Research project in high performance computing

February 15, 2014 Andreas Lundell News

Professor Ralf Östermark’s research group has initiated a multi-disciplinary research project. The research is conducted as a doctoral program in financial accounting and optimization systems in accounting together with doctor of technology Eero Immonen. The Finnish network also consists of researchers from VTT Technical Research Centre of Finland, Thermal and Flow Engineering laboratory at ÅAU and Process Flow Ltd – one of the leading Finnish engineering firms specialized in process dynamics.

Ralf Östermark

Prof. Ralf Östermark

The research idea is to integrate the financial and technological dimensions of the firm using high performance computing (HPC) methodology. In particular, the technology – for example ship building, blast furnaces – is connected to the financial dimension in a multi-period setting using HPC. This integration allows quantification of the risk surface applying stochastic methodology (e.g. Monte Carlo Analysis, Value at Risk and Real Option theory). The multi-disciplinary research plan has been strongly recommended by leading Finnish and Swedish experts in accounting/finance, economics and engineering.

The computational HPC platform developed by prof. Östermark since 1999 is one of the corner stones of the research project. A number of cutting edge nonlinear programming algorithms, delivered by the leading research groups in USA and Germany and from IBM, have been connected as support libraries to the HPC platform. The system has been extensively tested in
difficult NLP, MINLP and GDP problems on single and parallel processors. The platform and its support libraries operate on the new massively parallel supercomputer Cray XC30 at CSC/Helsinki and in single processor mode at the Linux mainframe computer at ÅAU. Scalability has been demonstrated with all available processors on the Cray XC30.