Speeding-up the execution of credit risk simulations using desktop grid computing: A case study

This paper describes a case study that was undertaken at a leading European Investment bank in which desktop grid computing was used to speed-up the execution of Monte Carlo credit risk simulations. The credit risk simulations were modelled using commercial-off-the-shelf simulation packages (CSPs). The CSPs did not incorporate built-in support for desktop grids, and therefore the authors implemented a middleware for desktop grid computing, called WinGrid, and interfaced it with the CSP. The performance results show that WinGrid can speed-up the execution of CSP-based Monte Carlo simulations. However, since WinGrid was installed on non-dedicated PCs, the speed-up achieved varied according to users’ PC usage. Finally, the paper presents some lessons learnt from this case study. It is expected that this paper will encourage simulation practitioners and CSP vendors to experiment with desktop grid computing technologies with the objective of speeding-up simulation experimentation

Supporting simulation in industry through the application of grid computing

An increased need for collaborative research, together with continuing advances in communication technology and computer hardware, has facilitated the development of distributed systems that can provide users access to geographically dispersed computing resources that are administered in multiple computer domains. The term grid computing, or grids, is popularly used to refer to such distributed systems. Simulation is characterized by the need to run multiple sets of computationally intensive experiments. Large scale scientific simulations have traditionally been the primary benefactor of grid computing. The application of this technology to simulation in industry has, however, been negligible. This research investigates how grid technology can be effectively exploited by users to model simulations in industry. It introduces our desktop grid, WinGrid, and presents a case study conducted at a leading European investment bank. Results indicate that grid computing does indeed hold promise for simulation in industry

A load-sharing architecture for high performance optimistic simulations on multi-core machines

In Parallel Discrete Event Simulation (PDES), the simulation model is partitioned into a set of distinct Logical Processes (LPs) which are allowed to concurrently execute simulation events. In this work we present an innovative approach to load-sharing on multi-core/multiprocessor machines, targeted at the optimistic PDES paradigm, where LPs are speculatively allowed to process simulation events with no preventive verification of causal consistency, and actual consistency violations (if any) are recovered via rollback techniques. In our approach, each simulation kernel instance, in charge of hosting and executing a specific set of LPs, runs a set of worker threads, which can be dynamically activated/deactivated on the basis of a distributed algorithm. The latter relies in turn on an analytical model that provides indications on how to reassign processor/core usage across the kernels in order to handle the simulation workload as efficiently as possible. We also present a real implementation of our load-sharing architecture within the ROme OpTimistic Simulator (ROOT-Sim), namely an open-source C-based simulation platform implemented according to the PDES paradigm and the optimistic synchronization approach. Experimental results for an assessment of the validity of our proposal are presented as well