Solving Random Ordinary Differential Equations on GPU Clusters using Multiple Levels of Parallelism
DOI10.1137/15M1036014zbMath1382.65024MaRDI QIDQ5739951
Christoph Riesinger, Florian Rupp, Tobias Neckel
Publication date: 7 July 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Ornstein-Uhlenbeck processpseudorandom number generationrandom ordinary differential equationsGPU clustersmultilevel parallelism
Monte Carlo methods (65C05) Random operators and equations (aspects of stochastic analysis) (60H25) Ordinary differential equations and systems with randomness (34F05) Parallel numerical computation (65Y05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Numerical algorithms for specific classes of architectures (65Y10)
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