Applying the ratio-of-uniforms method for generating random variates results in very efficient, fast and easy to implement algorithms. However parameters for every particular type of density must be precalculated analytically. In this paper we show, that the ratio-of-uniforms method is also useful for the design of a black-box algorithm suitable for a large class of distributions, including all with log-concave densities. Using polygonal envelopes and squeezes results in an algorithm that is extremely fast. In opposition to any other ratio-of-uniforms algorithm the expected number of uniform random numbers is less than two. Furthermore we show that this method is in some sense equivalent to transformed density rejection. (author's abstract) / Series: Preprint Series / Department of Applied Statistics and Data Processing

Monte Carlo simulations are embarrassingly parallel in nature, so having a parallel and efficient random number generator becomes crucial. To have a parallel generator with uncorrelated processors, parallelization methods are implemented together with a binary tree mapping. Although, this method has considerable advantages, because of the constraints arising from the binary tree structure, a situation defined as problem of falling off the tree occurs. In this thesis, a new spawning method that is based on binary tree traversal and new spawn processor appointment is proposed to use when falling off the tree problem is encountered. With this method, it is seen that, spawning operation becomes more costly but the independency of parallel processors is guaranteed. In Monte Carlo simulations, random number generation time should be unperceivable when compared with the execution time of the whole simulation. That is why / linear congruential generators with Mersenne prime moduli are used. In highly branching Monte Carlo simulations, cost of parameterization also gains importance and it becomes reasonable to consider other types of primes or other parallelization methods that provide different balance between parameterization cost and random number generation cost. With this idea in mind, in this thesis, for improving performance of linear congruential generators, two approaches are proposed. First one is using Sophie-Germain primes as moduli and second one is using a hybrid method combining both parameterization and splitting techniques. Performance consequences of Sophie-Germain primes over Mersenne primes are shown through graphics. It is observed that for some cases proposed approaches have better performance consequences.

The device-independent (DI) framework is a novel approach to quantum information science which exploits the nonlocality of quantum physics to certify the correct functioning of a quantum information processing task without relying on any assumption on the inner workings of the devices performing the task. This thesis focuses on the device-independent certification and generation of true randomness for cryptographic applications. The existence of such true randomness relies on a fundamental relation between the random character of quantum theory and its nonlocality, which arises in the context of Bell tests. Device-independent randomness generation (DIRG) and quantum key distribution (DIQKD) protocols usually evaluate the produced randomness (as measured by the conditional min-entropy) as a function of the violation of a given Bell inequality. However, the probabilities characterising the measurement outcomes of a Bell test are richer than the degree of violation of a single Bell inequality. In this work we show that a more accurate assessment of the randomness present in nonlocal correlations can be obtained if the value of several Bell expressions is simultaneously taken into account, or if the full set of probabilities characterising the behaviour of the device is considered. As a side result, we show that to every behaviour there corresponds an optimal Bell expression allowing to certify the maximal amount of DI randomness present in the correlations. Based on these results, we introduce a family of protocols for DIRG secure against classical side information that relies on the estimation of an arbitrary number of Bell expressions, or even directly on the experimental frequencies of the measurement outcomes. The family of protocols we propose also allows for the evaluation of randomness from a subset of measurement settings, which can be advantageous when considering correlations for which some measurement settings result in more randomness than others. We provide numerical examples illustrating the advantage of this method for finite data, and show that asymptotically it results in an optimal generation of randomness from experimental data without having to assume beforehand that the devices violate a specific Bell inequality. / L'approche indépendante des appareils ("device-independent" en anglais) est une nouvelle approche en informatique quantique. Cette nouvelle approche exploite la non-localité de la physique quantique afin de certifier le bon fonctionnement d'une tâche sans faire appel à des suppositions sur les appareils menant à bien cette tâche. Cette thèse traite de la certification et la génération d'aléa indépendante des appareils pour des applications cryptographiques. L'existence de cet aléa repose sur une relation fondamentale entre le caractère aléatoire de la théorie quantique et sa non-localité, mise en lumière dans le cadre des tests de Bell. Les protocoles de génération d'aléa et de distribution quantique de clés indépendants des appareils mesurent en général l'aléa produit en fonction de la violation d'une inégalité de Bell donnée. Cependant les probabilités qui caracterisent les résultats de mesures dans un test de Bell sont plus riches que le degré de violation d'une seule inégalité de Bell. Dans ce travail nous montrons qu'une évaluation plus exacte de l'aléa présent dans les corrélations nonlocales peut être faite si l'on tient compte de plusieurs expressions de Bell à la fois ou de l'ensemble des probabilités (ou comportement) caractérisant l'appareil testé. De plus nous montrons qu'à chaque comportement correspond une expression de Bell optimale permettant de certifier la quantité maximale d'aléa présente dans ces corrélations. À partir de ces resultats, nous introduisons une famille de protocoles de génération d'aléa indépendants des appareils, sécurisés contre des adversaires classiques, et reposant sur l'évaluation de l'aléa à partir d'un nombre arbitraire d'expressions de Bell, ou même à partir des fréquences expérimentales des résultats de mesure. Les protocoles proposés permettent aussi d'évaluer l'aléa à partir d'un sous-ensemble de choix de mesure, ce qui peut être avantageux lorsque l'on considère des corrélations pour lesquelles certains choix de mesure produisent plus d'aléa que d'autres. Nous fournissons des exemples numériques illustrant l'avantage de cette méthode pour des données finies et montrons qu'asymptotiquement cette méthode résulte en un taux de génération d'aléa optimal à partir des données expérimentales, sans devoir supposer à priori que l'expérience viole une inégalité de Bell spécifique. / Doctorat en Sciences / info:eu-repo/semantics/nonPublished

