From ac34a6ba0e5b2452c4e294d7cabab7196ef9b7de Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 20 Feb 2015 17:18:07 +0100 Subject: [PATCH 001/122] First draft of new implementation. Not all benchmarks have been converted yet. --- .gitignore | 2 + CalibVolDiff/Data/Large/input.data | 5 - CalibVolDiff/Data/Medium/input.data | 5 - CalibVolDiff/Data/Small/input.data | 5 - CalibVolDiff/HaskellLH/Makefile | 45 -- CalibVolDiff/includeC/ParseInput.h | 128 ---- CalibVolDiff/includeC/ParseInputOLD.h | 152 ----- GenericPricing/HaskellLH/Makefile | 43 -- benchmarks.hs | 171 ----- {CalibGA => benchmarks/CalibGA}/README.txt | 0 .../CalibGA/datasets}/Large/input.data | 0 .../CalibGA/datasets}/Large/output.data | 0 .../CalibGA/datasets}/Medium/input.data | 0 .../CalibGA/datasets}/Medium/output.data | 0 .../CalibGA/datasets}/Small/input.data | 0 .../CalibGA/datasets}/Small/output.data | 0 .../All_CppOpenCL/FindBestKer.h | 0 .../All_CppOpenCL/GenAlgFlat.h | 0 .../All_CppOpenCL/GenAlgKers.h | 0 .../implementations}/All_CppOpenCL/MainKer.h | 0 .../implementations}/All_CppOpenCL/Makefile | 0 .../All_CppOpenCL/SrcCL/BestIndValRedKer.cl | 0 .../All_CppOpenCL/SrcCL/CalibKers.cl | 0 .../All_CppOpenCL/SrcCL/Date.cl | 0 .../All_CppOpenCL/SrcCL/ExactYhat.cl | 0 .../All_CppOpenCL/SrcCL/G2ppUtil.cl | 0 .../All_CppOpenCL/SrcCL/GenAlg.cl | 0 .../All_CppOpenCL/SrcCL/Reductions.cl | 0 .../All_CppOpenCL/SwapCalib.cpp | 0 .../All_CppOpenCL/UtilGPGPU.h | 0 .../Outer_CppOpenMP/GenAlgFlat.h | 0 .../implementations}/Outer_CppOpenMP/Makefile | 0 .../implementations/Outer_CppOpenMP/SwapCalib | Bin 0 -> 80848 bytes .../Outer_CppOpenMP/SwapCalib.cpp | 0 .../Outer_CppOpenMP/UtilCPU.h | 0 .../CalibGA}/includeC/Candidate.h | 0 .../CalibGA}/includeC/Constants.h | 0 .../CalibGA}/includeC/Date.h | 0 .../CalibGA}/includeC/EvalGenomeInl.h | 0 .../CalibGA}/includeC/G2PP.h | 0 .../CalibGA}/includeC/G2ppUtil.h | 0 .../CalibGA}/includeC/GenAlgUtil.h | 0 .../CalibGA}/includeC/IrregShape.h | 0 .../CalibGA}/includeC/KerConsts.h | 0 .../CalibGA}/includeC/MathModule.h | 0 .../CalibGA}/includeC/ParseInput.h | 0 .../CalibGA}/includeC/tmp/Constants.h | 0 .../CalibGA}/includeC/tmp/DataStructConst.h | 0 .../CalibGA}/includeC/tmp/G2PP.h | 0 .../CalibVolDiff}/README.txt | 0 .../CalibVolDiff}/ToDo.txt | 0 .../CalibVolDiff/datasets/Large/input.json | 6 + .../CalibVolDiff/datasets/Large/output.json | 24 +- .../CalibVolDiff/datasets/Medium/input.json | 6 + .../CalibVolDiff/datasets/Medium/output.json | 5 +- .../CalibVolDiff/datasets/Small/input.json | 6 + .../CalibVolDiff/datasets/Small/output.json | 35 +- .../All_COpenCLMP/CrankNicolson.cl | 0 .../implementations}/All_COpenCLMP/Makefile | 10 - .../All_COpenCLMP/PrepareKernels.h | 0 .../implementations}/All_COpenCLMP/Vect_CPU.h | 2 +- .../implementations}/All_COpenCLMP/Vect_GPU.h | 2 +- .../All_COpenCLMP/VolCalibAll.cpp | 29 +- .../All_COpenCLMP/VolCalibInit.h | 2 +- .../implementations/All_COpenCLMP/instantiate | 17 + .../implementations/All_COpenCLMP/run | 3 + .../implementations}/HaskellLH/VolCalib.hs | 33 +- .../implementations/HaskellLH/instantiate | 11 + .../implementations/HaskellLH/run | 5 + .../implementations}/Orig_COpenMP/Makefile | 10 - .../Orig_COpenMP/VolCalibOrig.cpp | 16 +- .../implementations/Orig_COpenMP/instantiate | 14 + .../implementations/Orig_COpenMP/run | 3 + .../implementations}/Original/Makefile | 0 .../implementations/Original/VolCalib | Bin 0 -> 40968 bytes .../Original/VolCalibOrig.cpp | 640 +++++++++--------- .../implementations/Original/instantiate | 14 + .../CalibVolDiff/implementations/Original/run | 3 + .../Outer_COpenCLMP/CrankNicolson.cl | 0 .../implementations}/Outer_COpenCLMP/Makefile | 0 .../Outer_COpenCLMP/PrepareKernels.h | 0 .../Outer_COpenCLMP/Vect_CPU.h | 2 +- .../Outer_COpenCLMP/Vect_GPU.h | 0 .../Outer_COpenCLMP/VolCalibInit.h | 2 +- .../Outer_COpenCLMP/VolCalibOuter.cpp | 24 +- .../Outer_COpenCLMP/instantiate | 17 + .../implementations/Outer_COpenCLMP/run | 3 + .../CalibVolDiff/lib/include}/Constants.h | 0 .../lib/include}/DataStructConst.h | 0 .../CalibVolDiff/lib/include}/ParPrefixUtil.h | 0 .../CalibVolDiff/lib/include/ParseInput.h | 58 ++ .../GenericPricing/datasets}/Large/input.data | 0 .../datasets}/Large/output.data | 0 .../datasets}/Medium/input.data | 0 .../datasets}/Medium/output.data | 0 .../GenericPricing/datasets}/Small/input.data | 0 .../datasets}/Small/output.data | 0 .../CppOpenCL/ContractDefs/LargeContract.cl | 0 .../CppOpenCL/ContractDefs/MediumContract.cl | 0 .../CppOpenCL/ContractDefs/SmallContract.cl | 0 .../implementations}/CppOpenCL/GenPricing.cpp | 14 +- .../CppOpenCL/GenericPricingPrivOpt.cl | 0 .../CppOpenCL/GenericPricingVectOpt.cl | 0 .../GenericPricingVectUncoalesced.cl | 0 .../implementations}/CppOpenCL/Makefile | 20 +- .../implementations}/CppOpenCL/StructGPU.h | 0 .../implementations/CppOpenCL/instantiate | 16 + .../implementations/CppOpenCL/run | 3 + .../implementations}/HaskellLH/GenPricing.hs | 101 +-- .../implementations}/HaskellLH/Payoff3Cond.hs | 0 .../implementations/HaskellLH/instantiate | 11 + .../implementations/HaskellLH/run | 5 + .../implementations}/Orig_COpenMp/Contracts.h | 0 .../Orig_COpenMp/GenPricing.cpp | 22 +- .../implementations}/Orig_COpenMp/Makefile | 16 +- .../Orig_COpenMp/SobolGaussBB.h | 0 .../implementations/Orig_COpenMp/instantiate | 15 + .../implementations/Orig_COpenMp/run | 3 + .../GenericPricing/lib}/Constants.h | 0 .../GenericPricing/lib}/Optimizations.h | 0 .../GenericPricing/lib}/ParseInput.h | 28 - .../GenericPricing/lib}/TimeHelper.h | 0 {DOCS => docs}/Jepsen_Report.pdf | Bin {DOCS => docs}/TridagPres.pdf | Bin finpar | 247 +++++++ {include => lib/include}/ParserC.h | 42 +- {include => lib/include}/SDK_stub.h | 0 {include => lib/include}/Util.h | 0 {include => lib/include}/Utilities.cl | 0 lib/linearise_data.py | 20 + lib/platform.mk | 28 + lib/setup.mk | 20 + redesign.md | 114 ++++ setup.mk | 2 +- 134 files changed, 1134 insertions(+), 1151 deletions(-) delete mode 100644 CalibVolDiff/Data/Large/input.data delete mode 100644 CalibVolDiff/Data/Medium/input.data delete mode 100644 CalibVolDiff/Data/Small/input.data delete mode 100644 CalibVolDiff/HaskellLH/Makefile delete mode 100644 CalibVolDiff/includeC/ParseInput.h delete mode 100644 CalibVolDiff/includeC/ParseInputOLD.h delete mode 100644 GenericPricing/HaskellLH/Makefile delete mode 100644 benchmarks.hs rename {CalibGA => benchmarks/CalibGA}/README.txt (100%) rename {CalibGA/Data => benchmarks/CalibGA/datasets}/Large/input.data (100%) rename {CalibGA/Data => benchmarks/CalibGA/datasets}/Large/output.data (100%) rename {CalibGA/Data => benchmarks/CalibGA/datasets}/Medium/input.data (100%) rename {CalibGA/Data => benchmarks/CalibGA/datasets}/Medium/output.data (100%) rename {CalibGA/Data => benchmarks/CalibGA/datasets}/Small/input.data (100%) rename {CalibGA/Data => benchmarks/CalibGA/datasets}/Small/output.data (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/FindBestKer.h (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/GenAlgFlat.h (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/GenAlgKers.h (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/MainKer.h (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/Makefile (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/BestIndValRedKer.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/CalibKers.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/Date.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/ExactYhat.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/G2ppUtil.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/GenAlg.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SrcCL/Reductions.cl (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/SwapCalib.cpp (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/All_CppOpenCL/UtilGPGPU.h (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/Outer_CppOpenMP/GenAlgFlat.h (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/Outer_CppOpenMP/Makefile (100%) create mode 100755 benchmarks/CalibGA/implementations/Outer_CppOpenMP/SwapCalib rename {CalibGA => benchmarks/CalibGA/implementations}/Outer_CppOpenMP/SwapCalib.cpp (100%) rename {CalibGA => benchmarks/CalibGA/implementations}/Outer_CppOpenMP/UtilCPU.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/Candidate.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/Constants.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/Date.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/EvalGenomeInl.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/G2PP.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/G2ppUtil.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/GenAlgUtil.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/IrregShape.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/KerConsts.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/MathModule.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/ParseInput.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/tmp/Constants.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/tmp/DataStructConst.h (100%) rename {CalibGA => benchmarks/CalibGA}/includeC/tmp/G2PP.h (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff}/README.txt (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff}/ToDo.txt (100%) create mode 100644 benchmarks/CalibVolDiff/datasets/Large/input.json rename CalibVolDiff/Data/Large/output.data => benchmarks/CalibVolDiff/datasets/Large/output.json (72%) create mode 100644 benchmarks/CalibVolDiff/datasets/Medium/input.json rename CalibVolDiff/Data/Medium/output.data => benchmarks/CalibVolDiff/datasets/Medium/output.json (93%) create mode 100644 benchmarks/CalibVolDiff/datasets/Small/input.json rename CalibVolDiff/Data/Small/output.data => benchmarks/CalibVolDiff/datasets/Small/output.json (62%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/CrankNicolson.cl (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/Makefile (80%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/PrepareKernels.h (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/Vect_CPU.h (99%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/Vect_GPU.h (99%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/VolCalibAll.cpp (86%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/All_COpenCLMP/VolCalibInit.h (98%) create mode 100755 benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/All_COpenCLMP/run rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/HaskellLH/VolCalib.hs (94%) create mode 100755 benchmarks/CalibVolDiff/implementations/HaskellLH/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/HaskellLH/run rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Orig_COpenMP/Makefile (64%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Orig_COpenMP/VolCalibOrig.cpp (92%) create mode 100755 benchmarks/CalibVolDiff/implementations/Orig_COpenMP/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/Orig_COpenMP/run rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Original/Makefile (100%) create mode 100755 benchmarks/CalibVolDiff/implementations/Original/VolCalib rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Original/VolCalibOrig.cpp (88%) create mode 100755 benchmarks/CalibVolDiff/implementations/Original/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/Original/run rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/CrankNicolson.cl (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/Makefile (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/PrepareKernels.h (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/Vect_CPU.h (99%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/Vect_GPU.h (100%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/VolCalibInit.h (98%) rename {CalibVolDiff => benchmarks/CalibVolDiff/implementations}/Outer_COpenCLMP/VolCalibOuter.cpp (88%) create mode 100755 benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/run rename {CalibVolDiff/includeC => benchmarks/CalibVolDiff/lib/include}/Constants.h (100%) rename {CalibVolDiff/includeC => benchmarks/CalibVolDiff/lib/include}/DataStructConst.h (100%) rename {CalibVolDiff/includeC => benchmarks/CalibVolDiff/lib/include}/ParPrefixUtil.h (100%) create mode 100644 benchmarks/CalibVolDiff/lib/include/ParseInput.h rename {GenericPricing/Data => benchmarks/GenericPricing/datasets}/Large/input.data (100%) rename {GenericPricing/Data => benchmarks/GenericPricing/datasets}/Large/output.data (100%) rename {GenericPricing/Data => benchmarks/GenericPricing/datasets}/Medium/input.data (100%) rename {GenericPricing/Data => benchmarks/GenericPricing/datasets}/Medium/output.data (100%) rename {GenericPricing/Data => benchmarks/GenericPricing/datasets}/Small/input.data (100%) rename {GenericPricing/Data => benchmarks/GenericPricing/datasets}/Small/output.data (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/ContractDefs/LargeContract.cl (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/ContractDefs/MediumContract.cl (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/ContractDefs/SmallContract.cl (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/GenPricing.cpp (96%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/GenericPricingPrivOpt.cl (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/GenericPricingVectOpt.cl (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/GenericPricingVectUncoalesced.cl (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/Makefile (66%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/CppOpenCL/StructGPU.h (100%) create mode 100755 benchmarks/GenericPricing/implementations/CppOpenCL/instantiate create mode 100755 benchmarks/GenericPricing/implementations/CppOpenCL/run rename {GenericPricing => benchmarks/GenericPricing/implementations}/HaskellLH/GenPricing.hs (85%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/HaskellLH/Payoff3Cond.hs (100%) create mode 100755 benchmarks/GenericPricing/implementations/HaskellLH/instantiate create mode 100755 benchmarks/GenericPricing/implementations/HaskellLH/run rename {GenericPricing => benchmarks/GenericPricing/implementations}/Orig_COpenMp/Contracts.h (100%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/Orig_COpenMp/GenPricing.cpp (93%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/Orig_COpenMp/Makefile (64%) rename {GenericPricing => benchmarks/GenericPricing/implementations}/Orig_COpenMp/SobolGaussBB.h (100%) create mode 100755 benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate create mode 100755 benchmarks/GenericPricing/implementations/Orig_COpenMp/run rename {GenericPricing/includeC => benchmarks/GenericPricing/lib}/Constants.h (100%) rename {GenericPricing/includeC => benchmarks/GenericPricing/lib}/Optimizations.h (100%) rename {GenericPricing/includeC => benchmarks/GenericPricing/lib}/ParseInput.h (93%) rename {GenericPricing/includeC => benchmarks/GenericPricing/lib}/TimeHelper.h (100%) rename {DOCS => docs}/Jepsen_Report.pdf (100%) rename {DOCS => docs}/TridagPres.pdf (100%) create mode 100755 finpar rename {include => lib/include}/ParserC.h (82%) rename {include => lib/include}/SDK_stub.h (100%) rename {include => lib/include}/Util.h (100%) rename {include => lib/include}/Utilities.cl (100%) create mode 100755 lib/linearise_data.py create mode 100644 lib/platform.mk create mode 100644 lib/setup.mk create mode 100644 redesign.md diff --git a/.gitignore b/.gitignore index 0505c1b..d245830 100644 --- a/.gitignore +++ b/.gitignore @@ -23,3 +23,5 @@ CalibVolDiff/Original/CalibVol # emacs backups *~ +# For development, we instantiate in this directory. +instantiations/ \ No newline at end of file diff --git a/CalibVolDiff/Data/Large/input.data b/CalibVolDiff/Data/Large/input.data deleted file mode 100644 index 226cb57..0000000 --- a/CalibVolDiff/Data/Large/input.data +++ /dev/null @@ -1,5 +0,0 @@ -128 // OUTER -- no restrictions -256 // NUM_X -- 2^x, where x \in {5, ..., 9} -256 // NUM_Y -- 2^x, where x \in {5, ..., 9} -64 // NUM_T -- no restrictions - diff --git a/CalibVolDiff/Data/Medium/input.data b/CalibVolDiff/Data/Medium/input.data deleted file mode 100644 index ad615a3..0000000 --- a/CalibVolDiff/Data/Medium/input.data +++ /dev/null @@ -1,5 +0,0 @@ -128 // OUTER -- no restrictions -256 // NUM_X -- 2^x, where x \in {5, ..., 9} -32 // NUM_Y -- 2^x, where x \in {5, ..., 9} -64 // NUM_T -- no restrictions - diff --git a/CalibVolDiff/Data/Small/input.data b/CalibVolDiff/Data/Small/input.data deleted file mode 100644 index 370c268..0000000 --- a/CalibVolDiff/Data/Small/input.data +++ /dev/null @@ -1,5 +0,0 @@ -128 // OUTER -- no restrictions -32 // NUM_X -- 2^x, where x \in {5, ..., 9} -32 // NUM_Y -- 2^x, where x \in {5, ..., 9} -256 // NUM_T -- no restrictions - diff --git a/CalibVolDiff/HaskellLH/Makefile b/CalibVolDiff/HaskellLH/Makefile deleted file mode 100644 index 87ba8be..0000000 --- a/CalibVolDiff/HaskellLH/Makefile +++ /dev/null @@ -1,45 +0,0 @@ -# can be set using $>gmake GHC=/path/to/my/ghc -ifeq ($(strip $(GHC)),) - GHC=`which ghc` -endif - -# switch this on if llvm is enabled -#BACKEND=-fllvm - -OPTIMIZATION=-O2 -msse2 -rtsopts -EXECUTABLE=VolCalib - -all: $(EXECUTABLE) - -$(EXECUTABLE): % : %.hs - $(GHC) $(OPTIMIZATION) --make $< -o $@ - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) - -# the Large dataset runs out of memory on the current Haskell implementation! -run_large: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) -# cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) - - -#------------------------------------------------------------------------- -# clean -#------------------------------------------------------------------------- -.PHONY : clean_executables clean_obj clean_source_backup -.SILENT : clean_executables clean_obj clean_source_backup - -clean: clean_executables clean_obj clean_source_backup - -clean_executables: - rm -f $(EXECUTABLE) - -clean_obj : - rm -f *.o *.hi - -clean_source_backup: - rm -f *~ - diff --git a/CalibVolDiff/includeC/ParseInput.h b/CalibVolDiff/includeC/ParseInput.h deleted file mode 100644 index 3cde309..0000000 --- a/CalibVolDiff/includeC/ParseInput.h +++ /dev/null @@ -1,128 +0,0 @@ -#ifndef PARSE_INPUT -#define PARSE_INPUT - -#include "ParserC.h" -#include -#include -#include - -using namespace std; - -#include -using std::cout; -using std::endl; - - -#if WITH_FLOATS - #define read_real read_float -#else - #define read_real read_double -#endif - -const float EPS = 0.00001; - -/***********************************/ -/********** READ DATA SET **********/ -/***********************************/ - -void readDataSet( unsigned int& outer, - unsigned int& num_X, - unsigned int& num_Y, - unsigned int& num_T -) { - if( read_int( static_cast( &outer ) ) || - read_int( static_cast( &num_X ) ) || - read_int( static_cast( &num_Y ) ) || - read_int( static_cast( &num_T ) ) ) { - - fprintf(stderr, "Syntax error when reading the dataset, i.e., four ints.\n"); - exit(1); - } - - { // check dataset invariants: - bool atr_ok = true; - - atr_ok = outer > 0; - assert(atr_ok && "Outer loop count less than 0!"); - - atr_ok = (num_X > 0) && (num_X <= WORKGROUP_SIZE) && is_pow2(num_X); - assert(atr_ok && "Illegal NUM_X value!"); - - atr_ok = (num_Y > 0) && (num_Y <= WORKGROUP_SIZE) && is_pow2(num_Y); - assert(atr_ok && "Illegal NUM_X value!"); - - atr_ok = num_T > 0; - assert(atr_ok && "NUM_T value less or equal to zero!!"); - } -} - -REAL* readOutput( const int& N ) { - REAL* result; - int64_t shape[3]; - - // reading the standard output - if (read_array(sizeof(REAL), read_real, (void**)&result, shape, 1) ) { - fprintf(stderr, "Syntax error when reading the output.\n"); - exit(1); - } - - bool ok = ( shape[0] == N ); - assert(ok && "Incorrect shape of the standard result!"); - - return result; -} - -bool validate( const REAL* res, const int& N ) { - bool is_valid = true; - - REAL* std_res = readOutput( N ); - - for ( int i = 0; i < N; i ++ ) { - float err = fabs(std_res[i] - res[i]); - if ( err > EPS ) { - is_valid = false; - fprintf(stderr, "Error[%d] = %f, EPS = %f!\n", i, err, EPS); - break; - } - } - - return is_valid; -} - -void writeStatsAndResult( const bool& valid, const REAL* data, - const int & outer, const int & num_X, - const int & num_Y, const int & num_T, - const bool& is_gpu,const int & P, - const unsigned long int& elapsed -) { - // print stats to stdout - fprintf(stdout, "// OUTER=%d, NUM_X=%d, NUM_Y=%d, NUM_T=%d.\n", - outer, num_X, num_Y, num_T ); - - if(valid) { fprintf(stdout, "1\t\t// VALID Result,\n"); } - else { fprintf(stdout, "0\t\t// INVALID Result,\n"); } - - fprintf(stdout, "%ld\t\t// Runtime in microseconds,\n", elapsed); - if(is_gpu) fprintf(stdout, "%d\t\t// GPU Threads,\n\n", P); - else fprintf(stdout, "%d\t\t// CPU Threads,\n\n", P); - - // write the result - write_1Darr( data, static_cast(outer), - "Volatility Calibration Result" ); -} - -#if 0 -void writeResult( const REAL* res, const unsigned int N, const char* msg ) { - //ofstream fout; - //fout.open ("output.data"); - cout << "\n[ " - for( int k=0; k -using std::cout; -using std::endl; - -#include -using std::ifstream; - -#include - -const int MAX_CHARS_PER_LINE = 512; -const int MAX_TOKENS_PER_LINE = 20; -const char* const DELIMITER = " :="; - -const float EPS = 0.00001; - -/***********************************/ -/********** READ DATA SET **********/ -/***********************************/ - -bool is_pow2(int atr_val) { - int x = 1; - - for(int i = 0; i < 31; i++) { - if(x == atr_val) return true; - x = (x << 1); - } - return false; -} -#if 0 -static bool is_pow2(unsigned int x) { - while(x > 1) { - if( x & 1 ) return false; - x = x >> 1; - } - return true; -} -#endif - -inline int parseIntAttribute(ifstream& fin, char* buf, const char* atr) { - int ret_val; - - assert( (!fin.eof()) && "incomplete input.data file!" ); - fin.getline(buf, MAX_CHARS_PER_LINE); - - { // reading the atribute name - char* token_atr = strtok(buf, DELIMITER); - bool ok = (token_atr != NULL) && (strcmp(token_atr, atr) == 0); - assert( ok && "illegal/missing attribute name in input.data file!"); - // the result of strtok is part of buf, - // i.e., no dealocation is necessary! - } - - { // reading the attribute value - char* token_val = strtok(NULL, DELIMITER); - assert( token_val && "missing attribute value in input.data file!"); - ret_val = atoi(token_val); - } - - return ret_val; -} - -void readDataSet( unsigned int& outer, - unsigned int& num_X, - unsigned int& num_Y, - unsigned int& num_T -) { - char buf[MAX_CHARS_PER_LINE]; - int atr_val; bool atr_ok; - - // create a file-reading object - ifstream fin; - fin.open("input.data"); - assert(fin.good() && "Error opening input.data file!"); - - { // seeting and checking legality of the outer loop count - atr_val = parseIntAttribute(fin, buf, "OUTER"); - atr_ok = atr_val > 0; - assert(atr_ok && "outer loop count less than 0!"); - outer = static_cast(atr_val); - } - - { // seeting and checking legality of NUM_X - atr_val = parseIntAttribute(fin, buf, "NUM_X"); - atr_ok = (atr_val > 0) && (atr_val <= 512) && is_pow2(atr_val); - assert(atr_ok && "illegal NUM_X value!"); - num_X = static_cast(atr_val); - } - - { // seeting and checking legality of NUM_Y - atr_val = parseIntAttribute(fin, buf, "NUM_Y"); - atr_ok = (atr_val > 0) && (atr_val <= 512) && is_pow2(atr_val); - assert(atr_ok && "illegal NUM_Y value!"); - num_Y = static_cast(atr_val); - } - - { // seeting and checking legality of NUM_T - atr_val = parseIntAttribute(fin, buf, "NUM_T"); - atr_ok = atr_val > 0; - assert(atr_ok && "NUM_T value less or equal to zero!"); - num_T = static_cast(atr_val); - } - - fin.close(); - - cout<<"Parameters: { OUTER = "< EPS ) { - is_valid = false; - cout<<"INVALID: error["< "<gmake GHC=/path/to/my/ghc -ifeq ($(strip $(GHC)),) - GHC=`which ghc` -endif - -# switch this on if llvm is enabled -#BACKEND=-fllvm - -OPTIMIZATION=-O2 -msse2 -rtsopts -EXECUTABLE=GenPricing - -all: $(EXECUTABLE) - -$(EXECUTABLE): % : %.hs - $(GHC) $(OPTIMIZATION) --make $< -o $@ - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) - - -#------------------------------------------------------------------------- -# clean -#------------------------------------------------------------------------- -.PHONY : clean_executables clean_obj clean_source_backup -.SILENT : clean_executables clean_obj clean_source_backup - -clean: clean_executables clean_obj clean_source_backup - -clean_executables: - rm -f $(EXECUTABLE) - -clean_obj : - rm -f *.o *.hi - -clean_source_backup: - rm -f *~ - diff --git a/benchmarks.hs b/benchmarks.hs deleted file mode 100644 index a41b878..0000000 --- a/benchmarks.hs +++ /dev/null @@ -1,171 +0,0 @@ -{-# LANGUAGE CPP,RecordWildCards #-} - --- running finpar benchmarks --- Usage: runhaskell benchmarks.hs - -import System.Environment -import System.IO -import System.Process -- run commands -import System.Exit -- exit codes -import System.Directory -import System.FilePath -import System.Console.GetOpt -import Control.Exception -import Text.ParserCombinators.ReadP -- (string, readP_to_S) -import Control.Monad -import Control.Applicative((<*), (<$>), (<*>), pure ) -import Data.Maybe - - -------------------------------- options of this script: ------------------------- -options = - [ Option ['v'] ["verbose"] (NoArg (\o -> o{optVerbose = True})) - "report activities on stderr" - -- , Option ['g'] ["graph"] (ReqArg (\f o -> o{optGraph = Just f}) "out.png") - -- "output a png graph to given filename" - , Option [] ["all"] (NoArg (\o -> o{optAll = True})) - "run all configured benchmarks" - , Option ['s'] ["small"] (NoArg (\o -> o{optSize = Small})) - "run on small data (default)" - , Option ['m'] ["medium"] (NoArg (\o -> o{optSize = Medium})) - "run on medium data" - , Option ['l'] ["large"] (NoArg (\o -> o{optSize = Large})) - "run on large data" - ] - -data Options = Options - { optVerbose :: Bool - , optGraph :: Maybe FilePath - , optAll :: Bool - , optSize :: BenchSize - } -instance Show Options where - show Options{..} = "// Options:" - ++ "Running with " ++ show optSize ++ " data size, " - ++ (if optVerbose then "verbose, " else "") - -- ++ (case optGraph of - -- Just f -> "output to " ++ f ++ ", " - -- Nothing -> "" - -- ) - ++ (if optAll then "(all benchmarks)" else "") - -defaults = Options { optVerbose = False, optGraph = Nothing - , optAll = False, optSize = Small } - -data BenchSize = Small | Medium | Large - deriving (Eq,Ord) -instance Show BenchSize where - show Small = "small" - show Medium = "medium" - show Large = "large" -instance Read BenchSize where - readsPrec _ = readP_to_S $ - (string "small" >> return Small) +++ - (string "medium" >> return Medium) +++ - (string "large" >> return Large) - ---------------------------------------------------------------------------------- - -usage = usageInfo "runhaskell benchmarks.hs [OPTIONS] benchmarkname" options - -main = do putStrLn "Please use make!" - args <- getArgs - let (opts,bs) = case getOpt Permute options args of - (o, [], []) -> - (foldl (flip ($)) defaults{optAll=True} o, []) - -- (flip id) :-] - (o, n, []) -> (foldl (flip ($)) defaults o, n) - (_,_,errs) -> error (concat errs ++ '\n':usage) - benches <- filterM doesDirectoryExist - (if optAll opts then dirnames else bs) - when (optVerbose opts) $ do hPutStrLn stderr usage - print benches - print opts - mapM_ (runBench opts) benches - - ---------------------------------------------------------------------------------- -runBench :: Options -> String -> IO () -runBench Options{..} dir = - do (e,msg) <- runMake optVerbose dir [] - (ret,out) <- if e /= ExitSuccess then return (e,msg) - else runMake optVerbose dir ["run_" ++ show optSize] - when (optVerbose || (ret /= ExitSuccess)) - (hPutStrLn stderr ("make returned " ++ show ret)) - -- parsing output - putStrLn out - -runMake :: Bool -> FilePath -> [String] -> IO (ExitCode,String) -runMake verbose dir targets = do - when verbose (putStrLn ("make " ++ unwords ("-C":dir:targets))) - dirOK <- doesDirectoryExist dir - if not dirOK then return (ExitFailure 1, dir ++ ": does not exist") - else do - let args = (if verbose then ["-C"] else ["--no-print-directory","-C"]) - (code, stdo, stde) <- readProcessWithExitCode "make" (args ++dir:targets) "" - when verbose $ hPutStrLn stderr ("Output from " ++ dir ++ "\nstdout:\n" - ++ stdo ++ "\nstderr:\n" ++ stde) - return (code,stdo) - --- every directory with source code must supply a makefile with --- default target compiling the program, and targets run_small, --- run_medium, run_large with test data in a relative path "../Data" - --- names of target directories (only those with code) -dirnames = ["CalibVolDiff" "Orig_COpenMP" - , "CalibVolDiff" "Original" - , "CalibVolDiff" "All_COpenMPCL" - , "CalibVolDiff" "Outer_COpenMPCL" - , "CalibVolDiff" "HaskellLH" --- , "CalibGA/CppAndGPU" --- , "CalibGA/python" --- , "CalibGA/OCaml" - , "GenericPricing" "Orig_COpenMp" - , "GenericPricing" "CppOpenCL" - , "GenericPricing" "HaskellLH" - ] - --- names of different benchmarks -benchnames = [ "CalibVolDiff" - , "GenericPricing" - -- , "CalibGA" - ] - --- code directories inside benchmark directories; kind-of ad-hoc standardised -codenames = ["Orig_COpenMP", "Original", "CppOpenCL" - , "All_COpenMPCL", "Outer_COpenMPCL" - , "HaskellLH" - ] - - ---------------------- --- parsing using ReadP (no external library required) - -signed p = (char '-' >> (('-':) <$> p)) +++ p - -whitespace :: ReadP () -whitespace = skipSpaces <* - optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) -anyChar = satisfy (const True) -digit = satisfy (`elem` ['0'..'9']) - -lexeme :: ReadP a -> ReadP a -lexeme p = p <* whitespace - --- token :: String -> Parser () -token = return () . lexeme . string - -readInt :: ReadP Int -readInt = lexeme $ read <$> signed (many1 digit) - -readDouble :: ReadP Double -readDouble = read <$> signed (s2 +++ s1) - where s1 = do bef <- many1 digit - aft <- option "" ((:) <$> char '.' <*> many1 digit) - return $ bef ++ aft - s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit - --- not ready: --- readArray :: ReadP a -> ReadP [a] --- readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") - diff --git a/CalibGA/README.txt b/benchmarks/CalibGA/README.txt similarity index 100% rename from CalibGA/README.txt rename to benchmarks/CalibGA/README.txt diff --git a/CalibGA/Data/Large/input.data b/benchmarks/CalibGA/datasets/Large/input.data similarity index 100% rename from CalibGA/Data/Large/input.data rename to benchmarks/CalibGA/datasets/Large/input.data diff --git a/CalibGA/Data/Large/output.data b/benchmarks/CalibGA/datasets/Large/output.data similarity index 100% rename from CalibGA/Data/Large/output.data rename to benchmarks/CalibGA/datasets/Large/output.data diff --git a/CalibGA/Data/Medium/input.data b/benchmarks/CalibGA/datasets/Medium/input.data similarity index 100% rename from CalibGA/Data/Medium/input.data rename to benchmarks/CalibGA/datasets/Medium/input.data diff --git a/CalibGA/Data/Medium/output.data b/benchmarks/CalibGA/datasets/Medium/output.data similarity index 100% rename from CalibGA/Data/Medium/output.data rename to benchmarks/CalibGA/datasets/Medium/output.data diff --git a/CalibGA/Data/Small/input.data b/benchmarks/CalibGA/datasets/Small/input.data similarity index 100% rename from CalibGA/Data/Small/input.data rename to benchmarks/CalibGA/datasets/Small/input.data diff --git a/CalibGA/Data/Small/output.data b/benchmarks/CalibGA/datasets/Small/output.data similarity index 100% rename from CalibGA/Data/Small/output.data rename to benchmarks/CalibGA/datasets/Small/output.data diff --git a/CalibGA/All_CppOpenCL/FindBestKer.h b/benchmarks/CalibGA/implementations/All_CppOpenCL/FindBestKer.h similarity index 100% rename from CalibGA/All_CppOpenCL/FindBestKer.h rename to benchmarks/CalibGA/implementations/All_CppOpenCL/FindBestKer.h diff --git a/CalibGA/All_CppOpenCL/GenAlgFlat.h b/benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgFlat.h similarity index 100% rename from CalibGA/All_CppOpenCL/GenAlgFlat.h rename to benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgFlat.h diff --git a/CalibGA/All_CppOpenCL/GenAlgKers.h b/benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgKers.h similarity index 100% rename from CalibGA/All_CppOpenCL/GenAlgKers.h rename to benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgKers.h diff --git a/CalibGA/All_CppOpenCL/MainKer.h b/benchmarks/CalibGA/implementations/All_CppOpenCL/MainKer.h similarity index 100% rename from CalibGA/All_CppOpenCL/MainKer.h rename to benchmarks/CalibGA/implementations/All_CppOpenCL/MainKer.h diff --git a/CalibGA/All_CppOpenCL/Makefile b/benchmarks/CalibGA/implementations/All_CppOpenCL/Makefile similarity index 100% rename from CalibGA/All_CppOpenCL/Makefile rename to benchmarks/CalibGA/implementations/All_CppOpenCL/Makefile diff --git a/CalibGA/All_CppOpenCL/SrcCL/BestIndValRedKer.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/BestIndValRedKer.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/BestIndValRedKer.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/BestIndValRedKer.cl diff --git a/CalibGA/All_CppOpenCL/SrcCL/CalibKers.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/CalibKers.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/CalibKers.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/CalibKers.cl diff --git a/CalibGA/All_CppOpenCL/SrcCL/Date.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Date.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/Date.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Date.cl diff --git a/CalibGA/All_CppOpenCL/SrcCL/ExactYhat.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/ExactYhat.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/ExactYhat.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/ExactYhat.cl diff --git a/CalibGA/All_CppOpenCL/SrcCL/G2ppUtil.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/G2ppUtil.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/G2ppUtil.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/G2ppUtil.cl diff --git a/CalibGA/All_CppOpenCL/SrcCL/GenAlg.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/GenAlg.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/GenAlg.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/GenAlg.cl diff --git a/CalibGA/All_CppOpenCL/SrcCL/Reductions.cl b/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Reductions.cl similarity index 100% rename from CalibGA/All_CppOpenCL/SrcCL/Reductions.cl rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Reductions.cl diff --git a/CalibGA/All_CppOpenCL/SwapCalib.cpp b/benchmarks/CalibGA/implementations/All_CppOpenCL/SwapCalib.cpp similarity index 100% rename from CalibGA/All_CppOpenCL/SwapCalib.cpp rename to benchmarks/CalibGA/implementations/All_CppOpenCL/SwapCalib.cpp diff --git a/CalibGA/All_CppOpenCL/UtilGPGPU.h b/benchmarks/CalibGA/implementations/All_CppOpenCL/UtilGPGPU.h similarity index 100% rename from CalibGA/All_CppOpenCL/UtilGPGPU.h rename to benchmarks/CalibGA/implementations/All_CppOpenCL/UtilGPGPU.h diff --git a/CalibGA/Outer_CppOpenMP/GenAlgFlat.h b/benchmarks/CalibGA/implementations/Outer_CppOpenMP/GenAlgFlat.h similarity index 100% rename from CalibGA/Outer_CppOpenMP/GenAlgFlat.h rename to benchmarks/CalibGA/implementations/Outer_CppOpenMP/GenAlgFlat.h diff --git a/CalibGA/Outer_CppOpenMP/Makefile b/benchmarks/CalibGA/implementations/Outer_CppOpenMP/Makefile similarity index 100% rename from CalibGA/Outer_CppOpenMP/Makefile rename to benchmarks/CalibGA/implementations/Outer_CppOpenMP/Makefile diff --git a/benchmarks/CalibGA/implementations/Outer_CppOpenMP/SwapCalib 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z`D^L5@(&=K@D|H>+PhxSLobWH@75xmt z6P-T1PYUyj^zfN*@yfp@`L4M;;EztP?Qf}(5w1EOl^CyDIt}{Wxb)h-tH7HghO7oH zI`b;*!OL#^QT`hLwf$LrGX0k62#k7cQSbD+2Y=D&wS8Qv=R`!>e-iz~^Y2LnMyJ>I zdmSAUsis~MojOu~8gv*h(do5)VJ}S~==k^o%0c||B7Ui=q?m;FkB!Lm@%+~0Ps8v> zykIIcoL<{!c4mV7`SKqE7FqeYU#uK)~1S*s*?Yjd~5k@GF2KSRP9^~C4@{{Upb74rZ9 literal 0 HcmV?d00001 diff --git a/CalibGA/Outer_CppOpenMP/SwapCalib.cpp b/benchmarks/CalibGA/implementations/Outer_CppOpenMP/SwapCalib.cpp similarity index 100% rename from CalibGA/Outer_CppOpenMP/SwapCalib.cpp rename to benchmarks/CalibGA/implementations/Outer_CppOpenMP/SwapCalib.cpp diff --git a/CalibGA/Outer_CppOpenMP/UtilCPU.h b/benchmarks/CalibGA/implementations/Outer_CppOpenMP/UtilCPU.h similarity index 100% rename from CalibGA/Outer_CppOpenMP/UtilCPU.h rename to benchmarks/CalibGA/implementations/Outer_CppOpenMP/UtilCPU.h diff --git a/CalibGA/includeC/Candidate.h b/benchmarks/CalibGA/includeC/Candidate.h similarity index 100% rename from CalibGA/includeC/Candidate.h rename to benchmarks/CalibGA/includeC/Candidate.h diff --git a/CalibGA/includeC/Constants.h b/benchmarks/CalibGA/includeC/Constants.h similarity index 100% rename from CalibGA/includeC/Constants.h rename to benchmarks/CalibGA/includeC/Constants.h diff --git a/CalibGA/includeC/Date.h b/benchmarks/CalibGA/includeC/Date.h similarity index 100% rename from CalibGA/includeC/Date.h rename to benchmarks/CalibGA/includeC/Date.h diff --git a/CalibGA/includeC/EvalGenomeInl.h b/benchmarks/CalibGA/includeC/EvalGenomeInl.h similarity index 100% rename from CalibGA/includeC/EvalGenomeInl.h rename to benchmarks/CalibGA/includeC/EvalGenomeInl.h diff --git a/CalibGA/includeC/G2PP.h b/benchmarks/CalibGA/includeC/G2PP.h similarity index 100% rename from CalibGA/includeC/G2PP.h rename to benchmarks/CalibGA/includeC/G2PP.h diff --git a/CalibGA/includeC/G2ppUtil.h b/benchmarks/CalibGA/includeC/G2ppUtil.h similarity index 100% rename from CalibGA/includeC/G2ppUtil.h rename to benchmarks/CalibGA/includeC/G2ppUtil.h diff --git a/CalibGA/includeC/GenAlgUtil.h b/benchmarks/CalibGA/includeC/GenAlgUtil.h similarity index 100% rename from CalibGA/includeC/GenAlgUtil.h rename to benchmarks/CalibGA/includeC/GenAlgUtil.h diff --git a/CalibGA/includeC/IrregShape.h b/benchmarks/CalibGA/includeC/IrregShape.h similarity index 100% rename from CalibGA/includeC/IrregShape.h rename to benchmarks/CalibGA/includeC/IrregShape.h diff --git a/CalibGA/includeC/KerConsts.h b/benchmarks/CalibGA/includeC/KerConsts.h similarity index 100% rename from CalibGA/includeC/KerConsts.h rename to benchmarks/CalibGA/includeC/KerConsts.h diff --git a/CalibGA/includeC/MathModule.h b/benchmarks/CalibGA/includeC/MathModule.h similarity index 100% rename from CalibGA/includeC/MathModule.h rename to benchmarks/CalibGA/includeC/MathModule.h diff --git a/CalibGA/includeC/ParseInput.h b/benchmarks/CalibGA/includeC/ParseInput.h similarity index 100% rename from CalibGA/includeC/ParseInput.h rename to benchmarks/CalibGA/includeC/ParseInput.h diff --git a/CalibGA/includeC/tmp/Constants.h b/benchmarks/CalibGA/includeC/tmp/Constants.h similarity index 100% rename from CalibGA/includeC/tmp/Constants.h rename to benchmarks/CalibGA/includeC/tmp/Constants.h diff --git a/CalibGA/includeC/tmp/DataStructConst.h b/benchmarks/CalibGA/includeC/tmp/DataStructConst.h similarity index 100% rename from CalibGA/includeC/tmp/DataStructConst.h rename to benchmarks/CalibGA/includeC/tmp/DataStructConst.h diff --git a/CalibGA/includeC/tmp/G2PP.h b/benchmarks/CalibGA/includeC/tmp/G2PP.h similarity index 100% rename from CalibGA/includeC/tmp/G2PP.h rename to benchmarks/CalibGA/includeC/tmp/G2PP.h diff --git a/CalibVolDiff/README.txt b/benchmarks/CalibVolDiff/README.txt similarity index 100% rename from CalibVolDiff/README.txt rename to benchmarks/CalibVolDiff/README.txt diff --git a/CalibVolDiff/ToDo.txt b/benchmarks/CalibVolDiff/ToDo.txt similarity index 100% rename from CalibVolDiff/ToDo.txt rename to benchmarks/CalibVolDiff/ToDo.txt diff --git a/benchmarks/CalibVolDiff/datasets/Large/input.json b/benchmarks/CalibVolDiff/datasets/Large/input.json new file mode 100644 index 0000000..0988c05 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/Large/input.json @@ -0,0 +1,6 @@ +{ + "outer" : 128, + "num_x" : 256, + "num_y" : 256, + "num_t" : 64 +} diff --git a/CalibVolDiff/Data/Large/output.data b/benchmarks/CalibVolDiff/datasets/Large/output.json similarity index 72% rename from CalibVolDiff/Data/Large/output.data rename to benchmarks/CalibVolDiff/datasets/Large/output.json index 53b14d7..5336d78 100644 --- a/CalibVolDiff/Data/Large/output.data +++ b/benchmarks/CalibVolDiff/datasets/Large/output.json @@ -1,17 +1,17 @@ [ 0.03, 0.029208, 0.0288064, 0.0284091, 0.0280168, 0.02763, 0.0272488, 0.0268733, - 0.0265035, 0.0261398, 0.0257819, 0.0254298, 0.0250835, 0.0247429, 0.0244079, 0.0240786, - 0.0237549, 0.0234366, 0.0231239, 0.0228165, 0.0225144, 0.0222177, 0.0219261, 0.0216397, - 0.0213582, 0.0210816, 0.0208095, 0.0205413, 0.0202763, 0.0200168, 0.0197942, 0.0195152, - 0.0192728, 0.019036, 0.0188019, 0.018571, 0.0183438, 0.0181204, 0.0179008, 0.0176849, - 0.0174728, 0.0172644, 0.0170595, 0.0168582, 0.0166602, 0.0164656, 0.0162743, 0.0160862, + 0.0265035, 0.0261398, 0.0257819, 0.0254298, 0.0250835, 0.0247429, 0.0244079, 0.0240786, + 0.0237549, 0.0234366, 0.0231239, 0.0228165, 0.0225144, 0.0222177, 0.0219261, 0.0216397, + 0.0213582, 0.0210816, 0.0208095, 0.0205413, 0.0202763, 0.0200168, 0.0197942, 0.0195152, + 0.0192728, 0.019036, 0.0188019, 0.018571, 0.0183438, 0.0181204, 0.0179008, 0.0176849, + 0.0174728, 0.0172644, 0.0170595, 0.0168582, 0.0166602, 0.0164656, 0.0162743, 0.0160862, 0.0159012, 0.0157192, 0.0155402, 0.0153642, 0.0151911, 0.0150208, 0.0148533, 0.0146884, - 0.0145262, 0.0143665, 0.0142093, 0.0140545, 0.0139021, 0.013752, 0.0136042, 0.0134586, - 0.0133152, 0.0131739, 0.0130346, 0.0128974, 0.0127622, 0.012629, 0.0124976, 0.0123681, + 0.0145262, 0.0143665, 0.0142093, 0.0140545, 0.0139021, 0.013752, 0.0136042, 0.0134586, + 0.0133152, 0.0131739, 0.0130346, 0.0128974, 0.0127622, 0.012629, 0.0124976, 0.0123681, 0.0122403, 0.0121144, 0.0119902, 0.0118678, 0.011747, 0.0116278, 0.0115102, 0.0113942, - 0.0112796, 0.0111666, 0.011055, 0.0109448, 0.010836, 0.0107285, 0.0106224, 0.0105175, - 0.010414, 0.0103117, 0.0102105, 0.0101106, 0.0100119, 0.00991426, 0.00981776, 0.00972235, - 0.00962805, 0.00953481, 0.00944259, 0.00935138, 0.00926115, 0.00917188, 0.00908355, 0.00899615, + 0.0112796, 0.0111666, 0.011055, 0.0109448, 0.010836, 0.0107285, 0.0106224, 0.0105175, + 0.010414, 0.0103117, 0.0102105, 0.0101106, 0.0100119, 0.00991426, 0.00981776, 0.00972235, + 0.00962805, 0.00953481, 0.00944259, 0.00935138, 0.00926115, 0.00917188, 0.00908355, 0.00899615, 0.00890965, 0.00882403, 0.00873928, 0.00865539, 0.00857232, 0.00849007, 0.00840863, 0.00832796, - 0.00824807, 0.00816892, 0.00809052, 0.00801284, 0.00793587, 0.0078596, 0.00778404, 0.00770914, + 0.00824807, 0.00816892, 0.00809052, 0.00801284, 0.00793587, 0.0078596, 0.00778404, 0.00770914, 0.00763491, 0.00756131, 0.00748835, 0.007416, 0.00734426, 0.00727311, 0.00720255, 0.00713255 -] // Standard Result for the Large dataset of Volatility Calibration. +] diff --git a/benchmarks/CalibVolDiff/datasets/Medium/input.json b/benchmarks/CalibVolDiff/datasets/Medium/input.json new file mode 100644 index 0000000..4b6f586 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/Medium/input.json @@ -0,0 +1,6 @@ +{ + "outer" : 128, + "num_x" : 256, + "num_y" : 32, + "num_t" : 64 +} diff --git a/CalibVolDiff/Data/Medium/output.data b/benchmarks/CalibVolDiff/datasets/Medium/output.json similarity index 93% rename from CalibVolDiff/Data/Medium/output.data rename to benchmarks/CalibVolDiff/datasets/Medium/output.json index a8fc75d..4d5f9c1 100644 --- a/CalibVolDiff/Data/Medium/output.data +++ b/benchmarks/CalibVolDiff/datasets/Medium/output.json @@ -1,7 +1,7 @@ [ 0.03, 0.0292079, 0.0288058, 0.028408, 0.0280152, 0.0276279, 0.0272462, 0.0268701, 0.0264998, 0.0261355, 0.025777, 0.0254243, 0.0250773, 0.024736, 0.0244004, 0.0240704, 0.0237459, 0.0234269, 0.0231134, 0.0228053, 0.0225025, 0.022205, 0.0219126, 0.0216253, - 0.0213431, 0.0210657, 0.0207928, 0.0205238, 0.0202581, 0.0199978, 0.0197739, 0.0194946, + 0.0213431, 0.0210657, 0.0207928, 0.0205238, 0.0202581, 0.0199978, 0.0197739, 0.0194946, 0.0192514, 0.0190136, 0.0187787, 0.018547, 0.0183189, 0.0180947, 0.0178743, 0.0176577, 0.0174448, 0.0172356, 0.0170299, 0.0168278, 0.016629, 0.0164336, 0.0162415, 0.0160526, 0.0158668, 0.0156841, 0.0155044, 0.0153276, 0.0151536, 0.0149826, 0.0148144, 0.0146488, @@ -14,5 +14,4 @@ 0.00884636, 0.00876059, 0.00867569, 0.00859167, 0.00850848, 0.00842613, 0.00834459, 0.00826384, 0.00818388, 0.00810468, 0.00802623, 0.00794852, 0.00787153, 0.00779524, 0.00771969, 0.00764481, 0.0075706, 0.00749704, 0.00742412, 0.00735183, 0.00728016, 0.00720909, 0.00713861, 0.00706872 -] // Standard Result for the Medium dataset of Volatility Calibration. - +] diff --git a/benchmarks/CalibVolDiff/datasets/Small/input.json b/benchmarks/CalibVolDiff/datasets/Small/input.json new file mode 100644 index 0000000..9003d1a --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/Small/input.json @@ -0,0 +1,6 @@ +{ + "outer" : 128, + "num_x" : 32, + "num_y" : 32, + "num_t" : 256 +} diff --git a/CalibVolDiff/Data/Small/output.data b/benchmarks/CalibVolDiff/datasets/Small/output.json similarity index 62% rename from CalibVolDiff/Data/Small/output.data rename to benchmarks/CalibVolDiff/datasets/Small/output.json index 93b61a0..dae8dac 100644 --- a/CalibVolDiff/Data/Small/output.data +++ b/benchmarks/CalibVolDiff/datasets/Small/output.json @@ -1,18 +1,17 @@ -[ 0.0300001, 0.0290001, 0.0280001, 0.0270001, 0.026, 0.0251064, 0.0247889, 0.0244714, - 0.0241539, 0.0238364, 0.0235189, 0.0232014, 0.0228839, 0.0225664, 0.0222744, 0.02199, - 0.0217056, 0.0214212, 0.0211368, 0.0208524, 0.020568, 0.0202836, 0.0200131, 0.0197647, - 0.0195162, 0.0192678, 0.0190194, 0.018771, 0.0185225, 0.0182741, 0.0180257, 0.0178105, - 0.0175953, 0.0173801, 0.0171649, 0.0169497, 0.0167345, 0.0165193, 0.0163041, 0.0161067, - 0.0159203, 0.0157339, 0.0155476, 0.0153612, 0.0151749, 0.0149885, 0.0148022, 0.0146214, - 0.0144594, 0.0142974, 0.0141353, 0.0139733, 0.0138113, 0.0136492, 0.0134872, 0.0133252, - 0.0131803, 0.0130385, 0.0128967, 0.012755, 0.0126132, 0.0124714, 0.0123297, 0.0121879, - 0.0120539, 0.0119289, 0.011804, 0.011679, 0.0115541, 0.0114291, 0.0113042, 0.0111792, - 0.0110553, 0.0109443, 0.0108333, 0.0107223, 0.0106113, 0.0105003, 0.0103893, 0.0102783, - 0.0101672, 0.0100642, 0.00996481, 0.00986541, 0.009766, 0.00966658, 0.0095672, 0.00946778, - 0.00936839, 0.0092719, 0.00918218, 0.00909245, 0.00900272, 0.00891302, 0.00882328, 0.00873356, - 0.00864382, 0.00855409, 0.00847181, 0.0083902, 0.00830859, 0.00822697, 0.00814538, 0.00806375, - 0.00798213, 0.00790052, 0.00782254, 0.00774774, 0.00767295, 0.00759818, 0.00752339, 0.0074486, - 0.00737381, 0.00729902, 0.00722509, 0.00715607, 0.00708704, 0.00701801, 0.00694899, 0.00687997, - 0.00681095, 0.00674192, 0.0066729, 0.0066076, 0.00654346, 0.00647933, 0.00641519, 0.00635106 -] // Standard Result for the Small dataset of Volatility Calibration. - +[ 0.0300001, 0.0290001, 0.0280001, 0.0270001, 0.026, 0.0251064, 0.0247889, 0.0244714, + 0.0241539, 0.0238364, 0.0235189, 0.0232014, 0.0228839, 0.0225664, 0.0222744, 0.02199, + 0.0217056, 0.0214212, 0.0211368, 0.0208524, 0.020568, 0.0202836, 0.0200131, 0.0197647, + 0.0195162, 0.0192678, 0.0190194, 0.018771, 0.0185225, 0.0182741, 0.0180257, 0.0178105, + 0.0175953, 0.0173801, 0.0171649, 0.0169497, 0.0167345, 0.0165193, 0.0163041, 0.0161067, + 0.0159203, 0.0157339, 0.0155476, 0.0153612, 0.0151749, 0.0149885, 0.0148022, 0.0146214, + 0.0144594, 0.0142974, 0.0141353, 0.0139733, 0.0138113, 0.0136492, 0.0134872, 0.0133252, + 0.0131803, 0.0130385, 0.0128967, 0.012755, 0.0126132, 0.0124714, 0.0123297, 0.0121879, + 0.0120539, 0.0119289, 0.011804, 0.011679, 0.0115541, 0.0114291, 0.0113042, 0.0111792, + 0.0110553, 0.0109443, 0.0108333, 0.0107223, 0.0106113, 0.0105003, 0.0103893, 0.0102783, + 0.0101672, 0.0100642, 0.00996481, 0.00986541, 0.009766, 0.00966658, 0.0095672, 0.00946778, + 0.00936839, 0.0092719, 0.00918218, 0.00909245, 0.00900272, 0.00891302, 0.00882328, 0.00873356, + 0.00864382, 0.00855409, 0.00847181, 0.0083902, 0.00830859, 0.00822697, 0.00814538, 0.00806375, + 0.00798213, 0.00790052, 0.00782254, 0.00774774, 0.00767295, 0.00759818, 0.00752339, 0.0074486, + 0.00737381, 0.00729902, 0.00722509, 0.00715607, 0.00708704, 0.00701801, 0.00694899, 0.00687997, + 0.00681095, 0.00674192, 0.0066729, 0.0066076, 0.00654346, 0.00647933, 0.00641519, 0.00635106 +] diff --git a/CalibVolDiff/All_COpenCLMP/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/CrankNicolson.cl similarity index 100% rename from CalibVolDiff/All_COpenCLMP/CrankNicolson.cl rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/CrankNicolson.cl diff --git a/CalibVolDiff/All_COpenCLMP/Makefile b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile similarity index 80% rename from CalibVolDiff/All_COpenCLMP/Makefile rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile index 74a911e..aa5e0ed 100644 --- a/CalibVolDiff/All_COpenCLMP/Makefile +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile @@ -34,16 +34,6 @@ cpu: gpu: $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) - -run_small: - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt @# clean nVidia compiler cache diff --git a/CalibVolDiff/All_COpenCLMP/PrepareKernels.h b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/PrepareKernels.h similarity index 100% rename from CalibVolDiff/All_COpenCLMP/PrepareKernels.h rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/PrepareKernels.h diff --git a/CalibVolDiff/All_COpenCLMP/Vect_CPU.h b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_CPU.h similarity index 99% rename from CalibVolDiff/All_COpenCLMP/Vect_CPU.h rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_CPU.h index b483d79..ddce703 100644 --- a/CalibVolDiff/All_COpenCLMP/Vect_CPU.h +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_CPU.h @@ -1,7 +1,7 @@ #ifndef NORDEA_CPU #define NORDEA_CPU -#include "../includeC/ParPrefixUtil.h" +#include "ParPrefixUtil.h" //////////////////////////////////////////////////////////// //// FINALLY THE MEAT: The CPU Version of the Main Loop! diff --git a/CalibVolDiff/All_COpenCLMP/Vect_GPU.h b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_GPU.h similarity index 99% rename from CalibVolDiff/All_COpenCLMP/Vect_GPU.h rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_GPU.h index 385881a..91ca5d2 100644 --- a/CalibVolDiff/All_COpenCLMP/Vect_GPU.h +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_GPU.h @@ -1,7 +1,7 @@ #ifndef NORDEA_GPU #define NORDEA_GPU -#include "../../include/SDK_stub.h" +#include "SDK_stub.h" #include "PrepareKernels.h" diff --git a/CalibVolDiff/All_COpenCLMP/VolCalibAll.cpp b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibAll.cpp similarity index 86% rename from CalibVolDiff/All_COpenCLMP/VolCalibAll.cpp rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibAll.cpp index 1b969b5..19df6b0 100644 --- a/CalibVolDiff/All_COpenCLMP/VolCalibAll.cpp +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibAll.cpp @@ -1,11 +1,12 @@ -#include "../../include/Util.h" -#include "../includeC/Constants.h" -#include "../includeC/DataStructConst.h" -#include "../includeC/ParseInput.h" +#include "Constants.h" +#include "DataStructConst.h" +#include "ParseInput.h" #include "VolCalibInit.h" #include "Vect_CPU.h" #include "Vect_GPU.h" +#include "Util.h" +#include "ParseInput.h" void whole_loop_nest ( REAL* res, @@ -128,7 +129,7 @@ int main() { strikes[i] = 0.001*i; } - unsigned long int elapsed = 0; + unsigned long int elapsed_usec = 0; { // Instrumenting Runtime and Validation! struct timeval t_start, t_end, t_diff; gettimeofday(&t_start, NULL); @@ -137,17 +138,15 @@ int main() { gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; } - - { // validation & write back of the result - bool is_valid = validate ( res, OUTER_LOOP_COUNT ); - int num_threads = (IS_GPU) ? GPU_CORES : get_CPU_num_threads() ; - - writeStatsAndResult( is_valid, res, OUTER_LOOP_COUNT, - NUM_X, NUM_Y, NUM_T, - (IS_GPU!