Parallelization of adaptive MC integrators

DOI10.1016/S0010-4655(97)00099-4zbMATH Open0937.65002arXivphysics/9710028OpenAlexW2962692205WikidataQ127677677 ScholiaQ127677677MaRDI QIDQ1967183FDOQ1967183

Authors: Richard Kreckel 

Publication date: 13 March 2000

Published in: Computer Physics Communications (Search for Journal in Brave)

Abstract: Monte Carlo (MC) methods for numerical integration seem to be embarassingly parallel on first sight. When adaptive schemes are applied in order to enhance convergence however, the seemingly most natural way of replicating the whole job on each processor can potentially ruin the adaptive behaviour. Using the popular VEGAS-Algorithm as an example an economic method of semi-micro parallelization with variable grain-size is presented and contrasted with another straightforward approach of macro-parallelization. A portable implementation of this semi-micro parallelization is used in the xloops-project and is made publicly available.

Full work available at URL: https://arxiv.org/abs/physics/9710028

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zbMATH Keywords

Monte Carlo methodsparallel computingMonte Carlo integrationGFSRTausworthegrain-sizeVEGAS-algorithm

Mathematics Subject Classification ID

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

Cites Work

• A new algorithm for adaptive multidimensional integration
• Title not available (Why is that?)
• Random Numbers Generated by Linear Recurrence Modulo Two
• Generalized Feedback Shift Register Pseudorandom Number Algorithm
• A very fast shift-register sequence random number generator
• Parallelization of random number generators and long-range correlations
• Uniform random number generators for parallel computers

Cited In (6)

• The parallel implementation of a cascade adaptive identification algorithm
• Renormalization group and the \(\varepsilon\)-expansion: representation of the \(\beta\)-function and anomalous dimensions by nonsingular integrals
• PERFECT STOCHASTIC SUMMATION IN HIGH ORDER FEYNMAN GRAPH EXPANSIONS
• pvegas.c
• Title not available (Why is that?)
• Title not available (Why is that?)

Uses Software

• xloops
• VEGAS
• pthreads

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