A design approach is proposed to automatically identify and exploit runtime reconfiguration opportunities with optimised resource utilisation by eliminating idle functions. We introduce Reconfiguration Data Flow Graph, a hierarchical graph structure enabling reconfigurable designs to be synthesised in three steps: function analysis, configuration organisation, and runtime solution generation. The synthesised reconfigurable designs are dynamically evaluated and selected under various runtime conditions. Three applications—barrier option pricing, particle filter, and reverse time migration—are used in evaluating the proposed approach. The runtime solutions approximate their theoretical performance by eliminating idle functions and are 1.31 to 2.19 times faster than optimised static designs. FPGA designs developed with the proposed approach are up to 43.8 times faster than optimised CPU reference designs and 1.55 times faster than optimised GPU designs.

Many developing countries are suffering from air pollution, especially the Particulate Matter with diameter of 2.5 micrometers or less (PM2.5). While quite a few air quality monitoring stations have been built by governments in a city's public areas, the indoor PM2.5 has not yet been monitored and dealt with effectively. Though many office buildings have an HVAC (heating, ventilation, and air conditioning) system, PM2.5 is not considered as a factor when the system circulates fresh air from outdoors. This paper introduces a real system that we have deployed in the offices of four Microsoft campuses in China. This system instantly monitors indoor air quality on different floors of a building (including office areas, gyms, garages, and restaurants), enabling Microsoft employees to enquire the air quality of a place by using a mobile phone or checking a website. The information can guide a user's decision making, e.g., finding the right time to work out in the gym or turn on individual air filters in her own office. Through analyzing the indoor and outdoor air quality data collected over a long period, our system can even offer actionable and energy-efficient suggestion to HVAC systems, e.g., automatically turning on the system only a few hours earlier than usual if it is a heavily polluted day, or identifying the filters in HVAC system that should be renewed.

Finite-difference methods are computationally intensive and required by many applications. Parameters of a finite-difference algorithm, such as grid size, can be varied to generate design space which contains algorithm instances with different constant coefficients. An algorithm instance with specific coefficients can either be mapped into general operators to construct static designs, or be implemented as constant-specific operators to form dynamic designs, which require runtime reconfiguration to update algorithm coefficients. This article proposes a tuning method to explore the design space to optimise both the static and the dynamic designs, and an evaluation method to select the design with maximum overall throughput, based on algorithm characteristics, design properties, available resources and runtime data size. For benchmark applications option pricing and Reverse-Time Migration (RTM), over 50% reduction in resource consumption has been achieved for both static designs and dynamic designs, while meeting precision requirements. For a single hardware implementation, the RTM design optimised with the proposed approach is expected to run 1.8 times faster than the best published design. The tuned static designs run thousands of times faster than the dynamic designs for algorithms with small data size, while the tuned dynamic designs achieve up to 5.9 times speedup over the corresponding static designs for large-scale finite-difference algorithms.

A design approach is proposed to automatically identify and exploit run-time reconfiguration opportunities while optimising resource utilisation. We introduce Reconfiguration Data Flow Graph, a hierarchical graph structure enabling reconfigurable designs to be synthesised in three steps: function analysis, configuration organisation, and run-time solution generation. Three applications, based on barrier option pricing, particle filter, and reverse time migration are used in evaluating the proposed approach. The run-time solutions approximate the theoretical performance by eliminating idle functions, and are 1.31 to 2.19 times faster than optimised static designs. FPGA designs developed with the proposed approach are up to 28.8 times faster than optimised CPU reference designs and 1.55 times faster than optimised GPU designs.

A design approach is proposed to automatically identify and exploit run-time reconfiguration opportunities while optimising resource utilisation. We introduce Configuration Data Flow Graph, a hierarchical graph structure enabling reconfigurable designs to be synthesised in three steps: function analysis, configuration organisation, and run-time solution generation. Three applications, based on barrier option pricing, particle filter, and reverse time migration are used in evaluating the proposed approach. The run-time solutions approximate the theoretical performance by eliminating idle functions, and are 1.61 to 2.19 times faster than optimised static designs. FPGA designs developed with the proposed approach are up to 28.8 times faster than optimised CPU reference designs and 1.55 times faster than optimised GPU designs.

This paper introduces a novel mixed precision methodology applicable to any Monte Carlo (MC) simulation. It involves the use of data-paths with reduced precision, and the resulting errors are corrected by auxiliary sampling. An analytical model is developed for a reconfigurable accelerator system with a field-programmable gate array (FPGA) and a general purpose processor (GPP). Optimisation based on mixed integer geometric programming is employed for determining the optimal reduced precision and optimal resource allocation among the MC data-paths and correction datapaths. Experiments show that the proposed mixed precision methodology requires up to 11 % additional evaluations while less than 4 % of all the evaluations are computed in the reference precision; the resulting designs are up to 7.1 times faster and 3.1 times more energy efficient than baseline double precision FPGA designs, and up to 163 times faster and 170 times more energy efficient than quad-core software designs optimised with the Intel compiler and Math Kernel Library. Our methodology also produces designs for pricing Asian options which are 4.6 times faster and 5.5 times more energy efficient than NVIDIA Tesla C2070 GPU implementations.

