Quasi-Monte Carlo integration on the grid for sensitivity studies

Abstract

In this paper we present error and performance analysis of quasi-Monte Carlo algorithms for solving multidimensional integrals (up to 100 dimensions) on the grid using MPI. We take into account the fact that the Grid is a potentially heterogeneous computing environment, where the user does not know the specifics of the target architecture. Therefore parallel algorithms should be able to adapt to this heterogeneity, providing automated load-balancing. Monte Carlo algorithms can be tailored to such environments, provided parallel pseudorandom number generators are available. The use of quasi-Monte Carlo algorithms poses more difficulties. In both cases the efficient implementation of the algorithms depends on the functionality of the corresponding packages for generating pseudorandom or quasirandom numbers. We propose efficient parallel implementation of the Sobol sequence for a grid environment and we demonstrate numerical experiments on a heterogeneous grid. To achieve high parallel efficiency we use a newly developed special grid service called Job Track Service which provides efficient management of available computing resources through reservations.