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Journal Articles Springer Proceedings in Mathematics & Statistics Year : 2016

A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation

Abstract

In this paper, we present some investigations on the parallelization of stochastic Lagrangian simulations. The challenge is the proper management of the random numbers. We review two different object-oriented strategies: to draw the random numbers on the fly within each MPI's process or to use a different random number generator for each simulated path. We show the benefits of the second technique which is implemented in the PALMTREE software developed by the Project-team Sage of Inria Rennes. The efficiency of PALMTREE is demonstrated on two classical examples.
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Dates and versions

hal-01066410 , version 1 (19-09-2014)
hal-01066410 , version 2 (30-06-2015)
hal-01066410 , version 3 (25-11-2015)

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Lionel Lenôtre. A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation. Springer Proceedings in Mathematics & Statistics, 2016, Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014, 163, ⟨10.1007/978-3-319-33507-0_26⟩. ⟨hal-01066410v3⟩
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