Accelerating Reconfigurable Financial Computing

This thesis proposes novel approaches to the design, optimisation, and management of reconfigurable computer accelerators for financial computing. There are three contributions. First, we propose novel reconfigurable designs for derivative pricing using both Monte-Carlo and quadrature methods. Such designs involve exploring techniques such as control variate optimisation for Monte-Carlo, and multi-dimensional analysis for quadrature methods. Significant speedups and energy savings are achieved using our Field-Programmable Gate Array (FPGA) designs over both Central Processing Unit (CPU) and Graphical Processing Unit (GPU) designs. Second, we propose a framework for distributing computing tasks on multi-accelerator heterogeneous clusters. In this framework, different computational devices including FPGAs, GPUs and CPUs work collaboratively on the same financial problem based on a dynamic scheduling policy. The trade-off in speed and in energy consumption of different accelerator allocations is investigated. Third, we propose a mixed precision methodology for optimising Monte-Carlo designs, and a reduced precision methodology for optimising quadrature designs. These methodologies enable us to optimise throughput of reconfigurable designs by using datapaths with minimised precision, while maintaining the same accuracy of the results as in the original designs

Optimising runtime reconfigurable designs for high performance applications

This thesis proposes novel optimisations for high performance runtime reconfigurable designs. For a reconfigurable design, the proposed approach investigates idle resources introduced by static design approaches, and exploits runtime reconfiguration to eliminate the inefficient resources. The approach covers the circuit level, the function level, and the system level. At the circuit level, a method is proposed for tuning reconfigurable designs with two analytical models: a resource model for computational and memory resources and memory bandwidth, and a performance model for estimating execution time. This method is applied to tuning implementations of finite-difference algorithms, optimising arithmetic operators and memory bandwidth based on algorithmic parameters, and eliminating idle resources by runtime reconfiguration. At the function level, a method is proposed to automatically identify and exploit runtime reconfiguration opportunities while optimising resource utilisation. The method is based on Reconfiguration Data Flow Graph, a new hierarchical graph structure enabling runtime reconfigurable designs to be synthesised in three steps: function analysis, configuration organisation, and runtime solution generation. At the system level, a method is proposed for optimising reconfigurable designs by dynamically adapting the designs to available runtime resources in a reconfigurable system. This method includes two steps: compile-time optimisation and runtime scaling, which enable efficient workload distribution, asynchronous communication scheduling, and domain-specific optimisations. It can be used in developing effective servers for high performance applications.Open Acces

Best practices for building hardware designs for living computational science applications

Scientific computing or Computational science, is a field of study where engineers and scientists use computer simulations to solve equations that model the physical world. In some cases, these equations come from the first principles of physics. In the past, these simulations were run on a single processor machine. However, due to various technological reasons, the performance of these machines are not likely to improve at the same rate as in the past. In order to improve the performance per watt of these simulations, special-purpose hardware accelerators can be used. This work mainly focuses on using FPGA-based hardware accelerators. In order to run these simulations on an FPGA accelerator, the application code needs to be re-factored into software and hardware sections. These faster simulations have motivated scientists to capture more behavior of the physical world. As additional behavior is captured, the application code needs to be re-factored each time, and a significant effort is required to re-build the design. Unfortunately, these multiple cycles of re-design reduces the overall productivity of scientists and engineers. This work proposes a set of hardware design guidelines for changing computational science codes or living computational science codes. These guidelines co-evolve the hardware with the software, reducing the overall effort of re-design and improving productivity. The design guidelines are evaluated for effectiveness, communicability, and broad applicability. Experimental results have shown that the overall re-design effort is reduced, and these guidelines are broadly applicable to a wide variety of scientific computing applications

Automated optimization of reconfigurable designs

Currently, the optimization of reconfigurable design parameters is typically done manually and often involves substantial amount effort. The main focus of this thesis is to reduce this effort. The designer can focus on the implementation and design correctness, leaving the tools to carry out optimization. To address this, this thesis makes three main contributions. First, we present initial investigation of reconfigurable design optimization with the Machine Learning Optimizer (MLO) algorithm. The algorithm is based on surrogate model technology and particle swarm optimization. By using surrogate models the long hardware generation time is mitigated and automatic optimization is possible. For the first time, to the best of our knowledge, we show how those models can both predict when hardware generation will fail and how well will the design perform. Second, we introduce a new algorithm called Automatic Reconfigurable Design Efficient Global Optimization (ARDEGO), which is based on the Efficient Global Optimization (EGO) algorithm. Compared to MLO, it supports parallelism and uses a simpler optimization loop. As the ARDEGO algorithm uses multiple optimization compute nodes, its optimization speed is greatly improved relative to MLO. Hardware generation time is random in nature, two similar configurations can take vastly different amount of time to generate making parallelization complicated. The novelty is efficient use of the optimization compute nodes achieved through extension of the asynchronous parallel EGO algorithm to constrained problems. Third, we show how results of design synthesis and benchmarking can be reused when a design is ported to a different platform or when its code is revised. This is achieved through the new Auto-Transfer algorithm. A methodology to make the best use of available synthesis and benchmarking results is a novel contribution to design automation of reconfigurable systems.Open Acces