=0), num_threads, elapsed ); - //writeResult( res, OUTER_LOOP_COUNT ); + + { FILE* runtime = fopen("runtime.txt", "w"); + FILE* result = fopen("result.json", "w"); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + write_1Darr(result, res, OUTER_LOOP_COUNT); + fclose(result); } delete[] strikes; diff --git a/CalibVolDiff/All_COpenCLMP/VolCalibInit.h b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibInit.h similarity index 98% rename from CalibVolDiff/All_COpenCLMP/VolCalibInit.h rename to benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibInit.h index a944ba5..8d6a638 100644 --- a/CalibVolDiff/All_COpenCLMP/VolCalibInit.h +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibInit.h @@ -1,7 +1,7 @@ #ifndef NORDEA_INIT #define NORDEA_INIT -#include "../includeC/DataStructConst.h" +#include "DataStructConst.h" /////////////////////////////////////////////////////// //// INITIALISATION ! diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate new file mode 100755 index 0000000..c349e59 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate @@ -0,0 +1,17 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/platform.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_LIB_DIR/include/SDK_stub.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/DataStructConst.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParPrefixUtil.h . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data + +make diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/run b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/run new file mode 100755 index 0000000..c409dcd --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/run @@ -0,0 +1,3 @@ +#!/bin/sh + +cat input.data | ./VolCalib diff --git a/CalibVolDiff/HaskellLH/VolCalib.hs b/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs similarity index 94% rename from CalibVolDiff/HaskellLH/VolCalib.hs rename to benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs index efb347c..734f004 100644 --- a/CalibVolDiff/HaskellLH/VolCalib.hs +++ b/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs @@ -4,6 +4,7 @@ import Control.DeepSeq import Control.Applicative import Control.Monad import Data.Maybe +import System.CPUTime ------------------------------------ --- Requires the installation of --- @@ -18,8 +19,6 @@ import Data.Bits import Data.List import Prelude -import Debug.Trace - ------------------------------ --- Parser-related Helpers --- ------------------------------ @@ -373,33 +372,25 @@ validate res_ref res info= --- e.g., parsing Dataset from StdIn --- ----------------------------------------- main :: IO () -main = do s <- getContents +main = do s <- getContents case parse run "input" s of Left e -> error $ show e - Right (p,pr,i) -> do let msg_lst = validate pr p i - putStrLn (msg_lst !! 0) - putStrLn (msg_lst !! 1) - putStrLn (msg_lst !! 2) - putStrLn (msg_lst !! 3) - putStrLn (msg_lst !! 4) - putStrLn (msg_lst !! 5) - -- print $ validate pr p i --- either (error . show) print $ parse run "input" s - where run = do outer <- readInt + Right m -> do (v,runtime) <- m + writeFile "result.json" $ show v + writeFile "runtime.txt" $ show runtime + where run = do whitespace + outer <- readInt num_x <- readInt num_y <- readInt num_t <- readInt let params = (0.03, 5.0, 0.2, 0.6, 0.5) --(s0, t, alpha, nu, beta) - let v = compute (outer, num_x, num_y, num_t) params - r <- readDouble1d - return (v, r, (outer, num_x, num_y, num_t)) - - readInt2d = readArray $ readArray readInt - readDouble1d = readArray readDouble - readDouble2d = readArray $ readArray readDouble - readDouble3d = readArray $ readArray $ readArray readDouble + return $ do + start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + let v = compute (outer, num_x, num_y, num_t) params + end <- v `seq` getCPUTime + return (v, (end - start) `div` 1000000000) -- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs -- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data diff --git a/benchmarks/CalibVolDiff/implementations/HaskellLH/instantiate b/benchmarks/CalibVolDiff/implementations/HaskellLH/instantiate new file mode 100755 index 0000000..4d2f324 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/HaskellLH/instantiate @@ -0,0 +1,11 @@ +#!/bin/sh + +set -e # Die on error. + +impl_dir=$FINPAR_IMPLEMENTATION +input=$FINPAR_INPUT + +cp $impl_dir/*hs . +cp $impl_dir/run . +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data +ghc -Wall -O2 -msse2 -rtsopts VolCalib.hs -o VolCalib diff --git a/benchmarks/CalibVolDiff/implementations/HaskellLH/run b/benchmarks/CalibVolDiff/implementations/HaskellLH/run new file mode 100755 index 0000000..baa6480 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/HaskellLH/run @@ -0,0 +1,5 @@ +#!/bin/sh + +set -e + +./VolCalib +RTS -K128m -RTS < input.data diff --git a/CalibVolDiff/Orig_COpenMP/Makefile b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/Makefile similarity index 64% rename from CalibVolDiff/Orig_COpenMP/Makefile rename to benchmarks/CalibVolDiff/implementations/Orig_COpenMP/Makefile index 88daa45..490461d 100644 --- a/CalibVolDiff/Orig_COpenMP/Makefile +++ b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/Makefile @@ -24,16 +24,6 @@ cpu: $(EXECUTABLE) $(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) diff --git a/CalibVolDiff/Orig_COpenMP/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/VolCalibOrig.cpp similarity index 92% rename from CalibVolDiff/Orig_COpenMP/VolCalibOrig.cpp rename to benchmarks/CalibVolDiff/implementations/Orig_COpenMP/VolCalibOrig.cpp index 63c62ce..c9f6938 100644 --- a/CalibVolDiff/Orig_COpenMP/VolCalibOrig.cpp +++ b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/VolCalibOrig.cpp @@ -5,7 +5,7 @@ typedef double REAL; #define WORKGROUP_SIZE 512 #include "Util.h" -#include "../includeC/ParseInput.h" +#include "ParseInput.h" using namespace std; @@ -324,7 +324,7 @@ int main() const int Ps = get_CPU_num_threads(); - unsigned long int elapsed = 0; + unsigned long int elapsed_usec = 0; { // Main Computational Kernel struct timeval t_start, t_end, t_diff; gettimeofday(&t_start, NULL); @@ -333,13 +333,15 @@ int main() gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; } - { // validation and writeback of the result - bool is_valid = validate ( res.data(), OUTER_LOOP_COUNT ); - writeStatsAndResult( is_valid, res.data(), OUTER_LOOP_COUNT, - NUM_X, NUM_Y, NUM_T, false, Ps, elapsed ); + { FILE* runtime = fopen("runtime.txt", "w"); + FILE* result = fopen("result.json", "w"); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + write_1Darr(result, res.data(), OUTER_LOOP_COUNT); + fclose(result); } return 0; diff --git a/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/instantiate b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/instantiate new file mode 100755 index 0000000..f20c373 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/instantiate @@ -0,0 +1,14 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/platform.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data + +make diff --git a/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/run b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/run new file mode 100755 index 0000000..c409dcd --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/run @@ -0,0 +1,3 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zy)a}5Z1Mo??=i=s%JKP5R@#Q`ucBJrdz-ToU{UludGad<= zVr%rH6YNOg-W&&5St|CSttT`{HX?fZ83}flHG|XJSSt1rPoIY@e3ed}R(@%M9S}M< zW`QtW4RErfK3Hz`dln!y41XH^;|X@8a8HW^4r5=99xU^joHTlEopU?jgrd=F=S1~H zfJZxzR#PeuEl%MI{LxvkMz5VGo#zED;>cS4H9Rd`gM2z$*3#O!Qz6z<^n}@`T7Tl9 z)t`d}T9=VbHG1uQ%EH${r5sT!U!&LB-@@r<@x(mIvE`!C8r2(%RZ@opA9FSPRwgLrwz zm;WAUNmUxXb`Dd>>ErR^)5kzdRn+LU^ShFNll~NF$#yk*?VPfd(_4AR((GF+Uu)Od zxbn60%;tNLfk(qvQ?axL{}vhg`fKN&n>c-XocuL9Elfndo?bhD+PXn4QLATs`C6Lp zToW&?{o4LknA2~GD?grJDlb1vW5`2|{^mHi#!d@Ub!F>O&++oL{X;EJqtmA~->1PS qOuJ7_Z6f2uGZueS@u$g6^MBO8wYDP~eYS+u=x??CB%Tvr{{I0YzN`=c literal 0 HcmV?d00001 diff --git a/CalibVolDiff/Original/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/Original/VolCalibOrig.cpp similarity index 88% rename from CalibVolDiff/Original/VolCalibOrig.cpp rename to benchmarks/CalibVolDiff/implementations/Original/VolCalibOrig.cpp index ee50ef5..cd6fcbd 100644 --- a/CalibVolDiff/Original/VolCalibOrig.cpp +++ b/benchmarks/CalibVolDiff/implementations/Original/VolCalibOrig.cpp @@ -1,322 +1,318 @@ -#include -#include - -#define WITH_FLOATS 0 -#define WORKGROUP_SIZE 512 - -typedef double REAL; - -#include "Util.h" -#include "../includeC/ParseInput.h" - -using namespace std; - -// grid -vector myX, myY, myTimeline; -unsigned myXindex, myYindex; - -// variable -vector > myResult; - -// coeffs -vector > myMuX, myVarX, myMuY, myVarY; - -// operators -vector > myDx, myDxx, myDy, myDyy; - - - - -/***********************************/ - -void updateParams(const unsigned g, const double alpha, const double beta, const double nu) -{ - for(unsigned i=0;i(s0/dx); - - for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) -{ - const unsigned n = x.size(); - - Dx.resize(n); - Dxx.resize(n); - - for(unsigned i=0;i& a, - const vector& b, - const vector& c, - const vector& r, - const int n, - vector& u, - vector& uu) -{ - int i, offset; - REAL beta; - - u[0] = r[0]; - uu[0] = b[0]; - - for(i=1; i=0; i--) { - u[i] = (u[i] - c[i]*u[i+1]) / uu[i]; - } -} - -void -rollback(const unsigned g) -{ - unsigned numX = myX.size(), - numY = myY.size(); - - unsigned numZ = max(numX,numY); - - int k, l; - unsigned i, j; - - int kl, ku, ll, lu; - - double dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]); - - vector > u(numY,vector(numX)), v(numX,vector(numY)); - - vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); - - // explicit x - for(i=0;i=0;--i) - { - updateParams(i,alpha,beta,nu); - rollback(i); - } - - return myResult[myXindex][myYindex]; -} - -int main() -{ - unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; - const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; - - fprintf(stdout, "\n// Original (Sequential) Volatility Calibration Benchmark:\n"); - readDataSet( OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T ); - - vector strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); - - for(unsigned i=0;i4) -//get_tot_num_threads() - +#include +#include + +#define WITH_FLOATS 0 +#define WORKGROUP_SIZE 512 + +typedef double REAL; + +#include "Util.h" +#include "ParseInput.h" + +using namespace std; + +// grid +vector myX, myY, myTimeline; +unsigned myXindex, myYindex; + +// variable +vector > myResult; + +// coeffs +vector > myMuX, myVarX, myMuY, myVarY; + +// operators +vector > myDx, myDxx, myDy, myDyy; + + + + +/***********************************/ + +void updateParams(const unsigned g, const double alpha, const double beta, const double nu) +{ + for(unsigned i=0;i(s0/dx); + + for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) +{ + const unsigned n = x.size(); + + Dx.resize(n); + Dxx.resize(n); + + for(unsigned i=0;i& a, + const vector& b, + const vector& c, + const vector& r, + const int n, + vector& u, + vector& uu) +{ + int i, offset; + REAL beta; + + u[0] = r[0]; + uu[0] = b[0]; + + for(i=1; i=0; i--) { + u[i] = (u[i] - c[i]*u[i+1]) / uu[i]; + } +} + +void +rollback(const unsigned g) +{ + unsigned numX = myX.size(), + numY = myY.size(); + + unsigned numZ = max(numX,numY); + + int k, l; + unsigned i, j; + + int kl, ku, ll, lu; + + double dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]); + + vector > u(numY,vector(numX)), v(numX,vector(numY)); + + vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); + + // explicit x + for(i=0;i=0;--i) + { + updateParams(i,alpha,beta,nu); + rollback(i); + } + + return myResult[myXindex][myYindex]; +} + +int main() +{ + unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; + const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; + + fprintf(stdout, "\n// Original (Sequential) Volatility Calibration Benchmark:\n"); + readDataSet( OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T ); + + vector strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); + + for(unsigned i=0;i input.data + +make diff --git a/benchmarks/CalibVolDiff/implementations/Original/run b/benchmarks/CalibVolDiff/implementations/Original/run new file mode 100755 index 0000000..c409dcd --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/Original/run @@ -0,0 +1,3 @@ +#!/bin/sh + +cat input.data | ./VolCalib diff --git a/CalibVolDiff/Outer_COpenCLMP/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/CrankNicolson.cl similarity index 100% rename from CalibVolDiff/Outer_COpenCLMP/CrankNicolson.cl rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/CrankNicolson.cl diff --git a/CalibVolDiff/Outer_COpenCLMP/Makefile b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Makefile similarity index 100% rename from CalibVolDiff/Outer_COpenCLMP/Makefile rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Makefile diff --git a/CalibVolDiff/Outer_COpenCLMP/PrepareKernels.h b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/PrepareKernels.h similarity index 100% rename from CalibVolDiff/Outer_COpenCLMP/PrepareKernels.h rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/PrepareKernels.h diff --git a/CalibVolDiff/Outer_COpenCLMP/Vect_CPU.h b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_CPU.h similarity index 99% rename from CalibVolDiff/Outer_COpenCLMP/Vect_CPU.h rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_CPU.h index 26d522c..e584cb1 100644 --- a/CalibVolDiff/Outer_COpenCLMP/Vect_CPU.h +++ b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_CPU.h @@ -1,7 +1,7 @@ #ifndef NORDEA_CPU #define NORDEA_CPU -#include "../includeC/ParPrefixUtil.h" +#include "ParPrefixUtil.h" //////////////////////////////////////////////////////////// //// FINALLY THE MEAT: The CPU Version of the Main Loop! diff --git a/CalibVolDiff/Outer_COpenCLMP/Vect_GPU.h b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_GPU.h similarity index 100% rename from CalibVolDiff/Outer_COpenCLMP/Vect_GPU.h rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_GPU.h diff --git a/CalibVolDiff/Outer_COpenCLMP/VolCalibInit.h b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibInit.h similarity index 98% rename from CalibVolDiff/Outer_COpenCLMP/VolCalibInit.h rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibInit.h index fc47818..e6aa566 100644 --- a/CalibVolDiff/Outer_COpenCLMP/VolCalibInit.h +++ b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibInit.h @@ -1,7 +1,7 @@ #ifndef NORDEA_INIT #define NORDEA_INIT -#include "../includeC/DataStructConst.h" +#include "DataStructConst.h" /////////////////////////////////////////////////////// //// INITIALISATION ! diff --git a/CalibVolDiff/Outer_COpenCLMP/VolCalibOuter.cpp b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibOuter.cpp similarity index 88% rename from CalibVolDiff/Outer_COpenCLMP/VolCalibOuter.cpp rename to benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibOuter.cpp index 046310f..20ba82d 100644 --- a/CalibVolDiff/Outer_COpenCLMP/VolCalibOuter.cpp +++ b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibOuter.cpp @@ -1,10 +1,10 @@ -#include "../../include/Util.h" -#include "../includeC/Constants.h" -#include "../includeC/DataStructConst.h" +#include "Util.h" +#include "Constants.h" +#include "DataStructConst.h" #include "VolCalibInit.h" #include "Vect_CPU.h" #include "Vect_GPU.h" -#include "../includeC/ParseInput.h" +#include "ParseInput.h" void whole_loop_nest ( @@ -132,7 +132,7 @@ int main() { strikes[i] = 0.001*i; } - + unsigned long int elapsed_usec = 0; { // Instrumenting Runtime and Validation! struct timeval t_start, t_end, t_diff; gettimeofday(&t_start, NULL); @@ -142,15 +142,15 @@ int main() { gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; } - { // validation & write back of the result - bool is_valid = validate ( res, OUTER_LOOP_COUNT ); - int num_threads = (IS_GPU) ? GPU_CORES : get_CPU_num_threads() ; - writeStatsAndResult( is_valid, res, OUTER_LOOP_COUNT, - NUM_X, NUM_Y, NUM_T, - (IS_GPU!=0), num_threads, elapsed ); - //writeResult( res.data(), OUTER_LOOP_COUNT ); + { FILE* runtime = fopen("runtime.txt", "w"); + FILE* result = fopen("result.json", "w"); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + write_1Darr(result, res, OUTER_LOOP_COUNT); + fclose(result); } delete[] strikes; diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/instantiate b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/instantiate new file mode 100755 index 0000000..c349e59 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/instantiate @@ -0,0 +1,17 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/platform.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_LIB_DIR/include/SDK_stub.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/DataStructConst.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParPrefixUtil.h . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data + +make diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/run b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/run new file mode 100755 index 0000000..c409dcd --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/run @@ -0,0 +1,3 @@ +#!/bin/sh + +cat input.data | ./VolCalib diff --git a/CalibVolDiff/includeC/Constants.h b/benchmarks/CalibVolDiff/lib/include/Constants.h similarity index 100% rename from CalibVolDiff/includeC/Constants.h rename to benchmarks/CalibVolDiff/lib/include/Constants.h diff --git a/CalibVolDiff/includeC/DataStructConst.h b/benchmarks/CalibVolDiff/lib/include/DataStructConst.h similarity index 100% rename from CalibVolDiff/includeC/DataStructConst.h rename to benchmarks/CalibVolDiff/lib/include/DataStructConst.h diff --git a/CalibVolDiff/includeC/ParPrefixUtil.h b/benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h similarity index 100% rename from CalibVolDiff/includeC/ParPrefixUtil.h rename to benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h diff --git a/benchmarks/CalibVolDiff/lib/include/ParseInput.h b/benchmarks/CalibVolDiff/lib/include/ParseInput.h new file mode 100644 index 0000000..8453724 --- /dev/null +++ b/benchmarks/CalibVolDiff/lib/include/ParseInput.h @@ -0,0 +1,58 @@ +#ifndef PARSE_INPUT +#define PARSE_INPUT + +#include "ParserC.h" +#include "Util.h" +#include +#include +#include + +using namespace std; + +#include + +#if WITH_FLOATS + #define read_real read_float +#else + #define read_real read_double +#endif + +const float EPS = 0.00001; + +/***********************************/ +/********** READ DATA SET **********/ +/***********************************/ + +void readDataSet( unsigned int& outer, + unsigned int& num_X, + unsigned int& num_Y, + unsigned int& num_T +) { + if( read_int( static_cast( &outer ) ) || + read_int( static_cast( &num_X ) ) || + read_int( static_cast( &num_Y ) ) || + read_int( static_cast( &num_T ) ) ) { + + fprintf(stderr, "Syntax error when reading the dataset, i.e., four ints.\n"); + exit(1); + } + + { // check dataset invariants: + bool atr_ok = true; + + atr_ok = outer > 0; + assert(atr_ok && "Outer loop count less than 0!"); + + atr_ok = (num_X > 0) && (num_X <= WORKGROUP_SIZE) && is_pow2(num_X); + assert(atr_ok && "Illegal NUM_X value!"); + + atr_ok = (num_Y > 0) && (num_Y <= WORKGROUP_SIZE) && is_pow2(num_Y); + assert(atr_ok && "Illegal NUM_X value!"); + + atr_ok = num_T > 0; + assert(atr_ok && "NUM_T value less or equal to zero!!"); + } +} + +#endif // PARSE_INPUT + diff --git a/GenericPricing/Data/Large/input.data b/benchmarks/GenericPricing/datasets/Large/input.data similarity index 100% rename from GenericPricing/Data/Large/input.data rename to benchmarks/GenericPricing/datasets/Large/input.data diff --git a/GenericPricing/Data/Large/output.data b/benchmarks/GenericPricing/datasets/Large/output.data similarity index 100% rename from GenericPricing/Data/Large/output.data rename to benchmarks/GenericPricing/datasets/Large/output.data diff --git a/GenericPricing/Data/Medium/input.data b/benchmarks/GenericPricing/datasets/Medium/input.data similarity index 100% rename from GenericPricing/Data/Medium/input.data rename to benchmarks/GenericPricing/datasets/Medium/input.data diff --git a/GenericPricing/Data/Medium/output.data b/benchmarks/GenericPricing/datasets/Medium/output.data similarity index 100% rename from GenericPricing/Data/Medium/output.data rename to benchmarks/GenericPricing/datasets/Medium/output.data diff --git a/GenericPricing/Data/Small/input.data b/benchmarks/GenericPricing/datasets/Small/input.data similarity index 100% rename from GenericPricing/Data/Small/input.data rename to benchmarks/GenericPricing/datasets/Small/input.data diff --git a/GenericPricing/Data/Small/output.data b/benchmarks/GenericPricing/datasets/Small/output.data similarity index 100% rename from GenericPricing/Data/Small/output.data rename to benchmarks/GenericPricing/datasets/Small/output.data diff --git a/GenericPricing/CppOpenCL/ContractDefs/LargeContract.cl b/benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/LargeContract.cl similarity index 100% rename from GenericPricing/CppOpenCL/ContractDefs/LargeContract.cl rename to benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/LargeContract.cl diff --git a/GenericPricing/CppOpenCL/ContractDefs/MediumContract.cl b/benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/MediumContract.cl similarity index 100% rename from GenericPricing/CppOpenCL/ContractDefs/MediumContract.cl rename to benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/MediumContract.cl diff --git a/GenericPricing/CppOpenCL/ContractDefs/SmallContract.cl b/benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/SmallContract.cl similarity index 100% rename from GenericPricing/CppOpenCL/ContractDefs/SmallContract.cl rename to benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/SmallContract.cl diff --git a/GenericPricing/CppOpenCL/GenPricing.cpp b/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp similarity index 96% rename from GenericPricing/CppOpenCL/GenPricing.cpp rename to benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp index a67d8db..db0ee96 100644 --- a/GenericPricing/CppOpenCL/GenPricing.cpp +++ b/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp @@ -3,6 +3,9 @@ //#include "Contracts.h" //#include +#include +#include + /*****************************************************/ /*****************************************************/ /*****************************************************/ @@ -158,7 +161,7 @@ int main() { int num_cores; double* prices; - unsigned long int elapsed; + unsigned long int elapsed_usec; { // run kernel prices = run_GPUkernel( scals, sob_arrs, md_arrs, bb_arrs, num_cores, elapsed ); @@ -167,9 +170,12 @@ int main() { bb_arrs.cleanup(); } - { // validation and writeback of the result - bool is_valid = validate ( scals.num_models, prices ); - writeStatsAndResult( is_valid, scals.num_models, prices, true, num_cores, elapsed ); + { + std::ofstream runtime("runtime.txt"); + runtime << elapsed_usec / 1000; + std::ofstream result("result.data"); + result << *prices; + free(prices); } } diff --git a/GenericPricing/CppOpenCL/GenericPricingPrivOpt.cl b/benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingPrivOpt.cl similarity index 100% rename from GenericPricing/CppOpenCL/GenericPricingPrivOpt.cl rename to benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingPrivOpt.cl diff --git a/GenericPricing/CppOpenCL/GenericPricingVectOpt.cl b/benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectOpt.cl similarity index 100% rename from GenericPricing/CppOpenCL/GenericPricingVectOpt.cl rename to benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectOpt.cl diff --git a/GenericPricing/CppOpenCL/GenericPricingVectUncoalesced.cl b/benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectUncoalesced.cl similarity index 100% rename from GenericPricing/CppOpenCL/GenericPricingVectUncoalesced.cl rename to benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectUncoalesced.cl diff --git a/GenericPricing/CppOpenCL/Makefile b/benchmarks/GenericPricing/implementations/CppOpenCL/Makefile similarity index 66% rename from GenericPricing/CppOpenCL/Makefile rename to benchmarks/GenericPricing/implementations/CppOpenCL/Makefile index 5159537..c1c5d4c 100644 --- a/GenericPricing/CppOpenCL/Makefile +++ b/benchmarks/GenericPricing/implementations/CppOpenCL/Makefile @@ -1,17 +1,16 @@ -include ../../setup.mk +include setup.mk ifndef ($(HAVE_GPU)) -include ../../platform.mk +include platform.mk endif -INCLUDES += -I../includeC GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) SOURCES_CPP =GenPricing.cpp -HELPERS =StructGPU.h ../includeC/Constants.h ../includeC/Optimizations.h ../includeC/ParseInput.h +HELPERS =StructGPU.h Constants.h Optimizations.h ParseInput.h OBJECTS =GenPricing.o EXECUTABLE =GenPricing @@ -35,19 +34,6 @@ gpu: $(OBJECTS) $(SOURCES_CPP) $(HELPERS) cpu: $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) -run_small: - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - - -#default: $(OBJECTS) -# $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) - clean: rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt @# clean nVidia compiler cache diff --git a/GenericPricing/CppOpenCL/StructGPU.h b/benchmarks/GenericPricing/implementations/CppOpenCL/StructGPU.h similarity index 100% rename from GenericPricing/CppOpenCL/StructGPU.h rename to benchmarks/GenericPricing/implementations/CppOpenCL/StructGPU.h diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate b/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate new file mode 100755 index 0000000..f1ba6ec --- /dev/null +++ b/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate @@ -0,0 +1,16 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/platform.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_LIB_DIR/include/SDK_stub.h . +cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . +cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . +cp -r $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run $FINPAR_IMPLEMENTATION/ContractDefs . +cp $FINPAR_INPUT input.data + +make diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/run b/benchmarks/GenericPricing/implementations/CppOpenCL/run new file mode 100755 index 0000000..e494a24 --- /dev/null +++ b/benchmarks/GenericPricing/implementations/CppOpenCL/run @@ -0,0 +1,3 @@ +#!/bin/sh + +cat input.data | ./GenPricing diff --git a/GenericPricing/HaskellLH/GenPricing.hs b/benchmarks/GenericPricing/implementations/HaskellLH/GenPricing.hs similarity index 85% rename from GenericPricing/HaskellLH/GenPricing.hs rename to benchmarks/GenericPricing/implementations/HaskellLH/GenPricing.hs index d12942a..9ea379c 100644 --- a/GenericPricing/HaskellLH/GenPricing.hs +++ b/benchmarks/GenericPricing/implementations/HaskellLH/GenPricing.hs @@ -3,6 +3,7 @@ module Main where import Control.Applicative import Control.Monad import Data.Maybe +import System.CPUTime ------------------------------------ --- Requires the installation of --- @@ -17,8 +18,6 @@ import Data.Bits import Data.List hiding (tail) import Prelude hiding (tail) -import Debug.Trace - import Data.Vector.Unboxed(Vector) -- for gaussian approx import qualified Data.Vector.Unboxed as V @@ -93,6 +92,7 @@ sobolIndR bits_num dir_vs n = divisor = 2.0 ** fromIntegral bits_num +lsb0 :: (Bits a, Num b, Num a) => a -> b lsb0 n = lsb0_help 0 n where lsb0_help ell c | (c .&. 1 == 0) = ell | otherwise = lsb0_help (ell+1) (c `shiftR` 1) @@ -462,25 +462,6 @@ tiledSkeleton sob_dim num_mc_its chunk fun = extra = if (divides) then [] else [num_mc_its] iv = zip [1,chunk+1..] ([chunk, 2*chunk .. num_mc_its] ++ extra ) in (reduce (zipWith (+)) (replicate sob_dim 0.0) . map fun) iv ----------------------------------------------- ---- Formatting the Output of the Benchmark --- ----------------------------------------------- -validate :: [Double] -> [Double] -> (Int,Int,Int,Int) -> [String] -validate prices_ref prices info= - let errs = map abs $ zipWith (-) prices_ref prices - err = reduce max 0.0 errs - (contract,num_mc_it, num_dates, num_under) = info - in ["// Generic Pricing Haskell Benchmark (List-Homomorphism Style):", - "// Contract: " ++ show contract ++ ", MC Its#: " ++ show num_mc_it ++ - ", #Underlyings: " ++ show num_under ++ ", #Path Dates: " ++ - show num_dates, - ( if err <= 0.0005 - then "1\t\t// VALID Result," - else "0\t\t// INVALID Result," ), - "0\t\t// Runtime in microseconds,", - "1\t\t// CPU Threads,", - show prices ++ "\t// Generic Pricing Result."] - ----------------------------------------- --- Entry point for Generic Pricing --- @@ -488,50 +469,42 @@ validate prices_ref prices info= --- e.g., parsing Dataset from StdIn --- ----------------------------------------- main :: IO () -main = do s <- getContents +main = do s <- getContents case parse run "input" s of - Left e -> error $ show e - Right (p,pr,i) -> do let msg_lst = validate pr p i - putStrLn (msg_lst !! 0) - putStrLn (msg_lst !! 1) - putStrLn (msg_lst !! 2) - putStrLn (msg_lst !! 3) - putStrLn (msg_lst !! 4) - putStrLn (msg_lst !! 5) - -- print $ validate pr p i --- either (error . show) print $ parse run "input" s - where run = do contract <- readInt - num_mc_it <- readInt - num_dates <- readInt - num_under <- readInt --- v <- compute contract num_mc_it num_dates num_under <$> --- readInt <*> readInt <*> readInt2d <*> --- readDouble3d <*> readDouble3d <*> readDouble3d <*> --- readDouble2d <*> readDouble2d <*> readDouble2d <*> --- readInt2d <*> readDouble2d - - num_models<- readInt - num_bits <- readInt - sob_dirvs <- readInt2d - md_cs <- readDouble3d - md_vols <- readDouble3d - md_drifts <- readDouble3d - md_starts <- readDouble2d - md_detvals<- readDouble2d - md_discts <- readDouble2d - bb_inds <- readInt2d - bb_data <- readDouble2d - - let tiled_skel = tiledSkeleton (num_under*num_dates) num_mc_it 128 - let v = tiled_skel $ - compute_chunk - contract num_mc_it num_dates num_under num_models num_bits - sob_dirvs md_cs md_vols md_drifts md_starts md_detvals - md_discts bb_inds bb_data - - - r <- readDouble1d - return (v, r, (contract,num_mc_it, num_dates, num_under)) + Left e -> error $ show e + Right m -> do + (v,runtime) <- m + writeFile "result.data" $ show v + writeFile "runtime.txt" $ show runtime + where run = do + contract <- readInt + num_mc_it <- readInt + num_dates <- readInt + num_under <- readInt + + num_models<- readInt + num_bits <- readInt + sob_dirvs <- readInt2d + md_cs <- readDouble3d + md_vols <- readDouble3d + md_drifts <- readDouble3d + md_starts <- readDouble2d + md_detvals<- readDouble2d + md_discts <- readDouble2d + bb_inds <- readInt2d + bb_data <- readDouble2d + + let tiled_skel = tiledSkeleton (num_under*num_dates) num_mc_it 128 + + return $ do + start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + let v = tiled_skel $ + compute_chunk + contract num_mc_it num_dates num_under num_models num_bits + sob_dirvs md_cs md_vols md_drifts md_starts md_detvals + md_discts bb_inds bb_data + end <- v `seq` getCPUTime + return (v, (end - start) `div` 1000000000) readInt2d = readArray $ readArray readInt readDouble1d = readArray readDouble diff --git a/GenericPricing/HaskellLH/Payoff3Cond.hs b/benchmarks/GenericPricing/implementations/HaskellLH/Payoff3Cond.hs similarity index 100% rename from GenericPricing/HaskellLH/Payoff3Cond.hs rename to benchmarks/GenericPricing/implementations/HaskellLH/Payoff3Cond.hs diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/instantiate b/benchmarks/GenericPricing/implementations/HaskellLH/instantiate new file mode 100755 index 0000000..267d65b --- /dev/null +++ b/benchmarks/GenericPricing/implementations/HaskellLH/instantiate @@ -0,0 +1,11 @@ +#!/bin/sh + +set -e # Die on error. + +impl_dir=$FINPAR_IMPLEMENTATION +input=$FINPAR_INPUT + +cp $impl_dir/*hs . +cp $impl_dir/run . +cp $input input.data +ghc -Wall -O2 -msse2 -rtsopts GenPricing.hs -o GenPricing diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/run b/benchmarks/GenericPricing/implementations/HaskellLH/run new file mode 100755 index 0000000..eb51132 --- /dev/null +++ b/benchmarks/GenericPricing/implementations/HaskellLH/run @@ -0,0 +1,5 @@ +#!/bin/sh + +set -e + +./GenPricing +RTS -K128m -RTS < input.data diff --git a/GenericPricing/Orig_COpenMp/Contracts.h b/benchmarks/GenericPricing/implementations/Orig_COpenMp/Contracts.h similarity index 100% rename from GenericPricing/Orig_COpenMp/Contracts.h rename to benchmarks/GenericPricing/implementations/Orig_COpenMp/Contracts.h diff --git a/GenericPricing/Orig_COpenMp/GenPricing.cpp b/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp similarity index 93% rename from GenericPricing/Orig_COpenMp/GenPricing.cpp rename to benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp index 74a7b27..54ceb50 100644 --- a/GenericPricing/Orig_COpenMp/GenPricing.cpp +++ b/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp @@ -1,5 +1,8 @@ #define FAST_BB +#include +#include + #include "ParseInput.h" #include "SobolGaussBB.h" #include "Contracts.h" @@ -152,7 +155,7 @@ int main() { const int Ps = get_CPU_num_threads(); double* prices; - unsigned long int elapsed; + unsigned long int elapsed_usec; { // run kernel struct timeval t_start, t_end, t_diff; gettimeofday(&t_start, NULL); @@ -164,21 +167,18 @@ int main() { gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; + std::ofstream runtime("runtime.txt"); + runtime << elapsed_usec / 1000; + std::ofstream result("result.data"); + result << *prices; md_arrs .cleanup(); bb_arrs .cleanup(); sob_arrs.cleanup(); } - { // validation and writeback of the result - bool is_valid = validate ( scals.num_models, prices ); - writeStatsAndResult( is_valid, scals.num_models, prices, false, Ps, elapsed ); - free(prices); - } + free(prices); - return 0; // XXX this was "1" before, why? + return 0; } - - -// cat ../Data/Medium/input.data ../Data/Medium/output.data | ./GenPricing 2> Debug.txt diff --git a/GenericPricing/Orig_COpenMp/Makefile b/benchmarks/GenericPricing/implementations/Orig_COpenMp/Makefile similarity index 64% rename from GenericPricing/Orig_COpenMp/Makefile rename to benchmarks/GenericPricing/implementations/Orig_COpenMp/Makefile index f4b87c0..e690441 100644 --- a/GenericPricing/Orig_COpenMp/Makefile +++ b/benchmarks/GenericPricing/implementations/Orig_COpenMp/Makefile @@ -1,7 +1,7 @@ -include ../../setup.mk +include setup.mk ifndef ($(HAVE_GPU)) -include ../../platform.mk +include platform.mk endif INCLUDES += -I../includeC @@ -28,15 +28,5 @@ gpu: $(OBJECTS) cpu: $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: - rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) - + rm -f $(EXECUTABLE) $(OBJECTS) diff --git a/GenericPricing/Orig_COpenMp/SobolGaussBB.h b/benchmarks/GenericPricing/implementations/Orig_COpenMp/SobolGaussBB.h similarity index 100% rename from GenericPricing/Orig_COpenMp/SobolGaussBB.h rename to benchmarks/GenericPricing/implementations/Orig_COpenMp/SobolGaussBB.h diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate b/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate new file mode 100755 index 0000000..84ff1e1 --- /dev/null +++ b/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate @@ -0,0 +1,15 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/platform.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . +cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . +cp $FINPAR_INPUT input.data + +make diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/run b/benchmarks/GenericPricing/implementations/Orig_COpenMp/run new file mode 100755 index 0000000..e494a24 --- /dev/null +++ b/benchmarks/GenericPricing/implementations/Orig_COpenMp/run @@ -0,0 +1,3 @@ +#!/bin/sh + +cat input.data | ./GenPricing diff --git a/GenericPricing/includeC/Constants.h b/benchmarks/GenericPricing/lib/Constants.h similarity index 100% rename from GenericPricing/includeC/Constants.h rename to benchmarks/GenericPricing/lib/Constants.h diff --git a/GenericPricing/includeC/Optimizations.h b/benchmarks/GenericPricing/lib/Optimizations.h similarity index 100% rename from GenericPricing/includeC/Optimizations.h rename to benchmarks/GenericPricing/lib/Optimizations.h diff --git a/GenericPricing/includeC/ParseInput.h b/benchmarks/GenericPricing/lib/ParseInput.h similarity index 93% rename from GenericPricing/includeC/ParseInput.h rename to benchmarks/GenericPricing/lib/ParseInput.h index 6cc73fa..190b69a 100644 --- a/GenericPricing/includeC/ParseInput.h +++ b/benchmarks/GenericPricing/lib/ParseInput.h @@ -278,34 +278,6 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, } } -/****************************************/ -/*** Validate w.r.t. Reference Result ***/ -/****************************************/ -bool validate( const int num_models, const double* prices ) { - bool is_valid = true; - double* std_prices; - int64_t shape[3]; - - if (read_array(sizeof(double), read_double, (void**)&std_prices, shape, 1) ) { - fprintf(stderr, "Syntax error when reading reference prices.\n"); - exit(1); - } - assert( (shape[0] == num_models) && "Incorrect shape of reference-price array!"); - - double err = 0.0; - for( int i = 0; i < num_models; i++ ) { - err = std::max( err, fabs(std_prices[i] - prices[i]) ); - } - - if ( err > EPS ) { - is_valid = false; - fprintf(stderr, "Error = %f, EPS = %f!\n", err, EPS); - } - - free(std_prices); - return is_valid; -} - /**************************************/ /*** Format the Result & Other Info ***/ /**************************************/ diff --git a/GenericPricing/includeC/TimeHelper.h b/benchmarks/GenericPricing/lib/TimeHelper.h similarity index 100% rename from GenericPricing/includeC/TimeHelper.h rename to benchmarks/GenericPricing/lib/TimeHelper.h diff --git a/DOCS/Jepsen_Report.pdf b/docs/Jepsen_Report.pdf similarity index 100% rename from DOCS/Jepsen_Report.pdf rename to docs/Jepsen_Report.pdf diff --git a/DOCS/TridagPres.pdf b/docs/TridagPres.pdf similarity index 100% rename from DOCS/TridagPres.pdf rename to docs/TridagPres.pdf diff --git a/finpar b/finpar new file mode 100755 index 0000000..668c624 --- /dev/null +++ b/finpar @@ -0,0 +1,247 @@ +#!