Parallel MonteCarlo: reproducibility or real randomness? - multithreading

I'm preparing a college exam in parallel computing.
The main purpose is to speedup as much as possible a Montecarlo simulation about electron drift in earth magnetic field.
I've already developed something with two layers of parallelization:
MPI used to make te code run on several machines
OpenMP to run parallel simulation inside the single computer
Now comes the question: I would like to keep on-demand the task execution.
The fastest computer must be able to execute more work the the slower ones.
The problem partition is done via master-worker cycle, so there is no actual struggle about achieving this result.
Since the number of tasks (a block of n electrons to simulate) executed by a worker is not prior defined I have two roads to follow:
every thread in every worker has is own RNG initialized with random generated seed (different generation method). The unbalancing of the cluster will change results, but in this approach the result is as casual as possible.
every electron has his own seed, granting reproducibility of the simulation despite of which worker runs the single task. Must have a better RNG.
Lets's poll about this. What's your suggestion?
Have fun
gf

What to poll about here?
Clearly, only approach #2 is a feasible one. Each source particle starts with it's own and stable seed. It makes result reproducible AND debuggable (for a lack of better word).
Well-known Monte Carlo code MCNP5+ used this scheme for good, runs on multi-cores and MPI. To implement it you'll need RNG with fast skip-ahead (a.k.a. leapfrog or discard) feature. And there are quite a few of them. They are based upon fast exponent computation, paper by F. Brown, "Random Number Generation with Arbitrary Stride", Trans. Am. Nucl. Soc. (Nov. 1994). Basically, skip-ahead is log(N) with Brown approach.
Simplest version which is about the same as MCNP5 one is here https://github.com/Iwan-Zotow/LCG-PLE63
More complicated (and slower, but higher quality) RNG is here http://www.pcg-random.org/

Related

Measuring a feature's share of a web service's execution time

I have a piece of code that includes a specific feature that I can turn on and off. I want to know the execution time of the feature.
I need to measure this externally, i.e. by simply measuring execution time with a load test tool. Assume that I cannot track the feature's execution time internally.
Now, I execute two runs (on/off) and simply assume that the difference between the resulting execution time is my feature's execution time.
I know that it is not entirely correct to do this as I'm looking at two separate runs that may be influenced by networking, programmatic overhead, or the gravitational pull of the moon. Still, I hope I can assume that the result will still be viable if I have a sufficiently large number of requests.
Now for the real question. I do the above using the average response time. Which is not perfect, but more or less ok.
My question is, what if I now use a percentile (say, 95th) instead?
Would my imperfect subtract-A-from-B approach become significantly more imperfect when using percentiles?
I would stick to the percentiles as the "average" approach can mask the problem, for example if you have very low response times during the initial phase of the test when the load is low and very high response times during the main phase of test when the load is immense the arithmetic mean approach will give you okayish values while with the percentiles you will get the information that the response time for 95% of requests was X or higher.
More information: Understanding Your Reports: Part 3 - Key Statistics Performance Testers Need to Understand

Which one I should use in Clojure? go block or thread?

