Michael B. Giles

Affiliations:
  • University of Oxford, UK


According to our database1, Michael B. Giles authored at least 68 papers between 2000 and 2023.

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Bibliography

2023
Approximating Inverse Cumulative Distribution Functions to Produce Approximate Random Variables.
ACM Trans. Math. Softw., September, 2023

Accelerating Dedispersion using Many-Core Architectures.
CoRR, 2023

MLMC techniques for discontinuous functions.
CoRR, 2023

2022
Analysis of Nested Multilevel Monte Carlo Using Approximate Normal Random Variables.
SIAM/ASA J. Uncertain. Quantification, 2022

Multilevel Path Branching for Digital Options.
CoRR, 2022

2021
Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling.
SIAM J. Sci. Comput., 2021

Importance Sampling for Pathwise Sensitivity of Stochastic Chaotic Systems.
SIAM/ASA J. Uncertain. Quantification, 2021

2020
GPU Fast Convolution via the Overlap-and-Save Method in Shared Memory.
ACM Trans. Archit. Code Optim., 2020

Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations.
Stat. Comput., 2020

Multilevel Monte Carlo Estimation of the Expected Value of Sample Information.
SIAM/ASA J. Uncertain. Quantification, 2020

Rounding error using low precision approximate random variables.
CoRR, 2020

Effects of round-to-nearest and stochastic rounding in the numerical solution of the heat equation in low precision.
CoRR, 2020

2019
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI.
Stat. Comput., 2019

Using GPUs to accelerate computational diffusion MRI: From microstructure estimation to tractography and connectomes.
NeuroImage, 2019

Multilevel Nested Simulation for Efficient Risk Estimation.
SIAM/ASA J. Uncertain. Quantification, 2019

Improving resilience of scientific software through a domain-specific approach.
J. Parallel Distributed Comput., 2019

Large-scale performance of a DSL-based multi-block structured-mesh application for Direct Numerical Simulation.
J. Parallel Distributed Comput., 2019

Random bit multilevel algorithms for stochastic differential equations.
J. Complex., 2019

Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces.
Found. Comput. Math., 2019

Sub-sampling and other considerations for efficient risk estimation in large portfolios.
CoRR, 2019

Generalised multilevel Picard approximations.
CoRR, 2019

2018
Loop Tiling in Large-Scale Stencil Codes at Run-Time with OPS.
IEEE Trans. Parallel Distributed Syst., 2018

Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions.
SIAM/ASA J. Uncertain. Quantification, 2018

Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes.
SIAM/ASA J. Uncertain. Quantification, 2018

Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling.
J. Comput. Phys., 2018

2017
Multilevel Monte Carlo for exponential Lévy models.
Finance Stochastics, 2017

Beyond 16GB: Out-of-Core Stencil Computations.
Proceedings of the Workshop on Memory Centric Programming for HPC, 2017

2016
Acceleration of a Full-Scale Industrial CFD Application with OP2.
IEEE Trans. Parallel Distributed Syst., 2016

Manycore Algorithms for Batch Scalar and Block Tridiagonal Solvers.
ACM Trans. Math. Softw., 2016

Algorithm 955: Approximation of the Inverse Poisson Cumulative Distribution Function.
ACM Trans. Math. Softw., 2016

An Empirical Interpolation and Model-Variance Reduction Method for Computing Statistical Outputs of Parametrized Stochastic Partial Differential Equations.
SIAM/ASA J. Uncertain. Quantification, 2016

Vectorizing unstructured mesh computations for many-core architectures.
Concurr. Comput. Pract. Exp., 2016

High Performance Computing on the IBM Power8 Platform.
Proceedings of the High Performance Computing, 2016

Auto-vectorizing a large-scale production unstructured-mesh CFD application.
Proceedings of the 3rd Workshop on Programming Models for SIMD/Vector Processing, 2016

2015
Multilevel Monte Carlo Approximation of Distribution Functions and Densities.
SIAM/ASA J. Uncertain. Quantification, 2015

A model and variance reduction method for computing statistical outputs of stochastic elliptic partial differential equations.
J. Comput. Phys., 2015

Finite Element Algorithms and Data Structures on Graphical Processing Units.
Int. J. Parallel Program., 2015

