Monte Carlo automatic integration with dynamic parallelism in CUDA

DOI10.1007/978-3-319-06548-9_13MaRDI QIDQ5261409zbMATH OpenOpenAlexFDO

Authors John A. Kapenga, Rida Assaf, Elise De Doncker-Kapenga

Publication date 3 July 2015

Published in Numerical Computations with GPUs (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-06548-9_13

zbMATH Keywords

automatic error controlCUDAnumerical integrationquasi-Monte Carlo methodroundoff error

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical algorithms for specific classes of architectures (65Y10)

Recommendations

• Numerical integration on GPUs for higher order finite elements
• Accelerating numerical solution of stochastic differential equations with CUDA
• Concurrent Cuba
• CAMPARY: CUDA multiple precision arithmetic library and applications
• scientific article; zbMATH DE number 1728368

Cited in

(5)

• Concurrent Cuba
• CAMPARY: CUDA multiple precision arithmetic library and applications
• Numerical integration on GPUs for higher order finite elements
• Accelerating numerical solution of stochastic differential equations with CUDA
• VegasFlow: accelerating Monte Carlo simulation across multiple hardware platforms

Describes a project that uses

Uses Software

• MVNPACK
• Random123
• MersenneTwister
• Diehard
• SPRNG
• CUDA
• dieharder

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