research-article

An embedded DSL for stochastic processes: research article

Authors:

Michael Flænø Werk,

Joakim Ahnfelt-Rønne,

Ken Friis LarsenAuthors Info & Claims

FHPC '12: Proceedings of the 1st ACM SIGPLAN workshop on Functional high-performance computing

Pages 93 - 102

https://doi.org/10.1145/2364474.2364488

Published: 15 September 2012 Publication History

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Abstract

We present a domain specific language embedded in Haskell for specifying stochastic processes, called SPL;. It is designed with the goal of matching the notation used in mathematical finance, where the price of a financial contract is specified using stochastic processes and distributions.

SPL; is declarative in the sense that it is agnostic of the choice of discretization and of the computational model. We provide an implementation of SPL; that performs Monte Carlo simulation using GPGPU, and we present data indicating that this gives a 100x speedup compared to hand-written sequential C, and that the speedup scales linearly with the number of available cores.

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Cited By

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Matsuda KFrohlich SWang MWu N(2023)Embedding by UnembeddingProceedings of the ACM on Programming Languages10.1145/36078307:ICFP(1-47)Online publication date: 31-Aug-2023
https://dl.acm.org/doi/10.1145/3607830
Zucker Jd'Leeuwen MMarkham APowles JWalsh TWashington A(2020)ArbiterProceedings of the AAAI/ACM Conference on AI, Ethics, and Society10.1145/3375627.3375858(421-425)Online publication date: 7-Feb-2020
https://dl.acm.org/doi/10.1145/3375627.3375858
Henriksen TLarsen KOancea CElsman MGrelck CKlöckner APadua D(2016)Design and GPGPU performance of Futhark's redomap constructProceedings of the 3rd ACM SIGPLAN International Workshop on Libraries, Languages, and Compilers for Array Programming10.1145/2935323.2935326(17-24)Online publication date: 2-Jun-2016
https://dl.acm.org/doi/10.1145/2935323.2935326
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Index Terms

An embedded DSL for stochastic processes: research article
1. Applied computing
  1. Enterprise computing
2. Software and its engineering
  1. Software notations and tools
    1. Compilers
      1. Source code generation
    2. General programming languages
      1. Language features
      2. Language types
        Functional languages

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Information

Published In

FHPC '12: Proceedings of the 1st ACM SIGPLAN workshop on Functional high-performance computing

September 2012

110 pages

ISBN:9781450315777

DOI:10.1145/2364474

Program Chairs:
Andrzej Filinski
University of Copenhagen, Denmark
,
Clemens Grelck
University of Amsterdam, Netherlands

Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

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Association for Computing Machinery

New York, NY, United States

Publication History

Published: 15 September 2012

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ICFP'12

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SIGPLAN

ICFP'12: ACM SIGPLAN International Conference on Functional Programming

September 15, 2012

Copenhagen, Denmark

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Overall Acceptance Rate 18 of 25 submissions, 72%

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ICFP '25

Sponsor:
sigplan

ACM SIGPLAN International Conference on Functional Programming

October 12 - 18, 2025

Singapore , Singapore

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Cited By

View all

Matsuda KFrohlich SWang MWu N(2023)Embedding by UnembeddingProceedings of the ACM on Programming Languages10.1145/36078307:ICFP(1-47)Online publication date: 31-Aug-2023
https://dl.acm.org/doi/10.1145/3607830
Zucker Jd'Leeuwen MMarkham APowles JWalsh TWashington A(2020)ArbiterProceedings of the AAAI/ACM Conference on AI, Ethics, and Society10.1145/3375627.3375858(421-425)Online publication date: 7-Feb-2020
https://dl.acm.org/doi/10.1145/3375627.3375858
Henriksen TLarsen KOancea CElsman MGrelck CKlöckner APadua D(2016)Design and GPGPU performance of Futhark's redomap constructProceedings of the 3rd ACM SIGPLAN International Workshop on Libraries, Languages, and Compilers for Array Programming10.1145/2935323.2935326(17-24)Online publication date: 2-Jun-2016
https://dl.acm.org/doi/10.1145/2935323.2935326
Andreetta CBégot VBerthold JElsman MHenglein FHenriksen TNordfang MOancea C(2016)FinParACM Transactions on Architecture and Code Optimization10.1145/289835413:2(1-27)Online publication date: 27-Jun-2016
https://dl.acm.org/doi/10.1145/2898354
Harrington CDahl NSestoft PChristiansen DBerthold JSheeran MNewton R(2014)Pension reserve computations on GPUsProceedings of the 3rd ACM SIGPLAN workshop on Functional high-performance computing10.1145/2636228.2636230(3-10)Online publication date: 3-Sep-2014
https://dl.acm.org/doi/10.1145/2636228.2636230

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On the Efficacy of a Fused CPU+GPU Processor (or APU) for Parallel Computing

Expressive array constructs in an embedded GPU kernel programming language

Twin peaks: a software platform for heterogeneous computing on general-purpose and graphics processors