A graphical processing unit accelerated NOrmal To Anything algorithm for high dimensional multivariate simulation
Project for CS791: GPU programming.
This project implements NORTA transformations for generating random variables with given correlation matrix.
Presented at ITNG 2019. Won best student paper award.
Link to publication: https://link.springer.com/chapter/10.1007/978-3-030-14070-0_46
makefile is in build folder.
Executable is called gpusim
Command line arguments are:
<correlation matrix file path> <distributions file path> d n seed <output file name> runtype inverseflag
d is the number of random variables in random vector (also dimension of corr matrix )
n is the number of simulation replicates
seed is the seed used for random number generator
output file name is the file name of the simulation matrix file that will be generated at the end of program
runtype is an integer. 0 for sequential run, 1 for parallel GPU.
inverseflag is an integer. 0 to not run inverse transform, 1 to run inverse transform.
There is a space between each argument.
call goes like this:
gpusim ../test_corr_matrix_d=20501.txt ../betar20501.csv 20501 2000 154224 simOutputFile 0 0