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With Cloud Computing and multi-core CPUs parallel computing resources are becoming more and more affordable and commonly available. Parallel programming should as well be easily accessible for everyone. Unfortunately, existing frameworks and systems are powerful but often very complex to use for anyone who lacks the knowledge about underlying concepts. This paper introduces a software framework and execution environment whose objective is to provide a system which should be easily usable for everyone who could benefit from parallel computing. Some real-world examples are presented with an explanation of all the steps that are necessary for computing in a parallel and distributed manner.
Noisy optimization. A theoretical strategy comparison of ES, EGS, SPSA & IF on the noisy sphere
(2011)
Stress testing is part of today’s bank risk management and often required by the governing regulatory authority. Performing such a stress test with stress scenarios derived from a distribution, instead of pre-defined expert scenarios, results in a systematic approach in which new severe scenarios can be discovered. The required scenario distribution is obtained from historical time series via a Vector-Autoregressive time series model. The worst-case search, i.e. finding the scenario yielding the most severe situation for the bank, can be stated as an optimization problem. The problem itself is a constrained optimization problem in a high-dimensional search space. The constraints are the box constraints on the scenario variables and the plausibility of a scenario.
The latter is expressed by an elliptic constraint. As the evaluation of the stress scenarios is performed with a simulation tool, the optimization problem can be seen as black-box optimization problem. Evolution Strategy, a well-known optimizer for black-box problems, is applied here. The necessary adaptations to the algorithm are explained and a set of different algorithm design choices are investigated. It is shown that a simple box constraint handling method, i.e. setting variables which violate a box constraint to the respective boundary of the feasible domain, in combination with a repair of implausible scenarios provides good results.