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Search Results: 1 - 10 of 3333 matches for " Massimo Bernaschi "
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Parallel Quasi Exhaustive Search of Optimal Asset Allocation for Pension Funds  [PDF]
Massimo Bernaschi, Mauro Carrozzo, Matteo Lulli, Giacomo Piperno, Davide Vergni
American Journal of Operations Research (AJOR) , 2016, DOI: 10.4236/ajor.2016.65036
Abstract: We present a solution based on a suitable combination of heuristics and parallel processing techniques for finding the best allocation of the financial assets of a pension fund, taking into account all the specific rules of the fund. We compare the values of an objective function computed with respect to a large set (thousands) of possible scenarios for the evolution of the Net Asset Value (NAV) of the share of each asset class in which the financial capital of the fund is invested. Our approach does not depend neither on the model used for the evolution of the NAVs nor on the objective function. In particular, it does not require any linearization or similar approximations of the problem. Although we applied it to a situation in which the number of possible asset classes is limited to few units (six in the specific case), the same approach can be followed also in other cases by grouping asset classes according to their features.
A critical review of techniques for Term Structure analysis
Livio Marangio,Alessandro Ramponi,Massimo Bernaschi
Physics , 2000,
Abstract: Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior of such markets. For instance, a correct pricing of fixed income securities with fixed cache flows requires the knowledge of the {\it term structure} of interest rates. A number of techniques have been proposed for estimating and interpreting the term structure, yet solid theoretical foundations and a comparative assessment of the results produced by these techniques are not available. In this paper we define the fundamental concepts with a mathematical terminology. Besides that, we report about an extensive set of experiments whose scope is to point out the strong and weak points of the most widely used approaches in this field.
Mesoscopic simulation study of wall roughness effects in micro-channel flows of dense emulsions
Andrea Scagliarini,Mauro Sbragaglia,Massimo Bernaschi
Physics , 2014,
Abstract: We study the Poiseuille flow of a soft-glassy material above the jamming point, where the material flows like a complex fluid with Herschel- Bulkley rheology. Microscopic plastic rearrangements and the emergence of their spatial correlations induce cooperativity flow behavior whose effect is pronounced in presence of confinement. With the help of lattice Boltzmann numerical simulations of confined dense emulsions, we explore the role of geometrical roughness in providing activation of plastic events close to the boundaries. We probe also the spatial configuration of the fluidity field, a continuum quantity which can be related to the rate of plastic events, thereby allowing us to establish a link between the mesoscopic plastic dynamics of the jammed material and the macroscopic flow behaviour.
Highly optimized simulations on single- and multi-GPU systems of 3D Ising spin glass
Matteo Lulli,Massimo Bernaschi,Giorgio Parisi
Physics , 2014,
Abstract: We present a highly optimized implementation of a Monte Carlo (MC) simulator for the three-dimensional Ising spin-glass model with bimodal disorder, i.e., the 3D Edwards-Anderson model running on CUDA enabled GPUs. Multi-GPU systems exchange data by means of the Message Passing Interface (MPI). The chosen MC dynamics is the classic Metropolis one, which is purely dissipative, since the aim was the study of the critical off-equilibrium relaxation of the system. We focused on the following issues: i) the implementation of efficient access patterns for nearest neighbours in a cubic stencil and for lagged-Fibonacci-like pseudo-Random Numbers Generators (PRNGs); ii) a novel implementation of the asynchronous multispin-coding Metropolis MC step allowing to store one spin per bit and iii) a multi-GPU version based on a combination of MPI and CUDA streams. We highlight how cubic stencils and PRNGs are two subjects of very general interest because of their widespread use in many simulation codes. Our code best performances ~3 and ~5 psFlip on a GTX Titan with our implementations of the MINSTD and MT19937 respectively.
Parallel Distributed Breadth First Search on the Kepler Architecture
Mauro Bisson,Massimo Bernaschi,Enrico Mastrostefano
Computer Science , 2014,
Abstract: We present the results obtained by using an evolution of our CUDA-based solution for the exploration, via a Breadth First Search, of large graphs. This latest version exploits at its best the features of the Kepler architecture and relies on a combination of techniques to reduce both the number of communications among the GPUs and the amount of exchanged data. The final result is a code that can visit more than 800 billion edges in a second by using a cluster equipped with 4096 Tesla K20X GPUs.
