MONTE CARLO SIMULATION PARALLEL PROCESSING SYSTEM, METHOD, PROGRAM AND RECORDING MEDIUM

摘要

PROBLEM TO BE SOLVED: To accelerate parallel processing using Monte Carlo simulation. SOLUTION: When dividing Monte Carlo simulation by the number of the times of simulation, parallel processing is performed including the generation of a random number. Namely, the random number is generated in the first and second processes 11a and 12a of respective server No.1 device 11 and server No.2 device. In addition, in consideration of a processing time for generating extra random numbers in the second process 12a in this case, the number of the times of simulation to be shared by the first and second processes 11a and 12a is adjusted. For example, the first process 11a takes the charge of 10 to 600 thousands of times of simulation and the second process 12a takes the charge of 600 thousands to one million of times of simulation.