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Articles 1 - 7 of 7
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Software Support For Irregular And Loosely Synchronous Problems, Alok Choudhary, Geoffrey C. Fox, Sanja Ranka, Seema Hiranandani
Software Support For Irregular And Loosely Synchronous Problems, Alok Choudhary, Geoffrey C. Fox, Sanja Ranka, Seema Hiranandani
Northeast Parallel Architecture Center
A large class of scientific and engineering applications may be classified as irregular and loosely synchronous from the perspective of parallel processing. We present a partial classification of such problems. This classification has motivated us to enhance Fortran D to provide language support for irregular, loosely synchronous problems. We present techniques for parallelization of such problems in the context of Fortran D.
Software Issues And Performance Of A Parallel Model For Stock Option Pricing, Kim Mills, Gang Cheng, Michael Vinson, Sanjay Ranka
Software Issues And Performance Of A Parallel Model For Stock Option Pricing, Kim Mills, Gang Cheng, Michael Vinson, Sanjay Ranka
Northeast Parallel Architecture Center
The finance industry is beginning to adopt parallel computing for numerical computation, and will soon be in a position to use parallel supercomputers. This paper examines software issues and performance of a stock option pricing model running on the Connection Machine-2 and DECmpp-12000. Pricing models incorporating stochastic volatility with American call (early exercise) are computationally intensive and require substantial communication. Three parallel versions of a stock option pricing model were developed which varied in data distribution, load balancing, and communication. The performance of this set of increasingly refined models ranged over no improvement, 10 times, and 100 times faster than …
Scheduling Regular And Irregular Communication Patterns On The Cm-5, Ravi Ponnusamy, Rajeev Thakur, Alok Choudhary, Geoffrey C. Fox
Scheduling Regular And Irregular Communication Patterns On The Cm-5, Ravi Ponnusamy, Rajeev Thakur, Alok Choudhary, Geoffrey C. Fox
Northeast Parallel Architecture Center
In this paper, we study the communication characteristics of the CM-5 and the performance effects of scheduling regular and irregular communication patterns on the CM-5. We consider the scheduling of regular communication patterns such as complete exchange and broadcast. We have implemented four algorithms for complete exchange and studied their performances on a 2D FFT algorithm. We have also implemented four algorithms for scheduling irregular communication patterns and studied their performance on the communication patterns of several synthetic as well as real problems such as the conjugate gradient solver and the Euler solver.
A Large Scale Comparison Of Option Pricing Models With Historical Market Data, Kim Mills, Michael Vinson, Gang Cheng
A Large Scale Comparison Of Option Pricing Models With Historical Market Data, Kim Mills, Michael Vinson, Gang Cheng
Northeast Parallel Architecture Center
A set of stock option pricing models are implemented on the Connection Machine-2 and the DECmpp-12000 to compare model prices and historical market data. Improved models, which incorporate stochastic volatility with American call generally have smaller pricing errors than simpler models which are based on constant volatility and European call. In a refinement of the comparison between model and market prices, a figure of merit based on the bid/ask spread in the market, and the use of optimization techniques for model parameter estimation, are evaluated. Optimization appears to hold great promise for improving the accuracy of existing pricing models, especially …
Which Applications Can Use High Performance Fortran And Fortran-D: Industry Standard Data Parallel Languages?, Alok Choudhary, Geoffrey C. Fox, Tomasz Haupt, S. Ranka
Which Applications Can Use High Performance Fortran And Fortran-D: Industry Standard Data Parallel Languages?, Alok Choudhary, Geoffrey C. Fox, Tomasz Haupt, S. Ranka
Northeast Parallel Architecture Center
In this paper, we present the first, preliminary results of HPF/Fortran-D language analysis based on compiling and running benchmark applications using a prototype implementation of HPF/Fortran-D compiler. The analysis indicate that the HPF is a very convenient tool for programming many applications on massively parallel and/or distributed systems. In addition, we cumulate experience on how to parallelize irregular problems to extend the scope of Fortran-D beyond HPF and suggest future extensions to the Fortran standard.
Lessons From Massively Parallel Applications On Message Passing Computers, Geoffrey C. Fox
Lessons From Massively Parallel Applications On Message Passing Computers, Geoffrey C. Fox
Northeast Parallel Architecture Center
We review a decade's work on message passing MIMD parallel computers in the areas of hardware, software and applications. We conclude that distributed memory parallel computing works, and describe the implications of this for future portable software systems.
Compiling Distribution Directives In A Fortran 90d Compiler, Zeki Bozkus, Alok Choudhary, Geoffrey C. Fox, Sanjay Ranka
Compiling Distribution Directives In A Fortran 90d Compiler, Zeki Bozkus, Alok Choudhary, Geoffrey C. Fox, Sanjay Ranka
Northeast Parallel Architecture Center
Data Partitioning and mapping is one of the most important steps of in writing a parallel program; especially data parallel one. Recently, Fortran D, and subsequently, High Performance Fortran (HPF) have been proposed to allow users to specify data distributions and alignments for arrays in programs. This paper presents the design of a Fortran 90D compiler that takes a Fortran 90D program as input and produces a node program + message passing calls for distributed memory machines. Specifically, we present the design of the Data Partitioning Module that processes the alignment and distribution directives and illustrate what are the important …