/usr/bin/env python + +import os +import subprocess +import json + +def executable(fpath): + return os.path.isfile(fpath) and os.access(fpath, os.X_OK) + +class Implementation: + def __init__(self, finpar_lib_dir, benchmark_lib_dir, name, directory): + if os.path.isdir(directory): + self.directory = directory + else: + if os.path.isfile(directory): + raise Exception("File %s exists, but should be an implementation directory" % directory) + else: + raise Exception("Implementation directory %s does not exist " % directory) + + self.directory = directory + self.name = name + self.finpar_lib_dir = finpar_lib_dir + self.benchmark_lib_dir = benchmark_lib_dir + + runfile = os.path.join(self.directory, "run") + instantiatefile = os.path.join(self.directory, "instantiate") + if not executable(runfile): + raise Exception("%s is not an executable file" % runfile) + if not executable(instantiatefile): + raise Exception("%s is not an executable file" % instantiatefile) + + def instantiate(self, where, input_data): + if not os.path.isdir(where): + os.mkdir(where) + + # We use the current environment as a template, and then + # extend it with some new variables. + instantiate_env = os.environ.copy() + instantiate_env["FINPAR_LIB_DIR"] = self.finpar_lib_dir + instantiate_env["FINPAR_BENCHMARK_LIB_DIR"] = self.benchmark_lib_dir + instantiate_env["FINPAR_IMPLEMENTATION"] = self.directory + instantiate_env["FINPAR_INPUT"] = input_data + + proc = subprocess.Popen(os.path.join(self.directory, "instantiate"), + env=instantiate_env, + stdout=subprocess.PIPE, + stderr=subprocess.PIPE, + stdin=subprocess.PIPE, + close_fds=True, + cwd=where) + (stdoutdata, stderrdata) = proc.communicate(input=None) + return (proc.returncode, stdoutdata, stderrdata) + +class Benchmark: + # In the constructor, we do some basic sanity-checking. The + # primary purpose here is to provide better error messages than if + # we fail to read files later down the line. + def __init__(self, finpardir, name, directory): + self.finpardir = finpardir + self.name = name + + if os.path.isdir(directory): + self.directory = directory + else: + raise Exception("Benchmark directory %s does not exist" % directory) + dircontents = os.listdir(self.directory) + + # The lib directories do not have to exist. + self.benchmark_lib_dir = os.path.join(self.directory, "lib") + self.finpar_lib_dir = os.path.join(self.finpardir, "lib") + + if "implementations" in dircontents: + self.__gather_implementations() + else: + raise Exception("No implementation directory in %s" % directory) + + if "datasets" in dircontents: + self.datasets = os.path.join(self.directory, "datasets") + self.__gather_datasets() + else: + raise Exception("No datasets directory in %s" % directory) + + def __gather_implementations(self): + self.implementations = [] + for impl in os.listdir(os.path.join(self.directory, "implementations")): + implpath = os.path.join(self.directory, "implementations", impl) + if os.path.isdir(implpath): + self.implementations.append(Implementation(self.finpar_lib_dir, + self.benchmark_lib_dir, + impl, + os.path.join(self.directory, "implementations", impl))) + + def __gather_datasets(self): + self.datasets = {} + for dataset in os.listdir(os.path.join(self.directory, "datasets")): + datasetpath = os.path.join(self.directory, "datasets", dataset) + if os.path.isdir(datasetpath): + inputfile = os.path.join(self.directory, "datasets", dataset, "input.json") + outputfile = os.path.join(self.directory, "datasets", dataset, "output.json") + if not os.path.isfile(inputfile): + raise Exception("File %s missing or not a file." % inputfile) + if not os.path.isfile(outputfile): + raise Exception("File %s missing or not a file." % outputfile) + + self.datasets[dataset] = { 'input_file' : inputfile, + 'expected_output' : read_json_file(outputfile) + } + +def note_result(results, benchmark, implementation, dataset, runtime): + if type(runtime) is int: + status = str(runtime) + "ms" + else: + status = runtime + print("Benchmark %s, implementation %s, dataset %s: %s" % + (benchmark, implementation, dataset, status)) + results[(benchmark,implementation,dataset)] = runtime + +def run_all_benchmark_implementations(finpar_dir, workdir, benchmarkdir): + b = Benchmark(finpar_dir, os.path.basename(benchmarkdir), benchmarkdir) + insts = [] + results = {} + + for impl in b.implementations: + for dataset in b.datasets: + instdir = os.path.join(workdir, + "%s-%s-%s" % (b.name, impl.name, dataset)) + print("Instantiating in %s" % instdir) + (retcode, stdout, stderr) = impl.instantiate(instdir, b.datasets[dataset]['input_file']) + if retcode != 0: + print("Instantiation failed with exit code %d.\nStdout:\n%s\nStderr:\n%s" % + (retcode, stdout, stderr)) + else: + insts.append({ 'benchmark' : b.name, + 'implementation' : impl.name, + 'dataset' : dataset, + 'instantiation_directory' : instdir, + 'expected_output' : b.datasets[dataset]['expected_output'] + }) + + for inst in insts: + instdir = inst['instantiation_directory'] + print("\nRunning %s" % instdir) + stdoutpath = os.path.join(instdir, "stdout.log") + stderrpath = os.path.join(instdir, "stderr.log") + with open(stdoutpath, "w") as stdout: + with open(stderrpath, "w") as stderr: + print("Output can be found in %s and %s" % (stdoutpath, stderrpath)) + proc = subprocess.Popen(os.path.join(instdir, "run"), + stdout=stdout, + stderr=stderr, + stdin=subprocess.PIPE, + close_fds=True, + cwd=instdir) + proc.stdin.close() # Make sure stdin EOFs. + proc.wait() + + if proc.returncode == 0: + success = "success" + else: + success = "failure" + + try: + runtime = read_runtime(instdir) + except IOError: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "no runtime measurement") + continue + except ValueError: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "non-integer runtime measurement") + continue + + try: + result = read_json_file(os.path.join(instdir, "result.json")) + expected = inst['expected_output'] + if compare_json(result, expected): + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + runtime) + else: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "invalid result") + except (IOError, ValueError): + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "cannot read result") + + return results + +def read_runtime(instdir): + with open(os.path.join(instdir, "runtime.txt"), "r") as file: + return int(file.read()) + +def read_json_file(filename): + with open(filename, "r") as file: + return json.loads(file.read()) + +epsilon = 0.001 + +# Generic comparison function using epsilon for comparing floats. +def compare_json(json1, json2): + if type(json1) != type(json2): + return False + + if type(json1) is float: + return abs(json1-json2) < epsilon + + if type(json1) is list: + if len(json1) != len(json2): + return False + for x,y in zip(json1, json2): + if not compare_json(x,y): + return False + return True + + if type(json1) is dict: + keys1 = json1.keys() + keys2 = json2.keys() + keys1.sort() + keys2.sort() + if keys1 == keys2: + for key in keys1: + if not compare_json(json1[key], json2[key]): + return False + return True + else: + return False + + return json1 == json2 + +def test(): + run_all_benchmark_implementations('/home/athas/repos/finpar', + '/home/athas/repos/finpar/instantiations', + '/home/athas/repos/finpar/benchmarks/CalibVolDiff') diff --git a/include/ParserC.h b/lib/include/ParserC.h similarity index 82% rename from include/ParserC.h rename to lib/include/ParserC.h index ed3b2c4..a6019ae 100644 --- a/include/ParserC.h +++ b/lib/include/ParserC.h @@ -7,7 +7,6 @@ #include #include - struct array_reader { char* elems; int64_t n_elems_space; @@ -216,41 +215,36 @@ int read_double(void* dest) { /////////////////////// /// Writing Dataset /// /////////////////////// -void write_scal( const int * i, const char* msg ) { - fprintf(stdout, "%d ", *i); - if( msg ) fprintf(stdout, "\t// %s\n", msg); +void write_scal( FILE* out, const int * i ) { + fprintf(out, "%d ", *i); } -void write_scal( const double* r, const char* msg ) { - fprintf(stdout, "%lf ", *r); - if( msg ) fprintf(stdout, "\t// %s\n", msg); +void write_scal( FILE* out, const double* r ) { + fprintf(out, "%lf ", *r); } -void write_scal( const float * r, const char* msg ) { - fprintf(stdout, "%f ", *r); - if( msg ) fprintf(stdout, "\t// %s\n", msg); +void write_scal( FILE* out, const float * r ) { + fprintf(out, "%f ", *r); } template -void write_1Darr( const T* ptr, const int& N, const char* msg ) { - fprintf(stdout, "\n [ "); +void write_1Darr( FILE* out, const T* ptr, const int& N ) { + fprintf(out, "\n [ "); for( int i = 0; i < N-1; i ++ ) { - write_scal(&ptr[i], NULL); - fprintf(stdout, ", "); + write_scal(out, &ptr[i]); + fprintf(out, ", "); } - write_scal(&ptr[N-1], NULL); - if (msg) fprintf(stdout, " ]\t//%s\n\n", msg); - else fprintf(stdout, " ]"); + write_scal(out, &ptr[N-1]); + fprintf(out, " ]"); } template -void write_2Darr( const T* ptr, const int& Nouter, const int& Ninner, const char* msg ) { - fprintf(stdout, "\n[ "); +void write_2Darr( FILE* out, const T* ptr, const int& Nouter, const int& Ninner ) { + fprintf(out, "\n[ "); for( int i = 0; i < Nouter-1; i ++ ) { - write_1Darr( ptr + i*Ninner, Ninner, NULL ); - fprintf(stdout, ","); + write_1Darr( stdout, ptr + i*Ninner, Ninner ); + fprintf(out, ","); } - write_1Darr( ptr + (Nouter-1)*Ninner, Ninner, NULL ); - if (msg) fprintf(stdout, "\n]\t//%s\n\n", msg); - else fprintf(stdout, "\n]\n"); + write_1Darr( out, ptr + (Nouter-1)*Ninner, Ninner ); + fprintf(out, "\n]\n"); } #endif // DATASET_PARSER diff --git a/include/SDK_stub.h b/lib/include/SDK_stub.h similarity index 100% rename from include/SDK_stub.h rename to lib/include/SDK_stub.h diff --git a/include/Util.h b/lib/include/Util.h similarity index 100% rename from include/Util.h rename to lib/include/Util.h diff --git a/include/Utilities.cl b/lib/include/Utilities.cl similarity index 100% rename from include/Utilities.cl rename to lib/include/Utilities.cl diff --git a/lib/linearise_data.py b/lib/linearise_data.py new file mode 100755 index 0000000..46d5831 --- /dev/null +++ b/lib/linearise_data.py @@ -0,0 +1,20 @@ +#!/usr/bin/env python + +import json +import sys + +def read_json_file(filename): + with open(filename, "r") as file: + return json.loads(file.read()) + +if __name__ == '__main__': + if len(sys.argv) < 3: + exit("Usage: %s [fields...]" % sys.argv[0]) + else: + data = read_json_file(sys.argv[1]) + for field in sys.argv[2:]: + try: + print ("// " + field) + print(data[field]) + except KeyError: + exit("Key %s not found in JSON file." % field) diff --git a/lib/platform.mk b/lib/platform.mk new file mode 100644 index 0000000..c9889b1 --- /dev/null +++ b/lib/platform.mk @@ -0,0 +1,28 @@ +# platform specification for benchmarks. Edit as appropriate for your +# platform before running + +# 1 = platform has a GPU +HAVE_GPU = 1 +GPU_DEVICE_ID = 0 + +# GPU warp size. Keep consistent if you use the non-log variant +#GPU_WARP = 32 +GPU_LG_WARP = 5 + +# GPU memory sizes in kilobyte +GPU_LOCAL_MEM = 48 +GPU_CONST_MEM = 64 +GPU_REG_MEM = 64 +# device memory in gigabyte +GPU_DEVICE_MEM= 2 +# ``Optimal'' Amount of Local/Fast Memory Per Thread +GPU_LOCAL_MEM_PER_TH=8 +# Number of GPU cores +GPU_NUM_CORES = 192 + +# CPU and memory spec. +NCORES = 4 +# in gigabyte +MEMORY = 4 + +export diff --git a/lib/setup.mk b/lib/setup.mk new file mode 100644 index 0000000..f69bc95 --- /dev/null +++ b/lib/setup.mk @@ -0,0 +1,20 @@ +OS=$(shell uname -s) + +ifeq ($(OS),Darwin) + OPENCL_ROOTDIR ?= /System/Library/Frameworks/OpenCL.framework + OPENCL_LIBDIR := $(OPENCL_ROOTDIR)/Libraries + OPENCL_INCDIR ?= $(OPENCL_ROOTDIR)/Headers + CXX = g++-4.9 + CXXFLAGS = + LIB = -framework OpenCL -L$(OPENCL_LIBDIR) -Wl,-x -m64 + CXXFLAGS = -fopenmp -O3 -fno-rtti +else + OPENCL_ROOTDIR ?= /usr/local/cuda + OPENCL_LIBDIR ?= $(OPENCL_ROOTDIR)/lib64 + OPENCL_INCDIR ?= $(OPENCL_ROOTDIR)/include + CXX = g++ + LIB = -L$(OPENCL_LIBDIR) -lOpenCL + CXXFLAGS = -fopenmp -O3 +endif + +INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include diff --git a/redesign.md b/redesign.md new file mode 100644 index 0000000..4d20296 --- /dev/null +++ b/redesign.md @@ -0,0 +1,114 @@ +(To eliminate ambiguity, here is the nomenclature: we have a number of +*benchmarks* (currently CalibGA, CalibVolDiff, and GenericPricer), +each of which have several *data sets* (typically Small, Medium, and +Large), and several *implementations* (right now mostly different +versions of C) each of which may have several *configurations*. +Running a benchmark consists of selecting a data set and an +implementation, and possibly specifying a specific configuration of +the implementation. + +Recently, a Martin, Frederik, and myself have been implementing the +finpar bechmarks in more diverse programming languages - (streaming) +NESL, APL and Futhark, at least. Unfortunately, the current finpar +infrastructure is not very easy to work with, and so their work has +not been integrated. I have identified the following problems: + + * Implementations are not cleanly separated from data sets and + ancillary code. + + **Solution**: for each benchmark, have a directory that contains + only implementations. + + * Building an implementation modifies the implementation + directory, and more importantly, configuring an implementation + often involves manually modifying files in the directory (see + CalibGA/includeC/KerConsts.h for an example). This is really + bad and makes structured and reproducible benchmarking almost + impossible. + + **Solution**: when "compiling" an implementation, put everything + in a new, separate directory, I will call the *instantiation + directory*. All configuration must be done via passing options to + the compilation step, and will be reflected in the files put in + the instantiation directory. + + * Adding new implementations is a mess, because you have to modify + the global build system. + + **Solution**: define a setup/run-protocol that each benchmark + implementation must follow, and which can be used by a generic + controller script. + + * Validation is done by the benchmark implementations. There is no + reason to do this. + + **Solution**: have the implementation produce + their results in some well-defined format, and have the controller + script validate it. + + * Everything is done with Makefiles. Nobody likes modifying + Makefiles, and we don't need incremental rebuilds anyway. + + + **Solution**: write as much as possible in Python or simple shell + script. + +I propose the following rough protocol: + + * Each benchmark implementation must include one executable file, + called `instantiate`. This can be written in whatever language + one prefers. + + * When the `instantiate` program for an implementation is invoked, + the following environment variables must be set: + + * `FINPAR_IMPLEMENTATION`, which must point at the + implementation directory. This is to get around the fact that + it's not always easy to find the location of the running + program. + + * `FINPAR_DATASET`, which must point at a directory containint + `.input` and `.output` files. + + * The `instantiate` program will instantiate the implementation in + the *current directory*, which will become the instantiation + directory. + + * The `instantiate` program can be passed command-line options to + futher configure the implementation. These are defined on a + per-implementation basis, and not standardised. + + * After instantiation, the instantiation directory must contain a + program `run`, which, when executed, will run the benchmark + implementation. The result will be two files in the + instantiation directory: + + * `runtime.txt`, which contains the runtime in milliseconds as + an integer. + + * `result.data`, which contains the result in ou well-defined + data format. + + I have decided that the runtime should be measured by the + implementation itself, as it is not possible to black-box + measure this without possibly measuring the wrong things (like + kernel compilation, exotic hardware setup, parsing of input + data, or IO). + +The following questions have yet to be answered: + + * What data format should we use? Currently, finpar uses the + Futhark value format, which is pretty simple. We can possibly + make life even simpler by using JSON, but it is incredibly + annoying that JSON does not support comments. + + * Should we use environment variables at all? It was mostly to + avoid having the instantiate-script do command-line parsing unless + it wants to. + +Yet, I think this is a good protocol. It will allow us to build an +easy-to-use controller program on top of it, that can automatically +generate a bunch of different instantiations with different +configurations and data sets, and maybe draw graphs of the results, +etc. I estimate that the above could be implemented fairly quickly, +and sanity-checked with the extant benchmark implementations. diff --git a/setup.mk b/setup.mk index f85a816..fe4c4b2 100644 --- a/setup.mk +++ b/setup.mk @@ -17,4 +17,4 @@ else CXXFLAGS = -fopenmp -O3 endif -INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include +INCLUDES = -I$(OPENCL_INCDIR) -I. From 49feee8e813e8981138e97d7a08c29f4a2b7fd8c Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 20 Feb 2015 17:23:12 +0100 Subject: [PATCH 002/122] Standalone benchmark runner example. --- finpar | 22 +++++++++++++++++----- 1 file changed, 17 insertions(+), 5 deletions(-) diff --git a/finpar b/finpar index 668c624..6f11400 100755 --- a/finpar +++ b/finpar @@ -110,7 +110,7 @@ def note_result(results, benchmark, implementation, dataset, runtime): if type(runtime) is int: status = str(runtime) + "ms" else: - status = runtime + status = "failed, " + runtime print("Benchmark %s, implementation %s, dataset %s: %s" % (benchmark, implementation, dataset, status)) results[(benchmark,implementation,dataset)] = runtime @@ -154,10 +154,13 @@ def run_all_benchmark_implementations(finpar_dir, workdir, benchmarkdir): proc.stdin.close() # Make sure stdin EOFs. proc.wait() - if proc.returncode == 0: - success = "success" - else: - success = "failure" + if proc.returncode != 0: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "non-zero exit code") + continue try: runtime = read_runtime(instdir) @@ -245,3 +248,12 @@ def test(): run_all_benchmark_implementations('/home/athas/repos/finpar', '/home/athas/repos/finpar/instantiations', '/home/athas/repos/finpar/benchmarks/CalibVolDiff') + +if __name__ == '__main__': + print "Assuming I am being run from finpar directory." + print "Will read benchmark benchmarks/CalibVolDiff." + print "Will instantiate in instantiations/." + finpar_dir = os.getcwd() + run_all_benchmark_implementations(finpar_dir, + os.path.join(finpar_dir, 'instantiations'), + os.path.join(finpar_dir, 'benchmarks/CalibVolDiff')) From 6668d7ac67a3be684f32cdcfb5f09e90ef93f609 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 20 Feb 2015 17:57:41 +0100 Subject: [PATCH 003/122] Fix test runner. --- finpar | 39 +++++++++++++++++++++++++++++---------- 1 file changed, 29 insertions(+), 10 deletions(-) diff --git a/finpar b/finpar index 6f11400..6861d01 100755 --- a/finpar +++ b/finpar @@ -106,13 +106,16 @@ class Benchmark: 'expected_output' : read_json_file(outputfile) } +def desc_triple(benchmark, implementation, dataset): + return "Benchmark %s, implementation %s, dataset %s" % (benchmark, implementation, dataset) + def note_result(results, benchmark, implementation, dataset, runtime): if type(runtime) is int: status = str(runtime) + "ms" else: status = "failed, " + runtime - print("Benchmark %s, implementation %s, dataset %s: %s" % - (benchmark, implementation, dataset, status)) + print("%s: %s" % + (desc_triple(benchmark, implementation, dataset), status)) results[(benchmark,implementation,dataset)] = runtime def run_all_benchmark_implementations(finpar_dir, workdir, benchmarkdir): @@ -244,16 +247,32 @@ def compare_json(json1, json2): return json1 == json2 -def test(): - run_all_benchmark_implementations('/home/athas/repos/finpar', - '/home/athas/repos/finpar/instantiations', - '/home/athas/repos/finpar/benchmarks/CalibVolDiff') - if __name__ == '__main__': print "Assuming I am being run from finpar directory." print "Will read benchmark benchmarks/CalibVolDiff." print "Will instantiate in instantiations/." finpar_dir = os.getcwd() - run_all_benchmark_implementations(finpar_dir, - os.path.join(finpar_dir, 'instantiations'), - os.path.join(finpar_dir, 'benchmarks/CalibVolDiff')) + results = run_all_benchmark_implementations(finpar_dir, + os.path.join(finpar_dir, 'instantiations'), + os.path.join(finpar_dir, 'benchmarks/CalibVolDiff')) + successful = {} + failed = {} + + for result in results: + if type(results[result]) is int: + successful[result] = int(results[result]) + else: + failed[result] = results[result] + + print "\nFailed" + for f in failed: + (benchmark, implementation, dataset) = f + print("%s: %s" % + (desc_triple(benchmark, implementation, dataset), + failed[f])) + + print "\nSucceeded" + for s in successful: + (benchmark, implementation, dataset) = f + print("%s: %s", (desc_triple(benchmark, implementation, dataset), + successful[s])) From 160f21d6cc5b0fa74f2505fef80d5f8ea7eebbc5 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 20 Feb 2015 18:01:00 +0100 Subject: [PATCH 004/122] This file is not needed. --- redesign.md | 114 ---------------------------------------------------- 1 file changed, 114 deletions(-) delete mode 100644 redesign.md diff --git a/redesign.md b/redesign.md deleted file mode 100644 index 4d20296..0000000 --- a/redesign.md +++ /dev/null @@ -1,114 +0,0 @@ -(To eliminate ambiguity, here is the nomenclature: we have a number of -*benchmarks* (currently CalibGA, CalibVolDiff, and GenericPricer), -each of which have several *data sets* (typically Small, Medium, and -Large), and several *implementations* (right now mostly different -versions of C) each of which may have several *configurations*. -Running a benchmark consists of selecting a data set and an -implementation, and possibly specifying a specific configuration of -the implementation. - -Recently, a Martin, Frederik, and myself have been implementing the -finpar bechmarks in more diverse programming languages - (streaming) -NESL, APL and Futhark, at least. Unfortunately, the current finpar -infrastructure is not very easy to work with, and so their work has -not been integrated. I have identified the following problems: - - * Implementations are not cleanly separated from data sets and - ancillary code. - - **Solution**: for each benchmark, have a directory that contains - only implementations. - - * Building an implementation modifies the implementation - directory, and more importantly, configuring an implementation - often involves manually modifying files in the directory (see - CalibGA/includeC/KerConsts.h for an example). This is really - bad and makes structured and reproducible benchmarking almost - impossible. - - **Solution**: when "compiling" an implementation, put everything - in a new, separate directory, I will call the *instantiation - directory*. All configuration must be done via passing options to - the compilation step, and will be reflected in the files put in - the instantiation directory. - - * Adding new implementations is a mess, because you have to modify - the global build system. - - **Solution**: define a setup/run-protocol that each benchmark - implementation must follow, and which can be used by a generic - controller script. - - * Validation is done by the benchmark implementations. There is no - reason to do this. - - **Solution**: have the implementation produce - their results in some well-defined format, and have the controller - script validate it. - - * Everything is done with Makefiles. Nobody likes modifying - Makefiles, and we don't need incremental rebuilds anyway. - - - **Solution**: write as much as possible in Python or simple shell - script. - -I propose the following rough protocol: - - * Each benchmark implementation must include one executable file, - called `instantiate`. This can be written in whatever language - one prefers. - - * When the `instantiate` program for an implementation is invoked, - the following environment variables must be set: - - * `FINPAR_IMPLEMENTATION`, which must point at the - implementation directory. This is to get around the fact that - it's not always easy to find the location of the running - program. - - * `FINPAR_DATASET`, which must point at a directory containint - `.input` and `.output` files. - - * The `instantiate` program will instantiate the implementation in - the *current directory*, which will become the instantiation - directory. - - * The `instantiate` program can be passed command-line options to - futher configure the implementation. These are defined on a - per-implementation basis, and not standardised. - - * After instantiation, the instantiation directory must contain a - program `run`, which, when executed, will run the benchmark - implementation. The result will be two files in the - instantiation directory: - - * `runtime.txt`, which contains the runtime in milliseconds as - an integer. - - * `result.data`, which contains the result in ou well-defined - data format. - - I have decided that the runtime should be measured by the - implementation itself, as it is not possible to black-box - measure this without possibly measuring the wrong things (like - kernel compilation, exotic hardware setup, parsing of input - data, or IO). - -The following questions have yet to be answered: - - * What data format should we use? Currently, finpar uses the - Futhark value format, which is pretty simple. We can possibly - make life even simpler by using JSON, but it is incredibly - annoying that JSON does not support comments. - - * Should we use environment variables at all? It was mostly to - avoid having the instantiate-script do command-line parsing unless - it wants to. - -Yet, I think this is a good protocol. It will allow us to build an -easy-to-use controller program on top of it, that can automatically -generate a bunch of different instantiations with different -configurations and data sets, and maybe draw graphs of the results, -etc. I estimate that the above could be implemented fairly quickly, -and sanity-checked with the extant benchmark implementations. From eeba233fdf1bb9f7ecde883cd0b452d87d3a369a Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 20 Feb 2015 23:11:46 +0100 Subject: [PATCH 005/122] Support platform-specific configuration. --- .../implementations/All_COpenCLMP/Makefile | 5 +- .../implementations/All_COpenCLMP/instantiate | 13 +- .../implementations/All_COpenCLMP/run | 3 - .../implementations/Orig_COpenMP/Makefile | 12 +- .../implementations/Orig_COpenMP/instantiate | 13 +- .../implementations/Orig_COpenMP/run | 3 - .../implementations/Original/Makefile | 4 +- .../implementations/Outer_COpenCLMP/Makefile | 4 +- .../Outer_COpenCLMP/instantiate | 14 +- .../implementations/Outer_COpenCLMP/run | 3 - config/platform_example.json | 14 ++ finpar | 145 ++++++++++-------- lib/generate_platform_mk.py | 36 +++++ lib/json_get.py | 16 ++ setup.mk | 20 --- 15 files changed, 191 insertions(+), 114 deletions(-) delete mode 100755 benchmarks/CalibVolDiff/implementations/All_COpenCLMP/run delete mode 100755 benchmarks/CalibVolDiff/implementations/Orig_COpenMP/run delete mode 100755 benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/run create mode 100644 config/platform_example.json create mode 100755 lib/generate_platform_mk.py create mode 100755 lib/json_get.py delete mode 100644 setup.mk diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile index aa5e0ed..e07480b 100644 --- a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile @@ -1,7 +1,7 @@ -include ../../setup.mk +include setup.mk ifndef ($(HAVE_GPU)) -include ../../platform.mk +include platform.mk endif INCLUDES += -I../includeC @@ -22,6 +22,7 @@ else # cannot build this one... no-gpu: @echo "\n*** No GPU configured, cannot build `pwd` ***\n" + exit 1 endif #.cpp.o: $(SOURCES_CPP) $(HELPERS) diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate index c349e59..c302f3b 100755 --- a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate +++ b/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate @@ -11,7 +11,18 @@ cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/DataStructConst.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParPrefixUtil.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile . + $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run < input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run < input.data +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run <" % sys.argv[0]) + else: + data = read_json_file(sys.argv[1]) + generate_platform_mk(data) + diff --git a/lib/json_get.py b/lib/json_get.py new file mode 100755 index 0000000..cca3191 --- /dev/null +++ b/lib/json_get.py @@ -0,0 +1,16 @@ +#!/usr/bin/env python + +import json +import sys +import math + +def read_json_file(filename): + with open(filename, "r") as file: + return json.loads(file.read()) + +if __name__ == '__main__': + if len(sys.argv) != 3: + exit("Usage: %s " % sys.argv[0]) + else: + data = read_json_file(sys.argv[1]) + print(data[sys.argv[2]]) diff --git a/setup.mk b/setup.mk deleted file mode 100644 index fe4c4b2..0000000 --- a/setup.mk +++ /dev/null @@ -1,20 +0,0 @@ -OS=$(shell uname -s) - -ifeq ($(OS),Darwin) - OPENCL_ROOTDIR ?= /System/Library/Frameworks/OpenCL.framework - OPENCL_LIBDIR := $(OPENCL_ROOTDIR)/Libraries - OPENCL_INCDIR ?= $(OPENCL_ROOTDIR)/Headers - CXX = g++-4.9 - CXXFLAGS = - LIB = -framework OpenCL -L$(OPENCL_LIBDIR) -Wl,-x -m64 - CXXFLAGS = -fopenmp -O3 -fno-rtti -else - OPENCL_ROOTDIR ?= /usr/local/cuda - OPENCL_LIBDIR := $(OPENCL_ROOTDIR)/lib64 - OPENCL_INCDIR ?= $(OPENCL_ROOTDIR)/include - CXX = g++ - LIB = -L$(OPENCL_LIBDIR) -lOpenCL - CXXFLAGS = -fopenmp -O3 -endif - -INCLUDES = -I$(OPENCL_INCDIR) -I. From 304d2e8a2a601aab2595adbaca72d57ff20ea7ed Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 20 Feb 2015 23:16:04 +0100 Subject: [PATCH 006/122] Lowercase filenames are preferable on Unix. --- benchmarks/CalibGA/datasets/{Large => large}/input.data | 0 benchmarks/CalibGA/datasets/{Large => large}/output.data | 0 benchmarks/CalibGA/datasets/{Medium => medium}/input.data | 0 benchmarks/CalibGA/datasets/{Medium => medium}/output.data | 0 benchmarks/CalibGA/datasets/{Small => small}/input.data | 0 benchmarks/CalibGA/datasets/{Small => small}/output.data | 0 benchmarks/CalibVolDiff/datasets/{Large => large}/input.json | 0 benchmarks/CalibVolDiff/datasets/{Large => large}/output.json | 0 benchmarks/CalibVolDiff/datasets/{Medium => medium}/input.json | 0 benchmarks/CalibVolDiff/datasets/{Medium => medium}/output.json | 0 benchmarks/CalibVolDiff/datasets/{Small => small}/input.json | 0 benchmarks/CalibVolDiff/datasets/{Small => small}/output.json | 0 benchmarks/GenericPricing/datasets/{Large => large}/input.data | 0 benchmarks/GenericPricing/datasets/{Large => large}/output.data | 0 benchmarks/GenericPricing/datasets/{Medium => medium}/input.data | 0 benchmarks/GenericPricing/datasets/{Medium => medium}/output.data | 0 benchmarks/GenericPricing/datasets/{Small => small}/input.data | 0 benchmarks/GenericPricing/datasets/{Small => small}/output.data | 0 18 files changed, 0 insertions(+), 0 deletions(-) rename benchmarks/CalibGA/datasets/{Large => large}/input.data (100%) rename benchmarks/CalibGA/datasets/{Large => large}/output.data (100%) rename benchmarks/CalibGA/datasets/{Medium => medium}/input.data (100%) rename benchmarks/CalibGA/datasets/{Medium => medium}/output.data (100%) rename benchmarks/CalibGA/datasets/{Small => small}/input.data (100%) rename benchmarks/CalibGA/datasets/{Small => small}/output.data (100%) rename benchmarks/CalibVolDiff/datasets/{Large => large}/input.json (100%) rename benchmarks/CalibVolDiff/datasets/{Large => large}/output.json (100%) rename benchmarks/CalibVolDiff/datasets/{Medium => medium}/input.json (100%) rename benchmarks/CalibVolDiff/datasets/{Medium => medium}/output.json (100%) rename benchmarks/CalibVolDiff/datasets/{Small => small}/input.json (100%) rename benchmarks/CalibVolDiff/datasets/{Small => small}/output.json (100%) rename benchmarks/GenericPricing/datasets/{Large => large}/input.data (100%) rename benchmarks/GenericPricing/datasets/{Large => large}/output.data (100%) rename benchmarks/GenericPricing/datasets/{Medium => medium}/input.data (100%) rename benchmarks/GenericPricing/datasets/{Medium => medium}/output.data (100%) rename benchmarks/GenericPricing/datasets/{Small => small}/input.data (100%) rename benchmarks/GenericPricing/datasets/{Small => small}/output.data (100%) diff --git a/benchmarks/CalibGA/datasets/Large/input.data b/benchmarks/CalibGA/datasets/large/input.data similarity index 100% rename from benchmarks/CalibGA/datasets/Large/input.data rename to benchmarks/CalibGA/datasets/large/input.data diff --git a/benchmarks/CalibGA/datasets/Large/output.data b/benchmarks/CalibGA/datasets/large/output.data similarity index 100% rename from benchmarks/CalibGA/datasets/Large/output.data rename to benchmarks/CalibGA/datasets/large/output.data diff --git a/benchmarks/CalibGA/datasets/Medium/input.data b/benchmarks/CalibGA/datasets/medium/input.data similarity index 100% rename from benchmarks/CalibGA/datasets/Medium/input.data rename to benchmarks/CalibGA/datasets/medium/input.data diff --git a/benchmarks/CalibGA/datasets/Medium/output.data b/benchmarks/CalibGA/datasets/medium/output.data similarity index 100% rename from benchmarks/CalibGA/datasets/Medium/output.data rename to benchmarks/CalibGA/datasets/medium/output.data diff --git a/benchmarks/CalibGA/datasets/Small/input.data b/benchmarks/CalibGA/datasets/small/input.data similarity index 100% rename from benchmarks/CalibGA/datasets/Small/input.data rename to benchmarks/CalibGA/datasets/small/input.data diff --git a/benchmarks/CalibGA/datasets/Small/output.data b/benchmarks/CalibGA/datasets/small/output.data similarity index 100% rename from benchmarks/CalibGA/datasets/Small/output.data rename to benchmarks/CalibGA/datasets/small/output.data diff --git a/benchmarks/CalibVolDiff/datasets/Large/input.json b/benchmarks/CalibVolDiff/datasets/large/input.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/Large/input.json rename to benchmarks/CalibVolDiff/datasets/large/input.json diff --git a/benchmarks/CalibVolDiff/datasets/Large/output.json b/benchmarks/CalibVolDiff/datasets/large/output.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/Large/output.json rename to benchmarks/CalibVolDiff/datasets/large/output.json diff --git a/benchmarks/CalibVolDiff/datasets/Medium/input.json b/benchmarks/CalibVolDiff/datasets/medium/input.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/Medium/input.json rename to benchmarks/CalibVolDiff/datasets/medium/input.json diff --git a/benchmarks/CalibVolDiff/datasets/Medium/output.json b/benchmarks/CalibVolDiff/datasets/medium/output.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/Medium/output.json rename to benchmarks/CalibVolDiff/datasets/medium/output.json diff --git a/benchmarks/CalibVolDiff/datasets/Small/input.json b/benchmarks/CalibVolDiff/datasets/small/input.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/Small/input.json rename to benchmarks/CalibVolDiff/datasets/small/input.json diff --git a/benchmarks/CalibVolDiff/datasets/Small/output.json b/benchmarks/CalibVolDiff/datasets/small/output.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/Small/output.json rename to benchmarks/CalibVolDiff/datasets/small/output.json diff --git a/benchmarks/GenericPricing/datasets/Large/input.data b/benchmarks/GenericPricing/datasets/large/input.data similarity index 100% rename from benchmarks/GenericPricing/datasets/Large/input.data rename to benchmarks/GenericPricing/datasets/large/input.data diff --git a/benchmarks/GenericPricing/datasets/Large/output.data b/benchmarks/GenericPricing/datasets/large/output.data similarity index 100% rename from benchmarks/GenericPricing/datasets/Large/output.data rename to benchmarks/GenericPricing/datasets/large/output.data diff --git a/benchmarks/GenericPricing/datasets/Medium/input.data b/benchmarks/GenericPricing/datasets/medium/input.data similarity index 100% rename from benchmarks/GenericPricing/datasets/Medium/input.data rename to benchmarks/GenericPricing/datasets/medium/input.data diff --git a/benchmarks/GenericPricing/datasets/Medium/output.data b/benchmarks/GenericPricing/datasets/medium/output.data similarity index 100% rename from benchmarks/GenericPricing/datasets/Medium/output.data rename to benchmarks/GenericPricing/datasets/medium/output.data diff --git a/benchmarks/GenericPricing/datasets/Small/input.data b/benchmarks/GenericPricing/datasets/small/input.data similarity index 100% rename from benchmarks/GenericPricing/datasets/Small/input.data rename to benchmarks/GenericPricing/datasets/small/input.data diff --git a/benchmarks/GenericPricing/datasets/Small/output.data b/benchmarks/GenericPricing/datasets/small/output.data similarity index 100% rename from benchmarks/GenericPricing/datasets/Small/output.data rename to benchmarks/GenericPricing/datasets/small/output.data From e98929f66f8249331f72c567e7a21cd492630b70 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 21 Feb 2015 12:48:02 +0100 Subject: [PATCH 007/122] Accept some command line parameters. --- finpar | 68 ++++++++++++++++++++++++++++++++++++++++++++++++++-------- 1 file changed, 59 insertions(+), 9 deletions(-) diff --git a/finpar b/finpar index 15d1877..414fb77 100755 --- a/finpar +++ b/finpar @@ -3,6 +3,7 @@ import os import subprocess import json +import sys def executable(fpath): return os.path.isfile(fpath) and os.access(fpath, os.X_OK) @@ -117,13 +118,22 @@ def note_result(results, benchmark, implementation, dataset, runtime): (desc_triple(benchmark, implementation, dataset), status)) results[(benchmark,implementation,dataset)] = runtime -def run_all_benchmark_implementations(finpar_dir, workdir, benchmarkdir, platform): +def run_some_benchmark_implementations(finpar_dir, + workdir, + benchmarkdir, + platform, + run_implementation_fn, + use_dataset_fn): b = Benchmark(finpar_dir, os.path.basename(benchmarkdir), benchmarkdir) insts = [] results = {} for impl in b.implementations: + if not run_implementation_fn(impl): + continue for dataset in b.datasets: + if not use_dataset_fn(dataset): + continue instdir = os.path.join(workdir, "%s-%s-%s" % (b.name, impl.name, dataset)) print("Instantiating in %s" % instdir) @@ -252,19 +262,59 @@ def compare_json(json1, json2): return json1 == json2 +def what_to_run(): + if len(sys.argv) == 1: + return ("benchmarks/CalibVolDiff", None, None) + elif len(sys.argv) == 2: + return (sys.argv[1], None, None) + elif len(sys.argv) == 3: + return (sys.argv[1], sys.argv[2].split(','), None) + elif len(sys.argv) == 4: + return (sys.argv[1], sys.argv[2].split(','), sys.argv[3].split(',')) + else: + exit("Usage: %s [benchmark] [implementation1,implementation2,...] [dataset1,dataset2,...]" % + sys.argv[0]) + if __name__ == '__main__': - benchmark="benchmarks/CalibVolDiff" + (benchmark, implementations, datasets) = what_to_run() instantiations_dir = "instantiations" platform_file = "config/platform_example.json" + print("Assuming I am being run from main finpar directory.") - print("Will run implementations of benchmark %s." % benchmark) + print("Will run benchmark %s." % benchmark) + + if implementations is None: + print("Will run all implementations.") + else: + print("Will run these implementations: %s" % implementations) + + if datasets is None: + print("Will use all datasets.") + else: + print("Will use these datasets: %s" % datasets) + print("Will instantiate in %s." % instantiations_dir) print("Will use platform configuration %s." % platform_file) finpar_dir = os.getcwd() - results = run_all_benchmark_implementations(finpar_dir, - os.path.join(finpar_dir, instantiations_dir), - os.path.join(finpar_dir, benchmark), - os.path.join(finpar_dir, platform_file)) + + def run_implementation_fn(impl): + if implementations is None: + return True + else: + return impl.name in implementations + + def use_dataset_fn(dataset): + if datasets is None: + return True + else: + return dataset in datasets + + results = run_some_benchmark_implementations(finpar_dir, + os.path.join(finpar_dir, instantiations_dir), + os.path.join(finpar_dir, benchmark), + os.path.join(finpar_dir, platform_file), + run_implementation_fn, + use_dataset_fn) successful = {} failed = {} @@ -274,14 +324,14 @@ if __name__ == '__main__': else: failed[result] = results[result] - print "\nFailed" + print "\nFailed:" for f in failed: (benchmark, implementation, dataset) = f print("%s: %s" % (desc_triple(benchmark, implementation, dataset), failed[f])) - print "\nSucceeded" + print "\nSucceeded:" for s in successful: (benchmark, implementation, dataset) = s print("%s: %s" % From aad4aa2e120517c19c816a31c0c705986566d304 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 21 Feb 2015 13:27:20 +0100 Subject: [PATCH 008/122] Report failed instantiations in a vaguely usable format. --- finpar | 42 +++++++++++++++++++++++++++--------------- 1 file changed, 27 insertions(+), 15 deletions(-) diff --git a/finpar b/finpar index 414fb77..e4f78cb 100755 --- a/finpar +++ b/finpar @@ -110,12 +110,6 @@ def desc_triple(benchmark, implementation, dataset): return "Benchmark %s, implementation %s, dataset %s" % (benchmark, implementation, dataset) def note_result(results, benchmark, implementation, dataset, runtime): - if type(runtime) is int: - status = str(runtime) + "ms" - else: - status = "failed, " + runtime - print("%s: %s" % - (desc_triple(benchmark, implementation, dataset), status)) results[(benchmark,implementation,dataset)] = runtime def run_some_benchmark_implementations(finpar_dir, @@ -126,6 +120,7 @@ def run_some_benchmark_implementations(finpar_dir, use_dataset_fn): b = Benchmark(finpar_dir, os.path.basename(benchmarkdir), benchmarkdir) insts = [] + failed_insts = [] results = {} for impl in b.implementations: @@ -139,8 +134,14 @@ def run_some_benchmark_implementations(finpar_dir, print("Instantiating in %s" % instdir) (retcode, stdout, stderr) = impl.instantiate(instdir, b.datasets[dataset]['input_file'], platform) if retcode != 0: - print("Instantiation failed with exit code %d.