A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation

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dc.contributor.author Bruti Liberati, N
dc.contributor.author Martini, F
dc.contributor.author Piccardi, M
dc.contributor.author Platen, E
dc.date.accessioned 2010-05-28T09:42:20Z
dc.date.issued 2008-01
dc.identifier.citation Mathematics and Computers in Simulation, 2008, 77 (1), pp. 45 - 56
dc.identifier.issn 0378-4754
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/8299
dc.description.abstract Monte Carlo simulation of weak approximation 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 poposed hardware solution demonstrated that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in Applications wuch as economics insurance, physics, population dynamics, epidemiology, structural mechanics, checmistry and biotechnology can benefit from the obtained speedups.
dc.publisher Elsevier
dc.relation.hasversion NOTICE: this is the author’s version of a work that was accepted for publication in Mathematics and Computers in Simulation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Mathematics and Computers in Simulation, Volume 77, Issue 1, 15 February 2008, Pages 45–56 DOI: http://dx.doi.org/10.1016/j.matcom.2007.01.031 en_US
dc.relation.isbasedon 10.1016/j.matcom.2007.01.031
dc.title A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation
dc.type Journal Article
dc.parent Mathematics and Computers in Simulation
dc.journal.volume 1
dc.journal.volume 77
dc.journal.number 1 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 45 en_US
dc.identifier.endpage 56 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 0103 Numerical and Computational Mathematics
dc.personcode 970685
dc.personcode 020073
dc.personcode 10086991
dc.percentage 100 en_US
dc.classification.name Numerical and Computational Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords random number generators, random bit generators, hardware implementation, field programmable gate arrays (FPGAs), Monte Carlo simulation, weak Taylor schemes, Multi-point distribution random variables
dc.description.keywords random number generators, random bit generators, hardware implementation, field programmable gate arrays (FPGAs), Monte Carlo simulation, weak Taylor schemes, Multi-point distribution random variables
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Engineering and Information Technology
pubs.organisational-group /University of Technology Sydney/Faculty of Engineering and Information Technology/School of Computing and Communications
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.copyright.date 2015-04-15 12:23:47.074767+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history General (ID: 2)


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