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Valuation of American options using direct, linear complementarity-based methods

Valuation of American options using direct, linear complemen...

引用

International Conference on Computational science and its Applications, ICCSA 2003

作者： Koulisianis, Minas D. Papatheodorou, Theodore S. High Performance Information Systems Laboratory Computer Engineering and Informatics Department University of Patras Patras26500 Greece

ISBN: (纸本)3540401563

The Linear Complementarity Formulation of the American Option Valuation problem, which is based on the Black-Scholes partial differential operator, is often used to assist implicit solution methods. Taking advantage of numerical methods, we can obtain approximate solutions, where a"moving index" determines the approximate position of the moving boundary which corresponds to the optimal exercise boundary of the option. Both Direct Inverse Multiplication (DIM) and Stable DIM (SDIM) methods, which are presented in this paper, use the inverse of the coefficient matrix to locate the moving index and then solve a fixed boundary problem. DIM proves to be more than 100 times faster than very popular iterative competitors like Projected Successive OverRelaxation (PSOR). Due to stability problems from which DIM suffers in some cases, a stable version of it, SDIM, has been proposed. Although SDIM is slightly slower than DIM, it is still much faster compared to PSOR. © Springer-Verlag Berlin Heidelberg 2003.

关键词： Numerical methods

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AutoMate: Enabling autonomic applications on the grid 5

AutoMate: Enabling autonomic applications on the grid

引用

5th Annual International Workshop on Active Middleware Services, AMS 2003

作者： Agarwal, M. Bhat, V. Liu, H. Matossian, V. Putty, V. Schmidt, C. Zhang, G. Zhen, L. Parashar, M. Khargharia, B. Hariri, S. Applied Software Systems Laboratory Department of Electrical and Computer Engineering Rutgers the State University of New Jersey United States High Performance Distributed Computing Laboratory Department of Electrical and Computer Engineering University of Arizona United States

ISBN: (纸本)0769519830

The increasing complexity, heterogeneity and dynamism of networks, systems, services applications have made our computational/information infrastructure brittle, unmanageable and insecure. This has necessitated the investigation of a new paradigm for design, development and deployment based on strategies used by biological systems to deal with complexity, heterogeneity, and uncertainty, i.e. autonomic computing. This paper introduces the AutoMate project and describes its key components. The overall objective of AutoMate is to investigate key technologies to enable the development of autonomic grid applications that are context aware and are capable of self-configuring, self-composing, self-optimizing and self-adapting. Specifically, it will investigate the definition of autonomic components, the development of autonomic applications as dynamic composition of autonomic components, and the design of key enhancements to existing grid middleware and runtime services to support these applications. © 2003 IEEE.

关键词： Middleware

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Hybrid FDTD-MPIE method for the simulation of locally inhomogeneous multilayer LTCC structure 5

Hybrid FDTD-MPIE method for the simulation of locally inhomo...

引用

5th Electronics Packaging Technology Conference, EPTC 2003

作者： Liu, En-Xiao Li, Er-Ping Li, Le-Wei Institute of High Performance Computing 1 Science Park Road #01-01 The Capricorn Singapore117528 Singapore National University of Singapore Department of Electrical and Computer Engineering 10 Kent Ridge Cresent Singapore119260 Singapore

ISBN: (纸本)0780382056

A new hybrid finite-difference time-domain-mixed potential integral equation method (FDTD-MPIE) is proposed for modeling and simulating multilayer planar problems with possible locally inhomogeneous geometries. By using equivalent principle, the original problem can be divided into different regions. The fields in the inhomogeneous regions are modeled by using FDTD method, which is a time domain method providing broad band fields information. The resultant interaction matrix from FDTD can be used as a look-up table for subsequent model coupling procedure. The fields in the layered structure with possible perfect electric conductors are described in terms of the equivalent electric and magnetic surface current densities by a mixed potential electric-field integral representation with less singular kernals. The interactions between the FDTD model and MPIE model are coupled together by enforcing the continuity of the tangential electric and magnetic fields at the equivalent surface using a Galerkin testing procedure. Numerical results of a canonical test problem are presented to validate the hybrid FDTD-MPIE method. © 2003 IEEE.

关键词： Electric fields

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Global and localized parallel preconditioning techniques for large scale solid Earth simulations

Global and localized parallel preconditioning techniques for...

