From Finance to Flip Flops: A Study of Fast Quasi-Monte Carlo Methods from Computational Finance Applied to Statistical Circuit Analysis

Amith Singhee and Rob Rutenbar
Carnegie Mellon University


Abstract

Problems in computational finance share many of the characteristics that challenge us in statistical circuit analysis: high dimensionality, profound nonlinearity, stringent accuracy requirements, and expensive sample simulation. We offer a detailed experimental study of how one celebrated technique from this domain -- Quasi-Monte Carlo (QMC) analysis -- can be used for fast statistical circuit analysis. In contrast with traditional pseudo-random Monte Carlo sampling, QMC substitutes a (shorter) sequence of deterministically chosen sample points. Across a set of digital and analog circuits, in 90nm and 45nm technologies, varying in size from 30 to 400 devices, we obtain speedups in parametric yield estimation from 2X to 50X.