FPGA Acceleration of Monte Carlo-based Financial Simulation: Design Challenges and Lessons Learnt

The simulation of interest rate derivatives is a powerful tool to face the current market fluctuations. However, the complexity of the financial models and the way they are processed require exorbitant computation times, what is in clear conflict with the need of a processing time as short as possible to operate in the financial market. To shorten the computation time of financial derivatives the use of hardware accelerators becomes a must.

Monte Carlo simulation of recrystallization

A Monte Carlo computer simulation technique, in which a continuum system is modeled employing a discrete lattice, has been applied to the problem of recrystallization. Primary recrystallization is modeled under conditions where the degree of stored energy is varied and nucleation occurs homogeneously (without regard for position in the microstructure). The nucleation rate is chosen as site saturated. Temporal evolution of the simulated microstructures is analyzed to provide the time dependence of the recrystallized volume fraction and grain sizes. The recrystallized volume fraction shows sigmoidal variations with time. The data are approximately fit by the Johnson-Mehl-Avrami equation with the expected exponents, however significant deviations are observed for both small and large recrystallized volume fractions. Under constant rate nucleation conditions, the propensity for irregular grain shapes is decreased and the density of two sided grains increases.

Optimization of Monte Carlo code for clinical simulation of electron beams

The aim of this work is to optimize a Monte Carlo (MC) kernel for electron radiation therapy (IOERT) compatible with intraoperative usage and to integrate it within an existing IOERT dedicated treatment planning system (TPS)

A comparative study of Monte Carlo-coupled depletion codes applied to a Sodium Fast Reactor design loaded with minor actinides

inor actinides (MAs) transmutation is a main design objective of advanced nuclear systems such as generation IV Sodium Fast Reactors (SFRs). In advanced fuel cycles, MA contents in final high level waste packages are main contributors to short term heat production as well as to long-term radiotoxicity. Therefore, MA transmutation would have an impact on repository designs and would reduce the environment burden of nuclear energy. In order to predict such consequences Monte Carlo (MC) transport codes are used in reactor design tasks and they are important complements and references for routinely used deterministic computational tools. In this paper two promising Monte Carlo transport-coupled depletion codes, EVOLCODE and SERPENT, are used to examine the impact of MA burning strategies in a SFR core, 3600 MWth. The core concept proposal for MA loading in two configurations is the result of an optimization effort upon a preliminary reference design to reduce the reactivity insertion as a consequence of sodium voiding, one of the main concerns of this technology. The objective of this paper is double. Firstly, efficiencies of the two core configurations for MA transmutation are addressed and evaluated in terms of actinides mass changes and reactivity coefficients. Results are compared with those without MA loading. Secondly, a comparison of the two codes is provided. The discrepancies in the results are quantified and discussed.

Monte Carlo simulation on a system of hard cylinders at a very high packing fraction

Using the Monte Carlo method the behavior of a system of true hard cylinders has been studied. Values of the length-to-breadth ratio L/D and packing fraction η have been chosen similar to those of real nematic liquid crystals. Results include radial distribution function g(r), structure factor S(k), and orientational order parameter M. These results lead to the conclusion that the hard cylinder model may be a useful reference for real mesomorphic phases.

Estudio del camino de saca del monte Barranco de la Galera

La importancia de este camino se conoce ya desde hace años. El monte “Barranco de la Galera Llorot y Caro”, está completamente incomunicado, teniéndose que hacer actualmente el transporte de sus maderas a lomo de mulo.

FocusDET, a new toolbox for SISCOM analysis. Evaluation of the registration accuracy using monte carlo simulation

Subtraction of Ictal SPECT Co-registered to MRI (SISCOM) is an imaging technique used to localize the epileptogenic focus in patients with intractable partial epilepsy. The aim of this study was to determine the accuracy of registration algorithms involved in SISCOM analysis using FocusDET, a new user-friendly application. To this end, Monte Carlo simulation was employed to generate realistic SPECT studies. Simulated sinograms were reconstructed by using the Filtered BackProjection (FBP) algorithm and an Ordered Subsets Expectation Maximization (OSEM) reconstruction method that included compensation for all degradations. Registration errors in SPECT-SPECT and SPECT-MRI registration were evaluated by comparing the theoretical and actual transforms. Patient studies with well-localized epilepsy were also included in the registration assessment. Global registration errors including SPECT-SPECT and SPECT-MRI registration errors were less than 1.2 mm on average, exceeding the voxel size (3.32 mm) of SPECT studies in no case. Although images reconstructed using OSEM led to lower registration errors than images reconstructed with FBP, differences after using OSEM or FBP in reconstruction were less than 0.2 mm on average. This indicates that correction for degradations does not play a major role in the SISCOM process, thereby facilitating the application of the methodology in centers where OSEM is not implemented with correction of all degradations. These findings together with those obtained by clinicians from patients via MRI, interictal and ictal SPECT and video-EEG, show that FocusDET is a robust application for performing SISCOM analysis in clinical practice.

