom Method (EAM) molecular dynamics simulations.

关键词： Computational modeling Pipelines computer simulation Atomic measurements Analytical models high performance computing Information systems Costs Hardware Solid modeling

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