On the parallel implementation of quasi-Monte Carlo algorithms

DOI10.1007/978-3-319-73441-5_27MaRDI QIDQ3297446zbMATH OpenOpenAlexFDO

Authors

Publication date 20 July 2020

Published in Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-73441-5_27

zbMATH Keywords

high performance computinglow-discrepancy sequencesquasi-Monte Carlo algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parallel numerical computation (65Y05)

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Cites work

• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1969616 (Why is no real title available?)
• Efficient implementation of the Heston model using GPGPU
• Mersenne twister
• Tuning the generation of Sobol sequence with Owen scrambling
• Uniformly distributed sequences with an additional uniform property

Cited in

(8)

• Parallelization of a dynamic Monte Carlo algorithm: A partially rejection-free conservative approach
• Energy aware performance study for a class of computationally intensive Monte Carlo algorithms
• scientific article; zbMATH DE number 1163493 (Why is no real title available?)
• Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
• scientific article; zbMATH DE number 1506986 (Why is no real title available?)
• scientific article; zbMATH DE number 1834569 (Why is no real title available?)
• Parallel quasirandom number generations for heterogeneous computing environments
• Improved QMRCGSTAB method in distributed parallel environments

Describes a project that uses

Uses Software

• MersenneTwister

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