I want to see the intrinsic difference between a thread and a long-running go block in Clojure. In particular, I want to figure out which one I should use in my context.
I understand if one creates a go-block, then it is managed to run in a so-called thread-pool, the default size is 8. But thread will create a new thread.
In my case, there is an input stream that takes values from somewhere and the value is taken as an input. Some calculations are performed and the result is inserted into a result channel. In short, we have input and out put channel, and the calculation is done in the loop. So as to achieve concurrency, I have two choices, either use a go-block or use thread.
I wonder what is the intrinsic difference between these two. (We may assume there is no I/O during the calculations.) The sample code looks like the following:
(go-loop []
(when-let [input (<! input-stream)]
... ; calculations here
(>! result-chan result))
(recur))
(thread
(loop []
(when-let [input (<!! input-stream)]
... ; calculations here
(put! result-chan result))
(recur)))
I realize the number of threads that can be run simultaneously is exactly the number of CPU cores. Then in this case, is go-block and thread showing no differences if I am creating more than 8 thread or go-blocks?
I might want to simulate the differences in performance in my own laptop, but the production environment is quite different from the simulated one. I could draw no conclusions.
By the way, the calculation is not so heavy. If the inputs are not so large, 8,000 loops can be run in 1 second.
Another consideration is whether go-block vs thread will have an impact on GC performance.
There's a few things to note here.
Firstly, the thread pool that threads are created on via clojure.core.async/thread is what is known as a cached thread pool, meaning although it will re-use recently used threads inside that pool, it's essentially unbounded. Which of course means it could potentially hog a lot of system resources if left unchecked.
But given that what you're doing inside each asynchronous process is very lightweight, threads to me seem a little overkill. Of course, it's also important to take into account the quantity of items you expect to hit the input stream, if this number is large you could potentially overwhelm core.async's thread pool for go macros, potentially to the point where we're waiting for a thread to become available.
You also didn't mention preciously where you're getting the input values from, are the inputs some fixed data-set that remains constant at the start of the program, or are inputs continuously feed into the input stream from some source over time?
If it's the former then I would suggest you lean more towards transducers and I would argue that a CSP model isn't a good fit for your problem since you aren't modelling communication between separate components in your program, rather you're just processing data in parallel.
If it's the latter then I presume you have some other process that's listening to the result channel and doing something important with those results, in which case I would say your usage of go-blocks is perfectly acceptable.

Estimating WCET of a task on Linux

I want to approximate the Worst Case Execution Time (WCET) for a set of tasks on linux. Most professional tools are either expensive (1000s $), or don't support my processor architecture.
Since, I don't need a tight bound, my line of thought is that I :
disable frequency scaling
disbale unnecesary background services and tasks
set the program affinity to run on a specified core
run the program for 50,000 times with various inputs
Profiling it and storing the total number of cycles it had completed to
execute.
Given the largest clock cycle count and knowing the core frequency, I can get an estimate
Is this is a sound Practical approach?
Secondly, to account for interference from other tasks, I will run the whole task set (40) tasks in parallel with each randomly assigned a core and do the same thing for 50,000 times.
Once I get the estimate, a 10% safe margin will be added to account for unforseeble interference and untested path. This 10% margin has been suggested in the paper "Approximation of Worst Case Execution time in Preepmtive Multitasking Systems" by Corti, Brega and Gross
Some comments:
1) Even attempting to compute worst case bounds in this way means making assumptions that there aren't uncommon inputs that cause tasks to take much more or even much less time. An extreme example would be a bug that causes one of the tasks to go into an infinite loop, or that causes the whole thing to deadlock. You need something like a code review to establish that the time taken will always be pretty much the same, regardless of input.
2) It is possible that the input data does influence the time taken to some extent. Even if this isn't apparent to you, it could happen because of the details of the implementation of some library function that you call. So you need to run your tests on a representative selection of real life data.
3) When you have got your 50K test results, I would draw some sort of probability plot - see e.g. http://www.itl.nist.gov/div898/handbook/eda/section3/normprpl.htm and links off it. I would be looking for isolated points that show that in a few cases some runs were suspiciously slow or suspiciously fast, because the code review from (1) said there shouldn't be runs like this. I would also want to check that adding 10% to the maximum seen takes me a good distance away from the points I have plotted. You could also plot time taken against different parameters from the input data to check that there wasn't any pattern there.
4) If you want to try a very sophisticated approach, you could try fitting a statistical distribution to the values you have found - see e.g. https://en.wikipedia.org/wiki/Generalized_Pareto_distribution. But plotting the data and looking at it is probably the most important thing to do.

