Re: [Quantlib-dev] 答复: Openmp work on mcarlo : Dynamic Creator MT

[Peter C. <pca...@gm...>]

Hi Cheng,

no, I get better timings with the dcmt implementation, e.g. for 1E8 numbers

dcmt 0.982s
quantlib 1.159s

on my computer. Can you post your platform and compiler settings, so
that I can try to reproduce ?

Thanks
Peter

On 12 September 2014 05:29, cheng li <scr...@gm...> wrote:
> Hi Peter,
>
> I have used your wrapper dcmt library and test with following codes: It
> seems dcmt in single thread is 4X slower than the QL original MT. Is this
> consistent with your side?
>
> #include <ql/quantlib.hpp>
> #include <boost/timer.hpp>
> #include <iostream>
>
> using namespace QuantLib;
> using namespace std;
>
> int main() {
>
>         int samples;
>         cin >> samples;
>         boost::timer myTimer;
>
>         MersenneTwisterUniformRng orignalMT;
>         for(Size i=0; i<samples; ++i)
>                 orignalMT.next();
>
>         cout << myTimer.elapsed() << endl;
>
>         myTimer.restart();
>
>         MersenneTwisterDynamicRng mt( mtdesc_0_8_19937[5] , 1);
>
>         for(Size i=0; i<samples; ++i) {
>                 mt.next();
>         }
>
>         cout << myTimer.elapsed() << endl;
>
>         int n;
>         std::cin>>n;
>         return 0;
> }
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Peter Caspers [mailto:pca...@gm...]
> 发送时间: 2014年9月6日 20:48
> 收件人: Joseph Wang
> 抄送: QuantLib Mailing Lists
> 主题: Re: [Quantlib-dev] Openmp work on mcarlo : Dynamic Creator MT
>
> Hi Joseph, all,
>
> I added a wrapper for the dcmt library (Dynamic Creator of Mersenne
> Twisters).
>
> https://github.com/lballabio/quantlib/pull/132
>
> I guess this is a useful building block for multithreaded monte carlo.
> Since for bigger p the dynamic creation takes a long time (it feels more
> like mining than computing ...), I precomputed 8 independent instances (i.e.
> for use in at most 8 parallel threads), for the "standard" value p = 19937
> and word size 32, which one can instantiate with
>
> MersenneTwisterDynamicRng mt( mtdesc_0_8_19937[i] , seed_i );
>
> for i = 0, ... , 7.
>
> In addition the speed of random number generation seems a bit faster in the
> dcmt library than with the original ql twister. I observe running times
> scaled by a factor of 0.8 when generating 1E8 numbers.
>
> All this is of course experimental and not well tested, so any feedback and
> experiences are very welcome. I'd be very interested in your opinion on the
> dcmt library and applications in parallel monte carlo.
>
> Peter
>
> On 20 October 2013 16:01, Joseph Wang <joe...@gm...> wrote:
>> I've done some more parallelization with openmp and quantlib.  I've
>> uploaded the changes to the https://github.com/joequant/quantlib.  The
>> branch openmp has some changes that I've issued a pull-request for.
>> openmp-mcario has some changes that need some more work.
>>
>> I've gotten the MC to work by generating the paths in a critical
> situation.
>> Calculating the prices once I have the path is multithreaded, but
>> right now I need to generate the paths in a single thread to make sure
>> that the same sequence is generated.
>>
>> The big issue right now is that there is a race condition in the
>> calculation of barrier options which is causing one regression test to
>> fail.  The problem is that the random number generator is being called
>> in BarrierPathPricer, and since that is run multithread, the sequence
>> that is being pulled will change from run to run based on whether
>> other paths have pulled random numbers already.
>>
>> I think that fixing this is going to need some code restructuring, but
>> I'd like to get some thoughts as to how to do this.  Basically, the
>> interface needs to be changed slightly so that the random numbers are
>> drawn in a fixed order, and that might mean one call to get any
>> additional random numbers in a pricer, which gets called in a critical
>> section, and another to run the pricer with the random numbers.
>>
>>
>>
>>
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>
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