\nStdout:\n%s\nStderr:\n%s" % - (retcode, stdout, stderr)) + failed_insts.append({ 'benchmark' : b.name, + 'implementation' : impl.name, + 'dataset' : dataset, + 'instantiation_directory' : instdir, + 'retcode' : retcode, + 'stdout' : stdout, + 'stderr' : stderr}) + print("Spoiler: failed") else: insts.append({ 'benchmark' : b.name, 'implementation' : impl.name, @@ -219,7 +220,7 @@ def run_some_benchmark_implementations(finpar_dir, inst['implementation'], inst['dataset'], "cannot read result") - return results + return (results, failed_insts) def read_runtime(instdir): with open(os.path.join(instdir, "runtime.txt"), "r") as file: @@ -309,15 +310,26 @@ if __name__ == '__main__': else: return dataset in datasets - results = run_some_benchmark_implementations(finpar_dir, - os.path.join(finpar_dir, instantiations_dir), - os.path.join(finpar_dir, benchmark), - os.path.join(finpar_dir, platform_file), - run_implementation_fn, - use_dataset_fn) + (results, failed_to_instantiate) = ( + run_some_benchmark_implementations(finpar_dir, + os.path.join(finpar_dir, instantiations_dir), + os.path.join(finpar_dir, benchmark), + os.path.join(finpar_dir, platform_file), + run_implementation_fn, + use_dataset_fn) + ) successful = {} failed = {} + for failed in failed_to_instantiate: + print("Failed to instantiate implementation %s with dataset %s; exit code %d." % + (failed['implementation'], failed['dataset'], failed['retcode'])) + print("Stdout\n") + print(failed['stdout']) + print("Stderr\n") + print(failed['stderr']) + print("") + for result in results: if type(results[result]) is int: successful[result] = results[result] From 32dacda40a0905bc1ed75ee9f540f02093f85e46 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 21 Feb 2015 13:52:02 +0100 Subject: [PATCH 009/122] Fix error caused by variable shadowing. Python is a bad language. --- finpar | 5 +++-- 1 file changed, 3 insertions(+), 2 deletions(-) diff --git a/finpar b/finpar index e4f78cb..42e7c40 100755 --- a/finpar +++ b/finpar @@ -318,8 +318,6 @@ if __name__ == '__main__': run_implementation_fn, use_dataset_fn) ) - successful = {} - failed = {} for failed in failed_to_instantiate: print("Failed to instantiate implementation %s with dataset %s; exit code %d." % @@ -330,6 +328,9 @@ if __name__ == '__main__': print(failed['stderr']) print("") + successful = {} + failed = {} + for result in results: if type(results[result]) is int: successful[result] = results[result] From de3c0f91542e3701878e3a2b9e836dd2800ce6e1 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 21 Feb 2015 13:54:22 +0100 Subject: [PATCH 010/122] This one is obsolete. --- lib/platform.mk | 28 ---------------------------- 1 file changed, 28 deletions(-) delete mode 100644 lib/platform.mk diff --git a/lib/platform.mk b/lib/platform.mk deleted file mode 100644 index c9889b1..0000000 --- a/lib/platform.mk +++ /dev/null @@ -1,28 +0,0 @@ -# platform specification for benchmarks. Edit as appropriate for your -# platform before running - -# 1 = platform has a GPU -HAVE_GPU = 1 -GPU_DEVICE_ID = 0 - -# GPU warp size. Keep consistent if you use the non-log variant -#GPU_WARP = 32 -GPU_LG_WARP = 5 - -# GPU memory sizes in kilobyte -GPU_LOCAL_MEM = 48 -GPU_CONST_MEM = 64 -GPU_REG_MEM = 64 -# device memory in gigabyte -GPU_DEVICE_MEM= 2 -# ``Optimal'' Amount of Local/Fast Memory Per Thread -GPU_LOCAL_MEM_PER_TH=8 -# Number of GPU cores -GPU_NUM_CORES = 192 - -# CPU and memory spec. -NCORES = 4 -# in gigabyte -MEMORY = 4 - -export From 177bc0b8ca09750d72ccc36b904ebcd9f2ca9860 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 21 Feb 2015 14:22:42 +0100 Subject: [PATCH 011/122] Use deepseq for proper timing. --- benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs b/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs index 734f004..364bb6c 100644 --- a/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs +++ b/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs @@ -389,7 +389,7 @@ main = do s <- getContents return $ do start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. let v = compute (outer, num_x, num_y, num_t) params - end <- v `seq` getCPUTime + end <- v `deepseq` getCPUTime return (v, (end - start) `div` 1000000000) -- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs From 39b43de76b4e6935ce0c96743cdb7489beaba1fc Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 21 Feb 2015 14:23:08 +0100 Subject: [PATCH 012/122] Move GenericPricing to the brave new world. --- .../GenericPricing/datasets/large/input.data | 4090 ----------------- .../GenericPricing/datasets/large/input.json | 4088 ++++++++++++++++ .../GenericPricing/datasets/large/output.data | 1 - .../GenericPricing/datasets/large/output.json | 1 + .../GenericPricing/datasets/medium/input.data | 108 - .../GenericPricing/datasets/medium/input.json | 106 + .../datasets/medium/output.data | 1 - .../datasets/medium/output.json | 1 + .../GenericPricing/datasets/small/input.data | 56 - .../GenericPricing/datasets/small/input.json | 39 + .../GenericPricing/datasets/small/output.data | 1 - .../GenericPricing/datasets/small/output.json | 1 + .../implementations/CppOpenCL/GenPricing.cpp | 22 +- .../implementations/CppOpenCL/instantiate | 16 +- .../implementations/CppOpenCL/run | 3 - .../implementations/HaskellLH/GenPricing.hs | 13 +- .../implementations/HaskellLH/instantiate | 4 +- .../Orig_COpenMp/GenPricing.cpp | 12 +- .../implementations/Orig_COpenMp/instantiate | 16 +- .../implementations/Orig_COpenMp/run | 3 - benchmarks/GenericPricing/lib/ParseInput.h | 19 - 21 files changed, 4292 insertions(+), 4309 deletions(-) delete mode 100644 benchmarks/GenericPricing/datasets/large/input.data create mode 100644 benchmarks/GenericPricing/datasets/large/input.json delete mode 100644 benchmarks/GenericPricing/datasets/large/output.data create mode 100644 benchmarks/GenericPricing/datasets/large/output.json delete mode 100644 benchmarks/GenericPricing/datasets/medium/input.data create mode 100644 benchmarks/GenericPricing/datasets/medium/input.json delete mode 100644 benchmarks/GenericPricing/datasets/medium/output.data create mode 100644 benchmarks/GenericPricing/datasets/medium/output.json delete mode 100644 benchmarks/GenericPricing/datasets/small/input.data create mode 100644 benchmarks/GenericPricing/datasets/small/input.json delete mode 100644 benchmarks/GenericPricing/datasets/small/output.data create mode 100644 benchmarks/GenericPricing/datasets/small/output.json delete mode 100755 benchmarks/GenericPricing/implementations/CppOpenCL/run delete mode 100755 benchmarks/GenericPricing/implementations/Orig_COpenMp/run diff --git a/benchmarks/GenericPricing/datasets/large/input.data b/benchmarks/GenericPricing/datasets/large/input.data deleted file mode 100644 index 979fe1f..0000000 --- a/benchmarks/GenericPricing/datasets/large/input.data +++ /dev/null @@ -1,4090 +0,0 @@ -3 // contract number -131072 // number of Monte-Carlo Iterations -367 // number of path dates -3 // number of underlyings -1 // number of models -30 // integer bit-length representation for Sobol - -// Begin Direction vectors [3*367][30] -[ - [ - 536870912, 268435456, 134217728, 67108864, 33554432, 16777216, 8388608, 4194304, 2097152, 1048576, 524288, 262144, 131072, 65536, 32768, 16384, 8192, 4096, 2048, 1024, 512, 256, 128, 64, 32, 16, 8, 4, 2, 1 - ], - [ - 536870912, 805306368, 671088640, 1006632960, 570425344, 855638016, 713031680, 1069547520, 538968064, 808452096, 673710080, 1010565120, 572653568, 858980352, 715816960, 1073725440, 536879104, 805318656, 671098880, 1006648320, 570434048, 855651072, 713042560, 1069563840, 538976288, 808464432, 673720360, 1010580540, 572662306, 858993459 - ], - [ - 536870912, 805306368, 402653184, 603979776, 973078528, 385875968, 595591168, 826277888, 438304768, 657457152, 999817216, 358875136, 538574848, 807862272, 406552576, 605372416, 975183872, 389033984, 597170176, 828646400, 437926400, 656873216, 1002152832, 357921088, 536885792, 805312304, 402662296, 603992420, 973085210, 385885991 - ], - [ - 536870912, 805306368, 939524096, 335544320, 234881024, 721420288, 411041792, 616562688, 920649728, 1062207488, 381157376, 258736128, 771883008, 453181440, 545488896, 817971200, 954261504, 340963328, 238651392, 732843008, 417426944, 609285376, 909831040, 1068349120, 383778848, 256901168, 783810616, 460062740, 537001998, 805503019 - ], - [ - 536870912, 805306368, 402653184, 1006632960, 167772160, 285212672, 713031680, 566231040, 853540864, 489684992, 952631296, 208928768, 316801024, 758317056, 550076416, 813154304, 417505280, 1009913856, 172697600, 297131008, 704744960, 553894656, 847291520, 499194688, 954376224, 204607536, 306915352, 766893116, 536972810, 805552913 - ], - [ - 536870912, 805306368, 402653184, 469762048, 301989888, 721420288, 92274688, 264241152, 941621248, 741343232, 169345024, 924581888, 395444224, 619380736, 1034256384, 603963392, 838868992, 452997120, 494934016, 331357184, 706744832, 120597248, 261621120, 953946048, 800208928, 148581424, 935168536, 350484252, 630339474, 1072370923 - ], - [ - 536870912, 805306368, 134217728, 1006632960, 503316480, 754974720, 629145600, 440401920, 94371840, 711983104, 229113856, 374079488, 330694656, 996212736, 907247616, 557531136, 867573760, 190918656, 1041467392, 490437632, 766918144, 643898624, 462663040, 125527616, 672545696, 202454896, 373006376, 288845836, 1000351766, 930090001 - ], - [ - 536870912, 268435456, 402653184, 872415232, 838860800, 956301312, 612368384, 717225984, 211812352, 386924544, 302514176, 688128000, 1015414784, 516751360, 1051492352, 773734400, 914432000, 63877120, 807741440, 165200896, 748683776, 118489344, 168296832, 486802240, 243663648, 667747216, 439124552, 81674924, 975249610, 350138737 - ], - [ - 536870912, 268435456, 671088640, 469762048, 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a/benchmarks/GenericPricing/datasets/large/output.json b/benchmarks/GenericPricing/datasets/large/output.json new file mode 100644 index 0000000..5be6d0f --- /dev/null +++ b/benchmarks/GenericPricing/datasets/large/output.json @@ -0,0 +1 @@ +[ 1046.2474858484 ] diff --git a/benchmarks/GenericPricing/datasets/medium/input.data b/benchmarks/GenericPricing/datasets/medium/input.data deleted file mode 100644 index a21a39b..0000000 --- a/benchmarks/GenericPricing/datasets/medium/input.data +++ /dev/null @@ -1,108 +0,0 @@ -2 // contract number -1048576 // number of Monte-Carlo Iterations -5 // number of path dates -3 // number of underlyings -1 // number of models -30 // integer bit-length representation for Sobol - -// Begin Direction vectors [3*5][30] -[ - [ - 536870912, 268435456, 134217728, 67108864, 33554432, 16777216, 8388608, 4194304, 2097152, 1048576, 524288, 262144, 131072, 65536, 32768, 16384, 8192, 4096, 2048, 1024, 512, 256, 128, 64, 32, 16, 8, 4, 2, 1 - ], - [ - 536870912, 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318837504, 914397568, 71818816, 40763680, 527762288, 939688008, 335855668, 705536494, 587273091 - ], - [ - 536870912, 268435456, 671088640, 738197504, 637534208, 150994944, 813694976, 943718400, 77594624, 179306496, 798490624, 967049216, 134348800, 1006698496, 235044864, 620937216, 377643008, 826314752, 874711040, 854819840, 725109248, 856992512, 664336768, 94804544, 100663328, 419430416, 411041832, 339738668, 580911142, 61865993 - ], - [ - 536870912, 805306368, 939524096, 603979776, 100663296, 452984832, 998244352, 188743680, 866123776, 389021696, 287834112, 172228608, 824836096, 977731584, 153714688, 507854848, 254402560, 88403968, 883578880, 235160576, 118055424, 422917888, 371224704, 326210368, 654926368, 691353392, 773877944, 930190180, 554263078, 842348331 - ] -] // End Direction Vectors - - - - -// The Market / Model Data -// md_c md_vols md_drifts md_starts md_detval md_disc - -[[ // md_c[1][3][3] (begin) - [ 1.0000000 , 0.6000000 , 0.8000000 ], - [ 0.6000000 , 0.8000000 , 0.1500000 ], - [ 0.8000000 , 0.1500000 , 0.5809475 ] -]] // md_c (end) - -[[ // md_vols[1][5][3] volatility (begin) - [ 0.1900000 , 0.1900000 , 0.1500000 ], - [ 0.1900000 , 0.1900000 , 0.1500000 ], - [ 0.1900000 , 0.1900000 , 0.1500000 ], - [ 0.1900000 , 0.1900000 , 0.1500000 ], - [ 0.1900000 , 0.1900000 , 0.1500000 ] -]] // md_vols volatility (end) - -[[ // md_drifts[1][5][3] (begin) - [ -0.0283491736871803 , 0.0178771081725381 , 0.0043096808044729 ], - [ -0.0183841413744211 , -0.0044530897672834 , 0.0024263805987983 ], - [ -0.0172686581005089 , 0.0125638544546015 , 0.0094452810918001 ], - [ -0.0144179417871814 , 0.0157411263968213 , 0.0125315353728014 ], - [ -0.0121497422218761 , 0.0182904634062437 , 0.0151125070556484 ] -]] // md_drifts (end) - -// md_starts[1][3] -[[ 3758.0500000000001819, 11840.0000000000000000, 1200.0000000000000000 ]] - -// model deterministic values [0] -[[ ]] - -// model discounts [5] -[[ 0.9797862861805930 , 0.9505748482484491 , 0.9214621679912968 , 0.8906693055891434 , 0.8588567633110704 ]] - -// Brownian Bridge (BB) Metadata - -//BB indirect accessing: -[ [ 5, 2, 1, 3, 4 ], //bb_bi[5] - [ 0, 0, 0, 2, 3 ], //bb_li[5] - [ 0, 5, 2, 5, 5 ] //bb_ri[5] -] - -//BB (real) data: -[ [ 2.2372928847280580, 1.0960951589853829, 0.7075902730592357, 0.8166828043492210, 0.7075902730592357 ], //bb_sd[5] (standard deviation) - [ 0.0000000000000000, 0.5998905309250137, 0.4993160054719562, 0.6669708029197080, 0.5006839945280438 ], //bb_lw[5] - [ 0.0000000000000000, 0.4001094690749863, 0.5006839945280438, 0.3330291970802919, 0.4993160054719562 ] //bb_rw[5] -] - -// [(EXsimple_price(EUR, 937.3914952240884, "MC BS (C) 3dim, Sobol, 1048576 paths, 1800 ms"))] diff --git a/benchmarks/GenericPricing/datasets/medium/input.json b/benchmarks/GenericPricing/datasets/medium/input.json new file mode 100644 index 0000000..17206ae --- /dev/null +++ b/benchmarks/GenericPricing/datasets/medium/input.json @@ -0,0 +1,106 @@ +{ + "contract_number" : 2, + "monte_carlo_iterations" : 1048576, + "num_path_dates" : 5, + "num_underlyings" : 3, + "num_models" : 1, + "num_bits" : 30, + "dir_vs" : + [ + [ + 536870912, 268435456, 134217728, 67108864, 33554432, 16777216, 8388608, 4194304, 2097152, 1048576, 524288, 262144, 131072, 65536, 32768, 16384, 8192, 4096, 2048, 1024, 512, 256, 128, 64, 32, 16, 8, 4, 2, 1 + ], + [ + 536870912, 805306368, 671088640, 1006632960, 570425344, 855638016, 713031680, 1069547520, 538968064, 808452096, 673710080, 1010565120, 572653568, 858980352, 715816960, 1073725440, 536879104, 805318656, 671098880, 1006648320, 570434048, 855651072, 713042560, 1069563840, 538976288, 808464432, 673720360, 1010580540, 572662306, 858993459 + ], + [ + 536870912, 805306368, 402653184, 603979776, 973078528, 385875968, 595591168, 826277888, 438304768, 657457152, 999817216, 358875136, 538574848, 807862272, 406552576, 605372416, 975183872, 389033984, 597170176, 828646400, 437926400, 656873216, 1002152832, 357921088, 536885792, 805312304, 402662296, 603992420, 973085210, 385885991 + ], + [ + 536870912, 805306368, 939524096, 335544320, 234881024, 721420288, 411041792, 616562688, 920649728, 1062207488, 381157376, 258736128, 771883008, 453181440, 545488896, 817971200, 954261504, 340963328, 238651392, 732843008, 417426944, 609285376, 909831040, 1068349120, 383778848, 256901168, 783810616, 460062740, 537001998, 805503019 + ], + [ + 536870912, 805306368, 402653184, 1006632960, 167772160, 285212672, 713031680, 566231040, 853540864, 489684992, 952631296, 208928768, 316801024, 758317056, 550076416, 813154304, 417505280, 1009913856, 172697600, 297131008, 704744960, 553894656, 847291520, 499194688, 954376224, 204607536, 306915352, 766893116, 536972810, 805552913 + ], + [ + 536870912, 805306368, 402653184, 469762048, 301989888, 721420288, 92274688, 264241152, 941621248, 741343232, 169345024, 924581888, 395444224, 619380736, 1034256384, 603963392, 838868992, 452997120, 494934016, 331357184, 706744832, 120597248, 261621120, 953946048, 800208928, 148581424, 935168536, 350484252, 630339474, 1072370923 + ], + [ + 536870912, 805306368, 134217728, 1006632960, 503316480, 754974720, 629145600, 440401920, 94371840, 711983104, 229113856, 374079488, 330694656, 996212736, 907247616, 557531136, 867573760, 190918656, 1041467392, 490437632, 766918144, 643898624, 462663040, 125527616, 672545696, 202454896, 373006376, 288845836, 1000351766, 930090001 + ], + [ + 536870912, 268435456, 402653184, 872415232, 838860800, 956301312, 612368384, 717225984, 211812352, 386924544, 302514176, 688128000, 1015414784, 516751360, 1051492352, 773734400, 914432000, 63877120, 807741440, 165200896, 748683776, 118489344, 168296832, 486802240, 243663648, 667747216, 439124552, 81674924, 975249610, 350138737 + ], + [ + 536870912, 268435456, 671088640, 469762048, 973078528, 1023410176, 713031680, 339738624, 912261120, 797966336, 176685056, 71565312, 510263296, 865533952, 814120960, 961232896, 887136256, 668078080, 116070400, 382772224, 1047134720, 597098752, 411468416, 625689024, 249602976, 449975248, 745216680, 43033924, 134873446, 201786361 + ], + [ + 536870912, 268435456, 402653184, 67108864, 704643072, 385875968, 696254464, 205520896, 920649728, 946864128, 359137280, 859045888, 302907392, 50659328, 462192640, 524599296, 895541248, 590794752, 168810496, 118033408, 831447552, 138662144, 485185920, 796511296, 1021313184, 1064304752, 619184920, 997458052, 250479054, 745865975 + ], + [ + 536870912, 268435456, 939524096, 1006632960, 838860800, 889192448, 645922816, 46137344, 476053504, 584056832, 210239488, 465829888, 820903936, 689897472, 73695232, 249118720, 110075904, 315338752, 610637824, 517665792, 1049494016, 785318144, 376210304, 735921088, 402760480, 738505552, 168368744, 151499820, 344957894, 936096557 + ], + [ + 536870912, 805306368, 939524096, 1006632960, 503316480, 922746880, 41943040, 423624704, 228589568, 651165696, 195559424, 500957184, 791019520, 261292032, 1040285696, 118407168, 982065152, 625250304, 329533440, 298984448, 153690624, 76845824, 579619712, 692987840, 900670432, 450334832, 363187112, 719119956, 765461306, 382730781 + ], + [ + 536870912, 805306368, 402653184, 603979776, 838860800, 117440512, 478150656, 658505728, 752877568, 1060110336, 141033472, 209453056, 244187136, 272957440, 678068224, 1014546432, 377724928, 876875776, 443160576, 998185984, 168665600, 318837504, 914397568, 71818816, 40763680, 527762288, 939688008, 335855668, 705536494, 587273091 + ], + [ + 536870912, 268435456, 671088640, 738197504, 637534208, 150994944, 813694976, 943718400, 77594624, 179306496, 798490624, 967049216, 134348800, 1006698496, 235044864, 620937216, 377643008, 826314752, 874711040, 854819840, 725109248, 856992512, 664336768, 94804544, 100663328, 419430416, 411041832, 339738668, 580911142, 61865993 + ], + [ + 536870912, 805306368, 939524096, 603979776, 100663296, 452984832, 998244352, 188743680, 866123776, 389021696, 287834112, 172228608, 824836096, 977731584, 153714688, 507854848, 254402560, 88403968, 883578880, 235160576, 118055424, 422917888, 371224704, 326210368, 654926368, 691353392, 773877944, 930190180, 554263078, 842348331 + ] + ], + + "md_c" : [ + [[ 1.0000000 , 0.6000000 , 0.8000000 ], + [ 0.6000000 , 0.8000000 , 0.1500000 ], + [ 0.8000000 , 0.1500000 , 0.5809475 ] + ] + ], + + "md_vols" : [ + [[ 0.1900000 , 0.1900000 , 0.1500000 ], + [ 0.1900000 , 0.1900000 , 0.1500000 ], + [ 0.1900000 , 0.1900000 , 0.1500000 ], + [ 0.1900000 , 0.1900000 , 0.1500000 ], + [ 0.1900000 , 0.1900000 , 0.1500000 ] + ] + ], + + "md_drifts" : [ + [[ -0.0283491736871803 , 0.0178771081725381 , 0.0043096808044729 ], + [ -0.0183841413744211 , -0.0044530897672834 , 0.0024263805987983 ], + [ -0.0172686581005089 , 0.0125638544546015 , 0.0094452810918001 ], + [ -0.0144179417871814 , 0.0157411263968213 , 0.0125315353728014 ], + [ -0.0121497422218761 , 0.0182904634062437 , 0.0151125070556484 ] + ] + ], + + "md_starts" : [ + [ 3758.0500000000001819, 11840.0000000000000000, 1200.0000000000000000 ] + ], + + "md_deterministic_values" : [ + [ ] + ], + + "md_discounts" : [ + [ 0.9797862861805930, + 0.9505748482484491, + 0.9214621679912968, + 0.8906693055891434, + 0.8588567633110704] + ], + + "bb_inds" : [[ 5, 2, 1, 3, 4 ], + [ 0, 0, 0, 2, 3 ], + [ 0, 5, 2, 5, 5 ] + ], + + "bb_data" : [[ 2.2372928847280580, 1.0960951589853829, 0.7075902730592357, 0.8166828043492210, 0.7075902730592357 ], + [ 0.0000000000000000, 0.5998905309250137, 0.4993160054719562, 0.6669708029197080, 0.5006839945280438 ], + [ 0.0000000000000000, 0.4001094690749863, 0.5006839945280438, 0.3330291970802919, 0.4993160054719562 ]] +} diff --git a/benchmarks/GenericPricing/datasets/medium/output.data b/benchmarks/GenericPricing/datasets/medium/output.data deleted file mode 100644 index 6111972..0000000 --- a/benchmarks/GenericPricing/datasets/medium/output.data +++ /dev/null @@ -1 +0,0 @@ -[ 937.3915829436 ] // Price for medium contract diff --git a/benchmarks/GenericPricing/datasets/medium/output.json b/benchmarks/GenericPricing/datasets/medium/output.json new file mode 100644 index 0000000..b82a9e1 --- /dev/null +++ b/benchmarks/GenericPricing/datasets/medium/output.json @@ -0,0 +1 @@ +[ 937.3915829436 ] diff --git a/benchmarks/GenericPricing/datasets/small/input.data b/benchmarks/GenericPricing/datasets/small/input.data deleted file mode 100644 index 1f27037..0000000 --- a/benchmarks/GenericPricing/datasets/small/input.data +++ /dev/null @@ -1,56 +0,0 @@ -1 // contract number -8388608 // number of Monte-Carlo Iterations -1 // number of path dates -1 // number of underlyings -1 // number of models -30 // integer bit-length representation for Sobol - -// Begin Direction vectors [1*1][30] -[ - [ - 536870912, 268435456, 134217728, 67108864, 33554432, 16777216, 8388608, 4194304, 2097152, 1048576, 524288, 262144, 131072, 65536, 32768, 16384, 8192, 4096, 2048, 1024, 512, 256, 128, 64, 32, 16, 8, 4, 2, 1 - ] -] // End Direction Vectors - - - - -// The Market / Model Data -// md_c md_vols md_drifts md_starts md_detval md_disc - -[ [ // md_c[1][1] (begin) - [ 1.0000000 ] -] ] // md_c (end) - -[ [ // md_vols[1][1] volatility (begin) - [ 0.1900000 ] -] ] // md_vols volatility (end) - -[ [ // md_drifts[1][1] (begin) - [ -0.0276481070940405 ] -] ] // md_drifts (end) - -// md_starts[1] -[ [ 3758.0500000000001819 ] ] - -// model deterministic values [1] -[ [ 0.9997817434496459 ] ] - -// model discounts [1] -[ [ 0.9805494836196852 ] ] - -// Brownian Bridge (BB) Metadata - -//BB indirect accessing: -[ [ 1 ], //bb_bi[1] - [ 0 ], //bb_li[1] - [ 0 ] //bb_ri[1] -] - -//BB (real) data: -[ [ 0.9889803798765787 ], //bb_sd[1] (standard deviation) - [ 0.0000000000000000 ], //bb_lw[1] - [ 0.0000000000000000 ] //bb_rw[1] -] - -// [(EXsimple_price(EUR, 98.05493927001953, "MC BS (C) 1dim, Sobol, 8388608 paths, 1060 ms"))] diff --git a/benchmarks/GenericPricing/datasets/small/input.json b/benchmarks/GenericPricing/datasets/small/input.json new file mode 100644 index 0000000..5579e24 --- /dev/null +++ b/benchmarks/GenericPricing/datasets/small/input.json @@ -0,0 +1,39 @@ +{ + "contract_number": 1, + "monte_carlo_iterations" : 8388608, + "num_path_dates": 1, + "num_underlyings" : 1, + "num_models" : 1, + "num_bits" : 30, + "dir_vs" : + [ + [ + 536870912, 268435456, 134217728, 67108864, 33554432, 16777216, 8388608, 4194304, 2097152, 1048576, 524288, 262144, 131072, 65536, 32768, 16384, 8192, 4096, 2048, 1024, 512, 256, 128, 64, 32, 16, 8, 4, 2, 1 + ] + ], + "md_c" : [ + [[1.0000000]] + ], + "md_vols" : [ + [[0.1900000]] + ], + "md_drifts" : [ + [[ -0.0276481070940405]] + ], + "md_starts" : [ + [3758.0500000000001819] + ], + "md_deterministic_values" : [ + [0.9997817434496459] + ], + "md_discounts" : [ + [0.9805494836196852] + ], + + "bb_inds" : [[1], + [0], + [0]], + "bb_data" : [[0.9889803798765787], + [0.0000000000000000], + [0.0000000000000000]] +} diff --git a/benchmarks/GenericPricing/datasets/small/output.data b/benchmarks/GenericPricing/datasets/small/output.data deleted file mode 100644 index 128994a..0000000 --- a/benchmarks/GenericPricing/datasets/small/output.data +++ /dev/null @@ -1 +0,0 @@ -[ 167.05571416613 ] // Price for the small contract diff --git a/benchmarks/GenericPricing/datasets/small/output.json b/benchmarks/GenericPricing/datasets/small/output.json new file mode 100644 index 0000000..b96dce3 --- /dev/null +++ b/benchmarks/GenericPricing/datasets/small/output.json @@ -0,0 +1 @@ +[ 167.05571416613 ] diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp b/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp index db0ee96..d6a6afe 100644 --- a/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp +++ b/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp @@ -3,9 +3,6 @@ //#include "Contracts.h" //#include -#include -#include - /*****************************************************/ /*****************************************************/ /*****************************************************/ @@ -17,7 +14,7 @@ run_GPUkernel ( ModelArrays & md_arrs, BrowBridgeArrays& bb_arrs, int & num_cores, - size_t & elapsed + size_t & elapsed_usec ) { @@ -122,7 +119,7 @@ run_GPUkernel ( gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; { // free allocated space shrLog(stderr, "Release CPU buffers and OpenCL objects...\n"); @@ -163,7 +160,7 @@ int main() { double* prices; unsigned long int elapsed_usec; { // run kernel - prices = run_GPUkernel( scals, sob_arrs, md_arrs, bb_arrs, num_cores, elapsed ); + prices = run_GPUkernel( scals, sob_arrs, md_arrs, bb_arrs, num_cores, elapsed_usec ); sob_arrs.cleanup(); md_arrs.cleanup(); @@ -171,13 +168,14 @@ int main() { } { - std::ofstream runtime("runtime.txt"); - runtime << elapsed_usec / 1000; - std::ofstream result("result.data"); - result << *prices; - - free(prices); + FILE* runtime = fopen("runtime.txt", "w"); + FILE* result = fopen("result.json", "w"); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + write_1Darr(result, prices, scals.num_models); + fclose(result); } + return 0; } diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate b/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate index f1ba6ec..8c71c6b 100755 --- a/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate +++ b/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate @@ -3,14 +3,24 @@ set -e cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/platform.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_LIB_DIR/include/SDK_stub.h . cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . -cp -r $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run $FINPAR_IMPLEMENTATION/ContractDefs . -cp $FINPAR_INPUT input.data +cp -r $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/ContractDefs . + +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run < signed (many1 digit) readDouble :: Parser Double readDouble = lexeme $ read <$> signed (s2 <|> s1) where s1 = do bef <- many1 digit - aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) - return $ bef ++ aft + aft <- fromMaybe "" <$> + optional ((:) <$> char '.' <*> many1 digit) + exp <- fromMaybe "" <$> + optional ((:) <$> char 'e' <*> signed (many1 digit)) + return $ bef ++ aft ++ exp s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit readArray :: Parser a -> Parser [a] @@ -474,9 +478,10 @@ main = do s <- getContents Left e -> error $ show e Right m -> do (v,runtime) <- m - writeFile "result.data" $ show v + writeFile "result.json" $ show v writeFile "runtime.txt" $ show runtime where run = do + whitespace contract <- readInt num_mc_it <- readInt num_dates <- readInt @@ -503,7 +508,7 @@ main = do s <- getContents contract num_mc_it num_dates num_under num_models num_bits sob_dirvs md_cs md_vols md_drifts md_starts md_detvals md_discts bb_inds bb_data - end <- v `seq` getCPUTime + end <- v `deepseq` getCPUTime return (v, (end - start) `div` 1000000000) readInt2d = readArray $ readArray readInt diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/instantiate b/benchmarks/GenericPricing/implementations/HaskellLH/instantiate index 267d65b..e17fc9a 100755 --- a/benchmarks/GenericPricing/implementations/HaskellLH/instantiate +++ b/benchmarks/GenericPricing/implementations/HaskellLH/instantiate @@ -7,5 +7,7 @@ input=$FINPAR_INPUT cp $impl_dir/*hs . cp $impl_dir/run . -cp $input input.data + +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data + ghc -Wall -O2 -msse2 -rtsopts GenPricing.hs -o GenPricing diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp b/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp index 54ceb50..6300931 100644 --- a/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp +++ b/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp @@ -168,10 +168,14 @@ int main() { gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; - std::ofstream runtime("runtime.txt"); - runtime << elapsed_usec / 1000; - std::ofstream result("result.data"); - result << *prices; + { + FILE* runtime = fopen("runtime.txt", "w"); + FILE* result = fopen("result.json", "w"); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + write_1Darr(result, prices, scals.num_models); + fclose(result); + } md_arrs .cleanup(); bb_arrs .cleanup(); diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate b/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate index 84ff1e1..b6df103 100755 --- a/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate +++ b/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate @@ -3,13 +3,23 @@ set -e cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/platform.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . -cp $FINPAR_INPUT input.data +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile . + +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run < Date: Sat, 21 Feb 2015 14:51:55 +0100 Subject: [PATCH 013/122] This kind of thing is not necessary anymore. --- platform.mk | 28 ---------------------------- 1 file changed, 28 deletions(-) delete mode 100644 platform.mk diff --git a/platform.mk b/platform.mk deleted file mode 100644 index c9889b1..0000000 --- a/platform.mk +++ /dev/null @@ -1,28 +0,0 @@ -# platform specification for benchmarks. Edit as appropriate for your -# platform before running - -# 1 = platform has a GPU -HAVE_GPU = 1 -GPU_DEVICE_ID = 0 - -# GPU warp size. Keep consistent if you use the non-log variant -#GPU_WARP = 32 -GPU_LG_WARP = 5 - -# GPU memory sizes in kilobyte -GPU_LOCAL_MEM = 48 -GPU_CONST_MEM = 64 -GPU_REG_MEM = 64 -# device memory in gigabyte -GPU_DEVICE_MEM= 2 -# ``Optimal'' Amount of Local/Fast Memory Per Thread -GPU_LOCAL_MEM_PER_TH=8 -# Number of GPU cores -GPU_NUM_CORES = 192 - -# CPU and memory spec. -NCORES = 4 -# in gigabyte -MEMORY = 4 - -export From 69f1af97b4c01242c18215a93f861c17c28ad280 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sun, 22 Feb 2015 11:32:18 +0100 Subject: [PATCH 014/122] More consistent naming. --- .../CrankNicolson.cl | 0 .../{All_COpenCLMP => cpp_openclmp_all}/Makefile | 0 .../PrepareKernels.h | 0 .../{All_COpenCLMP => cpp_openclmp_all}/Vect_CPU.h | 0 .../{All_COpenCLMP => cpp_openclmp_all}/Vect_GPU.h | 0 .../VolCalibAll.cpp | 0 .../VolCalibInit.h | 0 .../{All_COpenCLMP => cpp_openclmp_all}/instantiate | 0 .../CrankNicolson.cl | 0 .../Makefile | 0 .../PrepareKernels.h | 0 .../Vect_CPU.h | 0 .../Vect_GPU.h | 0 .../VolCalibInit.h | 0 .../VolCalibOuter.cpp | 0 .../instantiate | 0 .../{Orig_COpenMP => cpp_openmp_naive}/Makefile | 0 .../VolCalibOrig.cpp | 0 .../{Orig_COpenMP => cpp_openmp_naive}/instantiate | 0 .../{Original => cpp_sequential}/Makefile | 0 .../{Original => cpp_sequential}/VolCalib | Bin .../{Original => cpp_sequential}/VolCalibOrig.cpp | 0 .../{Original => cpp_sequential}/instantiate | 0 .../{Original => cpp_sequential}/run | 0 .../{HaskellLH => haskell_lh}/VolCalib.hs | 0 .../{HaskellLH => haskell_lh}/instantiate | 0 .../implementations/{HaskellLH => haskell_lh}/run | 0 .../{Orig_COpenMp => c_openmp}/Contracts.h | 0 .../{Orig_COpenMp => c_openmp}/GenPricing.cpp | 0 .../{Orig_COpenMp => c_openmp}/Makefile | 0 .../{Orig_COpenMp => c_openmp}/SobolGaussBB.h | 0 .../{Orig_COpenMp => c_openmp}/instantiate | 0 .../ContractDefs/LargeContract.cl | 0 .../ContractDefs/MediumContract.cl | 0 .../ContractDefs/SmallContract.cl | 0 .../{CppOpenCL => cpp_opencl}/GenPricing.cpp | 0 .../GenericPricingPrivOpt.cl | 0 .../GenericPricingVectOpt.cl | 0 .../GenericPricingVectUncoalesced.cl | 0 .../{CppOpenCL => cpp_opencl}/Makefile | 0 .../{CppOpenCL => cpp_opencl}/StructGPU.h | 0 .../{CppOpenCL => cpp_opencl}/instantiate | 0 .../{HaskellLH => haskell_lh}/GenPricing.hs | 0 .../{HaskellLH => haskell_lh}/Payoff3Cond.hs | 0 .../{HaskellLH => haskell_lh}/instantiate | 0 .../implementations/{HaskellLH => haskell_lh}/run | 0 46 files changed, 0 insertions(+), 0 deletions(-) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/CrankNicolson.cl (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/Makefile (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/PrepareKernels.h (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/Vect_CPU.h (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/Vect_GPU.h (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/VolCalibAll.cpp (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/VolCalibInit.h (100%) rename benchmarks/CalibVolDiff/implementations/{All_COpenCLMP => cpp_openclmp_all}/instantiate (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/CrankNicolson.cl (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/Makefile (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/PrepareKernels.h (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/Vect_CPU.h (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/Vect_GPU.h (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/VolCalibInit.h (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/VolCalibOuter.cpp (100%) rename benchmarks/CalibVolDiff/implementations/{Outer_COpenCLMP => cpp_openclmp_outer}/instantiate (100%) rename benchmarks/CalibVolDiff/implementations/{Orig_COpenMP => cpp_openmp_naive}/Makefile (100%) rename benchmarks/CalibVolDiff/implementations/{Orig_COpenMP => cpp_openmp_naive}/VolCalibOrig.cpp (100%) rename benchmarks/CalibVolDiff/implementations/{Orig_COpenMP => cpp_openmp_naive}/instantiate (100%) rename benchmarks/CalibVolDiff/implementations/{Original => cpp_sequential}/Makefile (100%) rename benchmarks/CalibVolDiff/implementations/{Original => cpp_sequential}/VolCalib (100%) rename benchmarks/CalibVolDiff/implementations/{Original => cpp_sequential}/VolCalibOrig.cpp (100%) rename benchmarks/CalibVolDiff/implementations/{Original => cpp_sequential}/instantiate (100%) rename benchmarks/CalibVolDiff/implementations/{Original => cpp_sequential}/run (100%) rename benchmarks/CalibVolDiff/implementations/{HaskellLH => haskell_lh}/VolCalib.hs (100%) rename benchmarks/CalibVolDiff/implementations/{HaskellLH => haskell_lh}/instantiate (100%) rename benchmarks/CalibVolDiff/implementations/{HaskellLH => haskell_lh}/run (100%) rename benchmarks/GenericPricing/implementations/{Orig_COpenMp => c_openmp}/Contracts.h (100%) rename benchmarks/GenericPricing/implementations/{Orig_COpenMp => c_openmp}/GenPricing.cpp (100%) rename benchmarks/GenericPricing/implementations/{Orig_COpenMp => c_openmp}/Makefile (100%) rename benchmarks/GenericPricing/implementations/{Orig_COpenMp => c_openmp}/SobolGaussBB.h (100%) rename benchmarks/GenericPricing/implementations/{Orig_COpenMp => c_openmp}/instantiate (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/ContractDefs/LargeContract.cl (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/ContractDefs/MediumContract.cl (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/ContractDefs/SmallContract.cl (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/GenPricing.cpp (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/GenericPricingPrivOpt.cl (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/GenericPricingVectOpt.cl (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/GenericPricingVectUncoalesced.cl (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/Makefile (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/StructGPU.h (100%) rename benchmarks/GenericPricing/implementations/{CppOpenCL => cpp_opencl}/instantiate (100%) rename benchmarks/GenericPricing/implementations/{HaskellLH => haskell_lh}/GenPricing.hs (100%) rename benchmarks/GenericPricing/implementations/{HaskellLH => haskell_lh}/Payoff3Cond.hs (100%) rename benchmarks/GenericPricing/implementations/{HaskellLH => haskell_lh}/instantiate (100%) rename benchmarks/GenericPricing/implementations/{HaskellLH => haskell_lh}/run (100%) diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/CrankNicolson.cl rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Makefile rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/PrepareKernels.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/PrepareKernels.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_CPU.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_CPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_CPU.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_CPU.h diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_GPU.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_GPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/Vect_GPU.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_GPU.h diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibAll.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibAll.cpp rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibInit.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibInit.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/VolCalibInit.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibInit.h diff --git a/benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/instantiate similarity index 100% rename from benchmarks/CalibVolDiff/implementations/All_COpenCLMP/instantiate rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/instantiate diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/CrankNicolson.cl rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Makefile rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/PrepareKernels.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/PrepareKernels.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_CPU.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_CPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_CPU.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_CPU.h diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_GPU.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_GPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/Vect_GPU.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_GPU.h diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibInit.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibInit.h rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibOuter.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/VolCalibOuter.cpp rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp diff --git a/benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/instantiate similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Outer_COpenCLMP/instantiate rename to benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/instantiate diff --git a/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Orig_COpenMP/Makefile rename to benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Orig_COpenMP/VolCalibOrig.cpp rename to benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp diff --git a/benchmarks/CalibVolDiff/implementations/Orig_COpenMP/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Orig_COpenMP/instantiate rename to benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate diff --git a/benchmarks/CalibVolDiff/implementations/Original/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Original/Makefile rename to benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/Original/VolCalib b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalib similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Original/VolCalib rename to benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalib diff --git a/benchmarks/CalibVolDiff/implementations/Original/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Original/VolCalibOrig.cpp rename to benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp diff --git a/benchmarks/CalibVolDiff/implementations/Original/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Original/instantiate rename to benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate diff --git a/benchmarks/CalibVolDiff/implementations/Original/run b/benchmarks/CalibVolDiff/implementations/cpp_sequential/run similarity index 100% rename from benchmarks/CalibVolDiff/implementations/Original/run rename to benchmarks/CalibVolDiff/implementations/cpp_sequential/run diff --git a/benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs b/benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs similarity index 100% rename from benchmarks/CalibVolDiff/implementations/HaskellLH/VolCalib.hs rename to benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs diff --git a/benchmarks/CalibVolDiff/implementations/HaskellLH/instantiate b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate similarity index 100% rename from benchmarks/CalibVolDiff/implementations/HaskellLH/instantiate rename to benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate diff --git a/benchmarks/CalibVolDiff/implementations/HaskellLH/run b/benchmarks/CalibVolDiff/implementations/haskell_lh/run similarity index 100% rename from benchmarks/CalibVolDiff/implementations/HaskellLH/run rename to benchmarks/CalibVolDiff/implementations/haskell_lh/run diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/Contracts.h b/benchmarks/GenericPricing/implementations/c_openmp/Contracts.h similarity index 100% rename from benchmarks/GenericPricing/implementations/Orig_COpenMp/Contracts.h rename to benchmarks/GenericPricing/implementations/c_openmp/Contracts.h diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp b/benchmarks/GenericPricing/implementations/c_openmp/GenPricing.cpp similarity index 100% rename from benchmarks/GenericPricing/implementations/Orig_COpenMp/GenPricing.cpp rename to benchmarks/GenericPricing/implementations/c_openmp/GenPricing.cpp diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/Makefile b/benchmarks/GenericPricing/implementations/c_openmp/Makefile similarity index 100% rename from benchmarks/GenericPricing/implementations/Orig_COpenMp/Makefile rename to benchmarks/GenericPricing/implementations/c_openmp/Makefile diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/SobolGaussBB.h b/benchmarks/GenericPricing/implementations/c_openmp/SobolGaussBB.h similarity index 100% rename from benchmarks/GenericPricing/implementations/Orig_COpenMp/SobolGaussBB.h rename to benchmarks/GenericPricing/implementations/c_openmp/SobolGaussBB.h diff --git a/benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate b/benchmarks/GenericPricing/implementations/c_openmp/instantiate similarity index 100% rename from benchmarks/GenericPricing/implementations/Orig_COpenMp/instantiate rename to benchmarks/GenericPricing/implementations/c_openmp/instantiate diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/LargeContract.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/LargeContract.cl rename to benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/MediumContract.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/MediumContract.cl rename to benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/SmallContract.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/ContractDefs/SmallContract.cl rename to benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp b/benchmarks/GenericPricing/implementations/cpp_opencl/GenPricing.cpp similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/GenPricing.cpp rename to benchmarks/GenericPricing/implementations/cpp_opencl/GenPricing.cpp diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingPrivOpt.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingPrivOpt.cl rename to benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectOpt.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectOpt.cl rename to benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectUncoalesced.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/GenericPricingVectUncoalesced.cl rename to benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/Makefile b/benchmarks/GenericPricing/implementations/cpp_opencl/Makefile similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/Makefile rename to benchmarks/GenericPricing/implementations/cpp_opencl/Makefile diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/StructGPU.h b/benchmarks/GenericPricing/implementations/cpp_opencl/StructGPU.h similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/StructGPU.h rename to benchmarks/GenericPricing/implementations/cpp_opencl/StructGPU.h diff --git a/benchmarks/GenericPricing/implementations/CppOpenCL/instantiate b/benchmarks/GenericPricing/implementations/cpp_opencl/instantiate similarity index 100% rename from benchmarks/GenericPricing/implementations/CppOpenCL/instantiate rename to benchmarks/GenericPricing/implementations/cpp_opencl/instantiate diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/GenPricing.hs b/benchmarks/GenericPricing/implementations/haskell_lh/GenPricing.hs similarity index 100% rename from benchmarks/GenericPricing/implementations/HaskellLH/GenPricing.hs rename to benchmarks/GenericPricing/implementations/haskell_lh/GenPricing.hs diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/Payoff3Cond.hs b/benchmarks/GenericPricing/implementations/haskell_lh/Payoff3Cond.hs similarity index 100% rename from benchmarks/GenericPricing/implementations/HaskellLH/Payoff3Cond.hs rename to benchmarks/GenericPricing/implementations/haskell_lh/Payoff3Cond.hs diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/instantiate b/benchmarks/GenericPricing/implementations/haskell_lh/instantiate similarity index 100% rename from benchmarks/GenericPricing/implementations/HaskellLH/instantiate rename to benchmarks/GenericPricing/implementations/haskell_lh/instantiate diff --git a/benchmarks/GenericPricing/implementations/HaskellLH/run b/benchmarks/GenericPricing/implementations/haskell_lh/run similarity index 100% rename from benchmarks/GenericPricing/implementations/HaskellLH/run rename to benchmarks/GenericPricing/implementations/haskell_lh/run From cf2c10d534d9f73036a7dd7f2b877f2c0ed3a9bc Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sun, 22 Feb 2015 12:16:58 +0100 Subject: [PATCH 015/122] Fix OpenCL implementations. --- .../cpp_openclmp_all/CrankNicolson.cl | 2 +- .../cpp_openclmp_all/instantiate | 4 +- .../cpp_openclmp_outer/CrankNicolson.cl | 2 +- .../cpp_openclmp_outer/instantiate | 4 +- .../cpp_openmp_naive/instantiate | 1 - .../cpp_sequential/instantiate | 3 +- .../cpp_opencl/ContractDefs/LargeContract.cl | 2 +- .../cpp_opencl/ContractDefs/MediumContract.cl | 2 +- .../cpp_opencl/ContractDefs/SmallContract.cl | 2 +- .../cpp_opencl/GenericPricingPrivOpt.cl | 2 +- .../cpp_opencl/GenericPricingVectOpt.cl | 2 +- .../implementations/cpp_opencl/instantiate | 3 +- .../{c_openmp => cpp_openmp}/Contracts.h | 0 .../{c_openmp => cpp_openmp}/GenPricing.cpp | 0 .../{c_openmp => cpp_openmp}/Makefile | 0 .../{c_openmp => cpp_openmp}/SobolGaussBB.h | 0 .../{c_openmp => cpp_openmp}/instantiate | 0 lib/include/SDK_stub.h | 78 ++++++++++++++++++- 18 files changed, 92 insertions(+), 15 deletions(-) rename benchmarks/GenericPricing/implementations/{c_openmp => cpp_openmp}/Contracts.h (100%) rename benchmarks/GenericPricing/implementations/{c_openmp => cpp_openmp}/GenPricing.cpp (100%) rename benchmarks/GenericPricing/implementations/{c_openmp => cpp_openmp}/Makefile (100%) rename benchmarks/GenericPricing/implementations/{c_openmp => cpp_openmp}/SobolGaussBB.h (100%) rename benchmarks/GenericPricing/implementations/{c_openmp => cpp_openmp}/instantiate (100%) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl index b3dc3fa..a06a183 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl @@ -1,4 +1,4 @@ -#include "../includeC/Constants.h" +#include "Constants.h" #if (WITH_FLOATS) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/instantiate index c302f3b..397ef61 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/instantiate @@ -3,15 +3,15 @@ set -e cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/platform.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_LIB_DIR/include/SDK_stub.h . +cp $FINPAR_LIB_DIR/include/Utilities.cl . cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/DataStructConst.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParPrefixUtil.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/*cl $FINPAR_IMPLEMENTATION/Makefile . $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data $FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl index edd4b20..15a993a 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl @@ -1,4 +1,4 @@ -#include "../includeC/Constants.h" +#include "Constants.h" #if (WITH_FLOATS) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/instantiate index f48ae72..0ae41f3 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/instantiate @@ -3,15 +3,15 @@ set -e cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/platform.