C# Algorithmic Stock Trading

We are working on a Algorithmic trading software in C#. We monitor Market Price and then based on certain conditions, we want to buy the stock.
User input can be taken from GUI (WPF) and send to back-end for monitoring.
Back - end receives data continuously from Stock Exchange and checks if user entered price is met with certain limits and conditions. If all are satisfied, then we will buy / sell the stock (in Futures FUT).
Now, I want to design my Back end service.
I need Task Parallel Library or Custom Thread Pool where I want to create my tasks / threads / pool when application starts (may be incremental or fixed say 5000).
All will be in waiting state.
Once user creates an algorithm, we will activate one thread from the pool and monitors price for each incoming string. If it matches, then buy / sell and then go into waiting state again. (I don't want to create and destroy the threads / tasks as it is time consuming).
So please can you guys help me in this regard? If the above approach is good or do we have any other approach?
I am struck with this idea and not able to go out of box to think on this.
The above approach is definitely not "good"
Given the idea above, the architecture is wrong in many cardinal aspects. If your Project aspires to survive in 2017+ markets, try to learn from mistakes already taken in 2007-2016 years.
The percentages demonstrate the NBBO flutter for all U.S. Stocks from 2007-01 ~ 2012-01. ( Lower values means better NBBO stability. Higher values: Instability ) ( courtesy NANEX )
Financial Markets operate on nanosecond scales
Yes, a few inches of glass-fibre signal propagation transport delay decide on PROFIT or LOSS.
If planning to trading in Stock Markets, your system will observe the HFT crowd, doing dirty practice of Quote Stuffing and Vacuum-Cleaning 'em right in front of your nose at such scales, that your single-machine multi-threaded execution will just move through thin-air of fall in gap already created many microseconds before your decision took place on your localhost CPU.
The rise of HFT from 2007-01 ~ 2012-01 ( courtesy NANEX ).
May read more about an illusion of liquidity here.
See the expansion of Quotes against the level of Trades:
( courtesy NANEX )
Even if one decides to trade in a single instrument, on FX, the times are prohibitively short ( more than 20% of the ToB Bids are changed in time less than 2 ms and do not arrive to your localhost before your trading algorithm may react accordingly ).
If your TAMARA-measurements are similar to this, at your localhost, simply forget to trade in any HF/MF/LF-HFT instruments -- you simply do not see the real market ( the tip of the iceberg ) -- as the +20% price-events happen in the very first column ( 1 .. 2 ms ), where you do not see any single event at all!
5000 threads is bad, don't do that ever, you'll degrade the performance with context switch loss much more than parallel execution timing improvement. Traditionally the number of threads for your application should be equal to the number of cores in your system, by default. There are other possible variants, but probably they aren't the best option for your.
So you can use a ThreadPool with some working item method there with infinite loop, which is very low level, but you have control on what is going on in your system. Callback function could update the UI so the user will be notified about the trading results.
However, if you are saying that you can use the TPL, I suggest to consider these two options for your case:
Use a collection of tasks running forever for checking the new trading request. You still should tune up the number of simultaneously running tasks because you probably don't want them to fight each other for a CPU time. As the LongRunning tasks are created with dedicated background thread, many of them will degrade your application performance as well. Maybe in this approach you should introduce a strategy pattern implementation for a algorithm being run inside the task.
Setup a TPL Dataflow process within your application. For such approach your should encapsulate the info about the algorithm inside a DTO-object, and introduce a pipeline:
BufferBlock for storing all the incoming requests. Maybe you can use here a BroadcastBlock, if you want to check the sell or buy options in parallel. You can link the block with a boolean predicate here so the different block will process different types of requests.
ActionBlock (maybe one block for each algorithm from user) for processing the algorithmic check for a pattern based on which you are providing the decision.
ActionBlock for storing all the buy / sell requests for a data successfully passed by the algorithm.
BufferBlock for UI reaction with a Reactive Extensions (Introductory book for Rx, if you aren't familiar with it)
This solution still has to be tuned up with a block creation options, and more informative for you how exactly your data flow across the trading algorithm, the speed of the decision making and overall performance. You should properly examine for a defaults for TPL Dataflow blocks, you can find them into the official documentation. Other good place to start is Stephen Cleary's introductory blog posts (Part 1, Part 2, Part 3) and the chapter #4 about this library in his book.
With C# 5.0, the natural approach is to use async methods running on top of the default thread pool.
This way, you are creating Tasks quite often, but the most prominent cost of that is in GC. And unless you have very high performance requirements, that cost should be acceptable.
I think you would be better with an event loop, and if you need to scale, you can always shard by stock.

Progress bar and multiple threads, decoupling GUI and logic - which design pattern would be the best?

