1. STUDY OF PARALLEL MONTE CARLO SIMULATION TECHNIQUES
OBJECTIVES
PROJECT FRAMEWORK
FUTURE PLAN
To solve practical application problems using MONTE CARLO simulation .
To provide a range of possible results in cases when it is impossible to arithmetically calculate just one solution.
Judging the solution obtained upon parameter of accuracy and time taken for computation
To perform various processing techniques over the practical application problem and composing the results with serial and benchmarked programs.
To apply Monte Carlo techniques over these application problems to reduce the average computation time.
Monte Carlo techniques
Acceptance-Rejection techniques
Likelihood weighing
Localization technique
Game tree search
Graphical analysis and interpretation of each technique
If time permits, then we will try to apply MPI techniques also.
Applications used
Mathematics
Estimation of ∏(pi) value.
Multi-dimensional integral estimation (∫∫∫..dxdydz)
Curve tracing.
Random walks.
Financial planning
Black scholes option valuation.
Autonomous robotics
Maze solver.
Games
a) Game of Tantrix.
PURPOSE
Monte Carlo exploits the power of randomness and we can sometime converge very quickly.
problem solved using parallelization of Monte Carlo simulation increases accuracy to a great degree, as we can combine results obtained from multiple nodes and choose the solution value
PROGRESS
PLATFORM
Serial c code for ∏ ,multi-dimensional integral estimation.
Optimizations
No of samples /experiment=108.
Time of execution
a)Basic code 2-3 minutes.
b)Optimized(parallelized file i/o)3-5 sec
Accuracy=
Precision(std. dev.)=
Linux
GCC compiler I/O library parallelization support
Open MP
P threads
Multi core system
GUIDE:
Dr. S. R. SATHE
DEPARTMENT OF COMPUTER SCIENCE AND ENGINEERING
VISVESVARAYA NATIONAL INSTITUTE OF TECHNOLOGY, NAGPUR
PRAKHAR SINGH (BT09ECE055)
SHEETAL BORKAR (BT09ECE003)
NIPUN AGRAWAL (BT09ECE051)
DEPARTMENT OF COMPUTER SCIENCE AND ENGINEERING