arXiv subjects

Mike Giles

Publications and source records attributed to Mike Giles.

9 recordsLinked to original sources

arXiv2023

Accelerating Dedispersion using Many-Core Architectures

Astrophysical radio signals are excellent probes of extreme physical processes that emit them. However, to reach Earth, electromagnetic radiation passes through the ionised interstellar medium (ISM), introducing a frequency-dependent time delay (dispersion) to the emitted signal. Removing dispersion enables searches for transient signals like Fast Radio Bursts (FRB) or repeating signals from isolated pulsars or those in orbit around other compact objects. The sheer volume and high resolution of data that next generation radio telescopes will produce require High-Performance Computing (HPC) solutions and algorithms to be used in time-domain data processing pipelines to extract scientifically valuable results in real-time. This paper presents a state-of-the-art implementation of brute force incoherent dedispersion on NVIDIA GPUs, and on Intel and AMD CPUs. We show that our implementation is 4x faster (8-bit 8192 channels input) than other available solutions and demonstrate, using 11 existing telescopes, that our implementation is at least 20 faster than real-time. This work is part of the AstroAccelerate package.

astro-ph.IM↗

arXiv2021

Analysis of nested multilevel Monte Carlo using approximate Normal random variables

The multilevel Monte Carlo (MLMC) method has been used for a wide variety of stochastic applications. In this paper we consider its use in situations in which input random variables can be replaced by similar approximate random variables which can be computed much more cheaply. A nested MLMC approach is adopted in which a two-level treatment of the approximated random variables is embedded within a standard MLMC application. We analyse the resulting nested MLMC variance in the specific context of an SDE discretisation in which Normal random variables can be replaced by approximately Normal random variables, and provide numerical results to support the analysis.

math.NA↗

arXiv2020

Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems

This paper proposes a new pathwise sensitivity estimator for chaotic SDEs. By introducing a spring term between the original and perturbated SDEs, we derive a new estimator by importance sampling. The variance of the new estimator increases only linearly in time $T,$ compared with the exponential increase of the standard pathwise estimator. We compare our estimator with the Malliavin estimator and extend both of them to the Multilevel Monte Carlo method, which further improves the computational efficiency. Finally, we also consider using this estimator for the SDE with small volatility to approximate the sensitivities of the invariant measure of chaotic ODEs. Furthermore, Richardson-Romberg extrapolation on the volatility parameter gives a more accurate and efficient estimator. Numerical experiments support our analysis.

math.NA↗

arXiv2019

GPU Fast Convolution via the Overlap-and-Save Method in Shared Memory

We present an implementation of the overlap-and-save method, a method for the convolution of very long signals with short response functions, which is tailored to GPUs. We have implemented several FFT algorithms (using the CUDA programming language) which exploit GPU shared memory, allowing for GPU accelerated convolution. We compare our implementation with an implementation of the overlap-and-save algorithm utilizing the NVIDIA FFT library (cuFFT). We demonstrate that by using a shared memory based FFT we can achieved significant speed-ups for certain problem sizes and lower the memory requirements of the overlap-and-save method on GPUs.

cs.MS↗

arXiv2017

Improved Acceleration of the GPU Fourier Domain Acceleration Search Algorithm

We present an improvement of our implementation of the Correlation Technique for the Fourier Domain Acceleration Search (FDAS) algorithm on Graphics Processor Units (GPUs) (Dimoudi & Armour 2015; Dimoudi et al. 2017). Our new improved convolution code which uses our custom GPU FFT code is between 2.5 and 3.9 times faster the than our cuFFT-based implementation (on an NVIDIA P100) and allows for a wider range of filter sizes then our previous version. By using this new version of our convolution code in FDAS we have achieved 44% performance increase over our previous best implementation. It is also approximately 8 times faster than the existing PRESTO GPU implementation of FDAS (Luo 2013). This work is part of the AstroAccelerate project (Armour et al. 2002), a many-core accelerated time-domain signal processing library for radio astronomy.

astro-ph.IM↗

arXiv2016

Multilevel Monte Carlo for Scalable Bayesian Computations

Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian computations. However, they need to access the full data set in order to evaluate the posterior density at every step of the algorithm. This results in a great computational burden in big data applications. In contrast to MCMC methods, Stochastic Gradient MCMC (SGMCMC) algorithms such as the Stochastic Gradient Langevin Dynamics (SGLD) only require access to a batch of the data set at every step. This drastically improves the computational performance and scales well to large data sets. However, the difficulty with SGMCMC algorithms comes from the sensitivity to its parameters which are notoriously difficult to tune. Moreover, the Root Mean Square Error (RMSE) scales as $\mathcal{O}(c^{-\frac{1}{3}})$ as opposed to standard MCMC $\mathcal{O}(c^{-\frac{1}{2}})$ where $c$ is the computational cost. We introduce a new class of Multilevel Stochastic Gradient Markov chain Monte Carlo algorithms that are able to mitigate the problem of tuning the step size and more importantly of recovering the $\mathcal{O}(c^{-\frac{1}{2}})$ convergence of standard Markov Chain Monte Carlo methods without the need to introduce Metropolis-Hasting steps. A further advantage of this new class of algorithms is that it can easily be parallelised over a heterogeneous computer architecture. We illustrate our methodology using Bayesian logistic regression and provide numerical evidence that for a prescribed relative RMSE the computational cost is sublinear in the number of data items.

stat.ML↗

arXiv2014

Multilevel Monte Carlo For Exponential L\'{e}vy Models

We apply multilevel Monte Carlo for option pricing problems using exponential L\'{e}vy models with a uniform timestep discretisation to monitor the running maximum required for lookback and barrier options. The numerical results demonstrate the computational efficiency of this approach. We derive estimates of the convergence rate for the error introduced by the discrete monitoring of the running supremum of a broad class of L\'{e}vy processes. We use these to obtain upper bounds on the multilevel Monte Carlo variance convergence rate for the Variance Gamma, NIG and $\alpha$-stable processes used in the numerical experiments. We also show numerical results and analysis of a trapezoidal approximation for Asian options.

q-fin.CP↗

arXiv2012

Multilevel Monte Carlo methods for applications in finance

Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future research.

q-fin.CP↗

arXiv2010

Fast Correlation Greeks by Adjoint Algorithmic Differentiation

We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construction is the use of binning to simultaneously achieve computational efficiency and accurate confidence intervals. We illustrate the method for a copula-based Monte Carlo computation of claims written on a basket of underlying assets, and we test it numerically for Portfolio Default Options. For any number of underlying assets or names in a portfolio, the sensitivities of the option price with respect to all the pairwise correlations is obtained at a computational cost which is at most 4 times the cost of calculating the option value itself. For typical applications, this results in computational savings of several order of magnitudes with respect to standard methods.

q-fin.CP↗