Re: [Quantlib-dev] OpenMP - current usage in ql

[Luigi B. <lui...@gm...>]

Trees seem to fare better. On the BermudanSwaption example, the
elapsed time does halve on two cores (more or less). Peter, what do
you get on 4 or 8?
Also, there might be other factors that enter the equation (number of
cache lines, for example?)

Luigi


On Sun, Jun 15, 2014 at 10:20 PM, Piter Dias <pit...@pi...> wrote:
> Is there a chance of the test being too small? I remember that many years
> ago (during my Algorithmics days) we used to make tests as big as the client
> real portfolio in order to make server buying advices (mainly based on
> number of processors due to scenarios valuation).
>
> Would the speed-up factors significantly change if the base scenario runs
> for, lets say, 15 minutes? It would make fixed costs more negligible.
>
> Regards,
>
> _____________________
> Piter Dias
> pit...@pi...
> www.piterdias.com
>
>
>
>> Date: Sun, 15 Jun 2014 20:11:28 +0200
>> From: pca...@gm...
>> To: ja...@fr...
>> CC: joe...@gm...; qua...@li...;
>> lui...@gm...
>> Subject: Re: [Quantlib-dev] OpenMP - current usage in ql
>
>>
>> oh yes, my timings below are total CPU time rather than wall clock
>> time ( I usually measure the latter by just counting seconds in my
>> head ... ). That was unfair, sorry ! With the time command I get (for
>> the AmericanOptionTest)
>>
>> g++ -O3 -fopenmp
>>
>> OMP_NUM_THREADS=1 real = 1.925s
>> OMP_NUM_THREADS=2 real = 1.468s
>> OMP_NUM_THREADS=3 real = 1.590s
>> OMP_NUM_THREADS=4 real = 1.647s
>> OMP_NUM_THREADS=5 real = 1.780s
>> OMP_NUM_THREADS=6 real = 1.838s
>> OMP_NUM_THREADS=7 real = 2.081s
>> OMP_NUM_THREADS=8 real = 2.282s
>>
>> g++ -O3
>>
>> real = 1.638s
>>
>> still, the point is the same imo. WIth 8 cores I'd expect maybe a
>> speed-up factor of 4 to 6. What we instead see is something around 1
>> (often below 1 as it seems), so effectively all the additional cpu
>> time is eaten up by the overhead for multiple threads. That's not
>> worth it, is it ? I didn't try many optimizations with omp yet, but
>> what I see in "good" cases are the 4-6 above. I wouldn't parallelize
>> for much below.
>>
>> best regards
>> Peter
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>>
>> On 15 June 2014 17:18, <ja...@fr...> wrote:
>> > Hi,
>> > Have you tried to use only the 4 physical threads of your cpu? I dont
>> > use OpenMP but I use boost threads and hyperthreading does very weird
>> > things; one is that over 4 threads (in this case) scaling stops being
>> > linear, which makes sense. Luigi, your 2 cpus are physical, right?
>> > just a shot.
>> > Best
>> >
>> >
>> > ----- Original Message -----
>> >> Yes, the timing might be off. I suspect that the Boost timer is
>> >> reporting the total CPU time, that is, the sum of the actual time per
>> >> each CPU. On my box, if I run the BermudanSwaption example with
>> >> OpenMP
>> >> enabled, it outputs:
>> >>
>> >> Run completed in 2 m 35 s
>> >>
>> >> but if I call it through "time", I get an output like:
>> >>
>> >> real 1m19.767s
>> >> user 2m34.183s
>> >> sys 0m0.538s
>> >>
>> >> that is, total CPU time 2m34s, but real time 1m19s. Being the
>> >> untrusting individual that I am, I also timed it with a stopwatch.
>> >> The
>> >> elapsed time is actually 1m19s :)
>> >>
>> >> This said, I still see a little slowdown in the test cases Peter
>> >> listed. My times are:
>> >>
>> >> AmericanOptionTest: disabled 2.4s, enabled 3.4s (real time)
>> >> AsianOptionTest: disabled 10.6s, enabled 10.4s
>> >> BarrierOptionTest: disabled 4.9s, enabled 6.1s
>> >> DividendOptionTest: disabled 5.1s, enabled 6.5s
>> >> FdHestonTest: disabled 73.4s, enabled 76.8s
>> >> FdmLinearOpTest: disabled 11.4s, enabled 11.6s
>> >>
>> >> Not much, but a bit slower anyway. I've only got 2 CPUs though (and I
>> >> compiled with -O2). Peter, what do you get on your 8 CPUs if you run
>> >> the cases via "time"?
>> >>
>> >> Luigi
>> >>
>> >>
>> >>
>> >>
>> >>
>> >>
>> >>
>> >> On Sun, Jun 15, 2014 at 3:40 PM, Joseph Wang <joe...@gm...>
>> >> wrote:
>> >> >
>> >> > That's quite odd since OpenMP should not be causing such huge
>> >> > slowdowns.
>> >> >
>> >> > Since by default the items are not complied, I'd rather keep the
>> >> > pragma's
>> >> > there.
>> >> >
>> >> > Also is there any possibilities that the timing code is off?
>> >> >
>> >> >
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>> >>
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