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Accelerating numerical solution of stochastic differential equations with CUDA

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Title: Accelerating numerical solution of stochastic differential equations with CUDA
Authors: Januszewski, M.1, Kostur, M. marcin.kostur@us.edu.pl
Source: Computer Physics Communications. Jan2010, Vol. 181 Issue 1, p183-188. 6p.
Subjects: Numerical solutions to stochastic differential equations, Numerical integration, Numerical calculations, Parallel algorithms, Computer programming, Josephson junctions, Simulation methods & models
Abstract: Abstract: Numerical integration of stochastic differential equations is commonly used in many branches of science. In this paper we present how to accelerate this kind of numerical calculations with popular NVIDIA Graphics Processing Units using the CUDA programming environment. We address general aspects of numerical programming on stream processors and illustrate them by two examples: the noisy phase dynamics in a Josephson junction and the noisy Kuramoto model. In presented cases the measured speedup can be as high as 675× compared to a typical CPU, which corresponds to several billion integration steps per second. This means that calculations which took weeks can now be completed in less than one hour. This brings stochastic simulation to a completely new level, opening for research a whole new range of problems which can now be solved interactively. Program summary: Program title: SDE Catalogue identifier: AEFG_v1_0 Program summary URL: http://cpc.cs.qub.ac.uk/summaries/AEFG_v1_0.html Program obtainable from: CPC Program Library, Queen''s University, Belfast, N. Ireland Licensing provisions: Gnu GPL v3 No. of lines in distributed program, including test data, etc.: 978 No. of bytes in distributed program, including test data, etc.: 5905 Distribution format: tar.gz Programming language: CUDA C Computer: any system with a CUDA-compatible GPU Operating system: Linux RAM: 64 MB of GPU memory Classification: 4.3 External routines: The program requires the NVIDIA CUDA Toolkit Version 2.0 or newer and the GNU Scientific Library v1.0 or newer. Optionally gnuplot is recommended for quick visualization of the results. Nature of problem: Direct numerical integration of stochastic differential equations is a computationally intensive problem, due to the necessity of calculating multiple independent realizations of the system. We exploit the inherent parallelism of this problem and perform the calculations on GPUs using the CUDA programming environment. The GPU''s ability to execute hundreds of threads simultaneously makes it possible to speed up the computation by over two orders of magnitude, compared to a typical modern CPU. Solution method: The stochastic Runge–Kutta method of the second order is applied to integrate the equation of motion. Ensemble-averaged quantities of interest are obtained through averaging over multiple independent realizations of the system. Unusual features: The numerical solution of the stochastic differential equations in question is performed on a GPU using the CUDA environment. Running time: < 1 minute [Copyright &y& Elsevier]
Copyright of Computer Physics Communications is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
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DbLabel: Engineering Source
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  Data: Accelerating numerical solution of stochastic differential equations with CUDA
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  Data: &lt;searchLink fieldCode=&quot;AR&quot; term=&quot;%22Januszewski%2C+M%2E%22&quot;&gt;Januszewski, M.&lt;/searchLink&gt;&lt;relatesTo&gt;1&lt;/relatesTo&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;AR&quot; term=&quot;%22Kostur%2C+M%2E%22&quot;&gt;Kostur, M.&lt;/searchLink&gt;&lt;i&gt; marcin.kostur@us.edu.pl&lt;/i&gt;
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  Data: &lt;searchLink fieldCode=&quot;JN&quot; term=&quot;%22Computer+Physics+Communications%22&quot;&gt;Computer Physics Communications&lt;/searchLink&gt;. Jan2010, Vol. 181 Issue 1, p183-188. 6p.
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  Data: &lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Numerical+solutions+to+stochastic+differential+equations%22&quot;&gt;Numerical solutions to stochastic differential equations&lt;/searchLink&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Numerical+integration%22&quot;&gt;Numerical integration&lt;/searchLink&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Numerical+calculations%22&quot;&gt;Numerical calculations&lt;/searchLink&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Parallel+algorithms%22&quot;&gt;Parallel algorithms&lt;/searchLink&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Computer+programming%22&quot;&gt;Computer programming&lt;/searchLink&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Josephson+junctions%22&quot;&gt;Josephson junctions&lt;/searchLink&gt;&lt;br /&gt;&lt;searchLink fieldCode=&quot;DE&quot; term=&quot;%22Simulation+methods+%26+models%22&quot;&gt;Simulation methods &amp; models&lt;/searchLink&gt;
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  Data: Abstract: Numerical integration of stochastic differential equations is commonly used in many branches of science. In this paper we present how to accelerate this kind of numerical calculations with popular NVIDIA Graphics Processing Units using the CUDA programming environment. We address general aspects of numerical programming on stream processors and illustrate them by two examples: the noisy phase dynamics in a Josephson junction and the noisy Kuramoto model. In presented cases the measured speedup can be as high as 675&#215; compared to a typical CPU, which corresponds to several billion integration steps per second. This means that calculations which took weeks can now be completed in less than one hour. This brings stochastic simulation to a completely new level, opening for research a whole new range of problems which can now be solved interactively. Program summary: Program title: SDE Catalogue identifier: AEFG_v1_0 Program summary URL: http://cpc.cs.qub.ac.uk/summaries/AEFG_v1_0.html Program obtainable from: CPC Program Library, Queen&#39;&#39;s University, Belfast, N. Ireland Licensing provisions: Gnu GPL v3 No. of lines in distributed program, including test data, etc.: 978 No. of bytes in distributed program, including test data, etc.: 5905 Distribution format: tar.gz Programming language: CUDA C Computer: any system with a CUDA-compatible GPU Operating system: Linux RAM: 64 MB of GPU memory Classification: 4.3 External routines: The program requires the NVIDIA CUDA Toolkit Version 2.0 or newer and the GNU Scientific Library v1.0 or newer. Optionally gnuplot is recommended for quick visualization of the results. Nature of problem: Direct numerical integration of stochastic differential equations is a computationally intensive problem, due to the necessity of calculating multiple independent realizations of the system. We exploit the inherent parallelism of this problem and perform the calculations on GPUs using the CUDA programming environment. The GPU&#39;&#39;s ability to execute hundreds of threads simultaneously makes it possible to speed up the computation by over two orders of magnitude, compared to a typical modern CPU. Solution method: The stochastic Runge–Kutta method of the second order is applied to integrate the equation of motion. Ensemble-averaged quantities of interest are obtained through averaging over multiple independent realizations of the system. Unusual features: The numerical solution of the stochastic differential equations in question is performed on a GPU using the CUDA environment. Running time: &lt; 1 minute [Copyright &amp;y&amp; Elsevier]
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  Data: &lt;i&gt;Copyright of Computer Physics Communications is the property of Elsevier B.V. and its content may not be copied or emailed to multiple sites without the copyright holder&#39;s express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.&lt;/i&gt; (Copyright applies to all Abstracts.)
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        Value: 10.1016/j.cpc.2009.09.009
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      – Code: eng
        Text: English
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        PageCount: 6
        StartPage: 183
    Subjects:
      – SubjectFull: Numerical solutions to stochastic differential equations
        Type: general
      – SubjectFull: Numerical integration
        Type: general
      – SubjectFull: Numerical calculations
        Type: general
      – SubjectFull: Parallel algorithms
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      – SubjectFull: Computer programming
        Type: general
      – SubjectFull: Josephson junctions
        Type: general
      – SubjectFull: Simulation methods & models
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      – TitleFull: Accelerating numerical solution of stochastic differential equations with CUDA
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              Text: Jan2010
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              Y: 2010
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