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_LIB_DIR/include/SDK_stub.h . +cp $FINPAR_LIB_DIR/include/Utilities.cl . cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/DataStructConst.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParPrefixUtil.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/*cl $FINPAR_IMPLEMENTATION/Makefile . $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate index 200d861..5b32e00 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate @@ -3,7 +3,6 @@ set -e cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/platform.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate index f20c373..a5a5113 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate @@ -3,12 +3,13 @@ set -e cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/platform.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/run . + $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk make diff --git a/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl index 7a1c51f..7651cb2 100644 --- a/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl +++ b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl @@ -1,4 +1,4 @@ -#include "../includeC/Constants.h" +#include "Constants.h" #ifdef VECT_KERNEL #define underlyings(i,j) \ diff --git a/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl index f694a08..450343b 100644 --- a/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl +++ b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl @@ -1,4 +1,4 @@ -#include "../includeC/Constants.h" +#include "Constants.h" #ifdef VECT_KERNEL #define underlyings(i,j) \ diff --git a/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl index fe85c5d..ec83f9a 100644 --- a/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl +++ b/benchmarks/GenericPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl @@ -1,4 +1,4 @@ -#include "../includeC/Constants.h" +#include "Constants.h" #ifdef VECT_KERNEL #define underlyings(i,j) \ diff --git a/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl index 5facff6..354a8ad 100644 --- a/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl +++ b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl @@ -6,7 +6,7 @@ #define TYPE REAL #define FLAG uchar -#include "../../include/Utilities.cl" +#include "Utilities.cl" /********************************************/ /********** SOBOL NUMER GENERATOR ***********/ diff --git a/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl index fd82232..9049b87 100644 --- a/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl +++ b/benchmarks/GenericPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl @@ -4,7 +4,7 @@ #define TYPE REAL #define FLAG uchar -#include "../../include/Utilities.cl" +#include "Utilities.cl" #define DUMMY 1 diff --git a/benchmarks/GenericPricing/implementations/cpp_opencl/instantiate b/benchmarks/GenericPricing/implementations/cpp_opencl/instantiate index 8c71c6b..914300f 100755 --- a/benchmarks/GenericPricing/implementations/cpp_opencl/instantiate +++ b/benchmarks/GenericPricing/implementations/cpp_opencl/instantiate @@ -6,10 +6,11 @@ cp $FINPAR_LIB_DIR/setup.mk . cp $FINPAR_LIB_DIR/include/ParserC.h . cp $FINPAR_LIB_DIR/include/Util.h . cp $FINPAR_LIB_DIR/include/SDK_stub.h . +cp $FINPAR_LIB_DIR/include/Utilities.cl . cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . -cp -r $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/ContractDefs . +cp -r $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/*cl $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/ContractDefs . $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data $FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk diff --git a/benchmarks/GenericPricing/implementations/c_openmp/Contracts.h b/benchmarks/GenericPricing/implementations/cpp_openmp/Contracts.h similarity index 100% rename from benchmarks/GenericPricing/implementations/c_openmp/Contracts.h rename to benchmarks/GenericPricing/implementations/cpp_openmp/Contracts.h diff --git a/benchmarks/GenericPricing/implementations/c_openmp/GenPricing.cpp b/benchmarks/GenericPricing/implementations/cpp_openmp/GenPricing.cpp similarity index 100% rename from benchmarks/GenericPricing/implementations/c_openmp/GenPricing.cpp rename to benchmarks/GenericPricing/implementations/cpp_openmp/GenPricing.cpp diff --git a/benchmarks/GenericPricing/implementations/c_openmp/Makefile b/benchmarks/GenericPricing/implementations/cpp_openmp/Makefile similarity index 100% rename from benchmarks/GenericPricing/implementations/c_openmp/Makefile rename to benchmarks/GenericPricing/implementations/cpp_openmp/Makefile diff --git a/benchmarks/GenericPricing/implementations/c_openmp/SobolGaussBB.h b/benchmarks/GenericPricing/implementations/cpp_openmp/SobolGaussBB.h similarity index 100% rename from benchmarks/GenericPricing/implementations/c_openmp/SobolGaussBB.h rename to benchmarks/GenericPricing/implementations/cpp_openmp/SobolGaussBB.h diff --git a/benchmarks/GenericPricing/implementations/c_openmp/instantiate b/benchmarks/GenericPricing/implementations/cpp_openmp/instantiate similarity index 100% rename from benchmarks/GenericPricing/implementations/c_openmp/instantiate rename to benchmarks/GenericPricing/implementations/cpp_openmp/instantiate diff --git a/lib/include/SDK_stub.h b/lib/include/SDK_stub.h index c5a1e22..6a928d1 100644 --- a/lib/include/SDK_stub.h +++ b/lib/include/SDK_stub.h @@ -74,6 +74,82 @@ #define oclCheckErrorEX(a, b, c) __oclCheckErrorEX(a, b, c, __FILE__ , __LINE__) #define oclCheckError(a, b) oclCheckErrorEX(a, b, 0) +// Helper function to get OpenCL error string from constant +// ********************************************************************* +const char* oclErrorString(cl_int error) +{ + static const char* errorString[] = { + "CL_SUCCESS", + "CL_DEVICE_NOT_FOUND", + "CL_DEVICE_NOT_AVAILABLE", + "CL_COMPILER_NOT_AVAILABLE", + "CL_MEM_OBJECT_ALLOCATION_FAILURE", + "CL_OUT_OF_RESOURCES", + "CL_OUT_OF_HOST_MEMORY", + "CL_PROFILING_INFO_NOT_AVAILABLE", + "CL_MEM_COPY_OVERLAP", + "CL_IMAGE_FORMAT_MISMATCH", + "CL_IMAGE_FORMAT_NOT_SUPPORTED", + "CL_BUILD_PROGRAM_FAILURE", + "CL_MAP_FAILURE", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "", + "CL_INVALID_VALUE", + "CL_INVALID_DEVICE_TYPE", + "CL_INVALID_PLATFORM", + "CL_INVALID_DEVICE", + "CL_INVALID_CONTEXT", + "CL_INVALID_QUEUE_PROPERTIES", + "CL_INVALID_COMMAND_QUEUE", + "CL_INVALID_HOST_PTR", + "CL_INVALID_MEM_OBJECT", + "CL_INVALID_IMAGE_FORMAT_DESCRIPTOR", + "CL_INVALID_IMAGE_SIZE", + "CL_INVALID_SAMPLER", + "CL_INVALID_BINARY", + "CL_INVALID_BUILD_OPTIONS", + "CL_INVALID_PROGRAM", + "CL_INVALID_PROGRAM_EXECUTABLE", + "CL_INVALID_KERNEL_NAME", + "CL_INVALID_KERNEL_DEFINITION", + "CL_INVALID_KERNEL", + "CL_INVALID_ARG_INDEX", + "CL_INVALID_ARG_VALUE", + "CL_INVALID_ARG_SIZE", + "CL_INVALID_KERNEL_ARGS", + "CL_INVALID_WORK_DIMENSION", + "CL_INVALID_WORK_GROUP_SIZE", + "CL_INVALID_WORK_ITEM_SIZE", + "CL_INVALID_GLOBAL_OFFSET", + "CL_INVALID_EVENT_WAIT_LIST", + "CL_INVALID_EVENT", + "CL_INVALID_OPERATION", + "CL_INVALID_GL_OBJECT", + "CL_INVALID_BUFFER_SIZE", + "CL_INVALID_MIP_LEVEL", + "CL_INVALID_GLOBAL_WORK_SIZE", + }; + const int errorCount = sizeof(errorString) / sizeof(errorString[0]); + const int index = -error; + return (index >= 0 && index < errorCount) ? errorString[index] : "Unspecified Error"; +} + + inline void __oclCheckErrorEX(cl_int iSample, cl_int iReference, void (*pCleanup)(int), const char* cFile, const int iLine) { // An error condition is defined by the sample/test value not equal to the reference @@ -83,7 +159,7 @@ iSample = (iSample == 0) ? -9999 : iSample; // Log the error info - //shrLog(stdlog, "\n !!! Error # %i (%s) at line %i , in file %s !!!\n\n", iSample, oclErrorString(iSample), iLine, cFile); + shrLog(stdlog, "\n !!! Error # %i (%s) at line %i , in file %s !!!\n\n", iSample, oclErrorString(iSample), iLine, cFile); // Cleanup and exit, or just exit if no cleanup function pointer provided. Use iSample (error code in this case) as process exit code. if (pCleanup != NULL) From d6bc7a9b0366a7be97f633b6d11e6bed8374e4d8 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sun, 22 Feb 2015 19:02:10 +0100 Subject: [PATCH 016/122] Properly handle unrunnable instantiations. --- finpar | 1 + 1 file changed, 1 insertion(+) diff --git a/finpar b/finpar index 42e7c40..021c58f 100755 --- a/finpar +++ b/finpar @@ -173,6 +173,7 @@ def run_some_benchmark_implementations(finpar_dir, inst['implementation'], inst['dataset'], "could not run") + continue if proc.returncode != 0: note_result(results, From 4f4bc5634eba7e0e7d6bab427c912abfee1a0533 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sun, 22 Feb 2015 19:02:22 +0100 Subject: [PATCH 017/122] Add Futhark implementation of CalibVolDiff. --- .../implementations/futhark/CalibVolDiff.fut | 172 ++++++++++++++++++ .../implementations/futhark/instantiate | 10 + .../CalibVolDiff/implementations/futhark/run | 5 + 3 files changed, 187 insertions(+) create mode 100644 benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut create mode 100755 benchmarks/CalibVolDiff/implementations/futhark/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/futhark/run diff --git a/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut b/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut new file mode 100644 index 0000000..2c630e7 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut @@ -0,0 +1,172 @@ +fun {int,int,[real],[real],[real],[[real]],[[real]],[[real]],[[real]]} initGrid + (real s0, real alpha, real nu, real t, int numX, int numY, int numT) = + let logAlpha = log(alpha) in + let myTimeline = map(fn real (int i) => t * toReal(i) / (toReal(numT) - 1.0), iota(numT)) in + let {stdX, stdY} = {20.0 * alpha * s0 * sqrt(t), + 10.0 * nu * sqrt(t)} in + let {dx, dy} = {stdX / toReal(numX), stdY / toReal(numY)} in + let {myXindex, myYindex} = {trunc(s0 / dx), numY / 2} in + let myX = map(fn real (int i) => toReal(i) * dx - toReal(myXindex) * dx + s0, iota(numX)) in + let myY = map(fn real (int i) => toReal(i) * dy - toReal(myYindex) * dy + logAlpha, iota(numY)) in + let xXy = replicate(numX,replicate(numY, 0.0)) in + let {myMuX, myVarX, myMuY, myVarY} = {xXy, xXy, xXy, xXy} in + {myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY} + +fun {[[real]],[[real]]} initOperator([real] x) = + let n = size(0, x) in + let dxu = x[1] - x[0] in + let dxl = 0.0 in + let Dxlow = [[0.0, -1.0 / dxu, 1.0 / dxu]] in + let Dxxlow = [[0.0, 0.0, 0.0]] in + let Dxmid = map(fn [real] (int i) => let dxl = x[i] - x[i-1] in + let dxu = x[i+1] - x[i] in + [-dxu/dxl/(dxl+dxu), + (dxu/dxl - dxl/dxu)/(dxl+dxu), + dxl/dxu/(dxl+dxu)], + map (op + (1), iota(n-2))) in + let Dxxmid = map(fn [real] (int i) => let dxl = x[i] - x[i-1] in + let dxu = x[i+1] - x[i] in + [2.0/dxl/(dxl+dxu), + -2.0*(1.0/dxl + 1.0/dxu)/(dxl+dxu), + 2.0/dxu/(dxl+dxu)], + map (op + (1), iota(n-2))) in + let dxl = x[n-1] - x[n-2] in + let dxu = 0.0 in + let Dxhigh = [[-1.0 / dxl, 1.0 / dxl, 0.0 ]] in + let Dxxhigh = [[0.0, 0.0, 0.0 ]] in + let Dx = concat(concat(Dxlow, Dxmid), Dxhigh) in + let Dxx = concat(concat(Dxxlow, Dxxmid), Dxxhigh) in + {Dx, Dxx} + +fun real max(real x, real y) = if y < x then x else y +fun int maxInt(int x, int y) = if y < x then x else y + +fun *[[real]] setPayoff(real strike, [real] myX, [real] myY) = + let n = size(0, myY) in + copy(map(fn [real] (real xi) => replicate(n, max(xi-strike,0.0)), myX)) + +// Returns new myMuX, myVarX, myMuY, myVarY. +fun {[[real]] , [[real]] , [[real]] , [[real]]} updateParams + ([real] myX, [real] myY, [real] myTimeline, int g, real alpha, real beta, real nu) = + unzip (map(fn {[real],[real],[real],[real]} (real xi) => + unzip (map (fn {real,real,real,real} (real yj) => + {0.0, + exp(2.0*(beta*log(xi) + yj - 0.5*nu*nu*myTimeline[g])), + 0.0, + nu * nu}, myY)), myX)) + +fun {[real],[real]} tridag + ([real] a, [real] b, [real] c, [real] r, int n) = + let bet = 1.0/b[0] in + let {u, uu} = {copy(replicate(n,0.0)), + copy(replicate(n,0.0))} in + let u[0] = r[0] * bet in + loop ({u, uu, bet}) = + for j < n-1 do + let j = j + 1 in + let uu[j] = c[j-1]*bet in + let bet = 1.0/(b[j] - a[j] * uu[j]) in + let u[j] = (r[j] - a[j]*u[j-1]) * bet in + {u, uu, bet} in + loop (u) = for j < n - 1 do + let j = n - 2 - j in + let u[j] = u[j] - uu[j+1]*u[j+1] in + u + in {u, uu} + +fun *[[real]] explicitX + (int numX, int numY, real dtInv, + [[real]] myResult, [[real]] myMuX, [[real]] myDx, [[real]] myDxx, [[real]] myVarX) = + copy(map(fn [real] (int j) => + map(fn real (int i) => + let kl = if i == 0 then 1 else 0 in + let ku = 2 - if i==numX-1 then 1 else 0 in + reduce(op +, dtInv*myResult[i,j], + map(fn real (int k) => + let k = k + kl in + 0.5 * (myMuX[i,j]*myDx[i,k]+0.5*myVarX[i,j]*myDxx[i,k]) + * myResult[i+k-1,j], + iota(ku-kl+1))), + iota(numX)), + iota(numY))) + +fun *[[real]] explicitY + (int numX, int numY, real dtInv, + [[real]] myResult, [[real]] myMuY, [[real]] myDy, [[real]] myDyy, [[real]] myVarY) = + copy(map(fn [real] (int i) => + map(fn real (int j) => + let ll = 1 * (if j == 0 then 1 else 0) in + let lu = 2 - 1*(if j==numY-1 then 1 else 0) in + reduce(op +, 0.0, + map(fn real (int l) => + let l = l + ll in + (myMuY[i,j]*myDy[j,l]+0.5*myVarY[i,j]*myDyy[j,l]) + * myResult[i,j+l-1], + iota(lu-ll+1))), + iota(numY)), + iota(numX))) + +fun *[[real]] rollback + ([real] myX, [real] myY, [real] myTimeline, *[[real]] myResult, + [[real]] myMuX, [[real]] myDx, [[real]] myDxx, [[real]] myVarX, + [[real]] myMuY, [[real]] myDy, [[real]] myDyy, [[real]] myVarY, int g) = + let {numX, numY} = {size(0, myX), size(0, myY)} in + let numZ = maxInt(numX, numY) in + let dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]) in + let u = explicitX(numX, numY, dtInv, myResult, myMuX, myDx, myDxx, myVarX) in + let v = explicitY(numX, numY, 0.0, myResult, myMuY, myDy, myDyy, myVarY) in + let u = map(fn [real] ([real] us, [real] vs) => map(op +, zip(us, vs)), + zip(u, transpose(v))) in + let u = map(fn [real] ({[real], int} t) => + let {uj, j} = t in + let {a,b,c} = unzip(map(fn {real,real,real} (int i) => + {-0.5*(myMuX[i,j]*myDx[i,0] + 0.5*myVarX[i,j]*myDxx[i,0]), + dtInv - 0.5*(myMuX[i,j]*myDx[i,1] + 0.5*myVarX[i,j]*myDxx[i,1]), + -0.5*(myMuX[i,j]*myDx[i,2]+0.5*myVarX[i,j]*myDxx[i,2])}, + iota(numX))) in + let {uj, yy} = tridag(a,b,c,uj,numX) in uj, + zip(u, iota(numY))) in + loop (myResult) = + for i < numX do + let {a,b,c} = unzip(map(fn {real,real,real} (int j) => + {-0.5*(myMuY[i,j]*myDy[j,0]+0.5*myVarY[i,j]*myDyy[j,0]), + dtInv - 0.5*(myMuY[i,j]*myDy[j,1]+0.5*myVarY[i,j]*myDyy[j,1]), + -0.5*(myMuY[i,j]*myDy[j,2]+0.5*myVarY[i,j]*myDyy[j,2])}, + iota(numY))) in + let y = copy(replicate(numY, 0.0)) in + loop (y) = for j < numY do + let y[j] = dtInv * u[j,i] - 0.5*v[i,j] in + y in + let {ri, yy} = tridag(a,b,c,y,numY) in + let myResult[i] = ri in myResult + in myResult + +fun real value(int numX, int numY, int numT, real s0, real strike, real t, real alpha, real nu, real beta) = + let {myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY} = + initGrid(s0, alpha, nu, t, numX, numY, numT) in + let {myDx, myDxx} = initOperator(myX) in + let {myDy, myDyy} = initOperator(myY) in + let myResult = setPayoff(strike, myX, myY) in + //loop ((myResult, myMuX, myVarX, myMuY, myVarY)) = + loop (myResult) = + for i < numT - 1 do + let i = numT-2-i in + let {myMuX, myVarX, myMuY, myVarY} = + updateParams(myX, myY, myTimeline, i, alpha, beta, nu) in + let myResult = rollback(myX, myY, myTimeline, myResult, + myMuX, myDx, myDxx, myVarX, + myMuY, myDy, myDyy, myVarY, i) in + //(myResult, myMuX, myVarX, myMuY, myVarY) in + myResult in + myResult[myXindex,myYindex] + +fun [real] main (int outer_loop_count, int numX, int numY, int numT) = + let s0 = 0.03 in + let strike = 0.03 in + let t = 5.0 in + let alpha = 0.2 in + let nu = 0.6 in + let beta = 0.5 in + let strikes = map(fn real (int i) => 0.001*toReal(i), iota(outer_loop_count)) in + let res = map(fn real (real x) => value(numX, numY, numT, s0, x, t, alpha, nu, beta), strikes) in + res diff --git a/benchmarks/CalibVolDiff/implementations/futhark/instantiate b/benchmarks/CalibVolDiff/implementations/futhark/instantiate new file mode 100755 index 0000000..3375ece --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/futhark/instantiate @@ -0,0 +1,10 @@ +#!/bin/sh + +set -e + +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data + +cp $FINPAR_IMPLEMENTATION/run . + +futhark -s -fe --in-place-lowering -ae --compile-sequential $FINPAR_IMPLEMENTATION/CalibVolDiff.fut > CalibVolDiff.c +gcc CalibVolDiff.c -O3 -o CalibVolDiff -lm diff --git a/benchmarks/CalibVolDiff/implementations/futhark/run b/benchmarks/CalibVolDiff/implementations/futhark/run new file mode 100755 index 0000000..66c288c --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/futhark/run @@ -0,0 +1,5 @@ +#!/bin/sh + +set -e + +./CalibVolDiff -t runtime.txt < input.data > result.json From 68ecaef6a2d8819aba287f6c55f4a2be438f7eab Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 23 Feb 2015 08:47:30 +0100 Subject: [PATCH 018/122] Add Futhark implementation of GenericPricing. --- .../futhark/GenericPricing.fut | 331 ++++++++++++++++++ .../implementations/futhark/instantiate | 11 + .../implementations/futhark/run | 5 + 3 files changed, 347 insertions(+) create mode 100644 benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut create mode 100755 benchmarks/GenericPricing/implementations/futhark/instantiate create mode 100755 benchmarks/GenericPricing/implementations/futhark/run diff --git a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut new file mode 100644 index 0000000..0880364 --- /dev/null +++ b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut @@ -0,0 +1,331 @@ +fun int grayCode(int x) = (x >> 1) ^ x + +//////////////////////////////////////// +/// Sobol Generator +//////////////////////////////////////// +fun int index([int] arr, int i) = arr[i] + +fun bool testBit(int n, int ind) = + let t = (1 << ind) in (n & t) == t + +///////////////////////////////////////////////////////////////// +//// DIFFICULT VERSION: filter is hoisted outside map: +//// less computation but variable array size! +///////////////////////////////////////////////////////////////// +//fun int xorInds([int] indices, [int] dir_vs ) = +// reduce( op ^, 0, map( index(dir_vs), indices ) ) +// +//fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = +// let bits = iota ( bits_num ) in +// let indices = filter ( testBit(grayCode(n)), bits ) +// in map( xorInds(indices), dir_vs ) + + +///////////////////////////////////////////////////////////////// +//// EASY VERSION: filter is redundantly computed inside map: +//// more computation but a redofilt pattern, i.e., array +//// not instantiated! +///////////////////////////////////////////////////////////////// +fun int xorInds(int bits_num, int n, [int] dir_vs ) = + let bits = iota ( bits_num ) in + let indices = filter ( testBit(grayCode(n)), bits ) in + reduce( op ^, 0, map( index(dir_vs), indices ) ) + +fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = + map( xorInds(bits_num, n), dir_vs ) +//////////////////////////////////////////////////////////////// + +fun [real] sobolIndR( int bits_num, [[int]] dir_vs, int n ) = + let divisor = 2.0 pow toReal (bits_num) in + let arri = sobolIndI( bits_num, dir_vs, n ) in + map( fn real (int x) => toReal(x) / divisor, arri ) + +//////////////////////////////////////// +/// Inverse Gaussian +//////////////////////////////////////// + +//tmp_rat_evalL :: SpecReal -> [SpecReal] -> SpecReal +fun real polyAppr( real x, + real a0, real a1, real a2, real a3, + real a4, real a5, real a6, real a7, + real b0, real b1, real b2, real b3, + real b4, real b5, real b6, real b7 + ) = + (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0) / + (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) + +fun real smallcase(real q) = + q * polyAppr( 0.180625 - q * q, + + 3.387132872796366608, + 133.14166789178437745, + 1971.5909503065514427, + 13731.693765509461125, + 45921.953931549871457, + 67265.770927008700853, + 33430.575583588128105, + 2509.0809287301226727, + + 1.0, + 42.313330701600911252, + 687.1870074920579083, + 5394.1960214247511077, + 21213.794301586595867, + 39307.89580009271061, + 28729.085735721942674, + 5226.495278852854561 + ) + +fun real intermediate(real r) = + polyAppr( r - 1.6, + + 1.42343711074968357734, + 4.6303378461565452959, + 5.7694972214606914055, + 3.64784832476320460504, + 1.27045825245236838258, + 0.24178072517745061177, + 0.0227238449892691845833, + 7.7454501427834140764e-4, + + 1.0, + 2.05319162663775882187, + 1.6763848301838038494, + 0.68976733498510000455, + 0.14810397642748007459, + 0.0151986665636164571966, + 5.475938084995344946e-4, + 1.05075007164441684324e-9 + ) + +fun real tail(real r) = + polyAppr( r - 5.0, + + 6.6579046435011037772, + 5.4637849111641143699, + 1.7848265399172913358, + 0.29656057182850489123, + 0.026532189526576123093, + 0.0012426609473880784386, + 2.71155556874348757815e-5, + 2.01033439929228813265e-7, + + 1.0, + 0.59983220655588793769, + 0.13692988092273580531, + 0.0148753612908506148525, + 7.868691311456132591e-4, + 1.8463183175100546818e-5, + 1.4215117583164458887e-7, + 2.04426310338993978564e-5 + ) + +fun real ugaussianEl( real p ) = + let dp = p - 0.5 + in //if ( fabs(dp) <= 0.425 ) + if ( ( (dp < 0.0) && (0.0 - dp <= 0.425) ) || ( (0.0 <= dp) && (dp <= 0.425) ) ) + then smallcase(dp) + else let pp = if(dp < 0.0) then dp + 0.5 else 0.5 - dp in + let r = sqrt( - log(pp) ) in + let x = if(r <= 5.0) then intermediate(r) else tail(r) in + if(dp < 0.0) then 0.0 - x else x + +// Transforms a uniform distribution [0,1) into a gaussian distribution (-inf, +inf) +fun [real] ugaussian([real] ps) = map(ugaussianEl, ps) + + +///////////////////////////////// +/// Brownian Bridge +///////////////////////////////// + +fun [real] brownianBridgeDates ( + int num_dates, + [[int ]] bb_inds, // [3, num_dates] + [[real]] bb_data, // [3, num_dates] + [real] gauss // [num_dates] + ) = + let bi = bb_inds[0] in + let li = bb_inds[1] in + let ri = bb_inds[2] in + let sd = bb_data[0] in + let lw = bb_data[1] in + let rw = bb_data[2] in + +// let gauss[ bi[0]-1 ] = sd[0] * gauss[0] in + let bbrow = copy(replicate(num_dates, 0.0)) in + let bbrow[ bi[0]-1 ] = sd[0] * gauss[0] in + + loop (bbrow) = + for i < num_dates-1 do // use i+1 since i in 1 .. num_dates-1 + let j = li[i+1] - 1 in + let k = ri[i+1] - 1 in + let l = bi[i+1] - 1 in + + let wk = bbrow [k ] in + let zi = gauss [i+1] in + let tmp= rw[i+1] * wk + sd[i+1] * zi in + + let bbrow[ l ] = if( (j + 1) == 0) // if(j=-1) + then tmp + else tmp + lw[i+1] * bbrow[j] + in bbrow + + // This can be written as map-reduce, but it + // needs delayed arrays to be mapped nicely! + in loop (bbrow) = + for ii < num_dates-1 do + let i = num_dates - (ii+1) in + let bbrow[i] = bbrow[i] - bbrow[i-1] + in bbrow + in bbrow + +// [num_dates,num_paths] +fun [[real]] brownianBridge ( + int num_paths, + int num_dates, + [[int ]] bb_inds, // [3, num_dates] + [[real]] bb_data, // [3, num_dates] + [real] gaussian_arr // [num_paths * num_dates] + ) = + let gauss2d = reshape((num_dates,num_paths), gaussian_arr) in + let gauss2dT = transpose(gauss2d) in + transpose( map( brownianBridgeDates(num_dates, bb_inds, bb_data), gauss2dT ) ) + + +///////////////////////////////// +/// Black-Scholes +///////////////////////////////// + +fun real zwop(real a, real b, int j) = a * b + +fun [real] take(int n, [real] a) = let {first, rest} = split(n, a) in first + +fun [real] fftmp(int num_paths, [[real]] md_c, [real] zi) = + map( fn real (int j) => + let x = map(zwop, zip(take(j+1,zi), take(j+1,md_c[j]), iota(j+1))) + in reduce(op +, 0.0, x), + iota(num_paths) + ) + +fun [[real]] correlateDeltas(int num_paths, [[real]] md_c, [[real]] zds) = + map( fftmp(num_paths, md_c), zds ) + +fun [real] combineVs([real] n_row, [real] vol_row, [real] dr_row) = + map( op +, zip(dr_row, map( op *, zip(n_row, vol_row ) ))) + +fun [[real]] mkPrices ([real] md_starts, [[real]] md_vols, [[real]] md_drifts, [[real]] noises) = + let e_rows = map( fn [real] ([real] x) => map(exp, x), + map(combineVs, zip(noises, md_vols, md_drifts)) + ) + in scan( fn [real] ([real] x, [real] y) => map(op *, zip(x, y)), md_starts, e_rows ) + +//[num_dates, num_paths] +fun [[real]] blackScholes( + int num_paths, + [[real]] md_c, //[num_paths, num_paths] + [[real]] md_vols, //[num_paths, num_dates] + [[real]] md_drifts, //[num_paths, num_dates] + [real] md_starts, //[num_paths] + [[real]] bb_arr //[num_dates,num_paths] + ) = + let noises = correlateDeltas(num_paths, md_c, bb_arr) + in mkPrices(md_starts, md_vols, md_drifts, noises) + +//////////////////////////////////////// +// MAIN +//////////////////////////////////////// + +fun [real] main(int contract_number, + int num_mc_it, + int num_dates, + int num_und, + int num_models, // Unused? + int num_bits, + [[int]] dir_vs, + [[[real]]] all_md_c, + [[[real]]] all_md_vols, + [[[real]]] all_md_drifts, + [[real]] all_md_st, + [[real]] all_md_detvals, + [[real]] all_md_disc, + [[int]] bb_inds, + [[real]] bb_data) = + let md_c = all_md_c[0] in + let md_vols = all_md_vols[0] in + let md_drifts = all_md_drifts[0] in + let md_st = all_md_st[0] in + let md_detvals = all_md_detvals[0] in + let md_disc = all_md_disc[0] in + let sobol_mat = map ( sobolIndR(num_bits, dir_vs), map(fn int (int x) => x + 1, iota(num_mc_it)) ) in + let gauss_mat = map ( ugaussian, sobol_mat ) in + let bb_mat = map ( brownianBridge( num_und, num_dates, bb_inds, bb_data ), gauss_mat ) in + let bs_mat = map ( blackScholes( num_und, md_c, md_vols, md_drifts, md_st ), bb_mat ) in + + let payoff = + if contract_number == 1 then + let payoffs = map ( payoff1(md_disc, md_detvals), bs_mat ) in + reduce ( op +, 0.0, payoffs ) + else if contract_number == 2 then + let payoffs = map ( payoff2(md_disc), bs_mat ) in + reduce ( op +, 0.0, payoffs ) + else if contract_number == 3 then + let payoffs = map ( payoff3(md_disc), bs_mat ) in + reduce ( op +, 0.0, payoffs ) + else 0.0 in + [ payoff / toReal(num_mc_it) ] + +//////////////////////////////////////// +// PAYOFF FUNCTION +//////////////////////////////////////// + +// This function is super weird, but a faithful translation of the +// Haskell version... +fun real payoff1 ([real] md_disc, [real] md_detvals, [[real]] xss) = + let detval = md_detvals[0] in + let amount = (xss[0,0] - 4000.0) * detval in + let amount2 = if amount < 0.0 then 0.0 else amount in + trajInner(amount2, 0, md_disc) + +fun real payoff2 ([real] md_disc, [[real]] xss) = +// invariant: length(xss) == 5, i.e., 5x3 matrix + let divs = [ 1.0/3758.05, 1.0/11840.0, 1.0/1200.0 ] in + let xss_div = map( fn [real] ([real] xs) => map(op *, zip(xs, divs)), xss ) in + let mins = map( MIN, xss_div ) + in if( 1.0 <= mins[0] ) then trajInner(1150.0, 0, md_disc) + else if( 1.0 <= mins[1] ) then trajInner(1300.0, 1, md_disc) + else if( 1.0 <= mins[2] ) then trajInner(1450.0, 2, md_disc) + else if( 1.0 <= mins[3] ) then trajInner(1600.0, 3, md_disc) + else if( 1.0 <= mins[4] ) then trajInner(1750.0, 4, md_disc) + else if( 0.75 < mins[4] ) then trajInner(1000.0, 4, md_disc) + else trajInner(1000.0 * mins[4], 4, md_disc) + +fun real payoff3 ([real] md_disc, [[real]] xss) = + // invariant: size(1,xss) == 3. + let x3309 = reduce(op ||, False, + map (fn bool ([real] xs) => + xs[0] <= 2630.6349999999998 || + xs[1] <= 8288.0 || + xs[2] <= 840.0, + xss)) in + let goto_40 = (x3309 && + (xss[366,0] < 3758.05 || + xss[366,2] < 1200.0 || + xss[366,1] < 11840.0)) in + let price1 = trajInner(100.0, 0, md_disc) in + let price2 = + if goto_40 then let m1 = min((xss[366,2] / 1200.00) - 1.0, + (xss[366,0] / 3758.05) - 1.0) in + let m2 = min((xss[366,1] / 11840.00) - 1.0, + m1) in + let amount = 1000.0 * (1.0 + m2) in + trajInner(amount, 1, md_disc) + else trajInner(1000.0, 1, md_disc) in + price1 + price2 + +fun real min(real x, real y) = + if x < y then x else y + +fun real MIN([real] arr) = + reduce( fn real (real x, real y) => if(x input.data + +cp $FINPAR_IMPLEMENTATION/run . + +futhark -s -fe -ae $FINPAR_IMPLEMENTATION/GenericPricing.fut > optimised.fut +futhark -s -fe -ae --compile-sequential $FINPAR_IMPLEMENTATION/GenericPricing.fut > GenericPricing.c +gcc GenericPricing.c -O3 -o GenericPricing -lm diff --git a/benchmarks/GenericPricing/implementations/futhark/run b/benchmarks/GenericPricing/implementations/futhark/run new file mode 100755 index 0000000..9aef238 --- /dev/null +++ b/benchmarks/GenericPricing/implementations/futhark/run @@ -0,0 +1,5 @@ +#!/bin/sh + +set -e + +./GenericPricing -t runtime.txt < input.data > result.json From bd9518cfd443c40e41453092e04d7bfa51f7ab70 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 23 Feb 2015 11:39:46 +0100 Subject: [PATCH 019/122] Do not generate an optimised.fut file. --- benchmarks/GenericPricing/implementations/futhark/instantiate | 1 - 1 file changed, 1 deletion(-) diff --git a/benchmarks/GenericPricing/implementations/futhark/instantiate b/benchmarks/GenericPricing/implementations/futhark/instantiate index 3614000..a9e0508 100755 --- a/benchmarks/GenericPricing/implementations/futhark/instantiate +++ b/benchmarks/GenericPricing/implementations/futhark/instantiate @@ -6,6 +6,5 @@ $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iter cp $FINPAR_IMPLEMENTATION/run . -futhark -s -fe -ae $FINPAR_IMPLEMENTATION/GenericPricing.fut > optimised.fut futhark -s -fe -ae --compile-sequential $FINPAR_IMPLEMENTATION/GenericPricing.fut > GenericPricing.c gcc GenericPricing.c -O3 -o GenericPricing -lm From 168e2b198958c421dfef5597de2ad1e95d755fa9 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Wed, 25 Feb 2015 22:52:34 +0100 Subject: [PATCH 020/122] Use --in-place-lowering for Futhark implementation of GenericPricing. --- benchmarks/GenericPricing/implementations/futhark/instantiate | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/GenericPricing/implementations/futhark/instantiate b/benchmarks/GenericPricing/implementations/futhark/instantiate index a9e0508..8bb7b59 100755 --- a/benchmarks/GenericPricing/implementations/futhark/instantiate +++ b/benchmarks/GenericPricing/implementations/futhark/instantiate @@ -6,5 +6,5 @@ $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iter cp $FINPAR_IMPLEMENTATION/run . -futhark -s -fe -ae --compile-sequential $FINPAR_IMPLEMENTATION/GenericPricing.fut > GenericPricing.c +futhark -s -fe --in-place-lowering -ae --compile-sequential $FINPAR_IMPLEMENTATION/GenericPricing.fut > GenericPricing.c gcc GenericPricing.c -O3 -o GenericPricing -lm From ae1ff95c5c74dc56c8a3264acf9898dd19ef3b92 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 9 Mar 2015 20:04:12 +0100 Subject: [PATCH 021/122] We changed how split works. --- .../GenericPricing/implementations/futhark/GenericPricing.fut | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut index 0880364..50e87da 100644 --- a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut +++ b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut @@ -198,7 +198,7 @@ fun [[real]] brownianBridge ( fun real zwop(real a, real b, int j) = a * b -fun [real] take(int n, [real] a) = let {first, rest} = split(n, a) in first +fun [real] take(int n, [real] a) = let {first, rest} = split((n), a) in first fun [real] fftmp(int num_paths, [[real]] md_c, [real] zi) = map( fn real (int j) => From c21f4c38d6c880c9709dffc7cd76a6d21e474350 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 16 Apr 2015 09:02:32 +0200 Subject: [PATCH 022/122] Update Futhark benchmarks to newest compiler version. --- .../implementations/futhark/CalibVolDiff.fut | 10 +++++----- .../implementations/futhark/instantiate | 3 +-- .../futhark/GenericPricing.fut | 20 +++++++++---------- .../implementations/futhark/instantiate | 3 +-- 4 files changed, 17 insertions(+), 19 deletions(-) diff --git a/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut b/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut index 2c630e7..eda4cf8 100644 --- a/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut +++ b/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut @@ -23,13 +23,13 @@ fun {[[real]],[[real]]} initOperator([real] x) = [-dxu/dxl/(dxl+dxu), (dxu/dxl - dxl/dxu)/(dxl+dxu), dxl/dxu/(dxl+dxu)], - map (op + (1), iota(n-2))) in + map (+1, iota(n-2))) in let Dxxmid = map(fn [real] (int i) => let dxl = x[i] - x[i-1] in let dxu = x[i+1] - x[i] in [2.0/dxl/(dxl+dxu), -2.0*(1.0/dxl + 1.0/dxu)/(dxl+dxu), 2.0/dxu/(dxl+dxu)], - map (op + (1), iota(n-2))) in + map (+1, iota(n-2))) in let dxl = x[n-1] - x[n-2] in let dxu = 0.0 in let Dxhigh = [[-1.0 / dxl, 1.0 / dxl, 0.0 ]] in @@ -81,7 +81,7 @@ fun *[[real]] explicitX map(fn real (int i) => let kl = if i == 0 then 1 else 0 in let ku = 2 - if i==numX-1 then 1 else 0 in - reduce(op +, dtInv*myResult[i,j], + reduce(+, dtInv*myResult[i,j], map(fn real (int k) => let k = k + kl in 0.5 * (myMuX[i,j]*myDx[i,k]+0.5*myVarX[i,j]*myDxx[i,k]) @@ -97,7 +97,7 @@ fun *[[real]] explicitY map(fn real (int j) => let ll = 1 * (if j == 0 then 1 else 0) in let lu = 2 - 1*(if j==numY-1 then 1 else 0) in - reduce(op +, 0.0, + reduce(+, 0.0, map(fn real (int l) => let l = l + ll in (myMuY[i,j]*myDy[j,l]+0.5*myVarY[i,j]*myDyy[j,l]) @@ -115,7 +115,7 @@ fun *[[real]] rollback let dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]) in let u = explicitX(numX, numY, dtInv, myResult, myMuX, myDx, myDxx, myVarX) in let v = explicitY(numX, numY, 0.0, myResult, myMuY, myDy, myDyy, myVarY) in - let u = map(fn [real] ([real] us, [real] vs) => map(op +, zip(us, vs)), + let u = map(fn [real] ([real] us, [real] vs) => map(+, zip(us, vs)), zip(u, transpose(v))) in let u = map(fn [real] ({[real], int} t) => let {uj, j} = t in diff --git a/benchmarks/CalibVolDiff/implementations/futhark/instantiate b/benchmarks/CalibVolDiff/implementations/futhark/instantiate index 3375ece..82ef9eb 100755 --- a/benchmarks/CalibVolDiff/implementations/futhark/instantiate +++ b/benchmarks/CalibVolDiff/implementations/futhark/instantiate @@ -6,5 +6,4 @@ $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input. cp $FINPAR_IMPLEMENTATION/run . -futhark -s -fe --in-place-lowering -ae --compile-sequential $FINPAR_IMPLEMENTATION/CalibVolDiff.fut > CalibVolDiff.c -gcc CalibVolDiff.c -O3 -o CalibVolDiff -lm +futhark-c $FINPAR_IMPLEMENTATION/CalibVolDiff.fut diff --git a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut index 50e87da..2837190 100644 --- a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut +++ b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut @@ -13,7 +13,7 @@ fun bool testBit(int n, int ind) = //// less computation but variable array size! ///////////////////////////////////////////////////////////////// //fun int xorInds([int] indices, [int] dir_vs ) = -// reduce( op ^, 0, map( index(dir_vs), indices ) ) +// reduce( ^, 0, map( index(dir_vs), indices ) ) // //fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = // let bits = iota ( bits_num ) in @@ -29,7 +29,7 @@ fun bool testBit(int n, int ind) = fun int xorInds(int bits_num, int n, [int] dir_vs ) = let bits = iota ( bits_num ) in let indices = filter ( testBit(grayCode(n)), bits ) in - reduce( op ^, 0, map( index(dir_vs), indices ) ) + reduce( ^, 0, map( index(dir_vs), indices ) ) fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = map( xorInds(bits_num, n), dir_vs ) @@ -203,7 +203,7 @@ fun [real] take(int n, [real] a) = let {first, rest} = split((n), a) in first fun [real] fftmp(int num_paths, [[real]] md_c, [real] zi) = map( fn real (int j) => let x = map(zwop, zip(take(j+1,zi), take(j+1,md_c[j]), iota(j+1))) - in reduce(op +, 0.0, x), + in reduce(+, 0.0, x), iota(num_paths) ) @@ -211,13 +211,13 @@ fun [[real]] correlateDeltas(int num_paths, [[real]] md_c, [[real]] zds) = map( fftmp(num_paths, md_c), zds ) fun [real] combineVs([real] n_row, [real] vol_row, [real] dr_row) = - map( op +, zip(dr_row, map( op *, zip(n_row, vol_row ) ))) + map( +, zip(dr_row, map( *, zip(n_row, vol_row ) ))) fun [[real]] mkPrices ([real] md_starts, [[real]] md_vols, [[real]] md_drifts, [[real]] noises) = let e_rows = map( fn [real] ([real] x) => map(exp, x), map(combineVs, zip(noises, md_vols, md_drifts)) ) - in scan( fn [real] ([real] x, [real] y) => map(op *, zip(x, y)), md_starts, e_rows ) + in scan( fn [real] ([real] x, [real] y) => map(*, zip(x, y)), md_starts, e_rows ) //[num_dates, num_paths] fun [[real]] blackScholes( @@ -264,13 +264,13 @@ fun [real] main(int contract_number, let payoff = if contract_number == 1 then let payoffs = map ( payoff1(md_disc, md_detvals), bs_mat ) in - reduce ( op +, 0.0, payoffs ) + reduce ( +, 0.0, payoffs ) else if contract_number == 2 then let payoffs = map ( payoff2(md_disc), bs_mat ) in - reduce ( op +, 0.0, payoffs ) + reduce ( +, 0.0, payoffs ) else if contract_number == 3 then let payoffs = map ( payoff3(md_disc), bs_mat ) in - reduce ( op +, 0.0, payoffs ) + reduce ( +, 0.0, payoffs ) else 0.0 in [ payoff / toReal(num_mc_it) ] @@ -289,7 +289,7 @@ fun real payoff1 ([real] md_disc, [real] md_detvals, [[real]] xss) = fun real payoff2 ([real] md_disc, [[real]] xss) = // invariant: length(xss) == 5, i.e., 5x3 matrix let divs = [ 1.0/3758.05, 1.0/11840.0, 1.0/1200.0 ] in - let xss_div = map( fn [real] ([real] xs) => map(op *, zip(xs, divs)), xss ) in + let xss_div = map( fn [real] ([real] xs) => map(*, zip(xs, divs)), xss ) in let mins = map( MIN, xss_div ) in if( 1.0 <= mins[0] ) then trajInner(1150.0, 0, md_disc) else if( 1.0 <= mins[1] ) then trajInner(1300.0, 1, md_disc) @@ -301,7 +301,7 @@ fun real payoff2 ([real] md_disc, [[real]] xss) = fun real payoff3 ([real] md_disc, [[real]] xss) = // invariant: size(1,xss) == 3. - let x3309 = reduce(op ||, False, + let x3309 = reduce(||, False, map (fn bool ([real] xs) => xs[0] <= 2630.6349999999998 || xs[1] <= 8288.0 || diff --git a/benchmarks/GenericPricing/implementations/futhark/instantiate b/benchmarks/GenericPricing/implementations/futhark/instantiate index 8bb7b59..7c69114 100755 --- a/benchmarks/GenericPricing/implementations/futhark/instantiate +++ b/benchmarks/GenericPricing/implementations/futhark/instantiate @@ -6,5 +6,4 @@ $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iter cp $FINPAR_IMPLEMENTATION/run . -futhark -s -fe --in-place-lowering -ae --compile-sequential $FINPAR_IMPLEMENTATION/GenericPricing.fut > GenericPricing.c -gcc GenericPricing.c -O3 -o GenericPricing -lm +futhark-c $FINPAR_IMPLEMENTATION/GenericPricing.fut From ceff7b4eb76abc45cf6d05354add53dbcd900a83 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 12 May 2015 22:39:59 +0200 Subject: [PATCH 023/122] Update CalibVolDiff to newest version. --- .../implementations/futhark/CalibVolDiff.fut | 352 +++++++++++------- 1 file changed, 220 insertions(+), 132 deletions(-) diff --git a/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut b/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut index eda4cf8..480b004 100644 --- a/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut +++ b/benchmarks/CalibVolDiff/implementations/futhark/CalibVolDiff.fut @@ -1,153 +1,246 @@ -fun {int,int,[real],[real],[real],[[real]],[[real]],[[real]],[[real]]} initGrid - (real s0, real alpha, real nu, real t, int numX, int numY, int numT) = +fun {int,int,[real],[real],[real]} +initGrid(real s0, real alpha, real nu, real t, int numX, int numY, int numT) = let logAlpha = log(alpha) in - let myTimeline = map(fn real (int i) => t * toReal(i) / (toReal(numT) - 1.0), iota(numT)) in + let myTimeline = map(fn real (int i) => t * toFloat(i) / (toFloat(numT) - 1.0), iota(numT)) in let {stdX, stdY} = {20.0 * alpha * s0 * sqrt(t), 10.0 * nu * sqrt(t)} in - let {dx, dy} = {stdX / toReal(numX), stdY / toReal(numY)} in + let {dx, dy} = {stdX / toFloat(numX), stdY / toFloat(numY)} in let {myXindex, myYindex} = {trunc(s0 / dx), numY / 2} in - let myX = map(fn real (int i) => toReal(i) * dx - toReal(myXindex) * dx + s0, iota(numX)) in - let myY = map(fn real (int i) => toReal(i) * dy - toReal(myYindex) * dy + logAlpha, iota(numY)) in - let xXy = replicate(numX,replicate(numY, 0.0)) in - let {myMuX, myVarX, myMuY, myVarY} = {xXy, xXy, xXy, xXy} in - {myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY} + let myX = map(fn real (int i) => toFloat(i) * dx - toFloat(myXindex) * dx + s0, iota(numX)) in + let myY = map(fn real (int i) => toFloat(i) * dy - toFloat(myYindex) * dy + logAlpha, iota(numY)) in + {myXindex, myYindex, myX, myY, myTimeline} +// make the innermost dimension of the result of size 4 instead of 3? fun {[[real]],[[real]]} initOperator([real] x) = - let n = size(0, x) in - let dxu = x[1] - x[0] in - let dxl = 0.0 in - let Dxlow = [[0.0, -1.0 / dxu, 1.0 / dxu]] in - let Dxxlow = [[0.0, 0.0, 0.0]] in - let Dxmid = map(fn [real] (int i) => let dxl = x[i] - x[i-1] in - let dxu = x[i+1] - x[i] in - [-dxu/dxl/(dxl+dxu), - (dxu/dxl - dxl/dxu)/(dxl+dxu), - dxl/dxu/(dxl+dxu)], - map (+1, iota(n-2))) in - let Dxxmid = map(fn [real] (int i) => let dxl = x[i] - x[i-1] in - let dxu = x[i+1] - x[i] in - [2.0/dxl/(dxl+dxu), - -2.0*(1.0/dxl + 1.0/dxu)/(dxl+dxu), - 2.0/dxu/(dxl+dxu)], - map (+1, iota(n-2))) in - let dxl = x[n-1] - x[n-2] in - let dxu = 0.0 in + let n = size(0, x) in + let dxu = x[1] - x[0] in + let dxl = 0.0 in + let Dxlow = [[0.0, -1.0 / dxu, 1.0 / dxu]] in + let Dxxlow = [[0.0, 0.0, 0.0]] in + let Dxmids = map(fn {[real],[real]} (int i) => + let dxl = x[i] - x[i-1] in + let dxu = x[i+1] - x[i] in + { [ -dxu/dxl/(dxl+dxu), (dxu/dxl - dxl/dxu)/(dxl+dxu), dxl/dxu/(dxl+dxu) ], + [ 2.0/dxl/(dxl+dxu), -2.0*(1.0/dxl + 1.0/dxu)/(dxl+dxu), 2.0/dxu/(dxl+dxu) ] } + , map (+ (1), iota(n-2))) in + let {Dxmid, Dxxmid} = unzip(Dxmids) in + let dxl = x[n-1] - x[n-2] in + let dxu = 0.0 in let Dxhigh = [[-1.0 / dxl, 1.0 / dxl, 0.0 ]] in - let Dxxhigh = [[0.0, 0.0, 0.0 ]] in - let Dx = concat(concat(Dxlow, Dxmid), Dxhigh) in - let Dxx = concat(concat(Dxxlow, Dxxmid), Dxxhigh) in - {Dx, Dxx} + let Dxxhigh= [[0.0, 0.0, 0.0 ]] in + let Dx = concat(concat(Dxlow, Dxmid), Dxhigh) in + let Dxx = concat(concat(Dxxlow, Dxxmid), Dxxhigh) + in {Dx, Dxx} fun real max(real x, real y) = if y < x then x else y fun int maxInt(int x, int y) = if y < x then x else y fun *[[real]] setPayoff(real strike, [real] myX, [real] myY) = - let n = size(0, myY) in - copy(map(fn [real] (real xi) => replicate(n, max(xi-strike,0.0)), myX)) + let n = size(0, myY) in + let myres = map(fn [real] (real xi) => replicate(n, max(xi-strike,0.0)), myX) in + copy(transpose(myres)) // Returns new myMuX, myVarX, myMuY, myVarY. -fun {[[real]] , [[real]] , [[real]] , [[real]]} updateParams - ([real] myX, [real] myY, [real] myTimeline, int g, real alpha, real beta, real nu) = - unzip (map(fn {[real],[real],[real],[real]} (real xi) => - unzip (map (fn {real,real,real,real} (real yj) => - {0.0, - exp(2.0*(beta*log(xi) + yj - 0.5*nu*nu*myTimeline[g])), - 0.0, - nu * nu}, myY)), myX)) +fun {[[real]] , [[real]] , [[real]] , [[real]]} +updateParams( [real] myX, [real] myY, [real] myTimeline, + int g, real alpha, real beta, real nu ) = + let { numX, numY } = { size(0,myX), size(0,myY) } in + let myMuY = replicate(numX, replicate(numY, 0.0 )) in + let myVarY = replicate(numX, replicate(numY, nu*nu)) in + let myMuX = replicate(numY, replicate(numX, 0.0 )) in + let myVarX = map( fn [real] (real yj) => + map ( fn real (real xi) => + exp(2.0*(beta*log(xi) + yj - 0.5*nu*nu*myTimeline[g])) + , myX ) + , myY ) + in { myMuX, myVarX, myMuY, myVarY } -fun {[real],[real]} tridag - ([real] a, [real] b, [real] c, [real] r, int n) = - let bet = 1.0/b[0] in - let {u, uu} = {copy(replicate(n,0.0)), - copy(replicate(n,0.0))} in - let u[0] = r[0] * bet in - loop ({u, uu, bet}) = - for j < n-1 do - let j = j + 1 in - let uu[j] = c[j-1]*bet in - let bet = 1.0/(b[j] - a[j] * uu[j]) in - let u[j] = (r[j] - a[j]*u[j-1]) * bet in - {u, uu, bet} in - loop (u) = for j < n - 1 do - let j = n - 2 - j in - let u[j] = u[j] - uu[j+1]*u[j+1] in - u - in {u, uu} +fun *[real] tridagSeq( [real] a, *[real] b, [real] c, *[real] y ) = + let n = size(0, a) in + loop ({y, b}) = + for i < n-1 do + let i = i + 1 in + let beta = a[i] / b[i-1] in + let b[i] = b[i] - beta*c[i-1] in + let y[i] = y[i] - beta*y[i-1] + in {y, b} + in + let y[n-1] = y[n-1]/b[n-1] in + loop (y) = for j < n - 1 do + let i = n - 2 - j in + let y[i] = (y[i] - c[i]*y[i+1]) / b[i] + in y + in y -fun *[[real]] explicitX - (int numX, int numY, real dtInv, - [[real]] myResult, [[real]] myMuX, [[real]] myDx, [[real]] myDxx, [[real]] myVarX) = - copy(map(fn [real] (int j) => - map(fn real (int i) => - let kl = if i == 0 then 1 else 0 in - let ku = 2 - if i==numX-1 then 1 else 0 in - reduce(+, dtInv*myResult[i,j], - map(fn real (int k) => - let k = k + kl in - 0.5 * (myMuX[i,j]*myDx[i,k]+0.5*myVarX[i,j]*myDxx[i,k]) - * myResult[i+k-1,j], - iota(ku-kl+1))), - iota(numX)), - iota(numY))) +fun *[real] tridagPar( [real] a, *[real] b, [real] c, *[real] y ) = + let n = size(0, a) in + //////////////////////////////////////////////////// + // Recurrence 1: b[i] = b[i] - a[i]*c[i-1]/b[i-1] // + // solved by scan with 2x2 matrix mult operator // + //////////////////////////////////////////////////// + let b0 = b[0] in + let mats = map ( fn {real,real,real,real} (int i) => + if 0 < i + then {b[i], 0.0-a[i]*c[i-1], 1.0, 0.0} + else {1.0, 0.0, 0.0, 1.0} + , iota(n) ) in + let scmt = scan( fn {real,real,real,real} ( {real,real,real,real} a, + {real,real,real,real} b ) => + let {a0,a1,a2,a3} = a in + let {b0,b1,b2,b3} = b in + let val = 