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University GPU Club: Weds 2 Oct 2013


alt="NVIDIA CUDA Research Centre"

  • Software for GPUs inc. compiler/directives, maths libs & tools (debuggers and profilers)


2-3pm, Weds 2 Oct. Crawford 5.1

A joint GPU Club meeting with MBS.

Presentations

Abstract

Modern portfolio theory, initially developed by Harry Markowitz, has been used in the industry now for several decades to construct optimal portfolios, which properly balance risk and return. The key mathematical tool behind this approach is constrained quadratic optimization.

In recent years more refined quantitative methods have been developed to improve asset allocations and create optimal portfolios in a more stable and robust manner. An important step in that direction was the work of Fischer Black and Robert Litterman. They suggested to estimate the inputs for portfolio optimization by blending historical data and expert views based on an equilibrium condition. Technically, it boils down to start from a suitable prior distribution and construct a posterior distribution, which incorporates expert believes and moment constraints. At first sight this would naturally fit into the world of Bayesian statistics. Another even more powerful approach is the minimum discrimination information principle, developed by Kullback and Leibler as an extension of Laplace's principle of indifference and the principle of maximum entropy of Jaynes. This approach allows constructing constrained posterior distributions, reflecting more general types of expert views.

We explore both approaches and illustrate where large-scale numerical problems appear and how they can be solved with special algorithms on GPUs.

Daniel Egloff

In 2008 Daniel Egloff set up his own software engineering and consulting company and founded QuantAlea by the end of 2009. Since then he advised several high profile clients on quantitative finance, software development and high performance computing. In 2012 he joined InCube Advisory to further strengthen their consulting capabilities, continuing to manage QuantAlea as a software engineering provider.

Over the last few years he has become a well-known expert in GPU computing and parallel algorithms and successfully applied GPUs in productive systems for derivative pricing, risk calculations and statistical analysis. Before setting up his own company he had spent more than fifteen years in the financial service industry, where his work revolved around derivative pricing, risk management with a special focus on market and credit risk and high performance computing on clusters and grids. He studied mathematics, theoretical physics and computer science at the University of Zurich and the ETH Zurich, and has a PhD in mathematics from the University of Fribourg, Switzerland.


GPU Club Meetings

Previous Meetings

  • Tues 26 Nov 2013: 2-3pm, B8 George Begg. Christian Obrecht on GPU implementations of fluid dynamics simulations on regular meshes: some recent advances

  • Weds 13 Nov: 2pm, Univ Place. John Michalakes (NOAA) and Craig Davies (Maxeler Dataflow)

  • Weds 30 Oct: Intermediate CUDA training run by NVIDIA

  • Tues 29 Oct: 2pm, Univ Place, NVIDIA and Stephen Longshaw.

  • Weds 2 Oct 2013 - Large Scale Optimization and High Performance Computing for Asset Management, Daniel Egloff (QuantAlea)

  • Tuesday 23 July MathWorks (GPUs for MATLAB) and NVIDIA (GPUs & CUDA)

  • Thur 2 May 2013 Lessons from GTC and on using the Intel Xeon Phi

  • Mon 10 Dec 2012 Dataflow and MultiGPU SPH

  • Tues 25 Sept Seminar on implementing financial models on GPUs, FPGAs and in the Cloud

  • Mon 15 Oct: OpenCL training from UoM IT Services

  • Thurs 25 Oct: Hands-on "OpenACC" workshop run by Cray UK Ltd.

  • 17 May 2012 Speakers on healthcare policy simulation in OpenCL, MHD algorithms in CUDA, Tridiagonal Solvers in CUDA

  • 20 April 2012 Francois Bodin, CAPS: "Programming Heterogeneous Many-Cores using Directives" using HMPP

  • 23 March 2012 Roko Grubisic, ARM: "Embedded Computer Graphics and ARM Mali GPUs"

  • 02 March 2012 Speakers on profiling, sparse matrix algebra and atmospheric chemistry

  • 09 Dec 2011 MPI and GPUs, directives-based programming, FPGA and GPU comparison, ideas for 2012

  • 30 Sept 2011 GPU programming in FORTRAN, multiple GPUs, image reconstruction

  • 15 July 2011 Jack Dongarra key note on Emerging Technologies

  • 18 Mar 2011 OpenCL, debugging and profiling tools, porting C to CUDA, real time analysis

  • 26 Nov 2010 biological MD, smoothed particle hydrodynamics, Monte Carlo financial models, Markov models