Multi-level Monte Carlo Simulation with Mixed Floating-point Precision

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• Zhiyong Liu (Imperial College)
• Thursday 08 November 2012, 11:00-12:00
• Level 9 Mahanakorn Lab., EE Dept..

If you have a question about this talk, please contact Grigorios Mingas.

Custom precision utilization in FPGA based Monte Carlo Simulation has generated considerable research interest. As previous research treat the finite precision error and discretization error separately. The new idea is to consider these two kinds of error jointly, which means to take both the time step and precision into account at same time. Thus, the novel FPGA based Multilevel Monte Carlo architecture with mixed floating precision is proposed, which include coarse paths with reduced precision, low-level time step and fine paths with fine precision, high-level time step. The new architecture can combines the benefits of resources saving of coarse path and the accuracy of fine path.

This talk is part of the CAS Talks series.

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• Andrea Picciau's list
• CAS Talks
• Circuits and Systems Group: Internal Seminars
• Level 9 Mahanakorn Lab., EE Dept.

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