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International Parallel and Distributed Processing Symposium, IPDPS 2003

作者： Wang, Kai Kim, Sangbae Zhang, Jun Nakajima, Kengo Okuda, Hiroshi Laboratory for High Performance Scientific Computing and Computer Simulation Department of Computer Science University of Kentucky LexingtonKY40506-0046 United States 2-2-54 Naka-Meguro Meguro-ku Tokyo153-0061 Japan Department of Quantum Engineering and System Sciences University of Tokyo 7-3-1 Hongo Bunkyo-ku Tokyo113-8656 Japan

ISBN: (纸本)0769519261

We investigate and compare a few parallel preconditioning techniques in the iterative solution of large sparse linear systems arising from solid Earth simulation with and without using contact information in the domain partitioning process. Previous studies are focused on using static or matrix pattern based incomplete LU (ILU) preconditioners in a localized preconditioner implementation. Our current studies are concerned with preconditioner performance for solving two different cases with and without known contact information. For the cases with contact information, we use localized threshold value based incomplete LU (ILUT) preconditioner to improve efficiency. For the cases without contact information, we use a global sparse approximate inverse preconditioner with a static sparsity pattern to achieve robustness. Numerical results from simulating ground motion on a parallel supercomputer are given to compare the effectiveness of these parallel preconditioning techniques. © 2003 IEEE.

关键词： Linear systems

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Multi-resolution modeling in collaborative design

引用

18th International Symposium on computer and information sciences, ISCIS 2003

作者： Han, Junghyun Kim, Taeseong Cera, Christopher D. Regli, William C. Computer Graphics Laboratory School of Information and Communications Engineering Sung Kyun Kwan University Suwon440-746 Korea Republic of Geometric and Intelligent Computing Laboratory Department of Computer Science Drexel University PhiladelphiaPA19104 United States

ISBN: (纸本)3540204091

This paper provides a framework for information assurance within collaborative design, based on a technique we call role-based viewing. Such rolebased viewing is achieved through integration of multi-resolution geometry and security models. 3D models are geometrically partitioned, and the partitioning is used to create multi-resolution mesh hierarchies. Extracting an appropriately simplified model suitable for access rights for individual designers within a collaborative design environment is driven by an elaborate access control mechanism. © Springer-Verlag Berlin Heidelberg 2003.

关键词： Access control

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Scheduling algorithms with bus bandwidth considerations for SMPs

Scheduling algorithms with bus bandwidth considerations for ...

引用

International Conference on Parallel Processing (ICPP)

作者： C.D. Antonopoulos D.S. Nikolopoulos T.S. Papatheodorou High Performance Information Systems Laboratory Computer Engineering & Informatics Department University of Patras Patras Greece Department of Computer Science The College of William and Mary Williamsburg VA USA

The bus that connects processors to memory is known to be a major architectural bottleneck in SMPs. However, both software and scheduling policies for these systems generally focus on memory hierarchy optimizations and do not address the bus bandwidth limitations directly. We first present experimental results which indicate that bus saturation can cause an up to almost three-fold slowdown to applications. Motivated by these results, we introduce two scheduling policies that take into account the bus bandwidth consumption of applications. The necessary information is provided by performance monitoring counters which are present in all modern processors. Our algorithms organize jobs so that processes with high-bandwidth and low-bandwidth demands are co-scheduled to improve bus bandwidth utilization without saturating the bus. We found that our scheduler is effective with applications of varying bandwidth requirements, from very low to close to the limit of saturation. We also tuned our scheduler for robustness in the presence of bursts of high bus bandwidth consumption from individual jobs. The new scheduling policies improve system throughput by up to 68% (26% in average) in comparison with the standard Linux scheduler

关键词： Scheduling algorithm Bandwidth Switched-mode power supply Processor scheduling Yarn Educational institutions Interference information systems high performance computing Systems engineering and theory

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IPSAP: A high-performance parallel finite element code for large-scale structural analysis based on domain-wise multifrontal technique 03

IPSAP: A high-performance parallel finite element code for l...

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2003 ACM/IEEE Conference on Supercomputing, SC 2003

作者： Kim, Seung Jo Lee, Chang Sung Kim, Jeong Ho Joh, Minsu Lee, Sangsan Department of Aerospace Engineering Seoul National University San 56-1 Shilliom-dong Kwanak-gue Seoul 151-742 Korea Republic of High Performance Computing and Networking Supercomputing Center Korean Institute of Science and Technology Information Taejon 305-333 Korea Republic of

ISBN: (纸本)1581136951

Most of researches for large-scale parallel structural analysis have focused on iterative solution methods since direct solution methods generally have many difficulties and disadvantages for large-scale problems. However, due to the numerical robustness of direct methods that guarantees the solution to be obtained within estimated time, direct methods are much more desirable for general application of large-scale structural analysis, if the difficulties and disadvantages can be overcome. In this research, we propose the domain-wise multifrontal solver as an efficient direct solver that can overcome most of these difficulties and disadvantages. By using our own structural analysis code IPSAP which uses the proposed solver, we can solve the largest problem ever solved by direct solvers and can sustain 191 Gflop/s with 256 CPUs on our self-made cluster system, Pegasus. By implementing the block Lanczos algorithm using our solver, IPSAP can solve eigen problems with 7 millions of DOFs within one hour. © 2003 ACM.