On-road visual vehicle tracking using Markov chain Monte Carlo with metropolis sampling

In this study, a method for vehicle tracking through video analysis based on Markov chain Monte Carlo (MCMC) particle filtering with metropolis sampling is proposed. The method handles multiple targets with low computational requirements and is, therefore, ideally suited for advanced-driver assistance systems that involve real-time operation. The method exploits the removed perspective domain given by inverse perspective mapping (IPM) to define a fast and efficient likelihood model. Additionally, the method encompasses an interaction model using Markov Random Fields (MRF) that allows treatment of dependencies between the motions of targets. The proposed method is tested in highway sequences and compared to state-of-the-art methods for vehicle tracking, i.e., independent target tracking with Kalman filtering (KF) and joint tracking with particle filtering. The results showed fewer tracking failures using the proposed method.

Review and comparison of effective delayed neutron fraction calculation methods with Monte Carlo codes

The calculation of the effective delayed neutron fraction, beff , with Monte Carlo codes is a complex task due to the requirement of properly considering the adjoint weighting of delayed neutrons. Nevertheless, several techniques have been proposed to circumvent this difficulty and obtain accurate Monte Carlo results for beff without the need of explicitly determining the adjoint flux. In this paper, we make a review of some of these techniques; namely we have analyzed two variants of what we call the k-eigenvalue technique and other techniques based on different interpretations of the physical meaning of the adjoint weighting. To test the validity of all these techniques we have implemented them with the MCNPX code and we have benchmarked them against a range of critical and subcritical systems for which either experimental or deterministic values of beff are available. Furthermore, several nuclear data libraries have been used in order to assess the impact of the uncertainty in nuclear data in the calculated value of beff .

Fenix Alua : declarase en un discreto romance los acasos y maravillosos sucesso de una señora, que aviendola robado de su casa un amante, despues que con ingratitud la quito su honor, la dio de puñaladas, y la dexo en un monte : y de la venganza que tomo un leon de su amante, y el dichoso fin que la señora tuvo

En subtit. se ha sustituido el [.] por [:]

Efficient Monte Carlo optimization for multi-label classifier chains

Multi-label classification (MLC) is the supervised learning problem where an instance may be associated with multiple labels. Modeling dependencies between labels allows MLC methods to improve their performance at the expense of an increased computational cost. In this paper we focus on the classifier chains (CC) approach for modeling dependencies. On the one hand, the original CC algorithm makes a greedy approximation, and is fast but tends to propagate errors down the chain. On the other hand, a recent Bayes-optimal method improves the performance, but is computationally intractable in practice. Here we present a novel double-Monte Carlo scheme (M2CC), both for finding a good chain sequence and performing efficient inference. The M2CC algorithm remains tractable for high-dimensional data sets and obtains the best overall accuracy, as shown on several real data sets with input dimension as high as 1449 and up to 103 labels.

Hybrid Monte Carlo dose algorithm for low energy X-rays intraoperative radiation therapy

Low energy X-rays Intra-Operative Radiation Therapy (XIORT) treatment delivered during surgery (ex: INTRABEAM, Carl Zeiss, and Axxent, Xoft) can benefit from accurate and fast dose prediction in a patient 3D volume.

Efficient Monte Carlo methods for multi-dimensional learning with classifier chains

Multi-dimensional classification (MDC) is the supervised learning problem where an instance is associated with multiple classes, rather than with a single class, as in traditional classification problems. Since these classes are often strongly correlated, modeling the dependencies between them allows MDC methods to improve their performance – at the expense of an increased computational cost. In this paper we focus on the classifier chains (CC) approach for modeling dependencies, one of the most popular and highest-performing methods for multi-label classification (MLC), a particular case of MDC which involves only binary classes (i.e., labels). The original CC algorithm makes a greedy approximation, and is fast but tends to propagate errors along the chain. Here we present novel Monte Carlo schemes, both for finding a good chain sequence and performing efficient inference. Our algorithms remain tractable for high-dimensional data sets and obtain the best predictive performance across several real data sets.

Student academic performance stochastic simulator based on the Monte Carlo method

In this paper, a computer-based tool is developed to analyze student performance along a given curriculum. The proposed software makes use of historical data to compute passing/failing probabilities and simulates future student academic performance based on stochastic programming methods (MonteCarlo) according to the specific university regulations. This allows to compute the academic performance rates for the specific subjects of the curriculum for each semester, as well as the overall rates (the set of subjects in the semester), which are the efficiency rate and the success rate. Additionally, we compute the rates for the Bachelors degree, which are the graduation rate measured as the percentage of students who finish as scheduled or taking an extra year and the efficiency rate (measured as the percentage of credits of the curriculum with respect to the credits really taken). In Spain, these metrics have been defined by the National Quality Evaluation and Accreditation Agency (ANECA). Moreover, the sensitivity of the performance metrics to some of the parameters of the simulator is analyzed using statistical tools (Design of Experiments). The simulator has been adapted to the curriculum characteristics of the Bachelor in Engineering Technologies at the Technical University of Madrid(UPM).