Computing probable maximum loss in catastrophe reinsurance portfolios on multi-core and many-core architectures

In the reinsurance market, the risks natural catastrophes pose to portfolios of properties must be quantified, so that they can be priced, and insurance offered. The analysis of such risks at a portfolio level requires a simulation of up to 800 000 trials with an average of 1000 catastrophic events per trial. This is sufficient to capture risk for a global multi-peril reinsurance portfolio covering a range of perils including earthquake, hurricane, tornado, hail, severe thunderstorm, wind storm, storm surge and riverine flooding, and wildfire. Such simulations are both computation and data intensive, making the application of high-performance computing techniques desirable.

In this paper, we explore the design and implementation of portfolio risk analysis on both multi-core and many-core computing platforms. Given a portfolio of property catastrophe insurance treaties, key risk measures, such as probable maximum loss, are computed by taking both primary and secondary uncertainties into account. Primary uncertainty is associated with whether or not an event occurs in a simulated year, while secondary uncertainty captures the uncertainty in the level of loss due to the use of simplified physical models and limitations in the available data. A combination of fast lookup structures, multi-threading and careful hand tuning of numerical operations is required to achieve good performance. Experimental results are reported for multi-core processors and systems using NVIDIA graphics processing unit and Intel Phi many-core accelerators.

A novel TRNSYS type for short-term borehole heat exchanger simulation: B2G model

Models of ground source heat pump (GSHP) systems are used as an aid for the correct design and optimization of the system. For this purpose, it is necessary to develop models which correctly reproduce the dynamic thermal behavior of each component in a short-term basis. Since the borehole heat exchanger (BHE) is one of the main components, special attention should be paid to ensuring a good accuracy on the prediction of the short-term response of the boreholes. The BHE models found in literature which are suitable for short-term simulations usually present high computational costs. In this work, a novel TRNSYS type implementing a borehole-to-ground (B2G) model, developed for modeling the short-term dynamic performance of a BHE with low computational cost, is presented. The model has been validated against experimental data from a GSHP system located at Universitat Politècnica de València, Spain. Validation results show the ability of the model to reproduce the short-term behavior of the borehole, both for a step-test and under normal operating conditions.

Compact Routing Messages in Self-Healing Trees

Existing compact routing schemes, e.g., Thorup and Zwick [SPAA 2001] and Chechik [PODC 2013], often have no means to tolerate failures, once the system has been setup and started. This paper presents, to our knowledge, the first self-healing compact routing scheme. Besides, our schemes are developed for low memory nodes, i.e., nodes need only O(log2 n) memory, and are thus, compact schemes.
We introduce two algorithms of independent interest: The first is CompactFT, a novel compact version (using only O(log n) local memory) of the self-healing algorithm Forgiving Tree of Hayes et al. [PODC 2008]. The second algorithm (CompactFTZ) combines CompactFT with Thorup-Zwick’s treebased compact routing scheme [SPAA 2001] to produce a fully compact self-healing routing scheme. In the self-healing model, the adversary deletes nodes one at a time with the affected nodes self-healing locally by adding few edges. CompactFT recovers from each attack in only O(1) time and ∆ messages, with only +3 degree increase and O(log∆) graph diameter increase, over any sequence of deletions (∆ is the initial maximum degree).
Additionally, CompactFTZ guarantees delivery of a packet sent from sender s as long as the receiver has not been deleted, with only an additional O(y log ∆) latency, where y is the number of nodes that have been deleted on the path between s and t. If t has been deleted, s gets informed and the packet removed from the network.