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

Fast American Basket Option Pricing on a multi-GPU Cluster

8 pagesInternational audienceThis article presents a multi-GPU adaptation of a specific Monte Carlo and classification based method for pricing American basket options, due to Picazo. The first part relates how to combine fine and coarse-grained parallelization to price American basket options. A dynamic strategy of kernel calibration is proposed. Doing so, our implementation on a reasonable size (18) GPU cluster achieves the pricing of a high dimensional (40) option in less than one hour against almost 8 as observed for runs we conducted in the past, using a 64-core cluster (composed of quad-core AMD Opteron 2356). In order to benefit from different GPU device types, we detail the dynamic strategy we have used to load balance GPU calculus which greatly improves the overall pricing time we obtained. An analysis of possible bottleneck effects demonstrates that there is a sequential bottleneck due to the training phase that relies upon the AdaBoost classification method, which prevents the implementation to be fully scalable, and so prevents to envision further decreasing pricing time down to handful of minutes. For this we propose to consider using Random Forests classification method: it is naturally dividable over a cluster, and available like AdaBoost as a black box from the popular Weka machine learning library. However our experimental tests will show that its use is costly

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

Acceleration-as-a-Service: Exploiting Virtualised GPUs for a Financial Application

'How can GPU acceleration be obtained as a service in a cluster?' This question has become increasingly significant due to the inefficiency of installing GPUs on all nodes of a cluster. The research reported in this paper is motivated to address the above question by employing rCUDA (remote CUDA), a framework that facilitates Acceleration-as-a-Service (AaaS), such that the nodes of a cluster can request the acceleration of a set of remote GPUs on demand. The rCUDA framework exploits virtualisation and ensures that multiple nodes can share the same GPU. In this paper we test the feasibility of the rCUDA framework on a real-world application employed in the financial risk industry that can benefit from AaaS in the production setting. The results confirm the feasibility of rCUDA and highlight that rCUDA achieves similar performance compared to CUDA, provides consistent results, and more importantly, allows for a single application to benefit from all the GPUs available in the cluster without loosing efficiency.Comment: 11th IEEE International Conference on eScience (IEEE eScience) - Munich, Germany, 201

ASCR/HEP Exascale Requirements Review Report

This draft report summarizes and details the findings, results, and recommendations derived from the ASCR/HEP Exascale Requirements Review meeting held in June, 2015. The main conclusions are as follows. 1) Larger, more capable computing and data facilities are needed to support HEP science goals in all three frontiers: Energy, Intensity, and Cosmic. The expected scale of the demand at the 2025 timescale is at least two orders of magnitude -- and in some cases greater -- than that available currently. 2) The growth rate of data produced by simulations is overwhelming the current ability, of both facilities and researchers, to store and analyze it. Additional resources and new techniques for data analysis are urgently needed. 3) Data rates and volumes from HEP experimental facilities are also straining the ability to store and analyze large and complex data volumes. Appropriately configured leadership-class facilities can play a transformational role in enabling scientific discovery from these datasets. 4) A close integration of HPC simulation and data analysis will aid greatly in interpreting results from HEP experiments. Such an integration will minimize data movement and facilitate interdependent workflows. 5) Long-range planning between HEP and ASCR will be required to meet HEP's research needs. To best use ASCR HPC resources the experimental HEP program needs a) an established long-term plan for access to ASCR computational and data resources, b) an ability to map workflows onto HPC resources, c) the ability for ASCR facilities to accommodate workflows run by collaborations that can have thousands of individual members, d) to transition codes to the next-generation HPC platforms that will be available at ASCR facilities, e) to build up and train a workforce capable of developing and using simulations and analysis to support HEP scientific research on next-generation systems.Comment: 77 pages, 13 Figures; draft report, subject to further revisio

Seeing Shapes in Clouds: On the Performance-Cost trade-off for Heterogeneous Infrastructure-as-a-Service

In the near future FPGAs will be available by the hour, however this new Infrastructure as a Service (IaaS) usage mode presents both an opportunity and a challenge: The opportunity is that programmers can potentially trade resources for performance on a much larger scale, for much shorter periods of time than before. The challenge is in finding and traversing the trade-off for heterogeneous IaaS that guarantees increased resources result in the greatest possible increased performance. Such a trade-off is Pareto optimal. The Pareto optimal trade-off for clusters of heterogeneous resources can be found by solving multiple, multi-objective optimisation problems, resulting in an optimal allocation of tasks to the available platforms. Solving these optimisation programs can be done using simple heuristic approaches or formal Mixed Integer Linear Programming (MILP) techniques. When pricing 128 financial options using a Monte Carlo algorithm upon a heterogeneous cluster of Multicore CPU, GPU and FPGA platforms, the MILP approach produces a trade-off that is up to 110% faster than a heuristic approach, and over 50% cheaper. These results suggest that high quality performance-resource trade-offs of heterogeneous IaaS are best realised through a formal optimisation approach.Comment: Presented at Second International Workshop on FPGAs for Software Programmers (FSP 2015) (arXiv:1508.06320

Mapping parallel programs to heterogeneous CPU/GPU architectures using a Monte Carlo Tree Search

The single core processor, which has dominated for over 30 years, is now obsolete with recent trends increasing towards parallel systems, demanding a huge shift in programming techniques and practices. Moreover, we are rapidly moving towards an age where almost all programming will be targeting parallel systems. Parallel hardware is rapidly evolving, with large heterogeneous systems, typically comprising a mixture of CPUs and GPUs, becoming the mainstream. Additionally, with this increasing heterogeneity comes increasing complexity: not only does the programmer have to worry about where and how to express the parallelism, they must also express an efficient mapping of resources to the available system. This generally requires in-depth expert knowledge that most application programmers do not have. In this paper we describe a new technique that derives, automatically, optimal mappings for an application onto a heterogeneous architecture, using a Monte Carlo Tree Search algorithm. Our technique exploits high-level design patterns, targeting a set of well-specified parallel skeletons. We demonstrate that our MCTS on a convolution example obtained speedups that are within 5% of the speedups achieved by a hand-tuned version of the same application.Postprin

A Conceptual Architecture for a Quantum-HPC Middleware

Quantum computing promises potential for science and industry by solving certain computationally complex problems faster than classical computers. Quantum computing systems evolved from monolithic systems towards modular architectures comprising multiple quantum processing units (QPUs) coupled to classical computing nodes (HPC). With the increasing scale, middleware systems that facilitate the efficient coupling of quantum-classical computing are becoming critical. Through an in-depth analysis of quantum applications, integration patterns and systems, we identified a gap in understanding Quantum-HPC middleware systems. We present a conceptual middleware to facilitate reasoning about quantum-classical integration and serve as the basis for a future middleware system. An essential contribution of this paper lies in leveraging well-established high-performance computing abstractions for managing workloads, tasks, and resources to integrate quantum computing into HPC systems seamlessly.Comment: 12 pages, 3 figure