Computational Immunology Meets Bioinformatics: The Use of Prediction Tools for Molecular Binding in the Simulation of the Immune System
Nicolas Rapin,Ole Lund,Massimo Bernaschi,Filippo Castiglione
PLOS ONE , 2012, DOI: 10.1371/journal.pone.0009862
Abstract: We present a new approach to the study of the immune system that combines techniques of systems biology with information provided by data-driven prediction methods. To this end, we have extended an agent-based simulator of the immune response, C-ImmSim, such that it represents pathogens, as well as lymphocytes receptors, by means of their amino acid sequences and makes use of bioinformatics methods for T and B cell epitope prediction. This is a key step for the simulation of the immune response, because it determines immunogenicity. The binding of the epitope, which is the immunogenic part of an invading pathogen, together with activation and cooperation from T helper cells, is required to trigger an immune response in the affected host. To determine a pathogen's epitopes, we use existing prediction methods. In addition, we propose a novel method, which uses Miyazawa and Jernigan protein–protein potential measurements, for assessing molecular binding in the context of immune complexes. We benchmark the resulting model by simulating a classical immunization experiment that reproduces the development of immune memory. We also investigate the role of major histocompatibility complex (MHC) haplotype heterozygosity and homozygosity with respect to the influenza virus and show that there is an advantage to heterozygosity. Finally, we investigate the emergence of one or more dominating clones of lymphocytes in the situation of chronic exposure to the same immunogenic molecule and show that high affinity clones proliferate more than any other. These results show that the simulator produces dynamics that are stable and consistent with basic immunological knowledge. We believe that the combination of genomic information and simulation of the dynamics of the immune system, in one single tool, can offer new perspectives for a better understanding of the immune system.
Modeling lymphocyte homing and encounters in lymph nodes
Valentina Baldazzi, Paola Paci, Massimo Bernaschi, Filippo Castiglione
BMC Bioinformatics , 2009, DOI: 10.1186/1471-2105-10-387
Abstract: In this paper, we present a hybrid discrete/continuous model of the lymph node, accounting for differences in cell velocity and chemotactic response, influenced by the spatial compartmentalization of the lymph node and the regulation of cells migration, encounter, and antigen presentation during the inflammation process.Our model reproduces the correct timing of an immune response, including the observed time delay between duplication of T helper cells and duplication of B cells in response to antigen exposure. Furthermore, we investigate the consequences of the absence of dendritic cells at different times during infection, and the dependence of system dynamics on the regulation of lymphocyte exit from lymph nodes. In both cases, the model predicts the emergence of an impaired immune response, i.e., the response is significantly reduced in magnitude. Dendritic cell removal is also shown to delay the response time with respect to normal conditions.Lymph nodes and Peyer's patches play key roles in the development of an appropriate and efficient immune response. Once an Antigen (Ag) is captured by Ag-processing cells, it is rapidly carried to the nearest lymph node, where it is presented to specific lymphocytes to trigger an immune response. The recognition phase must be highly efficient: within a few hours, it is necessary to find specific lymphocytes among a repertoire that includes a very large number of receptors [1,2]. The specific architecture of the lymph node and a fine-tuned balance between diffusion, chemotaxis, and receptor expression are the basis of this process.Human lymph nodes are bean-shaped structures that range in size from a few millimeters to about 1-2 cm in their normal state. Internally, two main regions can be distinguished: the medulla and the cortex. The cortex can be further divided into an inner part, the paracortex (also called the T cell area), rich in T lymphocytes and an outer area, the node cortex that includes the B cell area consisti
An Architecture for Distributed Dictionary Attacks to Cryptosystems
Massimo Bernaschi,Mauro Bisson,Emanuele Gabrielli,Simone Tacconi
Journal of Computers , 2009, DOI: 10.4304/jcp.4.5.378-386
Abstract: We describe a distributed computing platform to carry out large scale dictionary attacks against cryptosystems compliant to the OpenPGP standard. Moreover, we describe a simplified mechanism to quickly test passphrases that might protect a specified private key ring. Only passphrases that pass this test complete the (much more time consuming) full validation procedure. This approach greatly reduces the time required to test a set of possible passphrases.
Quantized biopolymer translocation through nanopores: departure from simple scaling
Simone Melchionna,Massimo Bernaschi,Maria Fyta,Efthimios Kaxiras,Sauro Succi
Physics , 2009, DOI: 10.1103/PhysRevE.79.030901
Abstract: We discuss multiscale simulations of long biopolymer translocation through wide nanopores that can accommodate multiple polymer strands. The simulations provide clear evidence of folding quantization, namely, the translocation proceeds through multi-folded configurations characterized by a well-defined integer number of folds. As a consequence, the translocation time acquires a dependence on the average folding number, which results in a deviation from the single-exponent power-law characterizing single-file translocation through narrow pores. The mechanism of folding quantization allows polymers above a threshold length (approximately $1,000$ persistence lengths for double-stranded DNA) to exhibit cooperative behavior and as a result to translocate noticeably faster.
Quantized current blockade and hydrodynamic correlations in biopolymer translocation through nanopores: evidence from multiscale simulations
Massimo Bernaschi,Simone Melchionna,Sauro Succi,Maria Fyta,Efthimios Kaxiras
Physics , 2008, DOI: 10.1021/nl073251f
Abstract: We present a detailed description of biopolymer translocation through a nanopore in the presence of a solvent, using an innovative multi-scale methodology which treats the biopolymer at the microscopic scale as combined with a self-consistent mesoscopic description for the solvent fluid dynamics. We report evidence for quantized current blockade depending on the folding configuration and offer detailed information on the role of hydrodynamic correlations in speeding-up the translocation process.
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