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[Quantlib-dev] 答复: 答复: Openmp work on mcarlo : Dynamic Creator MT
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From: cheng l. <scr...@gm...> - 2014-09-17 01:26:54
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Thanks Peter. I test on Ubuntu also, about 3~4X lower with -O2 optiomization.
I'll try -O3 on my machine also with Ubuntu.
Regards,
Cheng
-----邮件原件-----
发件人: Peter Caspers [mailto:pca...@gm...]
发送时间: 2014年9月17日 0:32
收件人: Cheng Li; QuantLib Mailing Lists
主题: Re: 答复: [Quantlib-dev] Openmp work on mcarlo : Dynamic Creator MT
Hi Cheng,
indeed with msvc I get a slow down with a factor of ~2.8x. As I said, under gcc it is a speed up ~ 0.8x (with -O3).
Does anyone have an idea where the different behaviour under gcc / linux and msvc might come from (and how to improve the msvc side if
possible) ?
Kind regards
Peter
On 13 September 2014 08:27, Cheng Li <scr...@gm...> wrote:
> Thanks Peter.
>
> Regards,
> Cheng
>
> 发自我的 iPad
>
>> 在 2014年9月13日，13:29，Peter Caspers <pca...@gm...> 写道：
>>
>> I will have a look on monday ( I have a Windows machine at work ) and
>> see how it works there
>>
>> Thanks
>> Peter
>>
>> Von meinem iPhone gesendet
>>
>>> Am 13.09.2014 um 04:41 schrieb Cheng Li <scr...@gm...>:
>>>
>>> I am on Win7 x64bit, using vs 2012 with quantlib 1.4 boost 1.55
>>> under release mode
>>>
>>> 发自我的 iPad
>>>
>>>> 在 2014年9月13日，0:08，Peter Caspers <pca...@gm...> 写道：
>>>>
>>>> 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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>>>>>> stg.c lktrk _______________________________________________
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>>>>>
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