关键词： Program processors

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PromisQoS: an architecture for delivering QoS to high-performance applications on Myrinet clusters

PromisQoS: an architecture for delivering QoS to high-perfor...

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Conference on Local computer Networks (LCN)

作者： J. Neelamegam S. Chakravarthi M. Apte A. Skjellum High Performance Computing Laboratory Department of Computer Science and Engineering Mississippi State University MS USA MPI Software Technology Inc. Starkville MS USA

Clusters of workstations are being extensively used for solving computationally intensive scientific problems. However, there is limited support for quality of service (QoS) based distributed computing on commercial off- the-shelf (COTS) clusters. This limitation has restricted successful deployment of distributed real-time high-performance computing applications to customized and dedicated embedded multi-processor systems. This paper describes research work that attempts to provide a cluster platform that can guarantee access to computational and communication resources to distributed applications. The authors have developed PromisQoS, an architecture that supports execution of hard real-time distributed applications on a Linux cluster while providing high-throughput and low-latency communication using Myrinet. PromisQoS consists of the following major components - Hare, BDM-RT and Turtle. Hare is a prototype implementation of time-based QoS channels specified by the real-time message passing interface (MPI/RT 1.1) standard. BDM-RT is a low-level messaging library on Myrinet that provides deterministic communication latency and bandwidth on Myrinet. Turtle, a variant of RT-Linux, is the real-time operating system that provides guaranteed computation time. This work demonstrates that it is possible to deploy hard real-time distributed applications on COTS clusters and underlines the significance of the MPI/RT API in the realm of distributed high-performance computing applications that require QoS.

关键词： Quality of service Distributed computing computer architecture Real time systems computer applications Workstations Embedded computing Linux Prototypes Message passing

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Global and localized parallel preconditioning techniques for large scale solid Earth simulations

Global and localized parallel preconditioning techniques for...

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International Symposium on Parallel and Distributed Processing (IPDPS)

作者： Kai Wang Sangbae Kim Jun Zhang K. Nakajima H. Okuda Laboratory for High Performance Scientific Computing and Computer Simulation Department of Computer Science University of Kentucky Lexington KY USA Research Organization for Information Science and Technology Meguro Tokyo Japan Department of Quantum Engineering and System Sciences University of Tokyo Bunkyo Tokyo Japan

关键词： Large-scale systems Earth Solid modeling Linear systems Sparse matrices Computational modeling computer simulation Uniform resource locators Geoscience information science

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Inter-cluster service lookup based on Jini

Inter-cluster service lookup based on Jini

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International Conference on Advanced information Networking and Applications (AINA)

作者： Wen-Hsien Tseng Hsing Mei Web Computing Laboratory Computer Science and Information Engineering Department Fu Jen Catholic University Taiwan

ISBN: (纸本)0769519067

Jinis discovery protocols allow people to access requested services spontaneously in their own federations. However, to access services in remote federations, people have to know where the remote lookup services of them are located. This prerequisite is owing to Jinis discovery protocols relying on multicasting support, which becomes an issue when people want to access services across non-multicastable federations. Jini system, moreover, cannot handle the mobility. When mobile clients join into a new federation, they have to relocate services, which were installed in the initiating federations. All these problems are consequent on lack of communication between federations in the current Jini system. We propose two new schemes to extend the Jini lookup service: one is called inter-Federation Communication; and the other is called Proxy-Object Forwarding. In the first scheme, we construct an extended lookup service in charge of the Inter-federation service lookup. In the second one, we predict the federations that mobile clients will move to, and forward the requested proxy-objects to the predicted federations. With the effort of this paper, the performance of the Jini system is enhanced. Our experiments show the significant improvement in response time with Inter-Federation Communication and Proxy-Object Forwarding.

关键词： Mobile communication Sun computer science Multicast protocols Access protocols Delay Personal digital assistants computer networks Terminology Bandwidth

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