http://quantlib.414.s1.nabble.com/Re-Openmp-work-on-mcarlo-Dynamic-Creator-MT-tp15832p15857.html
no, I get better timings with the dcmt implementation, e.g. for 1E8 numbers
on my computer. Can you post your platform and compiler settings, so
> 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:
[hidden email]]
> 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 <
[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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http://pubads.g.doubleclick.net/gampad/clk?id=60135031&iu=/4140/ostg.c>> lktrk _______________________________________________
>> QuantLib-dev mailing list
>>
[hidden email]
>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>
>
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