A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation

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dc.contributor.author Bruti Liberati, Nicola en_US
dc.contributor.author Martini, Fillipo en_US
dc.contributor.author Piccardi, Massimo en_US
dc.contributor.author Platen, Eckhard en_US
dc.contributor.editor en_US
dc.date.accessioned 2010-05-28T09:42:20Z
dc.date.available 2010-05-28T09:42:20Z
dc.date.issued 2008 en_US
dc.identifier 2007001450 en_US
dc.identifier.citation Bruti Liberati Nicola et al. 2008, 'A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation', Elsevier, vol. 77, no. 1, pp. 45-56. en_US
dc.identifier.issn 0378-4754 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/8299
dc.description.abstract Monte Carlo simulation of weak approximation of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often required, one needs highly efficient implementations of the multi-point distributed random number generator underlying the simulations. In this paper, a fast and flexible dedicated hardware solution on a field programmable gate array is presented. A comparative performance analysis between a software-only and the poposed hardware solution demonstrated that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in Applications wuch as economics insurance, physics, population dynamics, epidemiology, structural mechanics, checmistry and biotechnology can benefit from the obtained speedups. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.relation.hasversion NOTICE: this is the author’s version of a work that was accepted for publication in Mathematics and Computers in Simulation. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Mathematics and Computers in Simulation, Volume 77, Issue 1, 15 February 2008, Pages 45–56 DOI: http://dx.doi.org/10.1016/j.matcom.2007.01.031 en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.matcom.2007.01.031 en_US
dc.title A Hardware Generator of Multi-Point Distributed Random Numbers for Monte Carlo Simulation en_US
dc.parent Mathematics and Computers in Simulation en_US
dc.journal.volume 77 en_US
dc.journal.number 1 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 45 en_US
dc.identifier.endpage 56 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010300 en_US
dc.personcode 10086991 en_US
dc.personcode 0000023034 en_US
dc.personcode 020073 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Numerical and Computational Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords random number generators, random bit generators, hardware implementation, field programmable gate arrays (FPGAs), Monte Carlo simulation, weak Taylor schemes, Multi-point distribution random variables en_US
dc.staffid en_US
dc.staffid 970685 en_US

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