Multilevel Monte Carlo methods.
Acta Numer., 2015

Analysis of parallel processor architectures for the solution of the Black-Scholes PDE.
Proceedings of the 2015 IEEE International Symposium on Circuits and Systems, 2015

Design and Development of Domain Specific Active Libraries with Proxy Applications.
Proceedings of the 2015 IEEE International Conference on Cluster Computing, 2015

Benchmarking the IBM Power8 processor.
Proceedings of 25th Annual International Conference on Computer Science and Software Engineering, 2015

2014
Adjoint Methods in Computational Science, Engineering, and Finance (Dagstuhl Seminar 14371).
Dagstuhl Reports, 2014

The OPS domain specific abstraction for multi-block structured grid computations.
Proceedings of the Fourth International Workshop on Domain-Specific Languages and High-Level Frameworks for High Performance Computing, 2014

Performance Analysis of a High-Level Abstractions-Based Hydrocode on Future Computing Systems.
Proceedings of the High Performance Computing Systems. Performance Modeling, Benchmarking, and Simulation, 2014

GPU implementation of finite difference solvers.
Proceedings of the 7th Workshop on High Performance Computational Finance, 2014

Non-nested Adaptive Timesteps in Multilevel Monte Carlo Computations.
Proceedings of the Monte Carlo and Quasi-Monte Carlo Methods, 2014

2013
Design and initial performance of a high-level unstructured mesh framework on heterogeneous parallel systems.
Parallel Comput., 2013

Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients.
Numerische Mathematik, 2013

Designing OP2 for GPU architectures.
J. Parallel Distributed Comput., 2013

2012
Fat versus Thin Threading Approach on GPUs: Application to Stochastic Simulation of Chemical Reactions.
IEEE Trans. Parallel Distributed Syst., 2012

Predictive modeling and analysis of OP2 on distributed memory GPU clusters.
SIGMETRICS Perform. Evaluation Rev., 2012

Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance.
SIAM J. Financial Math., 2012

Performance Analysis and Optimization of the OP2 Framework on Many-Core Architectures.
Comput. J., 2012

An Analytical Study of Loop Tiling for a Large-Scale Unstructured Mesh Application.
Proceedings of the 2012 SC Companion: High Performance Computing, 2012

Compiler Optimizations for Industrial Unstructured Mesh CFD Applications on GPUs.
Proceedings of the Languages and Compilers for Parallel Computing, 2012

Mesh independent loop fusion for unstructured mesh applications.
Proceedings of the Computing Frontiers Conference, CF'12, 2012

2011
Performance analysis of the OP2 framework on many-core architectures.
SIGMETRICS Perform. Evaluation Rev., 2011

Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients.
Comput. Vis. Sci., 2011

STOCHSIMGPU: parallel stochastic simulation for the Systems Biology Toolbox 2 for MATLAB.
Bioinform., 2011

Design and Performance of the OP2 Library for Unstructured Mesh Applications.
Proceedings of the Euro-Par 2011: Parallel Processing Workshops - CCPI, CGWS, HeteroPar, HiBB, HPCVirt, HPPC, HPSS, MDGS, ProPer, Resilience, UCHPC, VHPC, Bordeaux, France, August 29, 2011

2010
Convergence of Linearized and Adjoint Approximations for Discontinuous Solutions of Conservation Laws. Part 2: Adjoint Approximations and Extensions.
SIAM J. Numer. Anal., 2010

Convergence of Linearized and Adjoint Approximations for Discontinuous Solutions of Conservation Laws. Part 1: Linearized Approximations and Linearized Output Functionals.
SIAM J. Numer. Anal., 2010

2009
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff.
Finance Stochastics, 2009

Multilevel Monte Carlo for Basket Options.
Proceedings of the 2009 Winter Simulation Conference, 2009

2008
Multilevel Monte Carlo Path Simulation.
Oper. Res., 2008

2002
Grid Services in Action: Grid Enabled Optimisation and Design Search.
Proceedings of the 11th IEEE International Symposium on High Performance Distributed Computing (HPDC-11 2002), 2002

XML for Visualization.
Proceedings of the Web and the Grid: from e-science to e-business. EuroWeb 2002 Conference, 2002

2000
Adjoint Recovery of Superconvergent Functionals from PDE Approximations.
SIAM Rev., 2000


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