Technical Report: Scalable Parallel Algorithms for High Dimensional Numerical Integration

Masalma, Yahya ; Jiao, Yu

Oak Ridge National Laboratory (ORNL)

关键词: Data Processing;    Parallel Processing;    Monte Carlo Method;    Algorithms;    97 Mathematical Methods And Computing;   

DOI  :  10.2172/990238
RP-ID  :  ORNL/TM-2010/150
RP-ID  :  DE-AC05-00OR22725
RP-ID  :  990238

美国|英语

来源: UNT Digital Library

【 摘 要 】

We implemented a scalable parallel quasi-Monte Carlo numerical high-dimensional integration for tera-scale data points. The implemented algorithm uses the Sobol s quasi-sequences to generate random samples. Sobol s sequence was used to avoid clustering effects in the generated random samples and to produce low-discrepancy random samples which cover the entire integration domain. The performance of the algorithm was tested. Obtained results prove the scalability and accuracy of the implemented algorithms. The implemented algorithm could be used in different applications where a huge data volume is generated and numerical integration is required. We suggest using the hyprid MPI and OpenMP programming model to improve the performance of the algorithms. If the mixed model is used, attention should be paid to the scalability and accuracy.