[Pympi-users] Mpi and mpi.allreduce inside a function

[Julian C. <rjc...@cs...>]

I m confused about the semantics of using mpi inside a python function

The inline [non-function] code fragment might look like this (ignoring
random number initialisation)
------------------------------------------------------------------
# start simulation on 10 cpu's, where each cpu only does 1/10 of simulations
MCprice = 0.0
StPayoff  = 0.0
Sum = 0.0

for i in range(1,nSims/mpi.size):
    St = Spot
    for j in range(1,nSteps):
        MCprice = ltqnorm(rmpi.random())
        St = St * math.exp(Drift + vSqrdt * MCprice)
    StPayoff = CalcCallPayoff(St,Strike)
    Sum = Sum + StPayoff

GSum = mpi.allreduce(Sum,mpi.SUM)

if mpi.rank == 0:
    price = GSum/nSims
    pv = math.exp(-(rf*q/yr2))
    price = pv * price
------------------------------------------------------------------
The next obvious thing is to put it into a function e.g.

def CalculateMcPrice(nSims,nSteps, Spot, Strike, Drift , vSqrdt )
    # inside the function, same code exists, except at the end you have the
return statement
    ...
    return price

but in mpi where is the mpi.allreduce statement placed?

Would it have to be something like:

GSum = mpi.allreduce(CalculateMcPrice(nSims,nSteps, Spot, Strike, Drift ,
vSqrdt ),mpi.SUM)
GPrice = GSum/nSims

or simply?

Local_price = CalculateMcPrice(nSims,nSteps, Spot, Strike, Drift , vSqrdt )
GSum = mpi.allreduce(Local_price, mpi.SUM)
GPrice = GSum/nSims

tks

Julian Cook