A nested MLMC framework for efficient simulations on FPGAs

DOI10.1515/MCMA-2025-2010MaRDI QIDQ6931008zbMATH OpenFDO

Authors Irina-Beatrice Haas, Mike Giles

Publication date 11 September 2025

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/MCMA-2025-2010

zbMATH Keywords

approximate random number generationfixed-point arithmeticFPGAshigh-performance computingmixed precisionmultilevel Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cites work

• Analysis of nested multilevel Monte Carlo using approximate normal random variables
• Approximating inverse cumulative distribution functions to produce approximate random variables
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Multilevel Monte Carlo methods
• Multilevel Monte Carlo Path Simulation
• Rounding Error in Numerical Solution of Stochastic Differential Equations
• Rounding error using low precision approximate random variables

Cited in

(1)

• Multilevel Monte Carlo method based on multigrid discretizations for stochastic eigenvalue problem

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