Low-Impact Profiling of Streaming, Heterogeneous Applications

Computer engineers are continually faced with the task of translating improvements in fabrication process technology: i.e., Moore\u27s Law) into architectures that allow computer scientists to accelerate application performance. As feature-size continues to shrink, architects of commodity processors are designing increasingly more cores on a chip. While additional cores can operate independently with some tasks: e.g. the OS and user tasks), many applications see little to no improvement from adding more processor cores alone. For many applications, heterogeneous systems offer a path toward higher performance. Significant performance and power gains have been realized by combining specialized processors: e.g., Field-Programmable Gate Arrays, Graphics Processing Units) with general purpose multi-core processors. Heterogeneous applications need to be programmed differently than traditional software. One approach, stream processing, fits these systems particularly well because of the segmented memories and explicit expression of parallelism. Unfortunately, debugging and performance tools that support streaming, heterogeneous applications do not exist. This dissertation presents TimeTrial, a performance measurement system that enables performance optimization of streaming applications by profiling the application deployed on a heterogeneous system. TimeTrial performs low-impact measurements by dedicating computing resources to monitoring and by aggressively compressing performance traces into statistical summaries guided by user specification of the performance queries of interest

Automatic generation of high-throughput systolic tree-based solvers for modern FPGAs

Tree-based models are a class of numerical methods widely used in financial option pricing, which have a computational complexity that is quadratic with respect to the solution accuracy. Previous research has employed reconfigurable computing with small degrees of parallelism to provide faster hardware solutions compared with general-purpose processing software designs. However, due to the nature of their vector hardware architectures, they cannot scale their compute resources efficiently, leaving them with pricing latency figures which are quadratic with respect to the problem size, and hence to the solution accuracy. Also, their solutions are not productive as they require hardware engineering effort, and can only solve one type of tree problems, known as the standard American option. This thesis presents a novel methodology in the form of a high-level design framework which can capture any common tree-based problem, and automatically generates high-throughput field-programmable gate array (FPGA) solvers based on proposed scalable hardware architectures. The thesis has made three main contributions. First, systolic architectures were proposed for solving binomial and trinomial trees, which due to their custom systolic data-movement mechanisms, can scale their compute resources efficiently to provide linear latency scaling for medium-size trees and improved quadratic latency scaling for large trees. Using the proposed systolic architectures, throughput speed-ups of up to 5.6X and 12X were achieved for modern FPGAs, compared to previous vector designs, for medium and large trees, respectively. Second, a productive high-level design framework was proposed, that can capture any common binomial and trinomial tree problem, and a methodology was suggested to generate high-throughput systolic solvers with custom data precision, where the methodology requires no hardware design effort from the end user. Third, a fully-automated tool-chain methodology was proposed that, compared to previous tree-based solvers, improves user productivity by removing the manual engineering effort of applying the design framework to option pricing problems. Using the productive design framework, high-throughput systolic FPGA solvers have been automatically generated from simple end-user C descriptions for several tree problems, such as American, Bermudan, and barrier options.Open Acces

High Performance and Low Power Monte Carlo Methods to Option Pricing Models via High Level Design and Synthesis

This article compares the performance and energy consumption of GPUs and FPGAs via implementing financial market models. The case studies used in this comparison are the Black-Scholes model and the Heston model for option pricing problems, which are analyzed numerically by Monte Carlo method. The algorithms are computationally intensive but not memory-intensive and thus well suited for FPGA implementation. High-level synthesis was performed starting from parallel models written in OpenCL and then various micro-architectures were explored and optimized on FPGAs. The final implementations of both models to several options on FPGAs achieved the best parallel acceleration systems, in terms of both performance-per-operation and energy-per-operation, compared not only to the kernels on advanced GPUs but also to the RTL implementations found in the literatures

