A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper.     

基于荧光光谱技术研究增效肥料对土壤富里酸荧光特性的影响

为探讨施用增效肥料后对土壤富里酸(F A)荧光特性及腐殖化程度的影响,在黑龙江省黑河市嫩江县和爱辉区两个试验区采取相同施肥处理,设置5个处理组:平衡施肥(NE)、平衡施肥减量25％(CK)、平衡施肥减量25％+纳米碳增效剂(T 1)、平衡施肥减量25％+沸石增效剂(T 2)、平衡施肥减量25％+生物炭增效剂(T3),分...     

LR test for random-effects covariance structure in a parallel profile model

We consider a parallel profile model which is useful in analyzing parallel growth curves of several groups. The likelihood ratio criterion for a hypothesis concerning the adequacy of a random-effects covariance structure is obtained under the parallel profile model. The likelihood ratio criterion for the hypothesis in the general one-way MANOVA model is also obtained. Asymptotic null distributions of the criteria are derived when the sample size is large. We give a numerical example of these asymptotic results.     

并行MapReduce PLS算法及其在光谱分析中的应用

偏最小二乘(PLS)算法是常用的光谱建模算法,然而对于海量光谱处理情形,在单台计算机上建模及优化时间开销很大。基于MapReduce编程模式,提出了并行MapReduce PLS回归算法,包括并行数据标准化和并行主成分提取两个过程。在多台普通计算机上搭建Hadoop云计算集群平台,以近红外光谱处理为例,开展了算法验证实验。实验结果表明,基于MapReduce编程模式的并行PLS算法对海量近红外光谱数据集进行回归建模时,能有效提高建模速度,随计算机台数的增多可得到接近线性的加速比,并具有良好的扩展性。     

Adaptive thermo-fluid moving boundary computations for interfacial dynamics

In this study,we present adaptive moving boundary computation technique with parallel implementation on a distributed memory multi-processor system for large scale thermo-fluid and interfacial flow computations.The solver utilizes Eulerian-Lagrangian method to track moving(Lagrangian) interfaces explicitly on the stationary(Eulerian) Cartesian grid where the flow fields are computed.We address the domain decomposition strategies of Eulerian-Lagrangian method by illustrating its intricate complexity of the computation involved on two different spaces interactively and consequently,and then propose a trade-off approach aiming for parallel scalability.Spatial domain decomposition is adopted for both Eulerian and Lagrangian domain due to easy load balancing and data locality for minimum communication between processors.In addition,parallel cell-based unstructured adaptive mesh refinement(AMR) technique is implemented for the flexible local refinement and even-distributed computational workload among processors.Selected cases are presented to highlight the computational capabilities,including Faraday type interfacial waves with capillary and gravitational forcing,flows around varied geometric configurations and induced by boundary conditions and/or body forces,and thermo-fluid dynamics with phase change.With the aid of the present techniques,large scale challenging moving boundary problems can be effectively addressed.     

MODIFIED PARALLEL ROSENBROCK METHODS FOR STIFF DIFFERENTIAL EQUATIONS

1. IntroductionIn many fields of science and engineering technology, we often meet with stiff ordinarydifferential equations. In order to solve these systems, we have to use the implicit methods,which lneans that nonlinear implicit equations must be solve…     

Evaluating Parallel Simulated Evolution Strategies for VLSI Cell Placement

Simulated Evolution (SimE) is an evolutionary metaheuristic that has produced results comparable to well established stochastic heuristics such as SA, TS and GA, with shorter runtimes. However, for optimization problems with a very large set of elements, such as in VLSI cell placement and routing, runtimes can still be very large and parallelization is an attractive option for reducing runtimes. Compared to other metaheuristics, parallelization of SimE has not been extensively explored. This paper presents a comprehensive set of parallelization approaches for SimE when applied to multiobjective VLSI cell placement problem. Each of these approaches are evaluated with respect to SimE characteristics and the constraints imposed by the problem instance. Conclusions drawn can be extended to parallelization of SimE when applied to other optimization problems.      

Parallel Newton Two-Stage Multisplitting Iterative Methods for Nonlinear Systems

Parallel Newton two-stage iterative methods to solve nonlinear systems are studied. These algorithms are based on both the multisplitting technique and the two-stage iterative methods. Convergence properties of these methods are studied when the Jacobian matrix is either monotone or an H-matrix. Furthermore, in order to illustrate the performance of the algorithms studied, computational results about these methods on a distributed memory multiprocessor are discussed.This revised version was published online in October 2005 with corrections to the Cover Date.     

Studies of an infinite element method for acoustical radiation

Infinite element computations are very efficient for predicting the vibro-acoustic response and sensitivities of a vibrating structure for an exterior acoustic domain. In addition, domain decomposition methods are very powerful algorithms for solving large linear systems in parallel. In this paper, an infinite element method is proposed and analyzed for parallel computations purpose. An original formulation of this method with Lagrange multipliers defined on (semi-)infinite space is presented. The implementation aspects of this method in an industrial acoustic software (SYSNOISE) are discussed. New numerical results illustrate the efficiency of the proposed method for realistic acoustical radiation problems.     

Simulation of Optical Devices Using Parallel FDTD Method

On this paper, we investigate the algorithm and efficiency of simulation of optical devices using parallel computing method, implement some real wavelength division multiplexing (WDM) components such as resonators to test the method's possibility and efficiency.