1.0/(a0*b0) in + { (b0*a0 + b1*a2)*val, + (b0*a1 + b1*a3)*val, + (b2*a0 + b3*a2)*val, + (b2*a1 + b3*a3)*val + } + , {1.0, 0.0, 0.0, 1.0}, mats ) in + let b = map ( fn real ({real,real,real,real} tup) => + let {t0,t1,t2,t3} = tup in + (t0*b0 + t1) / (t2*b0 + t3) + , scmt ) in + ////////////////////////////////////////////////////// + // Recurrence 2: y[i] = y[i] - (a[i]/b[i-1])*y[i-1] // + // solved by scan with linear func comp operator // + ////////////////////////////////////////////////////// + let y0 = y[0] in + let lfuns= map ( fn {real,real} (int i) => + if 0 < i + then {y[i], 0.0-a[i]/b[i-1]} + else {0.0, 1.0 } + , iota(n) ) in + let cfuns= scan( fn {real,real} ({real,real} a, {real,real} b) => + let {a0,a1} = a in + let {b0,b1} = b in + { b0 + b1*a0, a1*b1 } + , {0.0, 1.0}, lfuns ) in + let y = map ( fn real ({real,real} tup) => + let {a,b} = tup in + a + b*y0 + , cfuns ) in + ////////////////////////////////////////////////////// + // Recurrence 3: backward recurrence solved via // + // scan with linear func comp operator // + ////////////////////////////////////////////////////// + let yn = y[n-1]/b[n-1] in + let lfuns= map ( fn {real,real} (int k) => + let i = n-k-1 + in if 0 < k + then {y[i]/b[i], 0.0-c[i]/b[i]} + else {0.0, 1.0 } + , iota(n) ) in + let cfuns= scan( fn {real,real} ({real,real} a, {real,real} b) => + let {a0,a1} = a in + let {b0,b1} = b in + {b0 + b1*a0, a1*b1} + , {0.0, 1.0}, lfuns ) in + let y = map ( fn real ({real,real} tup) => + let {a,b} = tup in + a + b*yn + , cfuns ) in + let y = map (fn real (int i) => y[n-i-1], iota(n)) in + copy(y) -fun *[[real]] explicitY - (int numX, int numY, real dtInv, - [[real]] myResult, [[real]] myMuY, [[real]] myDy, [[real]] myDyy, [[real]] myVarY) = - copy(map(fn [real] (int i) => - map(fn real (int j) => - let ll = 1 * (if j == 0 then 1 else 0) in - let lu = 2 - 1*(if j==numY-1 then 1 else 0) in - reduce(+, 0.0, - map(fn real (int l) => - let l = l + ll in - (myMuY[i,j]*myDy[j,l]+0.5*myVarY[i,j]*myDyy[j,l]) - * myResult[i,j+l-1], - iota(lu-ll+1))), - iota(numY)), - iota(numX))) +/////////////////////////////////////////// +// myD,myDD : [[real,3],m] +// myMu,myVar,result : [[real,m],n] +// RETURN : [[real,m],n] +/////////////////////////////////////////// +fun *[[real]] explicitMethod( [[real]] myD, [[real]] myDD, + [[real]] myMu, [[real]] myVar, [[real]] result ) = + // 0 <= i < m AND 0 <= j < n + let m = size(0,myD) in + copy( map( fn [real] ( {[real],[real],[real]} tup ) => + let {mu_row, var_row, result_row} = tup in + map( fn real ({[real], [real], real, real, int} tup) => + let { dx, dxx, mu, var, j } = tup in + let c1 = if 0 < j + then ( mu*dx[0] + 0.5*var*dxx[0] ) * result_row[j-1] + else 0.0 in + let c3 = if j < (m-1) + then ( mu*dx[2] + 0.5*var*dxx[2] ) * result_row[j+1] + else 0.0 in + let c2 = ( mu*dx[1] + 0.5*var*dxx[1] ) * result_row[j ] + in c1 + c2 + c3 + , zip( myD, myDD, mu_row, var_row, iota(m) ) + ) + , zip( myMu, myVar, result ) + ) + ) + +/////////////////////////////////////////// +// myD,myDD : [[real,3],m] +// myMu,myVar,u : [[real,m],n] +// RETURN : [[real,m],n] +/////////////////////////////////////////// +// for implicitY: should be called with transpose(u) instead of u +fun *[[real]] implicitMethod( [[real]] myD, [[real]] myDD, + [[real]] myMu, [[real]] myVar, + *[[real]] u, real dtInv ) = + map( fn *[real] ( {[real],[real],*[real]} tup ) => + let {mu_row,var_row,u_row} = tup in + let abc = map( fn {real,real,real} ({real,real,[real],[real]} tup) => + let {mu, var, d, dd} = tup in + { 0.0 - 0.5*(mu*d[0] + 0.5*var*dd[0]) + , dtInv - 0.5*(mu*d[1] + 0.5*var*dd[1]) + , 0.0 - 0.5*(mu*d[2] + 0.5*var*dd[2]) + } + , zip(mu_row, var_row, myD, myDD) + ) in + let {a,b,c} = unzip(abc) in + if 1==1 then tridagSeq( a, copy(b), c, u_row ) + else tridagPar( a, copy(b), c, u_row ) + , zip(myMu,myVar,u) + ) fun *[[real]] rollback ([real] myX, [real] myY, [real] myTimeline, *[[real]] myResult, [[real]] myMuX, [[real]] myDx, [[real]] myDxx, [[real]] myVarX, [[real]] myMuY, [[real]] myDy, [[real]] myDyy, [[real]] myVarY, int g) = + let {numX, numY} = {size(0, myX), size(0, myY)} in - let numZ = maxInt(numX, numY) in let dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]) in - let u = explicitX(numX, numY, dtInv, myResult, myMuX, myDx, myDxx, myVarX) in - let v = explicitY(numX, numY, 0.0, myResult, myMuY, myDy, myDyy, myVarY) in - let u = map(fn [real] ([real] us, [real] vs) => map(+, zip(us, vs)), - zip(u, transpose(v))) in - let u = map(fn [real] ({[real], int} t) => - let {uj, j} = t in - let {a,b,c} = unzip(map(fn {real,real,real} (int i) => - {-0.5*(myMuX[i,j]*myDx[i,0] + 0.5*myVarX[i,j]*myDxx[i,0]), - dtInv - 0.5*(myMuX[i,j]*myDx[i,1] + 0.5*myVarX[i,j]*myDxx[i,1]), - -0.5*(myMuX[i,j]*myDx[i,2]+0.5*myVarX[i,j]*myDxx[i,2])}, - iota(numX))) in - let {uj, yy} = tridag(a,b,c,uj,numX) in uj, - zip(u, iota(numY))) in - loop (myResult) = - for i < numX do - let {a,b,c} = unzip(map(fn {real,real,real} (int j) => - {-0.5*(myMuY[i,j]*myDy[j,0]+0.5*myVarY[i,j]*myDyy[j,0]), - dtInv - 0.5*(myMuY[i,j]*myDy[j,1]+0.5*myVarY[i,j]*myDyy[j,1]), - -0.5*(myMuY[i,j]*myDy[j,2]+0.5*myVarY[i,j]*myDyy[j,2])}, - iota(numY))) in - let y = copy(replicate(numY, 0.0)) in - loop (y) = for j < numY do - let y[j] = dtInv * u[j,i] - 0.5*v[i,j] in - y in - let {ri, yy} = tridag(a,b,c,y,numY) in - let myResult[i] = ri in myResult - in myResult + + // explicitX + let u = explicitMethod( myDx, myDxx, myMuX, myVarX, myResult ) in + let u = map( fn [real] ({[real],[real]} tup) => + let {u_row, res_row} = tup in + map (fn real ({real,real} tup) => + let {u_el,res_el} = tup + in dtInv*res_el + 0.5*u_el + , zip(u_row,res_row) ) + , zip(u,myResult) ) + in + // explicitY + let myResultTR = transpose(myResult) in + let v = explicitMethod( myDy, myDyy, myMuY, myVarY, myResultTR ) in + let u = map( fn *[real] ([real] us, [real] vs) => + copy(map(+, zip(us, vs))) + , zip(u, transpose(v)) + ) in + // implicitX + let u = implicitMethod( myDx, myDxx, myMuX, myVarX, u, dtInv ) in + // implicitY + let y = copy( map( fn [real] ({[real],[real]} uv_row) => + let {u_row, v_row} = uv_row in + map( fn real ({real,real} uv) => + let {u_el,v_el} = uv + in dtInv*u_el - 0.5*v_el + , zip(u_row,v_row) + ) + , zip(transpose(u),v) + ) ) + in + let myResultTR = implicitMethod( myDy, myDyy, myMuY, myVarY, y, dtInv ) + in transpose(myResultTR) fun real value(int numX, int numY, int numT, real s0, real strike, real t, real alpha, real nu, real beta) = - let {myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY} = + let {myXindex, myYindex, myX, myY, myTimeline} = initGrid(s0, alpha, nu, t, numX, numY, numT) in - let {myDx, myDxx} = initOperator(myX) in - let {myDy, myDyy} = initOperator(myY) in + let {myDx, myDxx} = initOperator(myX) in + let {myDy, myDyy} = initOperator(myY) in let myResult = setPayoff(strike, myX, myY) in - //loop ((myResult, myMuX, myVarX, myMuY, myVarY)) = + loop (myResult) = for i < numT - 1 do let i = numT-2-i in @@ -156,17 +249,12 @@ fun real value(int numX, int numY, int numT, real s0, real strike, real t, real let myResult = rollback(myX, myY, myTimeline, myResult, myMuX, myDx, myDxx, myVarX, myMuY, myDy, myDyy, myVarY, i) in - //(myResult, myMuX, myVarX, myMuY, myVarY) in + myResult in - myResult[myXindex,myYindex] + myResult[myYindex,myXindex] -fun [real] main (int outer_loop_count, int numX, int numY, int numT) = - let s0 = 0.03 in - let strike = 0.03 in - let t = 5.0 in - let alpha = 0.2 in - let nu = 0.6 in - let beta = 0.5 in - let strikes = map(fn real (int i) => 0.001*toReal(i), iota(outer_loop_count)) in +fun [real] main (int outer_loop_count, int numX, int numY, int numT, + real s0, real strike, real t, real alpha, real nu, real beta) = + let strikes = map(fn real (int i) => 0.001*toFloat(i), iota(outer_loop_count)) in let res = map(fn real (real x) => value(numX, numY, numT, s0, x, t, alpha, nu, beta), strikes) in res From 74a80d2d4f17463e3029fc8c3ee646477b257771 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 19 Jun 2015 13:31:33 +0200 Subject: [PATCH 024/122] Fix 2D array printing. --- lib/include/ParserC.h | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/lib/include/ParserC.h b/lib/include/ParserC.h index a6019ae..a870d14 100644 --- a/lib/include/ParserC.h +++ b/lib/include/ParserC.h @@ -240,7 +240,7 @@ template void write_2Darr( FILE* out, const T* ptr, const int& Nouter, const int& Ninner ) { fprintf(out, "\n[ "); for( int i = 0; i < Nouter-1; i ++ ) { - write_1Darr( stdout, ptr + i*Ninner, Ninner ); + write_1Darr( out, ptr + i*Ninner, Ninner ); fprintf(out, ","); } write_1Darr( out, ptr + (Nouter-1)*Ninner, Ninner ); From e23456f6dbf6da589850417fa57ecf0ac834bde7 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 19 Jun 2015 13:31:54 +0200 Subject: [PATCH 025/122] Fix Futhark generic pricing. --- .../implementations/futhark/GenericPricing.fut | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut index 2837190..b86f7f7 100644 --- a/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut +++ b/benchmarks/GenericPricing/implementations/futhark/GenericPricing.fut @@ -36,9 +36,9 @@ fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = //////////////////////////////////////////////////////////////// fun [real] sobolIndR( int bits_num, [[int]] dir_vs, int n ) = - let divisor = 2.0 pow toReal (bits_num) in + let divisor = 2.0 pow toFloat (bits_num) in let arri = sobolIndI( bits_num, dir_vs, n ) in - map( fn real (int x) => toReal(x) / divisor, arri ) + map( fn real (int x) => toFloat(x) / divisor, arri ) //////////////////////////////////////// /// Inverse Gaussian @@ -272,7 +272,7 @@ fun [real] main(int contract_number, let payoffs = map ( payoff3(md_disc), bs_mat ) in reduce ( +, 0.0, payoffs ) else 0.0 in - [ payoff / toReal(num_mc_it) ] + [ payoff / toFloat(num_mc_it) ] //////////////////////////////////////// // PAYOFF FUNCTION From 94bcf7965f666a17d850b68be538a0b87600acc2 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 19 Jun 2015 13:33:44 +0200 Subject: [PATCH 026/122] First draft of fixing CalibGA. --- .../datasets/large/{input.data => input.json} | 68 +++--- benchmarks/CalibGA/datasets/large/output.data | 206 ----------------- benchmarks/CalibGA/datasets/large/output.json | 207 +++++++++++++++++ .../medium/{input.data => input.json} | 66 +++--- .../CalibGA/datasets/medium/output.data | 206 ----------------- .../CalibGA/datasets/medium/output.json | 208 ++++++++++++++++++ .../datasets/small/{input.data => input.json} | 66 +++--- benchmarks/CalibGA/datasets/small/output.data | 202 ----------------- benchmarks/CalibGA/datasets/small/output.json | 203 +++++++++++++++++ .../FindBestKer.h | 0 .../GenAlgFlat.h | 0 .../GenAlgKers.h | 0 .../MainKer.h | 0 .../Makefile | 0 .../SrcCL/BestIndValRedKer.cl | 0 .../SrcCL/CalibKers.cl | 0 .../SrcCL/Date.cl | 0 .../SrcCL/ExactYhat.cl | 0 .../SrcCL/G2ppUtil.cl | 0 .../SrcCL/GenAlg.cl | 0 .../SrcCL/Reductions.cl | 0 .../SwapCalib.cpp | 0 .../UtilGPGPU.h | 0 .../cpp_opencl_all/instantiate | 24 ++ .../GenAlgFlat.h | 0 .../Makefile | 6 +- .../SwapCalib | Bin .../SwapCalib.cpp | 35 +-- .../UtilCPU.h | 0 .../cpp_openmp_outer/instantiate | 35 +++ benchmarks/CalibGA/includeC/ParseInput.h | 199 ----------------- .../{includeC => lib/include}/Candidate.h | 0 .../{includeC => lib/include}/Constants.h | 0 .../CalibGA/{includeC => lib/include}/Date.h | 0 .../{includeC => lib/include}/EvalGenomeInl.h | 0 .../CalibGA/{includeC => lib/include}/G2PP.h | 0 .../{includeC => lib/include}/G2ppUtil.h | 0 .../{includeC => lib/include}/GenAlgUtil.h | 0 .../{includeC => lib/include}/IrregShape.h | 0 .../{includeC => lib/include}/KerConsts.h | 0 .../{includeC => lib/include}/MathModule.h | 0 benchmarks/CalibGA/lib/include/ParseInput.h | 102 +++++++++ .../{includeC => lib/include}/tmp/Constants.h | 0 .../include}/tmp/DataStructConst.h | 0 .../{includeC => lib/include}/tmp/G2PP.h | 0 45 files changed, 901 insertions(+), 932 deletions(-) rename benchmarks/CalibGA/datasets/large/{input.data => input.json} (83%) delete mode 100644 benchmarks/CalibGA/datasets/large/output.data create mode 100644 benchmarks/CalibGA/datasets/large/output.json rename benchmarks/CalibGA/datasets/medium/{input.data => input.json} (83%) delete mode 100644 benchmarks/CalibGA/datasets/medium/output.data create mode 100644 benchmarks/CalibGA/datasets/medium/output.json rename benchmarks/CalibGA/datasets/small/{input.data => input.json} (83%) delete mode 100644 benchmarks/CalibGA/datasets/small/output.data create mode 100644 benchmarks/CalibGA/datasets/small/output.json rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/FindBestKer.h (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/GenAlgFlat.h (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/GenAlgKers.h (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/MainKer.h (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/Makefile (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/BestIndValRedKer.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/CalibKers.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/Date.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/ExactYhat.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/G2ppUtil.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/GenAlg.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SrcCL/Reductions.cl (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/SwapCalib.cpp (100%) rename benchmarks/CalibGA/implementations/{All_CppOpenCL => cpp_opencl_all}/UtilGPGPU.h (100%) create mode 100755 benchmarks/CalibGA/implementations/cpp_opencl_all/instantiate rename benchmarks/CalibGA/implementations/{Outer_CppOpenMP => cpp_openmp_outer}/GenAlgFlat.h (100%) rename benchmarks/CalibGA/implementations/{Outer_CppOpenMP => cpp_openmp_outer}/Makefile (89%) rename benchmarks/CalibGA/implementations/{Outer_CppOpenMP => cpp_openmp_outer}/SwapCalib (100%) rename benchmarks/CalibGA/implementations/{Outer_CppOpenMP => cpp_openmp_outer}/SwapCalib.cpp (61%) rename benchmarks/CalibGA/implementations/{Outer_CppOpenMP => cpp_openmp_outer}/UtilCPU.h (100%) create mode 100755 benchmarks/CalibGA/implementations/cpp_openmp_outer/instantiate delete mode 100644 benchmarks/CalibGA/includeC/ParseInput.h rename benchmarks/CalibGA/{includeC => lib/include}/Candidate.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/Constants.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/Date.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/EvalGenomeInl.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/G2PP.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/G2ppUtil.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/GenAlgUtil.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/IrregShape.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/KerConsts.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/MathModule.h (100%) create mode 100644 benchmarks/CalibGA/lib/include/ParseInput.h rename benchmarks/CalibGA/{includeC => lib/include}/tmp/Constants.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/tmp/DataStructConst.h (100%) rename benchmarks/CalibGA/{includeC => lib/include}/tmp/G2PP.h (100%) diff --git a/benchmarks/CalibGA/datasets/large/input.data b/benchmarks/CalibGA/datasets/large/input.json similarity index 83% rename from benchmarks/CalibGA/datasets/large/input.data rename to benchmarks/CalibGA/datasets/large/input.json index 43c8491..92db00c 100644 --- a/benchmarks/CalibGA/datasets/large/input.data +++ b/benchmarks/CalibGA/datasets/large/input.json @@ -1,7 +1,9 @@ -256 // population size -128 // number of iterations of the convergence loop -196 // number of swaption quotes (NUM_SWAP_QUOTES) -[ +{ + "population_size": 256, + "convergence_iterations": 128, + "num_swaption_quotes": 196, + "swaption_quotes": + [ [1.0, 6.0, 1.0, 1.052], [2.0, 6.0, 1.0, 0.81485], [3.0, 6.0, 1.0, 0.6165], @@ -211,33 +213,31 @@ [20.0, 6.0, 30.0, 0.1989], [25.0, 6.0, 30.0, 0.18115], [30.0, 6.0, 30.0, 0.16355] -] // SwaptionQuotes :: REAL[NUM_SWAP_QUOTES,4] - - - -11 // Gauss_DIM: Number of Hermite Coefficients; -[ - 0.0, 0.6568095668820999044613, -0.6568095668820997934390, - -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, - -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, - 3.6684708465595856630159, -3.6684708465595838866591 -] // GaussHermiteCoefs::coefs[Gauss_DIM] - -[ - 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, - 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, - 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, - 1.0065267861723647957461, 1.0065267861723774522886 -] // GaussHermiteCoefs::weights[Gauss_DIM] - - - -30 // SOBOL_BITS_NUM -[ 536870912, 268435456, 134217728, 67108864, 33554432, - 16777216, 8388608, 4194304, 2097152, 1048576, - 524288, 262144, 131072, 65536, 32768, - 16384, 8192, 4096, 2048, 1024, - 512, 256, 128, 64, 32, - 16, 8, 4, 2, 1 -] // SOBOL_DIR_VCT == Sobol Direction Vectors REAL[SOBOL_BITS_NUM] - + ], + + "num_hermite_coefficients": 11, + "hermite_coefficients": + [ 0.0, 0.6568095668820999044613, -0.6568095668820997934390, + -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, + -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, + 3.6684708465595856630159, -3.6684708465595838866591 + ], + + "hermite_coefficient_weights": + [ + 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, + 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, + 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, + 1.0065267861723647957461, 1.0065267861723774522886 + ], + + "sobol_num_bits": 30, + "sobol_dir_vs": + [ 536870912, 268435456, 134217728, 67108864, 33554432, + 16777216, 8388608, 4194304, 2097152, 1048576, + 524288, 262144, 131072, 65536, 32768, + 16384, 8192, 4096, 2048, 1024, + 512, 256, 128, 64, 32, + 16, 8, 4, 2, 1 + ] +} diff --git a/benchmarks/CalibGA/datasets/large/output.data b/benchmarks/CalibGA/datasets/large/output.data deleted file mode 100644 index 244da62..0000000 --- a/benchmarks/CalibGA/datasets/large/output.data +++ /dev/null @@ -1,206 +0,0 @@ -0.325608 // a-field of the winning genome -0.001000 // b-field of the winning genome -0.009058 // sigma-field of the winning genome -0.018683 // nu-field of the winning genome --0.083963 // rho-field of the winning genome -624.116935 // LgLikelihood of the winning genome - -[ - [ 74.172585 , 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3339.851753 , 11.365600 ], - [ 3012.875689 , 3435.052610 , 12.290261 ], - [ 3047.821242 , 3482.652710 , 12.485640 ], - [ 3044.984927 , 3448.098035 , 11.690883 ], - [ 2877.611282 , 3105.329082 , 7.333129 ], - [ 2641.365086 , 2736.951332 , 3.492435 ], - [ 2382.949281 , 2378.093534 , 0.204187 ] -] //Swaption Calibration Result: foreach swaption [CalibPrice,BlackPrice,PercentDiff] - diff --git a/benchmarks/CalibGA/datasets/large/output.json b/benchmarks/CalibGA/datasets/large/output.json new file mode 100644 index 0000000..6367af8 --- /dev/null +++ b/benchmarks/CalibGA/datasets/large/output.json @@ -0,0 +1,207 @@ +{ + "a_field": 0.325608, + "b_field": 0.001000, + "sigma_field": 0.009058, + "nu_field": 0.018683, + "rho_field": -0.083963, + "lg_likelyhood": 624.116935, + "swaption_calibration_results": + [ + [ 74.172585 , 115.320470 , 35.681337 ], + [ 100.626570 , 162.945479 , 38.245252 ], + [ 118.719023 , 174.297729 , 31.887223 ], + [ 132.735321 , 171.631308 , 22.662524 ], + [ 143.164628 , 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2877.611282 , 3105.329082 , 7.333129 ], + [ 2641.365086 , 2736.951332 , 3.492435 ], + [ 2382.949281 , 2378.093534 , 0.204187 ] + ] +} diff --git a/benchmarks/CalibGA/datasets/medium/input.data b/benchmarks/CalibGA/datasets/medium/input.json similarity index 83% rename from benchmarks/CalibGA/datasets/medium/input.data rename to benchmarks/CalibGA/datasets/medium/input.json index 58d5534..d5814b7 100644 --- a/benchmarks/CalibGA/datasets/medium/input.data +++ b/benchmarks/CalibGA/datasets/medium/input.json @@ -1,7 +1,9 @@ -128 // population size -424 // number of iterations of the convergence loop -196 // number of swaption quotes (NUM_SWAP_QUOTES) -[ +{ + "population_size": 128, + "convergence_iterations": 424, + "num_swaption_quotes": 196, + "swaption_quotes": + [ [1.0, 6.0, 1.0, 1.052], [2.0, 6.0, 1.0, 0.81485], [3.0, 6.0, 1.0, 0.6165], @@ -211,33 +213,29 @@ [20.0, 6.0, 30.0, 0.1989], [25.0, 6.0, 30.0, 0.18115], [30.0, 6.0, 30.0, 0.16355] -] // SwaptionQuotes :: REAL[NUM_SWAP_QUOTES,4] - - - -11 // Gauss_DIM: Number of Hermite Coefficients; -[ - 0.0, 0.6568095668820999044613, -0.6568095668820997934390, - -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, - -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, - 3.6684708465595856630159, -3.6684708465595838866591 -] // GaussHermiteCoefs::coefs[Gauss_DIM] - -[ - 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, - 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, - 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, - 1.0065267861723647957461, 1.0065267861723774522886 -] // GaussHermiteCoefs::weights[Gauss_DIM] - - - -30 // SOBOL_BITS_NUM -[ 536870912, 268435456, 134217728, 67108864, 33554432, - 16777216, 8388608, 4194304, 2097152, 1048576, - 524288, 262144, 131072, 65536, 32768, - 16384, 8192, 4096, 2048, 1024, - 512, 256, 128, 64, 32, - 16, 8, 4, 2, 1 -] // SOBOL_DIR_VCT == Sobol Direction Vectors REAL[SOBOL_BITS_NUM] - + ], + + "num_hermite_coefficients": 11, + "hermite_coefficients": + [ 0.0, 0.6568095668820999044613, -0.6568095668820997934390, + -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, + -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, + 3.6684708465595856630159, -3.6684708465595838866591 + ] + "hermite_coefficient_weights": + [ + 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, + 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, + 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, + 1.0065267861723647957461, 1.0065267861723774522886 + ], + "sobol_num_bits": 30, + "sobol_dir_vs": + [ 536870912, 268435456, 134217728, 67108864, 33554432, + 16777216, 8388608, 4194304, 2097152, 1048576, + 524288, 262144, 131072, 65536, 32768, + 16384, 8192, 4096, 2048, 1024, + 512, 256, 128, 64, 32, + 16, 8, 4, 2, 1 + ] +} diff --git a/benchmarks/CalibGA/datasets/medium/output.data b/benchmarks/CalibGA/datasets/medium/output.data deleted file mode 100644 index ee3d804..0000000 --- a/benchmarks/CalibGA/datasets/medium/output.data +++ /dev/null @@ -1,206 +0,0 @@ -0.023511 // a-field of the winning genome -0.964110 // b-field of the winning genome -0.025390 // sigma-field of the winning genome -0.142763 // nu-field of the winning genome --0.912444 // rho-field of the winning genome -504.367344 // LgLikelihood of the winning genome - -[ - [ 157.397565 , 115.320470 , 36.487100 ], - [ 158.760952 , 162.945479 , 2.568054 ], - [ 165.097976 , 174.297729 , 5.278183 ], - [ 175.510974 , 171.631308 , 2.260465 ], - [ 185.096581 , 168.408756 , 9.909120 ], - [ 193.322704 , 168.310831 , 14.860525 ], - [ 199.745999 , 169.877089 , 17.582659 ], - [ 204.980646 , 172.511293 , 18.821581 ], - [ 207.965455 , 172.824865 , 20.333063 ], - [ 210.211604 , 172.561368 , 21.818462 ], - [ 209.496752 , 177.275607 , 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18.171419 ], - [ 1972.754114 , 2378.093534 , 17.044722 ] -] //Swaption Calibration Result: foreach swaption [CalibPrice,BlackPrice,PercentDiff] - diff --git a/benchmarks/CalibGA/datasets/medium/output.json b/benchmarks/CalibGA/datasets/medium/output.json new file mode 100644 index 0000000..54af5f1 --- /dev/null +++ b/benchmarks/CalibGA/datasets/medium/output.json @@ -0,0 +1,208 @@ +{ + "a_field": 0.023511, + "b_field": 0.964110, + "sigma_field": 0.025390, + "nu_field": 0.142763, + "rho_field": -0.912444, + "lg_likelyhood": 504.367344, + + "swaption_calibration_result": + [ + [ 157.397565 , 115.320470 , 36.487100 ], + [ 158.760952 , 162.945479 , 2.568054 ], + [ 165.097976 , 174.297729 , 5.278183 ], + [ 175.510974 , 171.631308 , 2.260465 ], + [ 185.096581 , 168.408756 , 9.909120 ], + [ 193.322704 , 168.310831 , 14.860525 ], + [ 199.745999 , 169.877089 , 17.582659 ], + [ 204.980646 , 172.511293 , 18.821581 ], + [ 207.965455 , 172.824865 , 20.333063 ], + [ 210.211604 , 172.561368 , 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2071.221986 , 2214.863774 , 6.485355 ], + [ 2085.093776 , 2210.469050 , 5.671886 ], + [ 1964.177356 , 1958.551506 , 0.287245 ], + [ 1790.799073 , 1696.520335 , 5.557183 ], + [ 1603.204230 , 1464.255987 , 9.489341 ], + [ 880.212905 , 661.437438 , 33.075761 ], + [ 1324.703181 , 1198.312686 , 10.547372 ], + [ 1650.853118 , 1613.025965 , 2.345105 ], + [ 1893.136248 , 1919.256956 , 1.360980 ], + [ 2073.770699 , 2162.521880 , 4.104059 ], + [ 2206.964010 , 2342.159055 , 5.772240 ], + [ 2304.126621 , 2488.030128 , 7.391531 ], + [ 2373.154766 , 2604.805409 , 8.893203 ], + [ 2420.005673 , 2685.680924 , 9.892286 ], + [ 2448.863167 , 2735.089966 , 10.464987 ], + [ 2422.889960 , 2699.275863 , 10.239261 ], + [ 2253.562833 , 2403.016190 , 6.219407 ], + [ 2034.519052 , 2098.532599 , 3.050396 ], + [ 1806.243306 , 1816.122090 , 0.543949 ], + [ 1023.193649 , 776.276975 , 31.807806 ], + [ 1525.146555 , 1409.444747 , 8.209035 ], + [ 1886.122306 , 1904.185866 , 0.948624 ], + [ 2148.130146 , 2251.764495 , 4.602362 ], + [ 2338.190044 , 2542.942445 , 8.051791 ], + [ 2474.348845 , 2745.634809 , 9.880628 ], + [ 2570.187192 , 2901.373100 , 11.414799 ], + [ 2635.146070 , 3027.489893 , 12.959377 ], + [ 2675.747420 , 3100.613536 , 13.702647 ], + [ 2697.190433 , 3157.776542 , 14.585773 ], + [ 2625.390139 , 3097.907042 , 15.252779 ], + [ 2405.414280 , 2785.983861 , 13.660150 ], + [ 2140.334096 , 2435.764543 , 12.128859 ], + [ 1918.911826 , 2120.329248 , 9.499346 ], + [ 1134.844622 , 876.885316 , 29.417679 ], + [ 1679.290415 , 1587.638861 , 5.772821 ], + [ 2062.069732 , 2124.580533 , 2.942266 ], + [ 2333.411719 , 2509.129235 , 7.003127 ], + [ 2525.701359 , 2819.187942 , 10.410323 ], + [ 2659.649760 , 3044.948789 , 12.653711 ], + [ 2750.616462 , 3196.018358 , 13.936150 ], + [ 2808.740074 , 3339.851753 , 15.902253 ], + [ 2841.435455 , 3435.052610 , 17.281166 ], + [ 2854.008165 , 3482.652710 , 18.050739 ], + [ 2726.384653 , 3448.098035 , 20.930767 ], + [ 2458.831616 , 3105.329082 , 20.818968 ], + [ 2239.608440 , 2736.951332 , 18.171419 ], + [ 1972.754114 , 2378.093534 , 17.044722 ] + ] +} diff --git a/benchmarks/CalibGA/datasets/small/input.data b/benchmarks/CalibGA/datasets/small/input.json similarity index 83% rename from benchmarks/CalibGA/datasets/small/input.data rename to benchmarks/CalibGA/datasets/small/input.json index 2ccd109..217e36a 100644 --- a/benchmarks/CalibGA/datasets/small/input.data +++ b/benchmarks/CalibGA/datasets/small/input.json @@ -1,7 +1,9 @@ -128 // population size -424 // number of iterations of the convergence loop -192 // number of swaption quotes (NUM_SWAP_QUOTES) -[ +{ + "population_size" : 128, + "convergence_iterations": 424, + "num_swaption_quotes": 192, + "swaption_quotes": + [ [5.0, 6.0, 32.0, 0.38295], [6.0, 6.0, 32.0, 0.3325], [7.0, 6.0, 32.0, 0.3016], @@ -207,33 +209,29 @@ [20.0, 6.0, 32.0, 0.1989], [25.0, 6.0, 32.0, 0.18115], [30.0, 6.0, 32.0, 0.16355] -] // SwaptionQuotes :: REAL[NUM_SWAP_QUOTES,4] - - - -11 // Gauss_DIM: Number of Hermite Coefficients; -[ - 0.0, 0.6568095668820999044613, -0.6568095668820997934390, - -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, - -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, - 3.6684708465595856630159, -3.6684708465595838866591 -] // GaussHermiteCoefs::coefs[Gauss_DIM] - -[ - 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, - 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, - 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, - 1.0065267861723647957461, 1.0065267861723774522886 -] // GaussHermiteCoefs::weights[Gauss_DIM] - - - -30 // SOBOL_BITS_NUM -[ 536870912, 268435456, 134217728, 67108864, 33554432, - 16777216, 8388608, 4194304, 2097152, 1048576, - 524288, 262144, 131072, 65536, 32768, - 16384, 8192, 4096, 2048, 1024, - 512, 256, 128, 64, 32, - 16, 8, 4, 2, 1 -] // SOBOL_DIR_VCT == Sobol Direction Vectors REAL[SOBOL_BITS_NUM] - + ], + + "num_hermite_coefficients": 11, + "hermite_coefficients": + [ 0.0, 0.6568095668820999044613, -0.6568095668820997934390, + -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, + -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, + 3.6684708465595856630159, -3.6684708465595838866591 + ], + "hermite_coefficient_weights": + [ + 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, + 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, + 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, + 1.0065267861723647957461, 1.0065267861723774522886 + ], + "sobol_num_bits": 30, + "sobol_dir_vs": + [ 536870912, 268435456, 134217728, 67108864, 33554432, + 16777216, 8388608, 4194304, 2097152, 1048576, + 524288, 262144, 131072, 65536, 32768, + 16384, 8192, 4096, 2048, 1024, + 512, 256, 128, 64, 32, + 16, 8, 4, 2, 1 + ] +} diff --git a/benchmarks/CalibGA/datasets/small/output.data b/benchmarks/CalibGA/datasets/small/output.data deleted file mode 100644 index 5b50f30..0000000 --- a/benchmarks/CalibGA/datasets/small/output.data +++ /dev/null @@ -1,202 +0,0 @@ -0.354136 // a-field of the winning genome -0.040196 // b-field of the winning genome -0.199936 // sigma-field of the winning genome -0.057156 // nu-field of the winning genome --0.999000 // rho-field of the winning genome -382.042219 // LgLikelihood of the winning genome - -[ - [ 3018.728472 , 3517.865132 , 14.188624 ], - [ 3258.265121 , 3515.819590 , 7.325588 ], - [ 3430.596870 , 3548.536924 , 3.323625 ], - [ 3549.010001 , 3593.863556 , 1.248059 ], - [ 3624.740401 , 3610.112568 , 0.405191 ], - [ 3666.381633 , 3604.608406 , 1.713729 ], - [ 3571.630074 , 3703.083453 , 3.549836 ], - [ 3257.030584 , 3373.508169 , 3.452714 ], - [ 2891.629540 , 2912.533049 , 0.717709 ], - [ 2534.324414 , 2507.270448 , 1.079021 ], - [ 1084.972858 , 1449.544560 , 25.150776 ], - [ 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diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/FindBestKer.h b/benchmarks/CalibGA/implementations/cpp_opencl_all/FindBestKer.h similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/FindBestKer.h rename to benchmarks/CalibGA/implementations/cpp_opencl_all/FindBestKer.h diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgFlat.h b/benchmarks/CalibGA/implementations/cpp_opencl_all/GenAlgFlat.h similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgFlat.h rename to benchmarks/CalibGA/implementations/cpp_opencl_all/GenAlgFlat.h diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgKers.h b/benchmarks/CalibGA/implementations/cpp_opencl_all/GenAlgKers.h similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/GenAlgKers.h rename to benchmarks/CalibGA/implementations/cpp_opencl_all/GenAlgKers.h diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/MainKer.h b/benchmarks/CalibGA/implementations/cpp_opencl_all/MainKer.h similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/MainKer.h rename to benchmarks/CalibGA/implementations/cpp_opencl_all/MainKer.h diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/Makefile b/benchmarks/CalibGA/implementations/cpp_opencl_all/Makefile similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/Makefile rename to benchmarks/CalibGA/implementations/cpp_opencl_all/Makefile diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/BestIndValRedKer.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/BestIndValRedKer.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/BestIndValRedKer.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/BestIndValRedKer.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/CalibKers.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/CalibKers.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/CalibKers.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/CalibKers.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Date.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/Date.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Date.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/Date.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/ExactYhat.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/ExactYhat.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/ExactYhat.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/ExactYhat.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/G2ppUtil.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/G2ppUtil.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/G2ppUtil.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/G2ppUtil.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/GenAlg.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/GenAlg.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/GenAlg.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/GenAlg.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Reductions.cl b/benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/Reductions.cl similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SrcCL/Reductions.cl rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SrcCL/Reductions.cl diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/SwapCalib.cpp b/benchmarks/CalibGA/implementations/cpp_opencl_all/SwapCalib.cpp similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/SwapCalib.cpp rename to benchmarks/CalibGA/implementations/cpp_opencl_all/SwapCalib.cpp diff --git a/benchmarks/CalibGA/implementations/All_CppOpenCL/UtilGPGPU.h b/benchmarks/CalibGA/implementations/cpp_opencl_all/UtilGPGPU.h similarity index 100% rename from benchmarks/CalibGA/implementations/All_CppOpenCL/UtilGPGPU.h rename to benchmarks/CalibGA/implementations/cpp_opencl_all/UtilGPGPU.h diff --git a/benchmarks/CalibGA/implementations/cpp_opencl_all/instantiate b/benchmarks/CalibGA/implementations/cpp_opencl_all/instantiate new file mode 100755 index 0000000..5b32e00 --- /dev/null +++ b/benchmarks/CalibGA/implementations/cpp_opencl_all/instantiate @@ -0,0 +1,24 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile . + +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run <(NUM_SWAP_QUOTES), 3); + + fclose(result); } - return 1; + return 0; } @@ -59,4 +69,3 @@ void test_all() { test_pricer_of_swaption(); } #endif - diff --git a/benchmarks/CalibGA/implementations/Outer_CppOpenMP/UtilCPU.h b/benchmarks/CalibGA/implementations/cpp_openmp_outer/UtilCPU.h similarity index 100% rename from benchmarks/CalibGA/implementations/Outer_CppOpenMP/UtilCPU.h rename to benchmarks/CalibGA/implementations/cpp_openmp_outer/UtilCPU.h diff --git a/benchmarks/CalibGA/implementations/cpp_openmp_outer/instantiate b/benchmarks/CalibGA/implementations/cpp_openmp_outer/instantiate new file mode 100755 index 0000000..67b239b --- /dev/null +++ b/benchmarks/CalibGA/implementations/cpp_openmp_outer/instantiate @@ -0,0 +1,35 @@ +#!/bin/sh + +set -e + +cp $FINPAR_LIB_DIR/setup.mk . +cp $FINPAR_LIB_DIR/include/ParserC.h . +cp $FINPAR_LIB_DIR/include/Util.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/KerConsts.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Date.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/GenAlgUtil.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/Candidate.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/IrregShape.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/EvalGenomeInl.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/G2PP.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/G2ppUtil.h . +cp $FINPAR_BENCHMARK_LIB_DIR/include/MathModule.h . +cp $FINPAR_IMPLEMENTATION/GenAlgFlat.h . +cp $FINPAR_IMPLEMENTATION/UtilCPU.h . +cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile . + +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > input.data +$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk +NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) + +cat > run < -#include -#include -#include "GenAlgUtil.h" - -//using namespace std; - -#if WITH_FLOAT - #define read_real read_float -#else - #define read_real read_double -#endif - -/***********************************/ -/********** READ DATA SET **********/ -/***********************************/ - -void readDataSet( UINT& pop_size, - UINT& num_conv_iters, - UINT& num_swap_quotes, - REAL*& swaption_quotes, // [num_swap_quotes,4] - - UINT& num_hermitians, - REAL*& hermite_coefs, // [num_hermite] - REAL*& hermite_weights, // [num_hermite] - - UINT& num_sobol_bits, - int*& sobol_dirs_vct // [num_sobol_bits] -) { - int64_t shape[3]; - bool atr_ok = true; - - if ( read_int( static_cast( &pop_size ) ) || - read_int( static_cast( &num_conv_iters ) ) ) { - fprintf(stderr, "Syntax error when reading population size or convergence-loop count!\n"); - exit(1); - } - atr_ok = (pop_size >= 64) && (num_conv_iters >= 100); - assert(atr_ok && "Population size < 64 OR convergence-loop count < 100!\n"); - - { // swaption quotes - if ( read_int( static_cast( &num_swap_quotes ) ) ) { - fprintf(stderr, "Syntax error when reading NUM_SWAP_QUOTES.\n"); - exit(1); - } - atr_ok = num_swap_quotes > 0; - assert(atr_ok && "Number of swaptions LESS or equal to ZERO!\n"); - - if ( read_array(sizeof(REAL), read_real, (void**)&swaption_quotes, shape, 2) ) { - fprintf(stderr, "Syntax error when reading the swaption quotes.\n"); - exit(1); - } - atr_ok = ( shape[1] == 4 && shape[0] == num_swap_quotes ); - assert(atr_ok && "Incorrect shape of the swaption quotes!"); - } - - { // hermitean coefficients - if ( read_int( static_cast( &num_hermitians ) ) ) { - fprintf(stderr, "Syntax error when reading number of hermitians.\n"); - exit(1); - } - atr_ok = num_hermitians > 0; - assert(atr_ok && "Number of hermitians LESS or equal to ZERO!\n"); - - if ( read_array(sizeof(REAL), read_real, (void**)&hermite_coefs, shape, 1) ) { - fprintf(stderr, "Syntax error when reading the hermitian coeficients.\n"); - exit(1); - } - atr_ok = ( shape[0] == num_hermitians ); - assert(atr_ok && "Incorrect shape of the hermitian coefficients!"); - - if ( read_array(sizeof(REAL), read_real, (void**)&hermite_weights, shape, 1) ) { - fprintf(stderr, "Syntax error when reading the hermitian weights.\n"); - exit(1); - } - atr_ok = ( shape[0] == num_hermitians ); - assert(atr_ok && "Incorrect shape of the hermitian weights!"); - } - - { // sobol direction vectors! - if ( read_int( static_cast( &num_sobol_bits ) ) ) { - fprintf(stderr, "Syntax error when reading NUM_SOBOL_BITS.\n"); - exit(1); - } - atr_ok = num_sobol_bits > 0; - assert(atr_ok && "Number of sobol bits LESS or equal to ZERO!\n"); - - if ( read_array(sizeof(int), read_int, (void**)&sobol_dirs_vct, shape, 1) ) { - fprintf(stderr, "Syntax error when reading sobol direction vectors.\n"); - exit(1); - } - atr_ok = ( shape[0] == num_sobol_bits ); - assert( atr_ok && "Incorrect shape of sobol direction vectors!" ); - } -} - -REAL* readOutput( const int& N, REAL& ref_logLik ) { - REAL* result; - int64_t shape[3]; - - REAL ref_a, ref_b, ref_sigma, ref_nu, ref_rho; - - // reading the reference genome! - if( read_real( &ref_a ) || read_real( &ref_b ) || - read_real( &ref_sigma ) || read_real( &ref_nu ) || - read_real( &ref_rho ) || read_real( &ref_logLik ) ) { - fprintf(stderr, "Syntax error when reading the reference genome or its likelihood.\n"); - exit(1); - } - - // reading the standard output - if ( read_array(sizeof(REAL), read_real, (void**)&result, shape, 2) ) { - fprintf(stderr, "Syntax error when reading the output.\n"); - exit(1); - } - bool ok = ( shape[0] == N ) && ( shape[1] == 3 ); - assert(ok && "Incorrect shape of the reference array result!"); - - return result; -} - -bool validate( const REAL& logLik, const REAL* res, const int& N ) { - bool is_valid = true; - - REAL ref_logLik; - REAL* ref_res = readOutput( N, ref_logLik ); - - if( fabs(ref_logLik - logLik) > 1.0 ) { - is_valid = false; - fprintf(stderr, "Difference in logLikelihood > 1.0: result logLik %f, reference logLik = %f!\n", - logLik, ref_logLik ); - return is_valid; - } else if ( logLik < ref_logLik && fabs(ref_logLik - logLik) > 0.5 ) { - is_valid = false; - fprintf(stderr, "Result likelihood is worse than reference with more than 0.5: result logLik %f, reference logLik = %f!\n", - logLik, ref_logLik ); - return is_valid; - } - - for ( int i = 0; i < N; i ++ ) { - REAL lgLik_cur = logLikelihood( res[3*i+1], res[3*i]); - REAL lgLik_ref = logLikelihood(ref_res[3*i+1],ref_res[3*i]); - REAL diff_curr_lgLik = (lgLik_cur > lgLik_ref) ? - 0.0 : lgLik_ref - lgLik_cur ; - - if (diff_curr_lgLik > 0.7) { - is_valid = false; - fprintf(stderr, "Error[%d] = %f, Acceptable = 1.1!\n", - i, diff_curr_lgLik ); - break; - } - } - - return is_valid; -} - -void writeStatsAndResult( const bool& valid, - const REAL& wg_a, - const REAL& wg_b, - const REAL& wg_sigma, - const REAL& wg_nu, - const REAL& wg_rho, - const REAL& wg_logLik, - const REAL* calib_arr, - const int & NUM_SWAP_QUOTES, - const bool& is_gpu, - const int & P, - const unsigned long int& elapsed -) { - // print stats to stdout - fprintf(stdout, "// Dataset with Number of Swaption Quotes = %d.\n", - NUM_SWAP_QUOTES ); - - if(valid) { fprintf(stdout, "1\t\t// VALID Result,\n"); } - else { fprintf(stdout, "0\t\t// INVALID Result,\n"); } - - fprintf(stdout, "%ld\t\t// Runtime in microseconds,\n", elapsed); - if(is_gpu) fprintf(stdout, "%d\t\t// GPU Threads,\n\n", P); - else fprintf(stdout, "%d\t\t// CPU Threads,\n\n", P); - - // write the genome - write_scal(&wg_a, "a-field of the winning genome"); - write_scal(&wg_b, "b-field of the winning genome"); - write_scal(&wg_sigma, "sigma-field of the winning genome"); - write_scal(&wg_nu, "nu-field of the winning genome"); - write_scal(&wg_rho, "rho-field of the winning genome"); - write_scal(&wg_logLik,"LgLikelihood of the winning genome"); - - // write the result - write_2Darr( calib_arr, static_cast(NUM_SWAP_QUOTES), 3, - "Swaption Calibration Result: foreach swaption [CalibPrice,BlackPrice,PercentDiff]" ); -} - -#endif // PARSE_INPUT - diff --git a/benchmarks/CalibGA/includeC/Candidate.h b/benchmarks/CalibGA/lib/include/Candidate.h similarity index 100% rename from benchmarks/CalibGA/includeC/Candidate.h rename to benchmarks/CalibGA/lib/include/Candidate.h diff --git a/benchmarks/CalibGA/includeC/Constants.h b/benchmarks/CalibGA/lib/include/Constants.h similarity index 100% rename from benchmarks/CalibGA/includeC/Constants.h rename to benchmarks/CalibGA/lib/include/Constants.h diff --git a/benchmarks/CalibGA/includeC/Date.h b/benchmarks/CalibGA/lib/include/Date.h similarity index 100% rename from benchmarks/CalibGA/includeC/Date.h rename to benchmarks/CalibGA/lib/include/Date.h diff --git a/benchmarks/CalibGA/includeC/EvalGenomeInl.h b/benchmarks/CalibGA/lib/include/EvalGenomeInl.h similarity index 100% rename from benchmarks/CalibGA/includeC/EvalGenomeInl.h rename to benchmarks/CalibGA/lib/include/EvalGenomeInl.h diff --git a/benchmarks/CalibGA/includeC/G2PP.h b/benchmarks/CalibGA/lib/include/G2PP.h similarity index 100% rename from benchmarks/CalibGA/includeC/G2PP.h rename to benchmarks/CalibGA/lib/include/G2PP.h diff --git a/benchmarks/CalibGA/includeC/G2ppUtil.h b/benchmarks/CalibGA/lib/include/G2ppUtil.h similarity index 100% rename from benchmarks/CalibGA/includeC/G2ppUtil.h rename to benchmarks/CalibGA/lib/include/G2ppUtil.h diff --git a/benchmarks/CalibGA/includeC/GenAlgUtil.h b/benchmarks/CalibGA/lib/include/GenAlgUtil.h similarity index 100% rename from benchmarks/CalibGA/includeC/GenAlgUtil.h rename to benchmarks/CalibGA/lib/include/GenAlgUtil.h diff --git a/benchmarks/CalibGA/includeC/IrregShape.h b/benchmarks/CalibGA/lib/include/IrregShape.h similarity index 100% rename from benchmarks/CalibGA/includeC/IrregShape.h rename to benchmarks/CalibGA/lib/include/IrregShape.h diff --git a/benchmarks/CalibGA/includeC/KerConsts.h b/benchmarks/CalibGA/lib/include/KerConsts.h similarity index 100% rename from benchmarks/CalibGA/includeC/KerConsts.h rename to benchmarks/CalibGA/lib/include/KerConsts.h diff --git a/benchmarks/CalibGA/includeC/MathModule.h b/benchmarks/CalibGA/lib/include/MathModule.h similarity index 100% rename from benchmarks/CalibGA/includeC/MathModule.h rename to benchmarks/CalibGA/lib/include/MathModule.h diff --git a/benchmarks/CalibGA/lib/include/ParseInput.h b/benchmarks/CalibGA/lib/include/ParseInput.h new file mode 100644 index 0000000..efddda2 --- /dev/null +++ b/benchmarks/CalibGA/lib/include/ParseInput.h @@ -0,0 +1,102 @@ +#ifndef PARSE_INPUT +#define PARSE_INPUT + +#include "ParserC.h" +#include +#include +#include +#include "GenAlgUtil.h" + +//using namespace std; + +#if WITH_FLOAT + #define read_real read_float +#else + #define read_real read_double +#endif + +/***********************************/ +/********** READ DATA SET **********/ +/***********************************/ + +void readDataSet( UINT& pop_size, + UINT& num_conv_iters, + UINT& num_swap_quotes, + REAL*& swaption_quotes, // [num_swap_quotes,4] + + UINT& num_hermitians, + REAL*& hermite_coefs, // [num_hermite] + REAL*& hermite_weights, // [num_hermite] + + UINT& num_sobol_bits, + int*& sobol_dirs_vct // [num_sobol_bits] +) { + int64_t shape[3]; + bool atr_ok = true; + + if ( read_int( static_cast( &pop_size ) ) || + read_int( static_cast( &num_conv_iters ) ) ) { + fprintf(stderr, "Syntax error when reading population size or convergence-loop count!\n"); + exit(1); + } + atr_ok = (pop_size >= 64) && (num_conv_iters >= 100); + assert(atr_ok && "Population size < 64 OR convergence-loop count < 100!