Reconfigurable computing for large-scale graph traversal algorithms

This thesis proposes a reconfigurable computing approach for supporting parallel processing in large-scale graph traversal algorithms. Our approach is based on a reconfigurable hardware architecture which exploits the capabilities of both FPGAs (Field-Programmable Gate Arrays) and a multi-bank parallel memory subsystem. The proposed methodology to accelerate graph traversal algorithms has been applied to three case studies, revealing that application-specific hardware customisations can benefit performance. A summary of our four contributions is as follows. First, a reconfigurable computing approach to accelerate large-scale graph traversal algorithms. We propose a reconfigurable hardware architecture which decouples computation and communication while keeping multiple memory requests in flight at any given time, taking advantage of the high bandwidth of multi-bank memory subsystems. Second, a demonstration of the effectiveness of our approach through two case studies: the breadth-first search algorithm, and a graphlet counting algorithm from bioinformatics. Both case studies involve graph traversal, but each of them adopts a different graph data representation. Third, a method for using on-chip memory resources in FPGAs to reduce off-chip memory accesses for accelerating graph traversal algorithms, through a case-study of the All-Pairs Shortest-Paths algorithm. This case study has been applied to process human brain network data. Fourth, an evaluation of an approach based on instruction-set extension for FPGA design against many-core GPUs (Graphics Processing Units), based on a set of benchmarks with different memory access characteristics. It is shown that while GPUs excel at streaming applications, the proposed approach can outperform GPUs in applications with poor locality characteristics, such as graph traversal problems.Open Acces

Methodology for complex dataflow application development

This thesis addresses problems inherent to the development of complex applications for reconfig- urable systems. Many projects fail to complete or take much longer than originally estimated by relying on traditional iterative software development processes typically used with conventional computers. Even though designer productivity can be increased by abstract programming and execution models, e.g., dataflow, development methodologies considering the specific properties of reconfigurable systems do not exist. The first contribution of this thesis is a design methodology to facilitate systematic develop- ment of complex applications using reconfigurable hardware in the context of High-Performance Computing (HPC). The proposed methodology is built upon a careful analysis of the original application, a software model of the intended hardware system, an analytical prediction of performance and on-chip area usage, and an iterative architectural refinement to resolve identi- fied bottlenecks before writing a single line of code targeting the reconfigurable hardware. It is successfully validated using two real applications and both achieve state-of-the-art performance. The second contribution extends this methodology to provide portability between devices in two steps. First, additional tool support for contemporary multi-die Field-Programmable Gate Arrays (FPGAs) is developed. An algorithm to automatically map logical memories to hetero- geneous physical memories with special attention to die boundaries is proposed. As a result, only the proposed algorithm managed to successfully place and route all designs used in the evaluation while the second-best algorithm failed on one third of all large applications. Second, best practices for performance portability between different FPGA devices are collected and evaluated on a financial use case, showing efficient resource usage on five different platforms. The third contribution applies the extended methodology to a real, highly demanding emerging application from the radiotherapy domain. A Monte-Carlo based simulation of dose accumu- lation in human tissue is accelerated using the proposed methodology to meet the real time requirements of adaptive radiotherapy.Open Acces

Towards Energy-Efficient and Reliable Computing: From Highly-Scaled CMOS Devices to Resistive Memories

The continuous increase in transistor density based on Moore\u27s Law has led us to highly scaled Complementary Metal-Oxide Semiconductor (CMOS) technologies. These transistor-based process technologies offer improved density as well as a reduction in nominal supply voltage. An analysis regarding different aspects of 45nm and 15nm technologies, such as power consumption and cell area to compare these two technologies is proposed on an IEEE 754 Single Precision Floating-Point Unit implementation. Based on the results, using the 15nm technology offers 4-times less energy and 3-fold smaller footprint. New challenges also arise, such as relative proportion of leakage power in standby mode that can be addressed by post-CMOS technologies. Spin-Transfer Torque Random Access Memory (STT-MRAM) has been explored as a post-CMOS technology for embedded and data storage applications seeking non-volatility, near-zero standby energy, and high density. Towards attaining these objectives for practical implementations, various techniques to mitigate the specific reliability challenges associated with STT-MRAM elements are surveyed, classified, and assessed herein. Cost and suitability metrics assessed include the area of nanomagmetic and CMOS components per bit, access time and complexity, Sense Margin (SM), and energy or power consumption costs versus resiliency benefits. In an attempt to further improve the Process Variation (PV) immunity of the Sense Amplifiers (SAs), a new SA has been introduced called Adaptive Sense Amplifier (ASA). ASA can benefit from low Bit Error Rate (BER) and low Energy Delay Product (EDP) by combining the properties of two of the commonly used SAs, Pre-Charge Sense Amplifier (PCSA) and Separated Pre-Charge Sense Amplifier (SPCSA). ASA can operate in either PCSA or SPCSA mode based on the requirements of the circuit such as energy efficiency or reliability. Then, ASA is utilized to propose a novel approach to actually leverage the PV in Non-Volatile Memory (NVM) arrays using Self-Organized Sub-bank (SOS) design. SOS engages the preferred SA alternative based on the intrinsic as-built behavior of the resistive sensing timing margin to reduce the latency and power consumption while maintaining acceptable access time