No mercado financeiro, a precificação de contratos complexos muitas vezes apoia-se em técnicas de simulação numérica. Estes métodos de precificação geralmente apresentam baixo desempenho devido ao grande custo computacional envolvido, o que dificulta a análise e a tomada de decisão por parte do trader. O objetivo deste trabalho é apresentar uma ferramenta de alto desempenho para a precificação de instrumentos financeiros baseados em simulações numéricas. A proposta é construir uma calculadora eficiente para a precificação de opções multivariadas baseada no método de Monte Carlo, utilizando a plataforma CUDA de programação paralela. Serão apresentados os conceitos matemáticos que embasam a precificação risco-neutra, tanto no contexto univariado quanto no multivariado. Após isso entraremos em detalhes sobre a implementação da simulação Monte Carlo e a arquitetura envolvida na plataforma CUDA. No final, apresentaremos os resultados obtidos comparando o tempo de execução dos algoritmos. / In the financial market, the pricing of complex contracts often relies on numerical simulation techniques. These pricing methods generally present poor performance due to the large computational cost involved, which makes it difficult for the trader to analyze and make decisions. The objective of this work is to present a high performance tool for the pricing of financial instruments based on numerical simulations. The proposal is to present an efficient calculator for the pricing of multivariate options based on the Monte Carlo method, using the parallel programming CUDA platform. The mathematical concepts underlying risk-neutral pricing, both in the univariate and in the multivariate context, will be presented. After this we will detail the implementation of the Monte Carlo simulation and the architecture involved in the CUDA platform. At the end, we will present the results obtained comparing the execution time of the algorithms.