I'm looking for a design pattern that would fit my application design.
My application processes large amounts of data and produces some graphs.
Data processing (fetching from files, CPU intensive calculations) and graph operations (drawing, updating) are done in seperate threads.
Graph can be scrolled - in this case new data portions need to be processed.
Because there can be several series on a graph, multiple threads can be spawned (two threads per serie, one for dataset update and one for graph update).
I don't want to create multiple progress bars. Instead, I'd like to have single progress bar that inform about global progress. At the moment I can think of MVC and Observer/Observable, but it's a little bit blurry :) Maybe somebody could point me in a right direction, thanks.
I once spent the best part of a week trying to make a smooth, non-hiccupy progress bar over a very complex algorithm.
The algorithm had 6 different steps. Each step had timing characteristics that were seriously dependent on A) the underlying data being processed, not just the "amount" of data but also the "type" of data and B) 2 of the steps scaled extremely well with increasing number of cpus, 2 steps ran in 2 threads and 2 steps were effectively single-threaded.
The mix of data effectively had a much larger impact on execution time of each step than number of cores.
The solution that finally cracked it was really quite simple. I made 6 functions that analyzed the data set and tried to predict the actual run-time of each analysis step. The heuristic in each function analyzed both the data sets under analysis and the number of cpus. Based on run-time data from my own 4 core machine, each function basically returned the number of milliseconds it was expected to take, on my machine.
f1(..) + f2(..) + f3(..) + f4(..) + f5(..) + f6(..) = total runtime in milliseconds
Now given this information, you can effectively know what percentage of the total execution time each step is supposed to take. Now if you say step1 is supposed to take 40% of the execution time, you basically need to find out how to emit 40 1% events from that algorithm. Say the for-loop is processing 100,000 items, you could probably do:
for (int i = 0; i < numItems; i++){
if (i % (numItems / percentageOfTotalForThisStep) == 0) emitProgressEvent();
.. do the actual processing ..
}
This algorithm gave us a silky smooth progress bar that performed flawlessly. Your implementation technology can have different forms of scaling and features available in the progress bar, but the basic way of thinking about the problem is the same.
And yes, it did not really matter that the heuristic reference numbers were worked out on my machine - the only real problem is if you want to change the numbers when running on a different machine. But you still know the ratio (which is the only really important thing here), so you can see how your local hardware runs differently from the one I had.
Now the average SO reader may wonder why on earth someone would spend a week making a smooth progress bar. The feature was requested by the head salesman, and I believe he used it in sales meetings to get contracts. Money talks ;)
In situations with threads or asynchronous processes/tasks like this, I find it helpful to have an abstract type or object in the main thread that represents (and ideally encapsulates) each process. So, for each worker thread, there will presumably be an object (let's call it Operation) in the main thread to manage that worker, and obviously there will be some kind of list-like data structure to hold these Operations.
Where applicable, each Operation provides the start/stop methods for its worker, and in some cases - such as yours - numeric properties representing the progress and expected total time or work of that particular Operation's task. The units don't necessarily need to be time-based, if you know you'll be performing 6,230 calculations, you can just think of these properties as calculation counts. Furthermore, each task will need to have some way of updating its owning Operation of its current progress in whatever mechanism is appropriate (callbacks, closures, event dispatching, or whatever mechanism your programming language/threading framework provides).
So while your actual work is being performed off in separate threads, a corresponding Operation object in the "main" thread is continually being updated/notified of its worker's progress. The progress bar can update itself accordingly, mapping the total of the Operations' "expected" times to its total, and the total of the Operations' "progress" times to its current progress, in whatever way makes sense for your progress bar framework.
Obviously there's a ton of other considerations/work that needs be done in actually implementing this, but I hope this gives you the gist of it.
Multiple progress bars aren't such a bad idea, mind you. Or maybe a complex progress bar that shows several threads running (like download manager programs sometimes have). As long as the UI is intuitive, your users will appreciate the extra data.
When I try to answer such design questions I first try to look at similar or analogous problems in other application, and how they're solved. So I would suggest you do some research by considering other applications that display complex progress (like the download manager example) and try to adapt an existing solution to your application.
Sorry I can't offer more specific design, this is just general advice. :)
Stick with Observer/Observable for this kind of thing. Some object observes the various series processing threads and reports status by updating the summary bar.

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