\n"); + + { // swaption quotes + if ( read_int( static_cast( &num_swap_quotes ) ) ) { + fprintf(stderr, "Syntax error when reading NUM_SWAP_QUOTES.\n"); + exit(1); + } + atr_ok = num_swap_quotes > 0; + assert(atr_ok && "Number of swaptions LESS or equal to ZERO!\n"); + + if ( read_array(sizeof(REAL), read_real, (void**)&swaption_quotes, shape, 2) ) { + fprintf(stderr, "Syntax error when reading the swaption quotes.\n"); + exit(1); + } + atr_ok = ( shape[1] == 4 && shape[0] == num_swap_quotes ); + assert(atr_ok && "Incorrect shape of the swaption quotes!"); + } + + { // hermitean coefficients + if ( read_int( static_cast( &num_hermitians ) ) ) { + fprintf(stderr, "Syntax error when reading number of hermitians.\n"); + exit(1); + } + atr_ok = num_hermitians > 0; + assert(atr_ok && "Number of hermitians LESS or equal to ZERO!\n"); + + if ( read_array(sizeof(REAL), read_real, (void**)&hermite_coefs, shape, 1) ) { + fprintf(stderr, "Syntax error when reading the hermitian coeficients.\n"); + exit(1); + } + atr_ok = ( shape[0] == num_hermitians ); + assert(atr_ok && "Incorrect shape of the hermitian coefficients!"); + + if ( read_array(sizeof(REAL), read_real, (void**)&hermite_weights, shape, 1) ) { + fprintf(stderr, "Syntax error when reading the hermitian weights.\n"); + exit(1); + } + atr_ok = ( shape[0] == num_hermitians ); + assert(atr_ok && "Incorrect shape of the hermitian weights!"); + } + + { // sobol direction vectors! + if ( read_int( static_cast( &num_sobol_bits ) ) ) { + fprintf(stderr, "Syntax error when reading NUM_SOBOL_BITS.\n"); + exit(1); + } + atr_ok = num_sobol_bits > 0; + assert(atr_ok && "Number of sobol bits LESS or equal to ZERO!\n"); + + if ( read_array(sizeof(int), read_int, (void**)&sobol_dirs_vct, shape, 1) ) { + fprintf(stderr, "Syntax error when reading sobol direction vectors.\n"); + exit(1); + } + atr_ok = ( shape[0] == num_sobol_bits ); + assert( atr_ok && "Incorrect shape of sobol direction vectors!" ); + } +} + +#endif // PARSE_INPUT + diff --git a/benchmarks/CalibGA/includeC/tmp/Constants.h b/benchmarks/CalibGA/lib/include/tmp/Constants.h similarity index 100% rename from benchmarks/CalibGA/includeC/tmp/Constants.h rename to benchmarks/CalibGA/lib/include/tmp/Constants.h diff --git a/benchmarks/CalibGA/includeC/tmp/DataStructConst.h b/benchmarks/CalibGA/lib/include/tmp/DataStructConst.h similarity index 100% rename from benchmarks/CalibGA/includeC/tmp/DataStructConst.h rename to benchmarks/CalibGA/lib/include/tmp/DataStructConst.h diff --git a/benchmarks/CalibGA/includeC/tmp/G2PP.h b/benchmarks/CalibGA/lib/include/tmp/G2PP.h similarity index 100% rename from benchmarks/CalibGA/includeC/tmp/G2PP.h rename to benchmarks/CalibGA/lib/include/tmp/G2PP.h From 40124adef061ca07417ae4dd870d58f978b730b3 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sat, 20 Jun 2015 14:05:08 +0200 Subject: [PATCH 027/122] LocVolCalib fixes. --- .../LocVolCalib/datasets/large/input.json | 2 +- .../LocVolCalib/datasets/large/output.json | 46 ++++++++++++------- .../implementations/futhark/instantiate | 2 +- 3 files changed, 31 insertions(+), 19 deletions(-) diff --git a/benchmarks/LocVolCalib/datasets/large/input.json b/benchmarks/LocVolCalib/datasets/large/input.json index 0988c05..d0db1fc 100644 --- a/benchmarks/LocVolCalib/datasets/large/input.json +++ b/benchmarks/LocVolCalib/datasets/large/input.json @@ -1,5 +1,5 @@ { - "outer" : 128, + "outer" : 256, "num_x" : 256, "num_y" : 256, "num_t" : 64 diff --git a/benchmarks/LocVolCalib/datasets/large/output.json b/benchmarks/LocVolCalib/datasets/large/output.json index 5336d78..8ea53b5 100644 --- a/benchmarks/LocVolCalib/datasets/large/output.json +++ b/benchmarks/LocVolCalib/datasets/large/output.json @@ -1,17 +1,29 @@ -[ 0.03, 0.029208, 0.0288064, 0.0284091, 0.0280168, 0.02763, 0.0272488, 0.0268733, - 0.0265035, 0.0261398, 0.0257819, 0.0254298, 0.0250835, 0.0247429, 0.0244079, 0.0240786, - 0.0237549, 0.0234366, 0.0231239, 0.0228165, 0.0225144, 0.0222177, 0.0219261, 0.0216397, - 0.0213582, 0.0210816, 0.0208095, 0.0205413, 0.0202763, 0.0200168, 0.0197942, 0.0195152, - 0.0192728, 0.019036, 0.0188019, 0.018571, 0.0183438, 0.0181204, 0.0179008, 0.0176849, - 0.0174728, 0.0172644, 0.0170595, 0.0168582, 0.0166602, 0.0164656, 0.0162743, 0.0160862, - 0.0159012, 0.0157192, 0.0155402, 0.0153642, 0.0151911, 0.0150208, 0.0148533, 0.0146884, - 0.0145262, 0.0143665, 0.0142093, 0.0140545, 0.0139021, 0.013752, 0.0136042, 0.0134586, - 0.0133152, 0.0131739, 0.0130346, 0.0128974, 0.0127622, 0.012629, 0.0124976, 0.0123681, - 0.0122403, 0.0121144, 0.0119902, 0.0118678, 0.011747, 0.0116278, 0.0115102, 0.0113942, - 0.0112796, 0.0111666, 0.011055, 0.0109448, 0.010836, 0.0107285, 0.0106224, 0.0105175, - 0.010414, 0.0103117, 0.0102105, 0.0101106, 0.0100119, 0.00991426, 0.00981776, 0.00972235, - 0.00962805, 0.00953481, 0.00944259, 0.00935138, 0.00926115, 0.00917188, 0.00908355, 0.00899615, - 0.00890965, 0.00882403, 0.00873928, 0.00865539, 0.00857232, 0.00849007, 0.00840863, 0.00832796, - 0.00824807, 0.00816892, 0.00809052, 0.00801284, 0.00793587, 0.0078596, 0.00778404, 0.00770914, - 0.00763491, 0.00756131, 0.00748835, 0.007416, 0.00734426, 0.00727311, 0.00720255, 0.00713255 -] +[ 0.029996 , 0.029204 , 0.028803 , 0.028405 , 0.028013 , 0.027626 , 0.027245 , 0.026870 , 0.026500 , + 0.026136 , 0.025778 , 0.025426 , 0.025080 , 0.024739 , 0.024404 , 0.024075 , 0.023751 , 0.023433 , + 0.023120 , 0.022813 , 0.022511 , 0.022214 , 0.021923 , 0.021636 , 0.021355 , 0.021078 , 0.020806 , + 0.020538 , 0.020273 , 0.020014 , 0.019791 , 0.019512 , 0.019270 , 0.019033 , 0.018799 , 0.018568 , + 0.018341 , 0.018117 , 0.017898 , 0.017682 , 0.017470 , 0.017261 , 0.017056 , 0.016855 , 0.016657 , + 0.016463 , 0.016271 , 0.016083 , 0.015898 , 0.015716 , 0.015537 , 0.015361 , 0.015188 , 0.015018 , + 0.014850 , 0.014686 , 0.014523 , 0.014364 , 0.014206 , 0.014052 , 0.013899 , 0.013749 , 0.013601 , + 0.013456 , 0.013312 , 0.013171 , 0.013032 , 0.012895 , 0.012760 , 0.012626 , 0.012495 , 0.012365 , + 0.012238 , 0.012112 , 0.011988 , 0.011865 , 0.011744 , 0.011625 , 0.011508 , 0.011392 , 0.011277 , + 0.011164 , 0.011053 , 0.010942 , 0.010834 , 0.010726 , 0.010620 , 0.010515 , 0.010412 , 0.010309 , + 0.010208 , 0.010108 , 0.010010 , 0.009912 , 0.009815 , 0.009720 , 0.009626 , 0.009533 , 0.009440 , + 0.009349 , 0.009259 , 0.009170 , 0.009081 , 0.008994 , 0.008908 , 0.008822 , 0.008737 , 0.008653 , + 0.008570 , 0.008488 , 0.008407 , 0.008326 , 0.008246 , 0.008167 , 0.008089 , 0.008011 , 0.007934 , + 0.007858 , 0.007782 , 0.007707 , 0.007633 , 0.007559 , 0.007487 , 0.007414 , 0.007342 , 0.007271 , + 0.007201 , 0.007131 , 0.007061 , 0.006993 , 0.006924 , 0.006856 , 0.006789 , 0.006722 , 0.006656 , + 0.006590 , 0.006525 , 0.006460 , 0.006396 , 0.006332 , 0.006268 , 0.006205 , 0.006143 , 0.006081 , + 0.006019 , 0.005958 , 0.005897 , 0.005836 , 0.005776 , 0.005716 , 0.005657 , 0.005598 , 0.005539 , + 0.005481 , 0.005423 , 0.005365 , 0.005308 , 0.005251 , 0.005194 , 0.005138 , 0.005081 , 0.005026 , + 0.004970 , 0.004915 , 0.004860 , 0.004806 , 0.004751 , 0.004697 , 0.004643 , 0.004590 , 0.004536 , + 0.004483 , 0.004431 , 0.004378 , 0.004326 , 0.004274 , 0.004222 , 0.004170 , 0.004119 , 0.004068 , + 0.004017 , 0.003966 , 0.003915 , 0.003865 , 0.003815 , 0.003765 , 0.003715 , 0.003665 , 0.003616 , + 0.003566 , 0.003517 , 0.003468 , 0.003420 , 0.003371 , 0.003323 , 0.003274 , 0.003226 , 0.003178 , + 0.003130 , 0.003083 , 0.003035 , 0.002988 , 0.002940 , 0.002893 , 0.002846 , 0.002799 , 0.002752 , + 0.002706 , 0.002659 , 0.002613 , 0.002566 , 0.002520 , 0.002474 , 0.002428 , 0.002382 , 0.002337 , + 0.002291 , 0.002245 , 0.002200 , 0.002154 , 0.002109 , 0.002064 , 0.002019 , 0.001973 , 0.001928 , + 0.001884 , 0.001839 , 0.001794 , 0.001749 , 0.001705 , 0.001660 , 0.001616 , 0.001571 , 0.001527 , + 0.001482 , 0.001438 , 0.001394 , 0.001350 , 0.001306 , 0.001262 , 0.001218 , 0.001174 , 0.001130 , + 0.001086 , 0.001042 , 0.000998 , 0.000954 , 0.000911 , 0.000867 , 0.000823 , 0.000780 , 0.000736 , + 0.000692 , 0.000649 , 0.000605 , 0.000562 ] diff --git a/benchmarks/LocVolCalib/implementations/futhark/instantiate b/benchmarks/LocVolCalib/implementations/futhark/instantiate index 82ef9eb..75cbad8 100755 --- a/benchmarks/LocVolCalib/implementations/futhark/instantiate +++ b/benchmarks/LocVolCalib/implementations/futhark/instantiate @@ -6,4 +6,4 @@ $FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input. cp $FINPAR_IMPLEMENTATION/run . -futhark-c $FINPAR_IMPLEMENTATION/CalibVolDiff.fut +futhark-c $FINPAR_IMPLEMENTATION/CalibVolDiff.fut -o CalibVolDiff From df23a9f2bec311ec42feb7304797996b43eb50b3 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 14 Jul 2015 13:51:25 +0200 Subject: [PATCH 028/122] Comment notation changed. --- .../implementations/futhark/CalibVolDiff.fut | 75 ++++++++++--------- lib/linearise_data.py | 1 - 2 files changed, 40 insertions(+), 36 deletions(-) diff --git a/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut b/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut index 480b004..0b13af1 100644 --- a/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut +++ b/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut @@ -10,7 +10,7 @@ initGrid(real s0, real alpha, real nu, real t, int numX, int numY, int numT) = let myY = map(fn real (int i) => toFloat(i) * dy - toFloat(myYindex) * dy + logAlpha, iota(numY)) in {myXindex, myYindex, myX, myY, myTimeline} -// make the innermost dimension of the result of size 4 instead of 3? +-- make the innermost dimension of the result of size 4 instead of 3? fun {[[real]],[[real]]} initOperator([real] x) = let n = size(0, x) in let dxu = x[1] - x[0] in @@ -40,7 +40,7 @@ fun *[[real]] setPayoff(real strike, [real] myX, [real] myY) = let myres = map(fn [real] (real xi) => replicate(n, max(xi-strike,0.0)), myX) in copy(transpose(myres)) -// Returns new myMuX, myVarX, myMuY, myVarY. +-- Returns new myMuX, myVarX, myMuY, myVarY. fun {[[real]] , [[real]] , [[real]] , [[real]]} updateParams( [real] myX, [real] myY, [real] myTimeline, int g, real alpha, real beta, real nu ) = @@ -74,10 +74,10 @@ fun *[real] tridagSeq( [real] a, *[real] b, [real] c, *[real] y ) = fun *[real] tridagPar( [real] a, *[real] b, [real] c, *[real] y ) = let n = size(0, a) in - //////////////////////////////////////////////////// - // Recurrence 1: b[i] = b[i] - a[i]*c[i-1]/b[i-1] // - // solved by scan with 2x2 matrix mult operator // - //////////////////////////////////////////////////// + ---------------------------------------------------- + -- Recurrence 1: b[i] = b[i] - a[i]*c[i-1]/b[i-1] -- + -- solved by scan with 2x2 matrix mult operator -- + ---------------------------------------------------- let b0 = b[0] in let mats = map ( fn {real,real,real,real} (int i) => if 0 < i @@ -99,10 +99,10 @@ fun *[real] tridagPar( [real] a, *[real] b, [real] c, *[real] y ) = let {t0,t1,t2,t3} = tup in (t0*b0 + t1) / (t2*b0 + t3) , scmt ) in - ////////////////////////////////////////////////////// - // Recurrence 2: y[i] = y[i] - (a[i]/b[i-1])*y[i-1] // - // solved by scan with linear func comp operator // - ////////////////////////////////////////////////////// + ------------------------------------------------------ + -- Recurrence 2: y[i] = y[i] - (a[i]/b[i-1])*y[i-1] -- + -- solved by scan with linear func comp operator -- + ------------------------------------------------------ let y0 = y[0] in let lfuns= map ( fn {real,real} (int i) => if 0 < i @@ -118,10 +118,10 @@ fun *[real] tridagPar( [real] a, *[real] b, [real] c, *[real] y ) = let {a,b} = tup in a + b*y0 , cfuns ) in - ////////////////////////////////////////////////////// - // Recurrence 3: backward recurrence solved via // - // scan with linear func comp operator // - ////////////////////////////////////////////////////// + ------------------------------------------------------ + -- Recurrence 3: backward recurrence solved via -- + -- scan with linear func comp operator -- + ------------------------------------------------------ let yn = y[n-1]/b[n-1] in let lfuns= map ( fn {real,real} (int k) => let i = n-k-1 @@ -141,14 +141,14 @@ fun *[real] tridagPar( [real] a, *[real] b, [real] c, *[real] y ) = let y = map (fn real (int i) => y[n-i-1], iota(n)) in copy(y) -/////////////////////////////////////////// -// myD,myDD : [[real,3],m] -// myMu,myVar,result : [[real,m],n] -// RETURN : [[real,m],n] -/////////////////////////////////////////// +------------------------------------------/ +-- myD,myDD : [[real,3],m] +-- myMu,myVar,result : [[real,m],n] +-- RETURN : [[real,m],n] +------------------------------------------/ fun *[[real]] explicitMethod( [[real]] myD, [[real]] myDD, [[real]] myMu, [[real]] myVar, [[real]] result ) = - // 0 <= i < m AND 0 <= j < n + -- 0 <= i < m AND 0 <= j < n let m = size(0,myD) in copy( map( fn [real] ( {[real],[real],[real]} tup ) => let {mu_row, var_row, result_row} = tup in @@ -168,12 +168,12 @@ fun *[[real]] explicitMethod( [[real]] myD, [[real]] myDD, ) ) -/////////////////////////////////////////// -// myD,myDD : [[real,3],m] -// myMu,myVar,u : [[real,m],n] -// RETURN : [[real,m],n] -/////////////////////////////////////////// -// for implicitY: should be called with transpose(u) instead of u +------------------------------------------/ +-- myD,myDD : [[real,3],m] +-- myMu,myVar,u : [[real,m],n] +-- RETURN : [[real,m],n] +------------------------------------------/ +-- for implicitY: should be called with transpose(u) instead of u fun *[[real]] implicitMethod( [[real]] myD, [[real]] myDD, [[real]] myMu, [[real]] myVar, *[[real]] u, real dtInv ) = @@ -201,7 +201,7 @@ fun *[[real]] rollback let {numX, numY} = {size(0, myX), size(0, myY)} in let dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]) in - // explicitX + -- explicitX let u = explicitMethod( myDx, myDxx, myMuX, myVarX, myResult ) in let u = map( fn [real] ({[real],[real]} tup) => let {u_row, res_row} = tup in @@ -211,16 +211,16 @@ fun *[[real]] rollback , zip(u_row,res_row) ) , zip(u,myResult) ) in - // explicitY + -- explicitY let myResultTR = transpose(myResult) in let v = explicitMethod( myDy, myDyy, myMuY, myVarY, myResultTR ) in let u = map( fn *[real] ([real] us, [real] vs) => copy(map(+, zip(us, vs))) , zip(u, transpose(v)) ) in - // implicitX + -- implicitX let u = implicitMethod( myDx, myDxx, myMuX, myVarX, u, dtInv ) in - // implicitY + -- implicitY let y = copy( map( fn [real] ({[real],[real]} uv_row) => let {u_row, v_row} = uv_row in map( fn real ({real,real} uv) => @@ -253,8 +253,13 @@ fun real value(int numX, int numY, int numT, real s0, real strike, real t, real myResult in myResult[myYindex,myXindex] -fun [real] main (int outer_loop_count, int numX, int numY, int numT, - real s0, real strike, real t, real alpha, real nu, real beta) = - let strikes = map(fn real (int i) => 0.001*toFloat(i), iota(outer_loop_count)) in - let res = map(fn real (real x) => value(numX, numY, numT, s0, x, t, alpha, nu, beta), strikes) in - res +fun [real] main (int outer_loop_count, int numX, int numY, int numT) = + let s0 = 0.03 in + let strike = 0.03 in + let t = 5.0 in + let alpha = 0.2 in + let nu = 0.6 in + let beta = 0.5 in + let strikes = map(fn real (int i) => 0.001*toFloat(i), iota(outer_loop_count)) in + let res = map(fn real (real x) => value(numX, numY, numT, s0, x, t, alpha, nu, beta), strikes) in + res diff --git a/lib/linearise_data.py b/lib/linearise_data.py index 46d5831..18bc33d 100755 --- a/lib/linearise_data.py +++ b/lib/linearise_data.py @@ -14,7 +14,6 @@ def read_json_file(filename): data = read_json_file(sys.argv[1]) for field in sys.argv[2:]: try: - print ("// " + field) print(data[field]) except KeyError: exit("Key %s not found in JSON file." % field) From 246f756bba7f8660ee05c01d7351717c35cbb0ad Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 14 Jul 2015 15:32:47 +0200 Subject: [PATCH 029/122] Update Futhark implementation of option pricing. --- .../futhark/GenericPricing.fut | 504 +++++++++++------- .../implementations/futhark/instantiate | 2 +- 2 files changed, 309 insertions(+), 197 deletions(-) diff --git a/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut b/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut index b86f7f7..216abe7 100644 --- a/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut +++ b/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut @@ -1,50 +1,101 @@ fun int grayCode(int x) = (x >> 1) ^ x -//////////////////////////////////////// -/// Sobol Generator -//////////////////////////////////////// -fun int index([int] arr, int i) = arr[i] - +---------------------------------------- +--- Sobol Generator +---------------------------------------- fun bool testBit(int n, int ind) = let t = (1 << ind) in (n & t) == t -///////////////////////////////////////////////////////////////// -//// DIFFICULT VERSION: filter is hoisted outside map: -//// less computation but variable array size! -///////////////////////////////////////////////////////////////// -//fun int xorInds([int] indices, [int] dir_vs ) = -// reduce( ^, 0, map( index(dir_vs), indices ) ) -// -//fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = -// let bits = iota ( bits_num ) in -// let indices = filter ( testBit(grayCode(n)), bits ) -// in map( xorInds(indices), dir_vs ) - - -///////////////////////////////////////////////////////////////// -//// EASY VERSION: filter is redundantly computed inside map: -//// more computation but a redofilt pattern, i.e., array -//// not instantiated! -///////////////////////////////////////////////////////////////// -fun int xorInds(int bits_num, int n, [int] dir_vs ) = - let bits = iota ( bits_num ) in - let indices = filter ( testBit(grayCode(n)), bits ) in - reduce( ^, 0, map( index(dir_vs), indices ) ) - -fun [int] sobolIndI ( int bits_num, [[int]] dir_vs, int n ) = - map( xorInds(bits_num, n), dir_vs ) -//////////////////////////////////////////////////////////////// - -fun [real] sobolIndR( int bits_num, [[int]] dir_vs, int n ) = - let divisor = 2.0 pow toFloat (bits_num) in - let arri = sobolIndI( bits_num, dir_vs, n ) in +----------------------------------------------------------------- +---- INDEPENDENT FORMULA: +---- filter is redundantly computed inside map. +---- Currently Futhark hoists it outside, but this will +---- not allow fusing the filter with reduce => redomap, +----------------------------------------------------------------- +fun int xorInds(int n, [int,num_bits] dir_vs) = + let reldv_vals = map( fn int (int dv, int i) => + if testBit(grayCode(n),i) + then dv else 0 + , zip(dir_vs,iota(num_bits)) ) in + reduce( ^, 0, reldv_vals ) + +fun [int] sobolIndI ( [[int]] dir_vs, int n ) = + map( xorInds(n), dir_vs ) + +fun [real] sobolIndR( [[int,num_bits]] dir_vs, int n ) = + let divisor = 2.0 pow toFloat (num_bits) in + let arri = sobolIndI( dir_vs, n ) in map( fn real (int x) => toFloat(x) / divisor, arri ) -//////////////////////////////////////// -/// Inverse Gaussian -//////////////////////////////////////// - -//tmp_rat_evalL :: SpecReal -> [SpecReal] -> SpecReal +-------------------------------- +---- STRENGTH-REDUCED FORMULA +-------------------------------- +fun int index_of_least_significant_0(int num_bits, int n) = + let {goon,k} = {True,0} in + loop ({goon,k,n}) = + for i < num_bits do + if(goon) + then if (n & 1) == 1 + then {True, k+1, n>>1} + else {False,k, n } + else {False,k, n } + in k + +fun [int] sobolRecI([[int,num_bits]] sob_dir_vs, [int] prev, int n) = + let bit = index_of_least_significant_0(num_bits,n) in + map (fn int ({[int],int} vct_prev) => + let {vct_row, prev} = vct_prev in + vct_row[bit] ^ prev + , zip(sob_dir_vs,prev)) + +fun [[real]] sobolRecMap( real sob_fact, [[int]] dir_vs, {int,int} lu_bds ) = + let {lb_inc, ub_exc} = lu_bds in + -- the if inside may be particularly ugly for + -- flattening since it introduces control flow! + let contribs = map( fn [int] (int k) => + if (k==0) + then sobolIndI(dir_vs,lb_inc+1) + else recM(dir_vs,k+lb_inc) + , iota(ub_exc-lb_inc) + ) in + let vct_ints = scan( fn [int] ([int] x, [int] y) => zipWith(^, x, y) + , replicate( size(0,dir_vs), 0 ) + , contribs + ) + in map( fn [real] ([int] xs) => + map ( fn real (int x) => + toFloat(x) * sob_fact + , xs) + , vct_ints) + +fun [int] sobolRecI2([[int]] sob_dirs, [int] prev, int i)= + let col = recM(sob_dirs, i) in zipWith(^,prev,col) + +fun [int] recM( [[int,num_bits]] sob_dirs, int i ) = + let bit= index_of_least_significant_0(num_bits,i) in + map( fn int([int] row) => row[bit], sob_dirs ) + +-- computes sobol numbers: n,..,n+chunk-1 +fun [[real],chunk] sobolChunk([[int,num_bits],len] dir_vs, int n, int chunk) = + let sob_fact= 1.0 / toFloat(1 << num_bits) in + let sob_beg = sobolIndI(dir_vs, n+1) in + let contrbs = map( fn [int] (int k) => + let sob = k + n in + if(k==0) then sob_beg + else recM(dir_vs, k+n) + , iota(chunk) ) in + let vct_ints= scan( fn [int] ([int] x, [int] y) => + zipWith(^, x, y) + , replicate(len, 0), contrbs ) in + map( fn [real] ([int] xs) => + map ( fn real (int x) => + toFloat(x) * sob_fact + , xs) + , vct_ints) + +---------------------------------------- +--- Inverse Gaussian +---------------------------------------- fun real polyAppr( real x, real a0, real a1, real a2, real a3, real a4, real a5, real a6, real a7, @@ -122,27 +173,30 @@ fun real tail(real r) = fun real ugaussianEl( real p ) = let dp = p - 0.5 - in //if ( fabs(dp) <= 0.425 ) - if ( ( (dp < 0.0) && (0.0 - dp <= 0.425) ) || ( (0.0 <= dp) && (dp <= 0.425) ) ) + in --if ( fabs(dp) <= 0.425 ) + if ( ( (dp < 0.0 ) && (0.0 - dp <= 0.425) ) || + ( (0.0 <= dp) && (dp <= 0.425) ) ) then smallcase(dp) - else let pp = if(dp < 0.0) then dp + 0.5 else 0.5 - dp in - let r = sqrt( - log(pp) ) in - let x = if(r <= 5.0) then intermediate(r) else tail(r) in - if(dp < 0.0) then 0.0 - x else x - -// Transforms a uniform distribution [0,1) into a gaussian distribution (-inf, +inf) + else let pp = if(dp < 0.0) then dp + 0.5 + else 0.5 - dp in + let r = sqrt( - log(pp) ) in + let x = if(r <= 5.0) then intermediate(r) + else tail(r) in + if(dp < 0.0) then 0.0 - x + else x + +-- Transforms a uniform distribution [0,1) +-- into a gaussian distribution (-inf, +inf) fun [real] ugaussian([real] ps) = map(ugaussianEl, ps) -///////////////////////////////// -/// Brownian Bridge -///////////////////////////////// - -fun [real] brownianBridgeDates ( - int num_dates, - [[int ]] bb_inds, // [3, num_dates] - [[real]] bb_data, // [3, num_dates] - [real] gauss // [num_dates] +--------------------------------- +--- Brownian Bridge +--------------------------------- +fun [real,num_dates] brownianBridgeDates ( + [[int, num_dates],3] bb_inds, + [[real,num_dates],3] bb_data, + [real,num_dates] gauss ) = let bi = bb_inds[0] in let li = bb_inds[1] in @@ -151,12 +205,11 @@ fun [real] brownianBridgeDates ( let lw = bb_data[1] in let rw = bb_data[2] in -// let gauss[ bi[0]-1 ] = sd[0] * gauss[0] in let bbrow = copy(replicate(num_dates, 0.0)) in - let bbrow[ bi[0]-1 ] = sd[0] * gauss[0] in + let bbrow[ bi[0]-1 ] = sd[0] * gauss[0] in loop (bbrow) = - for i < num_dates-1 do // use i+1 since i in 1 .. num_dates-1 + for i < num_dates-1 do -- use i+1 since i in 1 .. num_dates-1 let j = li[i+1] - 1 in let k = ri[i+1] - 1 in let l = bi[i+1] - 1 in @@ -165,13 +218,13 @@ fun [real] brownianBridgeDates ( let zi = gauss [i+1] in let tmp= rw[i+1] * wk + sd[i+1] * zi in - let bbrow[ l ] = if( (j + 1) == 0) // if(j=-1) + let bbrow[ l ] = if( j == -1) then tmp else tmp + lw[i+1] * bbrow[j] in bbrow - // This can be written as map-reduce, but it - // needs delayed arrays to be mapped nicely! + -- This can be written as map-reduce, but it + -- needs delayed arrays to be mapped nicely! in loop (bbrow) = for ii < num_dates-1 do let i = num_dates - (ii+1) in @@ -179,153 +232,212 @@ fun [real] brownianBridgeDates ( in bbrow in bbrow -// [num_dates,num_paths] -fun [[real]] brownianBridge ( - int num_paths, - int num_dates, - [[int ]] bb_inds, // [3, num_dates] - [[real]] bb_data, // [3, num_dates] - [real] gaussian_arr // [num_paths * num_dates] +fun [[real,num_und],num_dates] brownianBridge ( + int num_und, + [[int, num_dates],3] bb_inds, + [[real,num_dates],3] bb_data, + [real] gaussian_arr ) = - let gauss2d = reshape((num_dates,num_paths), gaussian_arr) in + let gauss2d = reshape((num_dates,num_und), gaussian_arr) in let gauss2dT = transpose(gauss2d) in - transpose( map( brownianBridgeDates(num_dates, bb_inds, bb_data), gauss2dT ) ) - + transpose( + map( brownianBridgeDates(bb_inds, bb_data), gauss2dT ) + ) -///////////////////////////////// -/// Black-Scholes -///////////////////////////////// - -fun real zwop(real a, real b, int j) = a * b +--------------------------------- +--- Black-Scholes +--------------------------------- fun [real] take(int n, [real] a) = let {first, rest} = split((n), a) in first -fun [real] fftmp(int num_paths, [[real]] md_c, [real] zi) = - map( fn real (int j) => - let x = map(zwop, zip(take(j+1,zi), take(j+1,md_c[j]), iota(j+1))) - in reduce(+, 0.0, x), - iota(num_paths) - ) - -fun [[real]] correlateDeltas(int num_paths, [[real]] md_c, [[real]] zds) = - map( fftmp(num_paths, md_c), zds ) - -fun [real] combineVs([real] n_row, [real] vol_row, [real] dr_row) = - map( +, zip(dr_row, map( *, zip(n_row, vol_row ) ))) - -fun [[real]] mkPrices ([real] md_starts, [[real]] md_vols, [[real]] md_drifts, [[real]] noises) = - let e_rows = map( fn [real] ([real] x) => map(exp, x), - map(combineVs, zip(noises, md_vols, md_drifts)) +fun [[real,num_und],num_dates] +correlateDeltas( [[real,num_und],num_und ] md_c, + [[real,num_und],num_dates] zds +) = + map( fn [real,num_und] ([real,num_und] zi) => + map( fn real (int j) => + let x = zipWith( *, take(j+1,zi), take(j+1,md_c[j]) ) + in reduce( +, 0.0, x ) + , iota(num_und) ) + , zds ) + +fun [real,num_und] combineVs( [real,num_und] n_row, + [real,num_und] vol_row, + [real,num_und] dr_row ) = + map(+, zip(dr_row, map(*, zip(n_row, vol_row ) ))) + +fun [[real,num_und],num_dates] +mkPrices( [real,num_und] md_starts, + [[real,num_und],num_dates] md_vols, + [[real,num_und],num_dates] md_drifts, + [[real,num_und],num_dates] noises +) = + let c_rows = map( combineVs, zip(noises, md_vols, md_drifts) ) in + let e_rows = map( fn [real] ([real] x) => map(exp, x) + , c_rows --map( combineVs, zip(noises, md_vols, md_drifts) ) ) - in scan( fn [real] ([real] x, [real] y) => map(*, zip(x, y)), md_starts, e_rows ) - -//[num_dates, num_paths] -fun [[real]] blackScholes( - int num_paths, - [[real]] md_c, //[num_paths, num_paths] - [[real]] md_vols, //[num_paths, num_dates] - [[real]] md_drifts, //[num_paths, num_dates] - [real] md_starts, //[num_paths] - [[real]] bb_arr //[num_dates,num_paths] + in scan( fn [real] ([real] x, [real] y) => zipWith(*, x, y) + , md_starts, e_rows ) + +fun [[real,num_und],num_dates] blackScholes( + [[real,num_und],num_und ] md_c, + [[real,num_und],num_dates] md_vols, + [[real,num_und],num_dates] md_drifts, + [real,num_und] md_starts, + [[real,num_und],num_dates] bb_arr ) = - let noises = correlateDeltas(num_paths, md_c, bb_arr) + let noises = correlateDeltas(md_c, bb_arr) in mkPrices(md_starts, md_vols, md_drifts, noises) -//////////////////////////////////////// -// MAIN -//////////////////////////////////////// - -fun [real] main(int contract_number, - int num_mc_it, - int num_dates, - int num_und, - int num_models, // Unused? - int num_bits, - [[int]] dir_vs, - [[[real]]] all_md_c, - [[[real]]] all_md_vols, - [[[real]]] all_md_drifts, - [[real]] all_md_st, - [[real]] all_md_detvals, - [[real]] all_md_disc, - [[int]] bb_inds, - [[real]] bb_data) = - let md_c = all_md_c[0] in - let md_vols = all_md_vols[0] in - let md_drifts = all_md_drifts[0] in - let md_st = all_md_st[0] in - let md_detvals = all_md_detvals[0] in - let md_disc = all_md_disc[0] in - let sobol_mat = map ( sobolIndR(num_bits, dir_vs), map(fn int (int x) => x + 1, iota(num_mc_it)) ) in - let gauss_mat = map ( ugaussian, sobol_mat ) in - let bb_mat = map ( brownianBridge( num_und, num_dates, bb_inds, bb_data ), gauss_mat ) in - let bs_mat = map ( blackScholes( num_und, md_c, md_vols, md_drifts, md_st ), bb_mat ) in - - let payoff = - if contract_number == 1 then - let payoffs = map ( payoff1(md_disc, md_detvals), bs_mat ) in - reduce ( +, 0.0, payoffs ) - else if contract_number == 2 then - let payoffs = map ( payoff2(md_disc), bs_mat ) in - reduce ( +, 0.0, payoffs ) - else if contract_number == 3 then - let payoffs = map ( payoff3(md_disc), bs_mat ) in - reduce ( +, 0.0, payoffs ) - else 0.0 in - [ payoff / toFloat(num_mc_it) ] - -//////////////////////////////////////// -// PAYOFF FUNCTION -//////////////////////////////////////// - -// This function is super weird, but a faithful translation of the -// Haskell version... -fun real payoff1 ([real] md_disc, [real] md_detvals, [[real]] xss) = - let detval = md_detvals[0] in - let amount = (xss[0,0] - 4000.0) * detval in - let amount2 = if amount < 0.0 then 0.0 else amount in - trajInner(amount2, 0, md_disc) +---------------------------------------- +-- MAIN +---------------------------------------- +fun [real] mainInd( + int contract_number, + int num_mc_it, + [[int,num_bits]] dir_vs_nosz, + [[[real,num_und],num_und ],num_models] md_cs, + [[[real,num_und],num_dates],num_models] md_vols, + [[[real,num_und],num_dates],num_models] md_drifts, + [[real,num_und],num_models] md_sts, + [[real],num_models] md_detvals, + [[real],num_models] md_discts, + [[int, num_dates],3] bb_inds, + [[real,num_dates],3] bb_data +) = + let dir_vs = reshape( (num_dates*num_und, num_bits), dir_vs_nosz ) in + + let sobol_mat = map ( sobolIndR(dir_vs) + , map( fn int (int x) => x + 1, iota(num_mc_it) ) + ) in + + let gauss_mat = map ( ugaussian, sobol_mat ) in + + let bb_mat = map ( brownianBridge( num_und, bb_inds, bb_data ), gauss_mat ) in + + let payoffs = map ( fn [real] ([[real]] bb_row) => + let market_params = zip(md_cs, md_vols, md_drifts, md_sts) in + let bd_row = map (fn [[real]] ({[[real]],[[real]],[[real]],[real]} m) => + let {c,vol,drift,st} = m in + blackScholes(c, vol, drift, st, bb_row) + , market_params) + in + let payoff_params = zip(md_discts, md_detvals, bd_row) in + map (fn real ({[real],[real],[[real]]} p) => + let {disct, detval, bd} = p in + genericPayoff(contract_number, disct, detval, bd) + , payoff_params) + , bb_mat) + in + let payoff = reduce ( fn [real] ([real] x, [real] y) => + zipWith(+, x, y) + , replicate(num_models, 0.0) + , payoffs ) + in map (fn real (real price) => price / toFloat(num_mc_it), payoff) + + + +fun [real] main( + int contract_number, + int num_mc_it, + [[int,num_bits]] dir_vs_nosz, + [[[real,num_und],num_und ],num_models] md_cs, + [[[real,num_und],num_dates],num_models] md_vols, + [[[real,num_und],num_dates],num_models] md_drifts, + [[real,num_und],num_models] md_sts, + [[real],num_models] md_detvals, + [[real],num_models] md_discts, + [[int, num_dates],3] bb_inds, + [[real,num_dates],3] bb_data +) = + let sobvctsz = num_dates*num_und in + let dir_vs = reshape( (sobvctsz,num_bits), dir_vs_nosz ) in + let sobol_mat = streamMapMax ( fn [[real,sobvctsz]] (int chunk, [int] ns) => + sobolChunk(dir_vs, ns[0], chunk) + , iota(num_mc_it) ) in + + let gauss_mat = map ( ugaussian, sobol_mat ) in + + let bb_mat = map ( brownianBridge( num_und, bb_inds, bb_data ), gauss_mat ) in + + let payoffs = map ( fn [real] ([[real]] bb_row) => + let market_params = zip(md_cs, md_vols, md_drifts, md_sts) in + let bd_row = map (fn [[real]] ({[[real]],[[real]],[[real]],[real]} m) => + let {c,vol,drift,st} = m in + blackScholes(c, vol, drift, st, bb_row) + , market_params) + in + let payoff_params = zip(md_discts, md_detvals, bd_row) in + map (fn real ({[real],[real],[[real]]} p) => + let {disct, detval, bd} = p in + genericPayoff(contract_number, disct, detval, bd) + , payoff_params) + , bb_mat) + in + let payoff = reduce( fn [real] ([real] x, [real] y) => + zipWith(+, x, y) + , replicate(num_models, 0.0) + , payoffs ) + in map (fn real (real price) => price / toFloat(num_mc_it), payoff) + + +---------------------------------------- +-- PAYOFF FUNCTIONS +---------------------------------------- +fun real genericPayoff(int contract, [real] md_disct, [real] md_detval, [[real]] xss) = + if (contract == 1) then payoff1(md_disct, md_detval, xss) + else if (contract == 2) then payoff2(md_disct, xss) + else if (contract == 3) then payoff3(md_disct, xss) + else 0.0 + +fun real payoff1([real] md_disct, [real] md_detval, [[real]] xss) = +-- invariant: xss is a 1x1 matrix + let detval = md_detval[0] in + let amount = ( xss[0,0] - 4000.0 ) * detval in + let amount0= if (0.0 < amount) then amount else 0.0 + in trajInner(amount0, 0, md_disct) fun real payoff2 ([real] md_disc, [[real]] xss) = -// invariant: length(xss) == 5, i.e., 5x3 matrix - let divs = [ 1.0/3758.05, 1.0/11840.0, 1.0/1200.0 ] in - let xss_div = map( fn [real] ([real] xs) => map(*, zip(xs, divs)), xss ) in - let mins = map( MIN, xss_div ) - in if( 1.0 <= mins[0] ) then trajInner(1150.0, 0, md_disc) - else if( 1.0 <= mins[1] ) then trajInner(1300.0, 1, md_disc) - else if( 1.0 <= mins[2] ) then trajInner(1450.0, 2, md_disc) - else if( 1.0 <= mins[3] ) then trajInner(1600.0, 3, md_disc) - else if( 1.0 <= mins[4] ) then trajInner(1750.0, 4, md_disc) - else if( 0.75 < mins[4] ) then trajInner(1000.0, 4, md_disc) - else trajInner(1000.0 * mins[4], 4, md_disc) - -fun real payoff3 ([real] md_disc, [[real]] xss) = - // invariant: size(1,xss) == 3. - let x3309 = reduce(||, False, - map (fn bool ([real] xs) => - xs[0] <= 2630.6349999999998 || - xs[1] <= 8288.0 || - xs[2] <= 840.0, - xss)) in - let goto_40 = (x3309 && - (xss[366,0] < 3758.05 || - xss[366,2] < 1200.0 || - xss[366,1] < 11840.0)) in - let price1 = trajInner(100.0, 0, md_disc) in - let price2 = - if goto_40 then let m1 = min((xss[366,2] / 1200.00) - 1.0, - (xss[366,0] / 3758.05) - 1.0) in - let m2 = min((xss[366,1] / 11840.00) - 1.0, - m1) in - let amount = 1000.0 * (1.0 + m2) in - trajInner(amount, 1, md_disc) - else trajInner(1000.0, 1, md_disc) in - price1 + price2 - -fun real min(real x, real y) = - if x < y then x else y +-- invariant: xss is a 5x3 matrix + let {date, amount} = + if (1.0 <= fminPayoff(xss[0])) then {0, 1150.0} + else if (1.0 <= fminPayoff(xss[1])) then {1, 1300.0} + else if (1.0 <= fminPayoff(xss[2])) then {2, 1450.0} + else if (1.0 <= fminPayoff(xss[3])) then {3, 1600.0} + else let x50 = fminPayoff(xss[4]) in + let val = if ( 1.0 <= x50 ) then 1750.0 + else if ( 0.75 < x50 ) then 1000.0 + else x50*1000.0 + in {4, val} + in trajInner(amount, date, md_disc) + +fun real payoff3([real] md_disct, [[real]] xss) = +-- invariant: xss is a 367x3 matrix + let conds = map (fn bool ([real] x) => (x[0] <= 2630.6349999999998) || + (x[1] <= 8288.0) || + (x[2] <= 840.0) + , xss) in + let cond = reduce (||, False, conds) in + let price1= trajInner(100.0, 0, md_disct) in + let goto40= cond && + ( (xss[366,0] < 3758.05) || + (xss[366,1] < 11840.0) || + (xss[366,2] < 1200.0 ) ) in + let amount= if goto40 + then 1000.0 * fminPayoff(xss[366]) + else 1000.0 in + let price2 = trajInner(amount, 1, md_disct) in + price1 + price2 + +fun real fminPayoff([real] xs) = +-- MIN( zipWith(/, xss, {3758.05, 11840.0, 1200.0}) ) + let {a,b,c} = { xs[0]/3758.05, xs[1]/11840.0, xs[2]/1200.0} in + if a < b then if a < c then a else c + else if b < c then b else c fun real MIN([real] arr) = reduce( fn real (real x, real y) => if(x input.data +$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data cp $FINPAR_IMPLEMENTATION/run . From cf79b7c3af8dcae4a4f4b7605c5a103ca435be29 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 24 Jul 2015 13:16:12 +0200 Subject: [PATCH 030/122] removing redundant files. --- Makefile | 128 -------------------- finpar | 353 ------------------------------------------------------- 2 files changed, 481 deletions(-) delete mode 100644 Makefile delete mode 100755 finpar diff --git a/Makefile b/Makefile deleted file mode 100644 index ede2024..0000000 --- a/Makefile +++ /dev/null @@ -1,128 +0,0 @@ -# Supposed to be the Centralised makefile for benchmarks -# BUT IT IS NOT IMPLEMENTED RIGHT NOW. RATHER GO AND MAKE -# EACH BENCHMARK (VERSION) INDIVIDUALLY IN ITS OWN FOLDER, -# PLEASE READ the README.md file!!!!! -# -# This makefile is common infrastructure to compile and run all benchmarks. -# -# It recursively calls make in specified subdirectories with the -# benchmark programs, and expects that each such directory contains a -# makefile with the following targets: -# -# compile the benchmark -# run_X run the benchmark with data set X -# (where X is in {small,medium,large}) -# clean -# -# Some centralised targets are defined here: -# run_all: runs all benchmarks with all data -# clean: calls make clean in all configured subdirectories -# OptionPricing: compile all programs in OptionPricing subdir -# - - -################################################################# - -# As per today, we have the following working directories: - -# Option Pricing -# ./OptionPricing/OrigCpp -- sequential, original C(++) code -# ./OptionPricing/CppOpenMP -- OpenMP version -# ./OptionPricing/CppOpenCL -- GPU version using OpenCL -# ./OptionPricing/HaskellLH -- Haskell version documenting all parallelism. -# -# Local Volatility Calibration -# ./LocVolCalib/OrigCpp -- sequential, original C(++) code -# ./LocVolCalib/COpenMP -- OpenMP C version of the code -# ./LocVolCalib/AllParOpenCLMP -- parallelizing the outer two loops in OpenCL and OpenMP -# ./LocVolCalib/OutParOpenCLMP -- parallelizing the whole loop nest in OpenCL and OpenMP -# ./LocVolCalib/HaskellLH -- Haskell version documenting all parallelism. -# -# Interest Rate Calibration: -# ./InterestCalib/OrigCpp -- sequential C++ code (translated from the original Caml code) -# ./InterestCalib/CppOpenMP -- OpenMP version, in which only the outermost loop is parallel -# ./InterestCalib/CppOpenCL -- OpenCL version, which needs to exploit parallelism on all levels. -# ./InterestCalib/HaskellLH -- Haskell version documenting all parallelism. -# - -BENCHMARKS =OptionPricing #LocVolCalib #InterestCalib - -VERSIONS_OptionPricing = OptionPricing/OrigCpp OptionPricing/CppOpenMP \ - OptionPricing/HaskellLH OptionPricing/CppOpenCL - -VERSIONS_LocVolCalib = LocVolCalib/OrigCpp LocVolCalib/COpenMP LocVolCalib/AllParOpenCLMP \ - LocVolCalib/HaskellLH LocVolCalib/OutParOpenCLMP - -VERSIONS_InterestCalib = InterestCalib/OrigCpp InterestCalib/CppOpenMP \ - InterestCalib/CppOpenCL InterestCalib/HaskellLH - -include platform.mk - -####################### rules start here ######################## - -# default: help text -.PHONY: help -help: - @echo "\tFor now, please read the makefile before using it" - @echo "\t XXX Help text should be added soon here" - -all : $(BENCHMARKS) run_all - -run_all :: - @echo "Running all benchmarks" - -OptionPricing: $(VERSIONS_OptionPricing) - -LocVolCalib: $(VERSIONS_LocVolCalib) - -InterestCalib: $(VERSIONS_InterestCalib) - - -################## target construction functions ################ -# : -# $(MAKE) -C - -#run_ : -# make -C run_ - -# XXX BTW some renaming/reducing dir.s will be appropriate... -# */Data/[small|medium|large][in|out] is good enough - -define runRule -# arg.s: benchmark/version, Category (small,medium,large) -#$$(warning runRule($(1),$(2))) - -.PHONY: run_$(1)_$(2) -run_$(1)_$(2): $(1) - $$(MAKE) -C $(1) run_$(2) -run_all :: run_$(1)_$(2) - -endef - -define mkStdRule -# arg.: Benchmark/Version# -#$$(warning mkStdRule($(1))) - -.PHONY: $(1) -# building the target -$(1): - $$(MAKE) -C $(1) - -# running small,medium,large -$$(eval $$(call runRule,$(1),small)) -$$(eval $$(call runRule,$(1),medium)) -$$(eval $$(call runRule,$(1),large)) - -# and cleaning... -clean :: - $$(MAKE) -C $(1) clean -endef - -################## constructing the targets ################ - -$(foreach B,$(VERSIONS_OptionPricing),$(eval $(call mkStdRule,$(B)))) -$(foreach B,$(VERSIONS_LocVolCalib),$(eval $(call mkStdRule,$(B)))) - -$(foreach B,$(VERSIONS_InterestCalib),$(eval $(call mkStdRule,$(B)))) - -# custom rules would go here as well diff --git a/finpar b/finpar deleted file mode 100755 index 021c58f..0000000 --- a/finpar +++ /dev/null @@ -1,353 +0,0 @@ -#!/usr/bin/env python - -import os -import subprocess -import json -import sys - -def executable(fpath): - return os.path.isfile(fpath) and os.access(fpath, os.X_OK) - -class Implementation: - def __init__(self, finpar_lib_dir, benchmark_lib_dir, name, directory): - if os.path.isdir(directory): - self.directory = directory - else: - if os.path.isfile(directory): - raise Exception("File %s exists, but should be an implementation directory" % directory) - else: - raise Exception("Implementation directory %s does not exist " % directory) - - self.directory = directory - self.name = name - self.finpar_lib_dir = finpar_lib_dir - self.benchmark_lib_dir = benchmark_lib_dir - - instantiatefile = os.path.join(self.directory, "instantiate") - if not executable(instantiatefile): - raise Exception("%s is not an executable file" % instantiatefile) - self.instantiatefile = instantiatefile - - def instantiate(self, where, input_data, platform_file): - if not os.path.isdir(where): - os.mkdir(where) - - # We use the current environment as a template, and then - # extend it with some new variables. - instantiate_env = os.environ.copy() - instantiate_env["FINPAR_LIB_DIR"] = self.finpar_lib_dir - instantiate_env["FINPAR_BENCHMARK_LIB_DIR"] = self.benchmark_lib_dir - instantiate_env["FINPAR_IMPLEMENTATION"] = self.directory - instantiate_env["FINPAR_INPUT"] = input_data - instantiate_env["FINPAR_PLATFORM"] = platform_file - - proc = subprocess.Popen(self.instantiatefile, - env=instantiate_env, - stdout=subprocess.PIPE, - stderr=subprocess.PIPE, - stdin=subprocess.PIPE, - close_fds=True, - cwd=where) - (stdoutdata, stderrdata) = proc.communicate(input=None) - return (proc.returncode, stdoutdata, stderrdata) - -class Benchmark: - # In the constructor, we do some basic sanity-checking. The - # primary purpose here is to provide better error messages than if - # we fail to read files later down the line. - def __init__(self, finpardir, name, directory): - self.finpardir = finpardir - self.name = name - - if os.path.isdir(directory): - self.directory = directory - else: - raise Exception("Benchmark directory %s does not exist" % directory) - dircontents = os.listdir(self.directory) - - # The lib directories do not have to exist. - self.benchmark_lib_dir = os.path.join(self.directory, "lib") - self.finpar_lib_dir = os.path.join(self.finpardir, "lib") - - if "implementations" in dircontents: - self.__gather_implementations() - else: - raise Exception("No implementation directory in %s" % directory) - - if "datasets" in dircontents: - self.datasets = os.path.join(self.directory, "datasets") - self.