Re: [Quantlib-users] Regarding OpenMP and Open MPI library support

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

Yes, by looking at the git logs most of the pragmas were commented out in
commit ed061df111; the one in lattice.hpp was restored in ec35ebde89.
This was in 2014, so probably with ancient versions of both the compilers
and openmp.
Vamshi, if you want to have a look, it would be useful to have an opinion
from someone that actually knows openmp.

Luigi


On Thu, Jan 6, 2022 at 9:25 PM Peter Caspers <pca...@gm...> wrote:

> Hi,
>
> in the past we saw that a "blind" usage of open mp does more harm than
> good, see
>
> https://sourceforge.net/p/quantlib/mailman/message/32461242/
>
> so we removed most of the pragmas. It seems that the omp pragma
> survived in lattice.hpp contrary to what is said in the mail thread, I
> don't remember if there is a good reason for that. Maybe something to
> review at some point. There are two more places, zabrsmilesection.hpp
> and gaussian1dswaptionengine.cpp where I think enabling openmp gives
> _some_ speedup although it's far from what you would hope for if I
> remember correctly.
>
> grep --include="*.?pp"  -nH --null -r -e "pragma omp" *
> ql/experimental/volatility/zabrsmilesection.hpp209:#pragma omp parallel for
> ql/methods/lattices/lattice.hpp169:        #pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp127:
>           //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp137:
>           //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp153:
>       //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp172:
>       //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp187:
>   //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp203:
>   //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp220:
>   #pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp238:
>   //#pragma omp parallel for
> ql/methods/finitedifferences/operators/triplebandlinearop.cpp260:
>   //#pragma omp parallel for
> ql/methods/finitedifferences/operators/ninepointlinearop.cpp147:
>  //#pragma omp parallel for
> ql/methods/finitedifferences/operators/ninepointlinearop.cpp191:
>  //#pragma omp parallel for
> ql/methods/finitedifferences/parallelevolver.hpp51:
> //#pragma omp parallel for
> ql/methods/finitedifferences/parallelevolver.hpp102:
> //#pragma omp parallel for
> ql/methods/finitedifferences/stepcondition.hpp48:            //#pragma
> omp parallel for
> ql/pricingengines/swaption/gaussian1dswaptionengine.cpp118:#pragma omp
> parallel for default(shared) firstprivate(p) if(expiry0>settlement)
>
> Thanks
> Peter
>
> On Thu, 6 Jan 2022 at 13:18, Jonathan Sweemer <sw...@gm...> wrote:
> >
> > Hi Vamshi,
> >
> > OpenMP is only wired into a few places in QuantLib so if your program
> doesn't use those specific code paths then you probably won't see much
> difference in terms of speed.
> >
> > Moreover, QuantLib is not thread safe in general, and wasn't
> specifically designed for thread-level parallelism. See Luigi's answer on
> Stack Overflow for more details: https://stackoverflow.com/a/47098133
> >
> > The good news is that you can use multiprocessing instead of
> multithreading with your HPC cluster to parallelize your jobs across cores
> and nodes.
> >
> >
> > On Thu, Jan 6, 2022 at 12:28 PM Vamshi Krishna <kri...@gm...>
> wrote:
> >>
> >> Hiii Users
> >>
> >> I am new in this group and new to quantlib. I come for HPC back ground.
> >>
> >> I have tried some examples program with openMP but no major performance
> gained.
> >>
> >> When I tried FinanceBench program which which have openMP functions and
> shown good performance on multi cores.
> >>
> >> I do not, I am do correctly or not.
> >>
> >> If any user could help me "how to use quantlib on multi cores and
> multiple node hpc cluster,  I will be thankful.
> >>
> >> Regards
> >> Vamshi Krishna
> >> _______________________________________________
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> >
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