Multilevel Monte Carlo software project

Project team

• Mike Giles
• Fei Xie
• Shenghan Ye

• Abdul-Lateef Haji-Ali
• David Warne
• Wei Fang
• Zhenru Wang

• Matteo Croci
• Casper Beentjes
• Patrick Farrell

• Louis Aslett
• Tigran Nagapetyan
• Sebastian Vollmer?

Parallelisation experiments

• MATLAB documentation for Parallel Computing Toolbox
• MATLAB reference pages for parfor, spmd, labindex, RandStream.create
• expt_5_fei.m (parfor code)
• expt_6_fei.m (spmd code)

• OpenMP support in Intel C++ Compiler 18.0
• MKL 2018 documentation (see chapter 8 for VSL info)
• MKL now freely available
• VSL performance data
• OpenMP 4.5 spec
• array reductions in OpenMP 4.5
• Intel vectorization tools
• OpenMP 4.0 vectorization
• LLNL OpenMP info
• ANL OpenMP info
• HotChips talk about KNL


• Colfax report on AVX-512 vectorisation
• Wikichip page on Skylake server chip
• Wikipedia page on AVX-512
• AnandTech article on Skylake vs EPYC


• GBM.c (vector/parallel test code)
• Makefile
• Macros for rounding up, or down, to a multiple of y:
  #define ROUND_UP(x, y) ((((x) + (y) - 1) / (y)) * (y))
  #define ROUND_DOWN(x, y) (((x) / (y)) * (y))