Authors
Ishaan L Dalal, Deian Stefan, Jared Harwayne-Gidansky
Publication date
2008/7/2
Conference
2008 International Conference on Application-Specific Systems, Architectures and Processors
Pages
108-113
Publisher
IEEE
Description
Low-discrepancy sequences, also known as ldquoquasi-randomrdquo sequences, are numbers that are better equidistributed in a given volume than pseudo-random numbers. Evaluation of high-dimensional integrals is commonly required in scientific fields as well as other areas (such as finance), and is performed by stochastic Monte Carlo simulations. Simulations which use quasi-random numbers can achieve faster convergence and better accuracy than simulations using conventional pseudo-random numbers. Such simulations are called Quasi-Monte Carlo. Conventional Monte Carlo simulations are increasingly implemented on reconfigurable devices such as FPGAs due to their inherently parallel nature. This has not been possible for Quasi-Monte Carlo simulations because, to our knowledge, no low-discrepancy sequences have been generated in hardware before. We present FPGA-optimized scalable …
Total citations
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Scholar articles
IL Dalal, D Stefan, J Harwayne-Gidansky - 2008 International Conference on Application-Specific …, 2008