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Solving Stochastic Differential Equations Using General Purpose Graphics Processing Unit

Lev Alexandrovich Neiman
Russ College of Engineering, Ohio University
Ohio University, 2012

@phdthesis{neiman2012solving,

   title={Solving Stochastic Differential Equations Using General Purpose Graphics Processing Unit},

   author={Neiman, L.A.},

   year={2012},

   school={Ohio University}

}

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Stochastic Differential Equations are important in many models of various physical or artificial phenomena. To get meaningful results it is desirable to solve the initial value numerical integration problem for a sufficiently large ensemble of realizations. Each element of the ensemble has the same form, thus exposing inherent data-parallelism. We implemented a cross-platform library written in C++ and CUDA that exploits data-parallelism by integrating all realizations in parallel using CUDA, and then computing the properties of the solution using CUDA again. This offers a great speed up over a sequential approach while keeping the overall algorithm for arriving at results essentially the same.
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