Design and optimization of a portable LQCD Monte Carlo code using OpenACC

The present panorama of HPC architectures is extremely heterogeneous, ranging from traditional multi-core CPU processors, supporting a wide class of applications but delivering moderate computing performance, to many-core GPUs, exploiting aggressive data-parallelism and delivering higher performances for streaming computing applications. In this scenario, code portability (and performance portability) become necessary for easy maintainability of applications; this is very relevant in scientific computing where code changes are very frequent, making it tedious and prone to error to keep different code versions aligned. In this work we present the design and optimization of a state-of-the-art production-level LQCD Monte Carlo application, using the directive-based OpenACC programming model. OpenACC abstracts parallel programming to a descriptive level, relieving programmers from specifying how codes should be mapped onto the target architecture. We describe the implementation of a code fully written in OpenACC, and show that we are able to target several different architectures, including state-of-the-art traditional CPUs and GPUs, with the same code. We also measure performance, evaluating the computing efficiency of our OpenACC code on several architectures, comparing with GPU-specific implementations and showing that a good level of performance-portability can be reached.Comment: 26 pages, 2 png figures, preprint of an article submitted for consideration in International Journal of Modern Physics

High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm

We implement a master-slave parallel genetic algorithm (PGA) with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics processing units (GPUs) to implement a PGA and visualise the results using disjoint minimal spanning trees (MSTs). We demonstrate that our GPU PGA, implemented on a commercially available general purpose GPU, is able to recover stock clusters in sub-second speed, based on a subset of stocks in the South African market. This represents a pragmatic choice for low-cost, scalable parallel computing and is significantly faster than a prototype serial implementation in an optimised C-based fourth-generation programming language, although the results are not directly comparable due to compiler differences. Combined with fast online intraday correlation matrix estimation from high frequency data for cluster identification, the proposed implementation offers cost-effective, near-real-time risk assessment for financial practitioners.Comment: 10 pages, 5 figures, 4 tables, More thorough discussion of implementatio