A hardware generator for multi-point distributed random variables

IEEE Computer Society Press
Publication Type:
Conference Proceeding
2005 IEEE International Symposium On Circuits And Systems (Iscas), Vols 1-6, Conference Proceedings, 2005, pp. 1702 - 1705
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Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often required, one needs highly efficient implementations of the multi-point distributed random number generator underlying the simulations. In this paper a fast and flexible dedicated hardware solution on a field programmable gate array is presented. A comparative performance analysis between a software-only and the proposed hardware solution demonstrates that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in applications such as economics, insurance, physics, population dynamics, epidemiology, structural mechanics, chemistry and biotechnology can benefit from the obtained speedup.
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