La sociedad actual demanda cada vez más aplicaciones computacionalmente exigentes y que se implementen de forma energéticamente eficiente. Esto obliga a la industria del semiconductor a mantener una continua progresión de la tecnología CMOS. No obstante, los expertos vaticinan que el fin de la era de la progresión de la tecnología CMOS se acerca, puesto que se prevé que alrededor del 2020 la tecnología CMOS llegue a su límite. Cuando ésta llegue al punto conocido como “Red Brick Wall”, las limitaciones físicas, tecnológicas y económicas no harán viable el proseguir por esta senda. Todo ello ha motivado que a lo largo de la última década tanto instituciones públicas como privadas apostasen por el desarrollo de soluciones tecnológicas alternativas como es el caso de la nanotecnología (nanotubos, nanohilos, tecnologías basadas en el grafeno, etc.). En esta tesis planteamos una solución alternativa para poder afrontar algunos de los problemas computacionalmente exigentes. Esta solución hace uso de la tecnología CMOS actual sustituyendo la forma de computación clásica desarrollada por Von Neumann por formas de computación no convencionales. Éste es el caso de las computaciones basadas en lógicas pulsantes y en especial la conocida como computación estocástica, la cual proporciona un aumento de la fiabilidad y del paralelismo en los sistemas digitales. En esta tesis se presenta el desarrollo y evaluación de todo un conjunto de bloques computacionales estocásticos implementados mediante elementos digitales clásicos. A partir de estos bloques se proponen diversas metodologías computacionalmente eficientes que mediante su uso permiten afrontar algunos problemas de computación masiva de forma mucho más eficiente. En especial se ha centrado el estudio en los problemas relacionados con el campo del reconocimiento de patrones. / Today's society demands the use of applications with a high computational complexity that must be executed in an energy-efficient way. Therefore the semiconductor industry is forced to maintain the CMOS technology progression. However, experts predict that the end of the age of CMOS technology progression is approaching. It is expected that at 2020 CMOS technology would reach the point known as "Red Brick Wall" at which the physical, technological and economic limitations of CMOS technology will be unavoidable. All of this has caused that over the last decade public and private institutions has bet by the development of alternative technological solutions as is the case of nanotechnology (nanotubes, nanowires, graphene, etc.). In this thesis we propose an alternative solution to address some of the computationally exigent problems by using the current CMOS technology but replacing the classical computing way developed by Von Neumann by other forms of unconventional computing. This is the case of computing based on pulsed logic and especially the stochastic computing that provide a significant increase of the parallelism and the reliability of the systems. This thesis presents the development and evaluation of different stochastic computing methodologies implemented by digital gates. The different methods proposed are able to face some massive computing problems more efficiently than classical digital electronics. This is the case of those fields related to pattern recognition, which is the field we have focused the main part of the research work developed in this thesis.

Quantum cryptography is arguably the most successfully applied area of quantum information theory. In this work, We invsetigate the role of quantum indistinguishability in random number generation, quantum temporal correlations, quantum nonlocality and counterfactuality for quantum cryptography. We study quantum protocols for key distribution, and their security in the conventional setting, in the counterfactual paradigm, and finally also in the device-independent scenario as applied to prepare-and-measure schemes. We begin with the interplay of two essential non-classical features like quantum indeterminism and quantum indistinguishability via a process known as bosonic stimulation is discussed. It is observed that the process provides an efficient method for macroscopic extraction of quantum randomness. Next, we propose two counterfactual cryptographic protocols, in which a secret key bit is generated even without the physical transmission of a particle. The first protocol is semicounterfactual in the sense that only one of the key bits is generated using interaction-free measurement. This protocol departs fundamentally from the original counterfactual key distribution protocol in not encoding secret bits in terms of photon polarization. We discuss how the security in the protocol originates from quantum single-particle non-locality. The second protocol is designed for the crypto-task of certificate authorization, where a trusted third party authenticates an entity (e.g., bank) to a client. We analyze the security of both protocols under various general incoherent attack models. The next part of our work includes study of quantum temporal correlations. We consider the use of the Leggett-Garg inequalities for device-independent security appropriate for prepare-and-measure protocols subjected to the higher dimensional attack that would completely undermine standard BB84. In the last part, we introduce the novel concept of nonlocal subspaces constructed using the graph state formalism, and propose their application for quantum information splitting. In particular, we use the stabilizer formalism of graph states to construct degenerate Bell operators, whose eigenspace determines the nonlocal subspace, into which a quantum secret is encoded and shared among an authorized group of agents, or securely transmitted to a designated secret retriever. The security of our scheme arises from the monogamy of quantum correlations. The quantum violation of the Bell-type inequality here is to its algebraic maximum, making this approach inherently suitable for the device-independent scenario.