Structure-Aware Dynamic Scheduler for Parallel Machine Learning

Training large machine learning (ML) models with many variables or parameters can take a long time if one employs sequential procedures even with stochastic updates. A natural solution is to turn to distributed computing on a cluster; however, naive, unstructured parallelization of ML algorithms does not usually lead to a proportional speedup and can even result in divergence, because dependencies between model elements can attenuate the computational gains from parallelization and compromise correctness of inference. Recent efforts toward this issue have benefited from exploiting the static, a priori block structures residing in ML algorithms. In this paper, we take this path further by exploring the dynamic block structures and workloads therein present during ML program execution, which offers new opportunities for improving convergence, correctness, and load balancing in distributed ML. We propose and showcase a general-purpose scheduler, STRADS, for coordinating distributed updates in ML algorithms, which harnesses the aforementioned opportunities in a systematic way. We provide theoretical guarantees for our scheduler, and demonstrate its efficacy versus static block structures on Lasso and Matrix Factorization

Run-time optimization of adaptive irregular applications

Compared to traditional compile-time optimization, run-time optimization could offer significant performance improvements when parallelizing and optimizing adaptive irregular applications, because it performs program analysis and adaptive optimizations during program execution. Run-time techniques can succeed where static techniques fail because they exploit the characteristics of input data, programs' dynamic behaviors, and the underneath execution environment. When optimizing adaptive irregular applications for parallel execution, a common observation is that the effectiveness of the optimizing transformations depends on programs' input data and their dynamic phases. This dissertation presents a set of run-time optimization techniques that match the characteristics of programs' dynamic memory access patterns and the appropriate optimization (parallelization) transformations. First, we present a general adaptive algorithm selection framework to automatically and adaptively select at run-time the best performing, functionally equivalent algorithm for each of its execution instances. The selection process is based on off-line automatically generated prediction models and characteristics (collected and analyzed dynamically) of the algorithm's input data, In this dissertation, we specialize this framework for automatic selection of reduction algorithms. In this research, we have identified a small set of machine independent high-level characterization parameters and then we deployed an off-line, systematic experiment process to generate prediction models. These models, in turn, match the parameters to the best optimization transformations for a given machine. The technique has been evaluated thoroughly in terms of applications, platforms, and programs' dynamic behaviors. Specifically, for the reduction algorithm selection, the selected performance is within 2% of optimal performance and on average is 60% better than "Replicated Buffer," the default parallel reduction algorithm specified by OpenMP standard. To reduce the overhead of speculative run-time parallelization, we have developed an adaptive run-time parallelization technique that dynamically chooses effcient shadow structures to record a program's dynamic memory access patterns for parallelization. This technique complements the original speculative run-time parallelization technique, the LRPD test, in parallelizing loops with sparse memory accesses. The techniques presented in this dissertation have been implemented in an optimizing research compiler and can be viewed as effective building blocks for comprehensive run-time optimization systems, e.g., feedback-directed optimization systems and dynamic compilation systems

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the link between BSDEs and non linear partial differential equations (PDEs in short) and hence enables to solve high dimensional non linear PDEs. In this work, we apply it to the pricing and hedging of American options in high dimensional local volatility models, which remains very computationally demanding. We have tested our algorithm up to dimension 10 on a cluster of 512 CPUs and we obtained linear speedups which proves the scalability of our implementationComment: 25 page

Algorithm Libraries for Multi-Core Processors

By providing parallelized versions of established algorithm libraries, we ease the exploitation of the multiple cores on modern processors for the programmer. The Multi-Core STL provides basic algorithms for internal memory, while the parallelized STXXL enables multi-core acceleration for algorithms on large data sets stored on disk. Some parallelized geometric algorithms are introduced into CGAL. Further, we design and implement sorting algorithms for huge data in distributed external memory