This paper demonstrates a novel optimisation methodology to adjust stencil based numerical procedures from the algorithm level, so as to reduce not only the amount of hardware resource consumption per kernel but also the amount of computation required to achieve desired result accuracy, when mapping the algorithm to reconfigurable hardware using dynamic constant reconfiguration. As a result, less area is needed to support run-time reconfiguration, and less computational steps are required in the numerical procedure to obtain a result with given error tolerance. We analyse one thousand fixed point implementations on a Virtex-6 XC6VLX760 FPGA for randomly generated option pricing problems, which are representative of industrial computation. When comparing optimised implementations to the un-optimised ones, the reconfiguration area upper bound is reduced by 22%; the average number of computational steps is reduced by 23%; and the area-computation-time product is reduced by 40%; while the numerical errors of the results are kept below the error tolerant level used in industry.

Stencil computation is computationally intensive and required by many applications. This paper proposes an approach to exploit run-time reconfigurability of field-programmable accelerators for stencil computation. System throughput is optimized by partitioning, analysing and scheduling tasks in applications to remove idle functions. To evaluate the proposed approach, Reverse Time Migration (RTM), a high performance application, is developed. Our optimized runtime reconfigurable solution, which targets a Virtex-6 FPGA in a Maxeler MAX3424A system, can achieves an improved throughput of 102.8 GFlop/s, up to two orders of magnitude faster than the CPU reference designs, 1.59 times faster than the best published GPU and FPGA results, and 1.45 times faster than an optimized static implementation.

A number of different numerical methods for accelerating financial option pricing using FPGAs have recently been investigated, such as Monte-Carlo, finite-difference, quadrature, and binomial trees. However, these papers only compare acceleration of each method against the same method in software, and do not consider a more important practical question, which is to identify the method that provides the best FPGA performance for a given option pricing application, regardless of raw speed-up over software. This paper proposes a framework for comparing the performance of numerical option pricing methods using FPGAs, taking into account both speed (time to solution) and accuracy (quality of solution), and examines how the speed-accuracy trade-off curve varies for each method. We apply the framework to European and American option pricing problems using Virtex-4 parts, and show that the quadrature solver converges fastest for both European and American options, and is also the most accurate in terms of root mean squared error for European options. However, when very accurate American results are needed the finite-difference solver is the most efficient method. Our results also show that the Monte-Carlo solver is at least 100 times less accurate in log scale than those based on other pricing methodologies, this drawback outweighs its benefit of having large raw speed-ups found in previous papers.

Explicit finite difference method is widely used in finance for pricing many kinds of options. Its regular computational pattern makes it an ideal candidate for acceleration using reconfigurable hardware. However, because the corresponding hardware designs must be optimised both for the specific option and for the target platform, it is challenging and time consuming to develop designs efficiently and productively. This paper presents a unifying framework for describing and automatically implementing financial explicit finite difference procedures in reconfigurable hardware, allowing parallelised and pipelined implementations to be created from high-level mathematical expressions. The proposed framework is demonstrated using three option pricing problems. Our results show that an implementation from our framework targeting a Virtex-6 device at 310MHz is more than 24 times faster than a software implementation fully optimised by the Intel compiler on a four-core Xeron CPU at 2.66GHz. In addition, the latency of the FPGA solvers is up to 90 times lower than the corresponding software solvers.

This paper explores the application of reconfigurable hardware and graphics processing units (GPUs) to the acceleration of financial computation using the finite difference (FD) method. A parallel pipelined architecture has been developed to support concurrent valuation of independent options with high pricing throughput. Our FPGA implementation running at 106 MHz on an xc4vlx160 device demonstrates a speed up of 12 times over a Pentium 4 processor at 3.6 GHz in single-precision arithmetic; while the FPGA is 3.6 times slower than a Tesla C1060 240-Core GPU at 1.3 GHz, it is 9 times more energy efficient.

This article explores the application of reconfigurable hardware to the acceleration of financial computation using tree-based pricing models. Two parallel pipelined architectures have been developed for option valuation using binomial trees and trinomial trees, with support for concurrent evaluation of independent options to achieve high pricing throughput. Our results show that the tree-based models executing on a Virtex 4 field programmable gate array (FPGA) at 82.7 MHz with fixed-point arithmetic can run over 160 times faster than a Core2 Duo processor at 2.2 GHz. The FPGA implementation is two times faster than the nVidia Geforce 7900GTX processor with 24 pipelines at 650 MHz, and 27%--35% slower than the nVidia Geforce 8600GTS processor with 32 Pipelines at 1450 MHz. Our preliminary experiments also indicate that while an FPGA implementation can be slower than a GPU, it could be more efficient when power consumption is taken into account.