Re: Openmp work on mcarlo

Posted by Michael Sharpe on Oct 21, 2013; 6:53pm
URL: http://quantlib.414.s1.nabble.com/Openmp-work-on-mcarlo-tp14601p14602.html

Does the number of random numbers needed per iteration change or is it a constant amount? 

Would it be possible to encapsulate the random generator state so each thread could own its own RNG?

If that isn't feasible or reduces the quality of the generation, would it be possible to spawn a producer thread that pushes random numbers onto a queue (could even investigate boost::lockfree::queue to avoid locking, though it requires boost 1.53) and have the worker thread just pop off from that queue whenever a new random number is needed?

Mike

On Sun, Oct 20, 2013 at 7:01 AM, Joseph Wang <[hidden email]> 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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