Quasi-Monte Carlo integration on the grid for sensitivity studies View Full Text


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Article Info

DATE

2010-10-08

AUTHORS

Emanouil Atanassov, Aneta Karaivanova, Todor Gurov, Sofiya Ivanovska, Mariya Durchova, Dimitar Sl. Dimitrov

ABSTRACT

In this paper we present error and performance analysis of quasi-Monte Carlo algorithms for solving multidimensional integrals (up to 100 dimensions) on the grid using MPI. We take into account the fact that the Grid is a potentially heterogeneous computing environment, where the user does not know the specifics of the target architecture. Therefore parallel algorithms should be able to adapt to this heterogeneity, providing automated load-balancing. Monte Carlo algorithms can be tailored to such environments, provided parallel pseudorandom number generators are available. The use of quasi-Monte Carlo algorithms poses more difficulties. In both cases the efficient implementation of the algorithms depends on the functionality of the corresponding packages for generating pseudorandom or quasirandom numbers. We propose efficient parallel implementation of the Sobol sequence for a grid environment and we demonstrate numerical experiments on a heterogeneous grid. To achieve high parallel efficiency we use a newly developed special grid service called Job Track Service which provides efficient management of available computing resources through reservations. More... »

PAGES

289-296

References to SciGraph publications

  • 2007-01-01. Parallel and GRID Implementation of a Large Scale Air Pollution Model in NUMERICAL METHODS AND APPLICATIONS
  • 2010. User Level Grid Quality of Service in LARGE-SCALE SCIENTIFIC COMPUTING
  • 2005. A Superconvergent Monte Carlo Method for Multiple Integrals on the Grid in COMPUTATIONAL SCIENCE – ICCS 2005
  • 2007. Efficient Generation of Parallel Quasirandom Faure Sequences Via Scrambling in COMPUTATIONAL SCIENCE – ICCS 2007
  • 2008. Performance Analysis of GRID Middleware Using Process Mining in COMPUTATIONAL SCIENCE – ICCS 2008
  • 2003-01-30. A New Efficient Algorithm for Generating the Scrambled Sobol' Sequence in NUMERICAL METHODS AND APPLICATIONS
  • 2008. A Report on the Effect of Heterogeneity of the Grid Environment on a Grid Job in LARGE-SCALE SCIENTIFIC COMPUTING
  • 2004. Programmable Grids Framework Enabling QoS in an OGSA Context in COMPUTATIONAL SCIENCE - ICCS 2004
  • Identifiers

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    http://scigraph.springernature.com/pub.10.1007/s12145-010-0069-9

    DOI

    http://dx.doi.org/10.1007/s12145-010-0069-9

    DIMENSIONS

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