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Conference proceeding
Parallel quasi-Monte Carlo methods on a heterogeneous cluster
Monte Carlo and Quasi-Monte Carlo Methods 2000: Proceedings of a Conference held at Hong Kong Baptist University, Hong Kong SAR, China, November 27 – December 1, 2000, pp.406-421
01/01/2002
Web of Science ID: WOS:000175526000028
Abstract
We introduce a new parallelization scheme for low-discrepancy sequences. Our approach is similar to the parameterization approach used for pseudorandom number generators. We present a theoretical analysis of this scheme and compare it numerically with the conventional blocking and leap-frogging parallelization strategies, when they are applied to problems from option pricing and transport theory. The numerical results suggest that our scheme might be very useful especially in distributed computing environments with unreliable and heterogeneous clusters.
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Details
- Title
- Parallel quasi-Monte Carlo methods on a heterogeneous cluster
- Publication Details
- Monte Carlo and Quasi-Monte Carlo Methods 2000: Proceedings of a Conference held at Hong Kong Baptist University, Hong Kong SAR, China, November 27 – December 1, 2000, pp.406-421
- Resource Type
- Conference proceeding
- Publisher
- Springer Nature
- Copyright
- © Springer Berlin, Heidelberg
- Identifiers
- WOS:000175526000028; 99380178127306600
- Academic Unit
- Hal Marcus College of Science and Engineering ; Computer Science
- Language
- English