__gather_datasets() - else: - raise Exception("No datasets directory in %s" % directory) - - def __gather_implementations(self): - self.implementations = [] - for impl in os.listdir(os.path.join(self.directory, "implementations")): - implpath = os.path.join(self.directory, "implementations", impl) - if os.path.isdir(implpath): - self.implementations.append(Implementation(self.finpar_lib_dir, - self.benchmark_lib_dir, - impl, - os.path.join(self.directory, "implementations", impl))) - - def __gather_datasets(self): - self.datasets = {} - for dataset in os.listdir(os.path.join(self.directory, "datasets")): - datasetpath = os.path.join(self.directory, "datasets", dataset) - if os.path.isdir(datasetpath): - inputfile = os.path.join(self.directory, "datasets", dataset, "input.json") - outputfile = os.path.join(self.directory, "datasets", dataset, "output.json") - if not os.path.isfile(inputfile): - raise Exception("File %s missing or not a file." % inputfile) - if not os.path.isfile(outputfile): - raise Exception("File %s missing or not a file." % outputfile) - - self.datasets[dataset] = { 'input_file' : inputfile, - 'expected_output' : read_json_file(outputfile) - } - -def desc_triple(benchmark, implementation, dataset): - return "Benchmark %s, implementation %s, dataset %s" % (benchmark, implementation, dataset) - -def note_result(results, benchmark, implementation, dataset, runtime): - results[(benchmark,implementation,dataset)] = runtime - -def run_some_benchmark_implementations(finpar_dir, - workdir, - benchmarkdir, - platform, - run_implementation_fn, - use_dataset_fn): - b = Benchmark(finpar_dir, os.path.basename(benchmarkdir), benchmarkdir) - insts = [] - failed_insts = [] - results = {} - - for impl in b.implementations: - if not run_implementation_fn(impl): - continue - for dataset in b.datasets: - if not use_dataset_fn(dataset): - continue - instdir = os.path.join(workdir, - "%s-%s-%s" % (b.name, impl.name, dataset)) - print("Instantiating in %s" % instdir) - (retcode, stdout, stderr) = impl.instantiate(instdir, b.datasets[dataset]['input_file'], platform) - if retcode != 0: - failed_insts.append({ 'benchmark' : b.name, - 'implementation' : impl.name, - 'dataset' : dataset, - 'instantiation_directory' : instdir, - 'retcode' : retcode, - 'stdout' : stdout, - 'stderr' : stderr}) - print("Spoiler: failed") - else: - insts.append({ 'benchmark' : b.name, - 'implementation' : impl.name, - 'dataset' : dataset, - 'instantiation_directory' : instdir, - 'expected_output' : b.datasets[dataset]['expected_output'] - }) - - for inst in insts: - instdir = inst['instantiation_directory'] - print("\nRunning %s" % instdir) - stdoutpath = os.path.join(instdir, "stdout.log") - stderrpath = os.path.join(instdir, "stderr.log") - with open(stdoutpath, "w") as stdout: - with open(stderrpath, "w") as stderr: - print("Output can be found in %s and %s" % (stdoutpath, stderrpath)) - try: - proc = subprocess.Popen(os.path.join(instdir, "run"), - stdout=stdout, - stderr=stderr, - stdin=subprocess.PIPE, - close_fds=True, - cwd=instdir) - proc.stdin.close() # Make sure stdin EOFs. - proc.wait() - except: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "could not run") - continue - - if proc.returncode != 0: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "non-zero exit code") - continue - - try: - runtime = read_runtime(instdir) - except IOError: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "no runtime measurement") - continue - except ValueError: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "non-integer runtime measurement") - continue - - try: - result = read_json_file(os.path.join(instdir, "result.json")) - expected = inst['expected_output'] - if compare_json(result, expected): - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - runtime) - else: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "invalid result") - except (IOError, ValueError): - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "cannot read result") - return (results, failed_insts) - -def read_runtime(instdir): - with open(os.path.join(instdir, "runtime.txt"), "r") as file: - return int(file.read()) - -def read_json_file(filename): - with open(filename, "r") as file: - return json.loads(file.read()) - -epsilon = 0.001 - -# Generic comparison function using epsilon for comparing floats. -def compare_json(json1, json2): - if type(json1) != type(json2): - return False - - if type(json1) is float: - return abs(json1-json2) < epsilon - - if type(json1) is list: - if len(json1) != len(json2): - return False - for x,y in zip(json1, json2): - if not compare_json(x,y): - return False - return True - - if type(json1) is dict: - keys1 = json1.keys() - keys2 = json2.keys() - keys1.sort() - keys2.sort() - if keys1 == keys2: - for key in keys1: - if not compare_json(json1[key], json2[key]): - return False - return True - else: - return False - - return json1 == json2 - -def what_to_run(): - if len(sys.argv) == 1: - return ("benchmarks/CalibVolDiff", None, None) - elif len(sys.argv) == 2: - return (sys.argv[1], None, None) - elif len(sys.argv) == 3: - return (sys.argv[1], sys.argv[2].split(','), None) - elif len(sys.argv) == 4: - return (sys.argv[1], sys.argv[2].split(','), sys.argv[3].split(',')) - else: - exit("Usage: %s [benchmark] [implementation1,implementation2,...] [dataset1,dataset2,...]" % - sys.argv[0]) - -if __name__ == '__main__': - (benchmark, implementations, datasets) = what_to_run() - instantiations_dir = "instantiations" - platform_file = "config/platform_example.json" - - print("Assuming I am being run from main finpar directory.") - print("Will run benchmark %s." % benchmark) - - if implementations is None: - print("Will run all implementations.") - else: - print("Will run these implementations: %s" % implementations) - - if datasets is None: - print("Will use all datasets.") - else: - print("Will use these datasets: %s" % datasets) - - print("Will instantiate in %s." % instantiations_dir) - print("Will use platform configuration %s." % platform_file) - finpar_dir = os.getcwd() - - def run_implementation_fn(impl): - if implementations is None: - return True - else: - return impl.name in implementations - - def use_dataset_fn(dataset): - if datasets is None: - return True - else: - return dataset in datasets - - (results, failed_to_instantiate) = ( - run_some_benchmark_implementations(finpar_dir, - os.path.join(finpar_dir, instantiations_dir), - os.path.join(finpar_dir, benchmark), - os.path.join(finpar_dir, platform_file), - run_implementation_fn, - use_dataset_fn) - ) - - for failed in failed_to_instantiate: - print("Failed to instantiate implementation %s with dataset %s; exit code %d." % - (failed['implementation'], failed['dataset'], failed['retcode'])) - print("Stdout\n") - print(failed['stdout']) - print("Stderr\n") - print(failed['stderr']) - print("") - - successful = {} - failed = {} - - for result in results: - if type(results[result]) is int: - successful[result] = results[result] - else: - failed[result] = results[result] - - print "\nFailed:" - for f in failed: - (benchmark, implementation, dataset) = f - print("%s: %s" % - (desc_triple(benchmark, implementation, dataset), - failed[f])) - - print "\nSucceeded:" - for s in successful: - (benchmark, implementation, dataset) = s - print("%s: %s" % - (desc_triple(benchmark, implementation, dataset), - successful[s])) From 89dcfac103efbef909e74a687861b96ce3600e05 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 24 Jul 2015 13:17:19 +0200 Subject: [PATCH 031/122] Changed name of executable --- finpar_old | 355 +++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 355 insertions(+) create mode 100755 finpar_old diff --git a/finpar_old b/finpar_old new file mode 100755 index 0000000..80264f9 --- /dev/null +++ b/finpar_old @@ -0,0 +1,355 @@ +#!/usr/bin/env python + +import os +import subprocess +import json +import sys + +def executable(fpath): + return os.path.isfile(fpath) and os.access(fpath, os.X_OK) + +class Implementation: + def __init__(self, finpar_lib_dir, benchmark_lib_dir, name, directory): + if os.path.isdir(directory): + self.directory = directory + else: + if os.path.isfile(directory): + raise Exception("File %s exists, but should be an implementation directory" % directory) + else: + raise Exception("Implementation directory %s does not exist " % directory) + + self.directory = directory + self.name = name + self.finpar_lib_dir = finpar_lib_dir + self.benchmark_lib_dir = benchmark_lib_dir + + instantiatefile = os.path.join(self.directory, "instantiate") + if not executable(instantiatefile): + raise Exception("%s is not an executable file" % instantiatefile) + self.instantiatefile = instantiatefile + + def instantiate(self, where, input_data, platform_file): + if not os.path.isdir(where): + os.mkdir(where) + + # We use the current environment as a template, and then + # extend it with some new variables. + instantiate_env = os.environ.copy() + instantiate_env["FINPAR_LIB_DIR"] = self.finpar_lib_dir + instantiate_env["FINPAR_BENCHMARK_LIB_DIR"] = self.benchmark_lib_dir + instantiate_env["FINPAR_IMPLEMENTATION"] = self.directory + instantiate_env["FINPAR_INPUT"] = input_data + instantiate_env["FINPAR_PLATFORM"] = platform_file + + # Here we are running the "instantiate" program with appropriate vars. "instantiate" should be replaced by a call to make. + proc = subprocess.Popen(self.instantiatefile, + env=instantiate_env, + stdout=subprocess.PIPE, + stderr=subprocess.PIPE, + stdin=subprocess.PIPE, + close_fds=True, + cwd=where) + (stdoutdata, stderrdata) = proc.communicate(input=None) + # returncode = 0 upon success. If retcode = 0, then stdout & stderr are empty. + return (proc.returncode, stdoutdata, stderrdata) + +class Benchmark: + # In the constructor, we do some basic sanity-checking. The + # primary purpose here is to provide better error messages than if + # we fail to read files later down the line. + def __init__(self, finpardir, name, directory): + self.finpardir = finpardir + self.name = name + + if os.path.isdir(directory): + self.directory = directory + else: + raise Exception("Benchmark directory %s does not exist" % directory) + dircontents = os.listdir(self.directory) + + # The lib directories do not have to exist. + self.benchmark_lib_dir = os.path.join(self.directory, "lib") + self.finpar_lib_dir = os.path.join(self.finpardir, "lib") + + if "implementations" in dircontents: + self.__gather_implementations() + else: + raise Exception("No implementation directory in %s" % directory) + + if "datasets" in dircontents: + self.datasets = os.path.join(self.directory, "datasets") + self.__gather_datasets() + else: + raise Exception("No datasets directory in %s" % directory) + + def __gather_implementations(self): + self.implementations = [] + for impl in os.listdir(os.path.join(self.directory, "implementations")): + implpath = os.path.join(self.directory, "implementations", impl) + if os.path.isdir(implpath): + self.implementations.append(Implementation(self.finpar_lib_dir, + self.benchmark_lib_dir, + impl, + os.path.join(self.directory, "implementations", impl))) + + def __gather_datasets(self): + self.datasets = {} + for dataset in os.listdir(os.path.join(self.directory, "datasets")): + datasetpath = os.path.join(self.directory, "datasets", dataset) + if os.path.isdir(datasetpath): + inputfile = os.path.join(self.directory, "datasets", dataset, "input.json") + outputfile = os.path.join(self.directory, "datasets", dataset, "output.json") + if not os.path.isfile(inputfile): + raise Exception("File %s missing or not a file." % inputfile) + if not os.path.isfile(outputfile): + raise Exception("File %s missing or not a file." % outputfile) + + self.datasets[dataset] = { 'input_file' : inputfile, + 'expected_output' : read_json_file(outputfile) + } + +def desc_triple(benchmark, implementation, dataset): + return "Benchmark %s, implementation %s, dataset %s" % (benchmark, implementation, dataset) + +def note_result(results, benchmark, implementation, dataset, runtime): + results[(benchmark,implementation,dataset)] = runtime + +def run_some_benchmark_implementations(finpar_dir, + workdir, + benchmarkdir, + platform, + run_implementation_fn, + use_dataset_fn): + b = Benchmark(finpar_dir, os.path.basename(benchmarkdir), benchmarkdir) + insts = [] + failed_insts = [] + results = {} + + for impl in b.implementations: + if not run_implementation_fn(impl): + continue + for dataset in b.datasets: + if not use_dataset_fn(dataset): + continue + instdir = os.path.join(workdir, + "%s-%s-%s" % (b.name, impl.name, dataset)) + print("Instantiating in %s" % instdir) + (retcode, stdout, stderr) = impl.instantiate(instdir, b.datasets[dataset]['input_file'], platform) + if retcode != 0: + failed_insts.append({ 'benchmark' : b.name, + 'implementation' : impl.name, + 'dataset' : dataset, + 'instantiation_directory' : instdir, + 'retcode' : retcode, + 'stdout' : stdout, + 'stderr' : stderr}) + print("Spoiler: failed") + else: + insts.append({ 'benchmark' : b.name, + 'implementation' : impl.name, + 'dataset' : dataset, + 'instantiation_directory' : instdir, + 'expected_output' : b.datasets[dataset]['expected_output'] + }) + + for inst in insts: + instdir = inst['instantiation_directory'] + print("\nRunning %s" % instdir) + stdoutpath = os.path.join(instdir, "stdout.log") + stderrpath = os.path.join(instdir, "stderr.log") + with open(stdoutpath, "w") as stdout: + with open(stderrpath, "w") as stderr: + print("Output can be found in %s and %s" % (stdoutpath, stderrpath)) + try: + proc = subprocess.Popen(os.path.join(instdir, "run"), + stdout=stdout, + stderr=stderr, + stdin=subprocess.PIPE, + close_fds=True, + cwd=instdir) + proc.stdin.close() # Make sure stdin EOFs. + proc.wait() + except: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "could not run") + continue + + if proc.returncode != 0: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "non-zero exit code") + continue + + try: + runtime = read_runtime(instdir) + except IOError: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "no runtime measurement") + continue + except ValueError: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "non-integer runtime measurement") + continue + + try: + result = read_json_file(os.path.join(instdir, "result.json")) + expected = inst['expected_output'] + if compare_json(result, expected): + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + runtime) + else: + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "invalid result") + except (IOError, ValueError): + note_result(results, + inst['benchmark'], + inst['implementation'], + inst['dataset'], + "cannot read result") + return (results, failed_insts) + +def read_runtime(instdir): + with open(os.path.join(instdir, "runtime.txt"), "r") as file: + return int(file.read()) + +def read_json_file(filename): + with open(filename, "r") as file: + return json.loads(file.read()) + +epsilon = 0.001 + +# Generic comparison function using epsilon for comparing floats. +def compare_json(json1, json2): + if type(json1) != type(json2): + return False + + if type(json1) is float: + return abs(json1-json2) < epsilon + + if type(json1) is list: + if len(json1) != len(json2): + return False + for x,y in zip(json1, json2): + if not compare_json(x,y): + return False + return True + + if type(json1) is dict: + keys1 = json1.keys() + keys2 = json2.keys() + keys1.sort() + keys2.sort() + if keys1 == keys2: + for key in keys1: + if not compare_json(json1[key], json2[key]): + return False + return True + else: + return False + + return json1 == json2 + +def what_to_run(): + if len(sys.argv) == 1: + return ("benchmarks/CalibVolDiff", None, None) + elif len(sys.argv) == 2: + return (sys.argv[1], None, None) + elif len(sys.argv) == 3: + return (sys.argv[1], sys.argv[2].split(','), None) + elif len(sys.argv) == 4: + return (sys.argv[1], sys.argv[2].split(','), sys.argv[3].split(',')) + else: + exit("Usage: %s [benchmark] [implementation1,implementation2,...] [dataset1,dataset2,...]" % + sys.argv[0]) + +if __name__ == '__main__': + (benchmark, implementations, datasets) = what_to_run() + instantiations_dir = "instantiations" + platform_file = "config/platform_example.json" + + print("Assuming I am being run from main finpar directory.") + print("Will run benchmark %s." % benchmark) + + if implementations is None: + print("Will run all implementations.") + else: + print("Will run these implementations: %s" % implementations) + + if datasets is None: + print("Will use all datasets.") + else: + print("Will use these datasets: %s" % datasets) + + print("Will instantiate in %s." % instantiations_dir) + print("Will use platform configuration %s." % platform_file) + finpar_dir = os.getcwd() + + def run_implementation_fn(impl): + if implementations is None: + return True + else: + return impl.name in implementations + + def use_dataset_fn(dataset): + if datasets is None: + return True + else: + return dataset in datasets + + (results, failed_to_instantiate) = ( + run_some_benchmark_implementations(finpar_dir, + os.path.join(finpar_dir, instantiations_dir), + os.path.join(finpar_dir, benchmark), + os.path.join(finpar_dir, platform_file), + run_implementation_fn, + use_dataset_fn) + ) + + for failed in failed_to_instantiate: + print("Failed to instantiate implementation %s with dataset %s; exit code %d." % + (failed['implementation'], failed['dataset'], failed['retcode'])) + print("Stdout\n") + print(failed['stdout']) + print("Stderr\n") + print(failed['stderr']) + print("") + + successful = {} + failed = {} + + for result in results: + if type(results[result]) is int: + successful[result] = results[result] + else: + failed[result] = results[result] + + print "\nFailed:" + for f in failed: + (benchmark, implementation, dataset) = f + print("%s: %s" % + (desc_triple(benchmark, implementation, dataset), + failed[f])) + + print "\nSucceeded:" + for s in successful: + (benchmark, implementation, dataset) = s + print("%s: %s" % + (desc_triple(benchmark, implementation, dataset), + successful[s])) From 3039b9c641e1fb497fabe9a5edac513e9362ccfb Mon Sep 17 00:00:00 2001 From: Thor Date: Mon, 27 Jul 2015 18:16:46 +0200 Subject: [PATCH 032/122] README.md now basically explains how hipermark works --- benchmarks/LocVolCalib/README.txt | 53 - benchmarks/LocVolCalib/ToDo.txt | 28 - .../LocVolCalib/datasets/large/input.json | 6 - .../LocVolCalib/datasets/large/output.json | 29 - .../LocVolCalib/datasets/medium/input.json | 6 - .../LocVolCalib/datasets/medium/output.json | 17 - .../LocVolCalib/datasets/small/input.json | 6 - .../LocVolCalib/datasets/small/output.json | 3 - .../cpp_openclmp_all/CrankNicolson.cl | 1043 --------- .../implementations/cpp_openclmp_all/Makefile | 42 - .../cpp_openclmp_all/PrepareKernels.h | 1576 ------------- .../cpp_openclmp_all/Vect_CPU.h | 159 -- .../cpp_openclmp_all/Vect_GPU.h | 188 -- .../cpp_openclmp_all/VolCalibAll.cpp | 166 -- .../cpp_openclmp_all/VolCalibInit.h | 127 - .../cpp_openclmp_all/instantiate | 28 - .../cpp_openclmp_outer/CrankNicolson.cl | 287 --- .../cpp_openclmp_outer/Makefile | 53 - .../cpp_openclmp_outer/PrepareKernels.h | 529 ----- .../cpp_openclmp_outer/Vect_CPU.h | 122 - .../cpp_openclmp_outer/Vect_GPU.h | 178 -- .../cpp_openclmp_outer/VolCalibInit.h | 137 -- .../cpp_openclmp_outer/VolCalibOuter.cpp | 168 -- .../cpp_openclmp_outer/instantiate | 29 - .../implementations/cpp_openmp_naive/Makefile | 23 - .../cpp_openmp_naive/VolCalibOrig.cpp | 349 --- .../cpp_openmp_naive/instantiate | 24 - .../implementations/cpp_sequential/Makefile | 36 - .../implementations/cpp_sequential/VolCalib | Bin 40968 -> 0 bytes .../cpp_sequential/VolCalibOrig.cpp | 318 --- .../cpp_sequential/instantiate | 15 - .../implementations/cpp_sequential/run | 3 - .../implementations/futhark/CalibVolDiff | Bin 25696 -> 0 bytes .../implementations/futhark/CalibVolDiff.c | 2077 ----------------- .../implementations/futhark/CalibVolDiff.fut | 265 --- .../implementations/futhark/instantiate | 9 - .../LocVolCalib/implementations/futhark/run | 5 - .../implementations/haskell_lh/VolCalib.hs | 441 ---- .../implementations/haskell_lh/instantiate | 11 - .../implementations/haskell_lh/run | 5 - .../LocVolCalib/lib/include/Constants.h | 42 - .../LocVolCalib/lib/include/DataStructConst.h | 91 - .../LocVolCalib/lib/include/ParPrefixUtil.h | 323 --- .../LocVolCalib/lib/include/ParseInput.h | 58 - .../implementations/cpp_openmp/instantiate | 20 +- 45 files changed, 10 insertions(+), 9085 deletions(-) delete mode 100644 benchmarks/LocVolCalib/README.txt delete mode 100644 benchmarks/LocVolCalib/ToDo.txt delete mode 100644 benchmarks/LocVolCalib/datasets/large/input.json delete mode 100644 benchmarks/LocVolCalib/datasets/large/output.json delete mode 100644 benchmarks/LocVolCalib/datasets/medium/input.json delete mode 100644 benchmarks/LocVolCalib/datasets/medium/output.json delete mode 100644 benchmarks/LocVolCalib/datasets/small/input.json delete mode 100644 benchmarks/LocVolCalib/datasets/small/output.json delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/CrankNicolson.cl delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/PrepareKernels.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Vect_CPU.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Vect_GPU.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibInit.h delete mode 100755 benchmarks/LocVolCalib/implementations/cpp_openclmp_all/instantiate delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/CrankNicolson.cl delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/PrepareKernels.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Vect_CPU.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Vect_GPU.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibInit.h delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp delete mode 100755 benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/instantiate delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp delete mode 100755 benchmarks/LocVolCalib/implementations/cpp_openmp_naive/instantiate delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile delete mode 100755 benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalib delete mode 100644 benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp delete mode 100755 benchmarks/LocVolCalib/implementations/cpp_sequential/instantiate delete mode 100755 benchmarks/LocVolCalib/implementations/cpp_sequential/run delete mode 100755 benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff delete mode 100644 benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.c delete mode 100644 benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut delete mode 100755 benchmarks/LocVolCalib/implementations/futhark/instantiate delete mode 100755 benchmarks/LocVolCalib/implementations/futhark/run delete mode 100644 benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs delete mode 100755 benchmarks/LocVolCalib/implementations/haskell_lh/instantiate delete mode 100755 benchmarks/LocVolCalib/implementations/haskell_lh/run delete mode 100644 benchmarks/LocVolCalib/lib/include/Constants.h delete mode 100644 benchmarks/LocVolCalib/lib/include/DataStructConst.h delete mode 100644 benchmarks/LocVolCalib/lib/include/ParPrefixUtil.h delete mode 100644 benchmarks/LocVolCalib/lib/include/ParseInput.h diff --git a/benchmarks/LocVolCalib/README.txt b/benchmarks/LocVolCalib/README.txt deleted file mode 100644 index 848f0be..0000000 --- a/benchmarks/LocVolCalib/README.txt +++ /dev/null @@ -1,53 +0,0 @@ -FIXME: this README is outdated. - -1. This is a benchmark received from Nordea, via Prof. Brian Vinter. - Here is Christian's (Andreetta) guess about what the application is about: - " The task is stochastic volatility calibration, i.e., given a set of - (observed) prices of contracts, we identify the parameters of a model - of such prices, as a function of volatility (unknown), time and strikes (known), - and unobserved parameters like alpha, beta, nu, etc. - - In this case, the volatility is modelled as a system of continuous - partial differential equations, which are solved via Crank-Nicolson's - finite differences method. - - The model seems to be a variation of SABR. - " - -2. STRUCTURE: - - a) `NordeaOrig' folder contains the original sequential code, which can be simply - compiled by: `$ g++ HiperfitExample1.cpp' - - b) `VectOuters' folder contains the GPU parallel version of the code, in which - two (outer) dimensions of parallelism are exploited, but the inner dimension, - corresponding to TRIDAG is sequentially executed. - - The CPU execution executes in parallel the outermost loop (OpenMP). - - The degree of parallelism is sensitive to the following parameters, set in - `DataStructConst.h' file: OUTER_LOOP_COUNT, NUM_X, NUM_Y, which are all set - by default to 128, but can be varied. The degree of exploited parallelism is: - OUTER_LOOP_COUNT * MIN(NUM_X, NUM_Y). - - If you wish the result to not be printed, set DEBUG to 0 in DataStructConst.h, - and if you wish GPU hardware info, define DEBUG_PRINT_GPU_INFO. - - To build for CPU execution, set OMP_NUM_THREADS, and: - $make cpu - To build for GPU execution: - $make gpu - - To run: - $./nordea - - c) `VectAll' folder contains the GPU versions that exploits all parallel dimensions - of parallelism, i.e., TRIDAG is parallelized as a combination of scan with - 2x2 matrix multiplication and linear function composition, respectively. - - It follows that it works well even with smaller values for the parallelism-degree - sensitive parameters, e.g., OUTER_LOOP_COUNT x NUM_X x NUM_Y = 128 x 32 x 32. - - The rest is as with `VectOuters', e.g., in the CPU version the outermost loop - (OUTER_LOOP_COUNT) is executed in parallel via OpenMP. - diff --git a/benchmarks/LocVolCalib/ToDo.txt b/benchmarks/LocVolCalib/ToDo.txt deleted file mode 100644 index aa6a98a..0000000 --- a/benchmarks/LocVolCalib/ToDo.txt +++ /dev/null @@ -1,28 +0,0 @@ -0. Test on different OpSys: Ubuntu, Mac, Windows - Test on different hardware: AMD GPU & NVIDIA GPU - (Intel Phi?) - -1. For both VectAll and VectOuters, check whether the GPU - code is specialized for NVIDIA hardware constants, - such as WARP == 32. (Meaning, test it on AMD GPU) - -2. VectOuters and VectAll: - Currently all the result arrays are copied - back to CPU space, but only a small part - of it is actually required. This filtering - can be done on GPU so as to optimize - communication costs. - -3. Make the seguential overhead, e.g., allocation of CPU/GPU arrays, - close to negligible by increasing the NUM_T, especially for - the Medium and Small datasets. - -4. Source code focusing on readability (not performance). - -5. CONTENT-ORIENTED: - -- eliminate some of the restrictions for VectAll, e.g., - arbitrary size of NUM_X and NUM_Y which leads to - ``global'' segmented scan (in which the segments have - regular sizes). - -- irregular segmented scan, in which there are no restrictions - on the size of the segments. diff --git a/benchmarks/LocVolCalib/datasets/large/input.json b/benchmarks/LocVolCalib/datasets/large/input.json deleted file mode 100644 index d0db1fc..0000000 --- a/benchmarks/LocVolCalib/datasets/large/input.json +++ /dev/null @@ -1,6 +0,0 @@ -{ - "outer" : 256, - "num_x" : 256, - "num_y" : 256, - "num_t" : 64 -} diff --git a/benchmarks/LocVolCalib/datasets/large/output.json b/benchmarks/LocVolCalib/datasets/large/output.json deleted file mode 100644 index 8ea53b5..0000000 --- a/benchmarks/LocVolCalib/datasets/large/output.json +++ /dev/null @@ -1,29 +0,0 @@ -[ 0.029996 , 0.029204 , 0.028803 , 0.028405 , 0.028013 , 0.027626 , 0.027245 , 0.026870 , 0.026500 , - 0.026136 , 0.025778 , 0.025426 , 0.025080 , 0.024739 , 0.024404 , 0.024075 , 0.023751 , 0.023433 , - 0.023120 , 0.022813 , 0.022511 , 0.022214 , 0.021923 , 0.021636 , 0.021355 , 0.021078 , 0.020806 , - 0.020538 , 0.020273 , 0.020014 , 0.019791 , 0.019512 , 0.019270 , 0.019033 , 0.018799 , 0.018568 , - 0.018341 , 0.018117 , 0.017898 , 0.017682 , 0.017470 , 0.017261 , 0.017056 , 0.016855 , 0.016657 , - 0.016463 , 0.016271 , 0.016083 , 0.015898 , 0.015716 , 0.015537 , 0.015361 , 0.015188 , 0.015018 , - 0.014850 , 0.014686 , 0.014523 , 0.014364 , 0.014206 , 0.014052 , 0.013899 , 0.013749 , 0.013601 , - 0.013456 , 0.013312 , 0.013171 , 0.013032 , 0.012895 , 0.012760 , 0.012626 , 0.012495 , 0.012365 , - 0.012238 , 0.012112 , 0.011988 , 0.011865 , 0.011744 , 0.011625 , 0.011508 , 0.011392 , 0.011277 , - 0.011164 , 0.011053 , 0.010942 , 0.010834 , 0.010726 , 0.010620 , 0.010515 , 0.010412 , 0.010309 , - 0.010208 , 0.010108 , 0.010010 , 0.009912 , 0.009815 , 0.009720 , 0.009626 , 0.009533 , 0.009440 , - 0.009349 , 0.009259 , 0.009170 , 0.009081 , 0.008994 , 0.008908 , 0.008822 , 0.008737 , 0.008653 , - 0.008570 , 0.008488 , 0.008407 , 0.008326 , 0.008246 , 0.008167 , 0.008089 , 0.008011 , 0.007934 , - 0.007858 , 0.007782 , 0.007707 , 0.007633 , 0.007559 , 0.007487 , 0.007414 , 0.007342 , 0.007271 , - 0.007201 , 0.007131 , 0.007061 , 0.006993 , 0.006924 , 0.006856 , 0.006789 , 0.006722 , 0.006656 , - 0.006590 , 0.006525 , 0.006460 , 0.006396 , 0.006332 , 0.006268 , 0.006205 , 0.006143 , 0.006081 , - 0.006019 , 0.005958 , 0.005897 , 0.005836 , 0.005776 , 0.005716 , 0.005657 , 0.005598 , 0.005539 , - 0.005481 , 0.005423 , 0.005365 , 0.005308 , 0.005251 , 0.005194 , 0.005138 , 0.005081 , 0.005026 , - 0.004970 , 0.004915 , 0.004860 , 0.004806 , 0.004751 , 0.004697 , 0.004643 , 0.004590 , 0.004536 , - 0.004483 , 0.004431 , 0.004378 , 0.004326 , 0.004274 , 0.004222 , 0.004170 , 0.004119 , 0.004068 , - 0.004017 , 0.003966 , 0.003915 , 0.003865 , 0.003815 , 0.003765 , 0.003715 , 0.003665 , 0.003616 , - 0.003566 , 0.003517 , 0.003468 , 0.003420 , 0.003371 , 0.003323 , 0.003274 , 0.003226 , 0.003178 , - 0.003130 , 0.003083 , 0.003035 , 0.002988 , 0.002940 , 0.002893 , 0.002846 , 0.002799 , 0.002752 , - 0.002706 , 0.002659 , 0.002613 , 0.002566 , 0.002520 , 0.002474 , 0.002428 , 0.002382 , 0.002337 , - 0.002291 , 0.002245 , 0.002200 , 0.002154 , 0.002109 , 0.002064 , 0.002019 , 0.001973 , 0.001928 , - 0.001884 , 0.001839 , 0.001794 , 0.001749 , 0.001705 , 0.001660 , 0.001616 , 0.001571 , 0.001527 , - 0.001482 , 0.001438 , 0.001394 , 0.001350 , 0.001306 , 0.001262 , 0.001218 , 0.001174 , 0.001130 , - 0.001086 , 0.001042 , 0.000998 , 0.000954 , 0.000911 , 0.000867 , 0.000823 , 0.000780 , 0.000736 , - 0.000692 , 0.000649 , 0.000605 , 0.000562 ] diff --git a/benchmarks/LocVolCalib/datasets/medium/input.json b/benchmarks/LocVolCalib/datasets/medium/input.json deleted file mode 100644 index 4b6f586..0000000 --- a/benchmarks/LocVolCalib/datasets/medium/input.json +++ /dev/null @@ -1,6 +0,0 @@ -{ - "outer" : 128, - "num_x" : 256, - "num_y" : 32, - "num_t" : 64 -} diff --git a/benchmarks/LocVolCalib/datasets/medium/output.json b/benchmarks/LocVolCalib/datasets/medium/output.json deleted file mode 100644 index 4d5f9c1..0000000 --- a/benchmarks/LocVolCalib/datasets/medium/output.json +++ /dev/null @@ -1,17 +0,0 @@ -[ 0.03, 0.0292079, 0.0288058, 0.028408, 0.0280152, 0.0276279, 0.0272462, 0.0268701, - 0.0264998, 0.0261355, 0.025777, 0.0254243, 0.0250773, 0.024736, 0.0244004, 0.0240704, - 0.0237459, 0.0234269, 0.0231134, 0.0228053, 0.0225025, 0.022205, 0.0219126, 0.0216253, - 0.0213431, 0.0210657, 0.0207928, 0.0205238, 0.0202581, 0.0199978, 0.0197739, 0.0194946, - 0.0192514, 0.0190136, 0.0187787, 0.018547, 0.0183189, 0.0180947, 0.0178743, 0.0176577, - 0.0174448, 0.0172356, 0.0170299, 0.0168278, 0.016629, 0.0164336, 0.0162415, 0.0160526, - 0.0158668, 0.0156841, 0.0155044, 0.0153276, 0.0151536, 0.0149826, 0.0148144, 0.0146488, - 0.0144858, 0.0143253, 0.0141674, 0.0140119, 0.0138588, 0.013708, 0.0135595, 0.0134132, - 0.0132691, 0.0131271, 0.0129872, 0.0128494, 0.0127136, 0.0125796, 0.0124477, 0.0123175, - 0.0121892, 0.0120627, 0.0119379, 0.0118149, 0.0116936, 0.0115739, 0.0114558, 0.0113392, - 0.0112242, 0.0111107, 0.0109986, 0.0108879, 0.0107787, 0.0106708, 0.0105642, 0.010459, - 0.010355, 0.0102523, 0.0101509, 0.0100506, 0.00995151, 0.00985357, 0.00975677, 0.00966107, - 0.00956649, 0.00947299, 0.00938053, 0.00928908, 0.00919862, 0.00910914, 0.00902062, 0.00893303, - 0.00884636, 0.00876059, 0.00867569, 0.00859167, 0.00850848, 0.00842613, 0.00834459, 0.00826384, - 0.00818388, 0.00810468, 0.00802623, 0.00794852, 0.00787153, 0.00779524, 0.00771969, 0.00764481, - 0.0075706, 0.00749704, 0.00742412, 0.00735183, 0.00728016, 0.00720909, 0.00713861, 0.00706872 -] diff --git a/benchmarks/LocVolCalib/datasets/small/input.json b/benchmarks/LocVolCalib/datasets/small/input.json deleted file mode 100644 index e14df83..0000000 --- a/benchmarks/LocVolCalib/datasets/small/input.json +++ /dev/null @@ -1,6 +0,0 @@ -{ - "outer" : 16, - "num_x" : 32, - "num_y" : 256, - "num_t" : 256 -} diff --git a/benchmarks/LocVolCalib/datasets/small/output.json b/benchmarks/LocVolCalib/datasets/small/output.json deleted file mode 100644 index a316bb0..0000000 --- a/benchmarks/LocVolCalib/datasets/small/output.json +++ /dev/null @@ -1,3 +0,0 @@ -[ 0.0300001, 0.0290001, 0.0280001, 0.0270001, 0.026, 0.0251064, 0.0247889, 0.0244714, - 0.0241539, 0.0238364, 0.0235189, 0.0232014, 0.0228839, 0.0225664, 0.0222744, 0.02199 -] diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/CrankNicolson.cl b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/CrankNicolson.cl deleted file mode 100644 index a06a183..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/CrankNicolson.cl +++ /dev/null @@ -1,1043 +0,0 @@ -#include "Constants.h" - - -#if (WITH_FLOATS) - typedef float4 REAL4; - typedef float2 REAL2; - typedef float3 REAL3; -#else - typedef double4 REAL4; - typedef double2 REAL2; - typedef double3 REAL3; -#endif - -/**************************************************************************/ -/**************** SHARED-MEMORY ACCESSOR FUNCTIONS ************************/ -/**************************************************************************/ - -#define WITH_INTERLEAVED_BANKS4 1 -#define WITH_INTERLEAVED_BANKS2 0 - -#if WITH_INTERLEAVED_BANKS2 -inline void store2(REAL2 val, unsigned int ind, __local REAL* cache) { - ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+1) ); - cache[ind] = val.x; - ind += WORKGROUP_SIZE; - cache[ind] = val.y; -} - -inline REAL2 load2(unsigned int ind, __local REAL* cache) { - ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+1) ); - REAL2 val; - val.x = cache[ind]; - ind += WORKGROUP_SIZE; - val.y = cache[ind]; - return val; -} -#else -inline void store2(REAL2 val, unsigned int ind, volatile __local REAL2* cache) { - cache[ind] = val; -} - -inline REAL2 load2(unsigned int ind, volatile __local REAL2* cache) { - return cache[ind]; -} -#endif - - -#if WITH_INTERLEAVED_BANKS4 -inline void store4(REAL4 val, unsigned int ind, __local REAL* cache) { - //ind = (ind / WORKGROUP_SIZE)*(WORKGROUP_SIZE) * 4 + (ind % WORKGROUP_SIZE); - ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+2) ); - cache[ind] = val.x; - ind += WORKGROUP_SIZE; - cache[ind] = val.y; - ind += WORKGROUP_SIZE; - cache[ind] = val.z; - ind += WORKGROUP_SIZE; - cache[ind] = val.w; -} - -inline REAL4 load4(unsigned int ind, __local REAL* cache) { - REAL4 val; - //ind = (ind / WORKGROUP_SIZE)*(WORKGROUP_SIZE) * 4 + (ind % WORKGROUP_SIZE); - ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+2) ); - val.x = cache[ind]; - ind += WORKGROUP_SIZE; - val.y = cache[ind]; - ind += WORKGROUP_SIZE; - val.z = cache[ind]; - ind += WORKGROUP_SIZE; - val.w = cache[ind]; - return val; -} -#else -inline void store4(REAL4 val, unsigned int ind, volatile __local REAL4* cache) { - cache[ind] = val; -} - -inline REAL4 load4(unsigned int ind, volatile __local REAL4* cache) { - return cache[ind]; -} -#endif -/**************************************************************************/ -/*********** PREPARE FOR TRIDAG X *****************************************/ -/**************************************************************************/ -__kernel void prepare_tridag_x ( - /*** Read-Only Scalars ***/ - __global RWScalars* ro_scals, // __constant - /*** Read-Only Arrays ***/ - __global REAL* myX, - __global REAL3* myDx, - __global REAL3* myDxx, - __constant REAL* myY, - __constant REAL* myDy, - __constant REAL* myDyy, - /*** Read-Write Temporary Arrays ***/ - __global REAL* a, - __global REAL* b, - __global REAL* c, - __global REAL* y, - __global REAL* u, - __global REAL* v, - __global REAL4* scan_tmp, - /*** Temporary Array in Shared Space ***/ - __local REAL* cache_tmp, - /*** The Result Array ***/ - __global REAL* res_arr -) { - REAL3 myDy_elem, myDyy_elem, myres_elem; - REAL cur_myVar = ro_scals->nu; - REAL cur_myMu = 0.0; - - unsigned int glob_ind = get_global_id(2) * get_global_size(1) * get_global_size(0); - const unsigned int ind = glob_ind + get_global_id(1)*get_global_size(0) + get_global_id(0); - - REAL tmp = 0.0; - - cur_myVar *= cur_myVar; - - // second loop - { - myres_elem = (REAL3)( (get_global_id(1)!=0) ? res_arr[ind - get_global_size(0)] : 0.0, - res_arr[ind], - (get_global_id(1) != get_global_size(1)-1) ? res_arr[ind + get_global_size(0)] : 0.0 - ); - - myDy_elem = (REAL3)( myDy[get_global_id(1)<<2], myDy[ (get_global_id(1)<<2)+1], myDy[(get_global_id(1)<<2)+2] ); - myDyy_elem = (REAL3)( myDyy[get_global_id(1)<<2], myDyy[(get_global_id(1)<<2)+1], myDyy[(get_global_id(1)<<2)+2] ); - - myDy_elem = cur_myMu*myDy_elem + 0.5*cur_myVar*myDyy_elem; - myDy_elem *= myres_elem; - tmp += myDy_elem.x + myDy_elem.y + myDy_elem.z; - - v[glob_ind + get_global_id(0)*get_global_size(1) + get_global_id(1)] = tmp; - } - - glob_ind = get_local_id(2)*get_local_size(1)*get_local_size(0) + get_local_id(1)*get_local_size(0) + get_local_id(0); - - // first loop - cur_myMu = 0.0; // X - cur_myVar = exp( 2 * ( ro_scals->beta*log(myX[get_global_id(0)]) + - myY[get_global_id(1)] - 0.5*cur_myVar*ro_scals->timeline_i // cur_myVar == nu*nu - ) - ); - { - // CACHING ASSUMES ALL ELEMENTS IN X DIMENSION fit in the LOCALGROUP! - cache_tmp[glob_ind] = res_arr[ ind ]; - - myDy_elem = myDx[ get_global_id(0) ]; - myDyy_elem = myDxx[ get_global_id(0) ]; - - barrier(CLK_LOCAL_MEM_FENCE); - - - myres_elem = (REAL3)( (get_global_id(0)!=0) ? cache_tmp[ glob_ind - 1 ] : 0.0, - cache_tmp[ glob_ind ], - (get_global_id(0) != get_global_size(0)-1) ? cache_tmp[ glob_ind + 1 ] : 0.0 - ); - - tmp += ro_scals->dtInv*myres_elem.y; - myDy_elem = 0.5*( cur_myMu*myDy_elem + 0.5*cur_myVar*myDyy_elem ); - - c[ind] = - myDy_elem.z; - - barrier(CLK_GLOBAL_MEM_FENCE); - - a[ind] = - myDy_elem.x; // b[ind] = ro_scals->dtInv - myDy_elem.y; - - myDyy_elem = myDy_elem*myres_elem; - tmp += myDyy_elem.x + myDyy_elem.y + myDyy_elem.z; - } - - u[ind] = tmp; - - - - tmp = ro_scals->dtInv - myDy_elem.y; - - // third loop - if( get_global_id(0) > 0 ) { - scan_tmp[ind] = (REAL4) ( tmp, myDy_elem.x * c[ind-1], 1.0, 0.0 ); - } else { // i == get_global_id(0) == 0 - y[ind] = tmp; // = b [ind] - scan_tmp[ind] = (REAL4) ( tmp, 0.0, 0.0, tmp ); - } -} - - -/**************************************************************************/ -/*********** IN-BETWEEN TRIDAGS -- i.e., prepare for TRIDAG Y *************/ -/**************************************************************************/ -//#define USE_LOCAL_Y - -__kernel void prepare_tridag_y ( - /*** Read-Only Scalars ***/ - __global RWScalars* ro_scals, // __constant - /*** Read-Only Arrays ***/ - __global REAL3* myDy, - __global REAL3* myDyy, - /*** Read-Write Temporary Arrays ***/ - __global REAL* a, - __global REAL* b, - __global REAL* c, - __global REAL* u, - __global REAL* v, - __global REAL* y, - __global REAL4* scan_tmp, - /*** Temporary Array in Shared Space ***/ - __local REAL* cache_tmp -) { - - // !!!0 <-> j; 1<-> i; 2 <-> k!!! - const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) - + get_global_id(1) * get_global_size(0) + get_global_id(0); - // + get_global_id(1)*NUM_Y + get_global_id(0); - const unsigned int glob_ind = get_local_id(2)*get_local_size(1)*get_local_size(0) - + get_local_id(1)*get_local_size(0) + get_local_id(0); - REAL3 myDy_elem; - REAL dt_inv = ro_scals->dtInv; - - REAL cur_myMuY = 0.0; - REAL cur_myVarY = ro_scals->nu; cur_myVarY *= cur_myVarY*0.5; //nu*nu; - - myDy_elem = 0.5*( cur_myMuY*myDy [get_global_id(0)] + cur_myVarY*myDyy[get_global_id(0)] ); - -#ifdef USE_LOCAL_Y - cache_tmp[glob_ind] = - myDy_elem.z; -#endif - - a[ind] = - myDy_elem.x; c[ind] = - myDy_elem.z; - - // NUM_X = get_global_size(1) - v[ind] = dt_inv * - u[ get_global_id(2)* get_global_size(1) * get_global_size(0) + - get_global_id(0)*get_global_size(1) + get_global_id(1) ] - - 0.5*v[ind]; // y[j] = dtInv*u[j][i] - 0.5*v[i][j]; - -#ifdef USE_LOCAL_Y - barrier(CLK_LOCAL_MEM_FENCE); -#endif - - // third loop - if( get_global_id(0) > 0 ) { -#ifdef USE_LOCAL_Y - scan_tmp[ind] = (REAL4) ( dt_inv - myDy_elem.y, myDy_elem.x * cache_tmp[glob_ind-1], 1.0, 0.0 ); -#else - const REAL elem = - 0.5*(cur_myMuY*myDy[get_global_id(0)-1].z + cur_myVarY*myDyy[get_global_id(0)-1].z); - scan_tmp[ind] = (REAL4) ( dt_inv - myDy_elem.y, myDy_elem.x * elem, 1.0, 0.0 ); -#endif - //scan_tmp[ind] = (REAL4) ( dt_inv - myDy_elem.y, myDy_elem.x*c[ind-1], 1.0, 0.0 ); - - } else { // j == get_global_id(0) == 0 - y[ind] = dt_inv - myDy_elem.y; //b[ind]; - scan_tmp[ind] = (REAL4) ( dt_inv - myDy_elem.y, 0.0, 0.0, dt_inv - myDy_elem.y ); - } -} - - -/**********************************************************************/ -/************* TRIDAG KERNELS *****************************************/ -/**********************************************************************/ - -/*************************************/ -/*** 1. Scan with Matrix Multiply ****/ -/*************************************/ - -/** - * Multiplies 2x2 matrixes `a' and `b' and - * stores the result in(-place in) `a'. - */ -inline REAL4 matmult2(REAL4 a, REAL4 b) { - REAL val = (a.x*b.x + a.y*b.z); - - a = (REAL4) (val, a.x*b.y + a.y*b.w, a.z*b.x + a.w*b.z, a.z*b.y + a.w*b.w); - val = 1.0/val; - return a * val; -} - - - -//#define LOG2_WARP_SIZE 5U -//#define WARP_SIZE (1U << LOG2_WARP_SIZE) - -#if WITH_INTERLEAVED_BANKS4 -inline REAL4 warpScanInclMatMult(REAL4 idata, volatile __local REAL4 *l_Data4, uint size){ - volatile __local REAL* l_Data = (volatile __local REAL*) l_Data4; - - uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); - store4( (REAL4)(1.0, 0.0, 0.0, 1.0), pos, l_Data ); - pos += size; - store4( idata, pos, l_Data ); - - if(size >= 2) { REAL4 tmp = matmult2( load4(pos, l_Data),load4(pos-1, l_Data) ); store4(tmp, pos, l_Data); } - if(size >= 4) { REAL4 tmp = matmult2( load4(pos, l_Data),load4(pos-2, l_Data) ); store4(tmp, pos, l_Data); } - if(size >= 8) { REAL4 tmp = matmult2( load4(pos, l_Data),load4(pos-4, l_Data) ); store4(tmp, pos, l_Data); } - if(size >= 16) { REAL4 tmp = matmult2( load4(pos, l_Data),load4(pos-8, l_Data) ); store4(tmp, pos, l_Data); } -#if WARP == 32 - if(size >= 32) { REAL4 tmp = matmult2( load4(pos, l_Data),load4(pos-16,l_Data) ); store4(tmp, pos, l_Data); } -#endif - return load4(pos, l_Data); -} -#else -inline REAL4 warpScanInclMatMult(REAL4 idata, volatile __local REAL4 *l_Data, uint size){ - uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); - l_Data[pos] = (REAL4)(1.0, 0.0, 0.0, 1.0); - pos += size; - l_Data[pos] = idata; - - if(size >= 2) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-1] ); - if(size >= 4) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-2] ); - if(size >= 8) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-4] ); - if(size >= 16) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-8] ); -#if WARP == 32 - if(size >= 32) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-16]); -#endif - return l_Data[pos]; -} -#endif - -//Vector scan: the array to be scanned is stored -//in work-item private memory as uint4 -inline REAL4 scanMatMultInclLocal(REAL4 idata4, __local REAL4 *l_Data, uint size){ - if(size > WARP){ - //Bottom-level inclusive warp scan - REAL4 warpResult = warpScanInclMatMult(idata4, l_Data, WARP); - - //Save top elements of each warp for exclusive warp scan - //sync to wait for warp scans to complete (because l_Data is being overwritten) - barrier(CLK_LOCAL_MEM_FENCE); - if( (get_local_id(0) & (WARP - 1)) == (WARP - 1) ) { -#if WITH_INTERLEAVED_BANKS4 - store4(warpResult, get_local_id(0) >> lgWARP, (__local REAL*)l_Data); -#else - l_Data[get_local_id(0) >> lgWARP] = warpResult; -#endif - } - //wait for warp scans to complete - barrier(CLK_LOCAL_MEM_FENCE); - - if( get_local_id(0) < (WORKGROUP_SIZE >> lgWARP) ){ -#if WITH_INTERLEAVED_BANKS4 - REAL4 val = load4(get_local_id(0), (__local REAL*)l_Data); - store4( warpScanInclMatMult(val, l_Data, size >> lgWARP), get_local_id(0), (__local REAL*)l_Data); -#else - //grab top warp elements - REAL4 val = l_Data[get_local_id(0)]; - //calculate inclusive scan and write back to shared memory - l_Data[get_local_id(0)] = warpScanInclMatMult(val, l_Data, size >> lgWARP); -#endif - } - - //return updated warp scans with exclusive scan results - barrier(CLK_LOCAL_MEM_FENCE); - - //if( (get_local_id(0) >> LOG2_WARP_SIZE) > 0 ) - if( ( (get_local_id(0) & (size-1)) >> lgWARP ) > 0 ) { -#if WITH_INTERLEAVED_BANKS4 - REAL4 tmp = load4( (get_local_id(0) >> lgWARP) - 1, (__local REAL*)l_Data ); - warpResult = matmult2( warpResult, tmp ); -#else - warpResult = matmult2( warpResult, l_Data[ (get_local_id(0) >> lgWARP) - 1] ); -#endif - } - - return warpResult; - }else{ - return warpScanInclMatMult(idata4, l_Data, size); - } -} - -__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) -void scanMatMultIncl( - __global REAL4 *data, - __local REAL4 *l_Data, - uint size -){ - //Load data - REAL4 idata4 = data[get_global_id(0)]; - - //Calculate exclusive scan - REAL4 odata4 = scanMatMultInclLocal( idata4, l_Data, size ); - - //Write back - data[get_global_id(0)] = odata4; -} - - -/*************************************************/ -/*** 1. Scan with Linear Function Composition ****/ -/*************************************************/ - -// Linear Function Composition and Scan -inline REAL2 linfuncomp(REAL2 ab2, REAL2 ab1) { - ab2.x = ab2.y * ab1.x + ab2.x; - ab2.y = ab2.y * ab1.y; - return ab2; -} - -#if WITH_INTERLEAVED_BANKS2 -inline REAL2 warpScanInclLinFunComp(REAL2 idata, volatile __local REAL2 *l_Data2, uint size){ - volatile __local REAL* l_Data = (volatile __local REAL*) l_Data2; - - uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); - store2( (REAL2)(0.0, 1.0), pos, l_Data ); - pos += size; - store2( idata, pos, l_Data ); - - if(size >= 2) { REAL2 tmp = linfuncomp( load2(pos, l_Data),load2(pos-1, l_Data) ); store2(tmp, pos, l_Data); } - if(size >= 4) { REAL2 tmp = linfuncomp( load2(pos, l_Data),load2(pos-2, l_Data) ); store2(tmp, pos, l_Data); } - if(size >= 8) { REAL2 tmp = linfuncomp( load2(pos, l_Data),load2(pos-4, l_Data) ); store2(tmp, pos, l_Data); } - if(size >= 16) { REAL2 tmp = linfuncomp( load2(pos, l_Data),load2(pos-8, l_Data) ); store2(tmp, pos, l_Data); } -#if WARP == 32 - if(size >= 32) { REAL2 tmp = linfuncomp( load2(pos, l_Data),load2(pos-16,l_Data) ); store2(tmp, pos, l_Data); } -#endif - return load2(pos, l_Data); -} -#else -inline REAL2 warpScanInclLinFunComp(REAL2 idata, volatile __local REAL2 *l_Data, uint size){ - uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); - l_Data[pos] = (REAL2)(0.0, 1.0); - pos += size; - l_Data[pos] = idata; - - if(size >= 2) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-1] ); - if(size >= 4) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-2] ); - if(size >= 8) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-4] ); - if(size >= 16) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-8] ); -#if WARP == 32 - if(size >= 32) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-16]); -#endif - return l_Data[pos]; -} -#endif - -inline REAL2 scanLinFunCompInclLocal(REAL2 idata4, __local REAL2 *l_Data, uint size){ - if(size > WARP){ - //Bottom-level inclusive warp scan - REAL2 warpResult = warpScanInclLinFunComp(idata4, l_Data, WARP); - - //Save top elements of each warp for exclusive warp scan - //sync to wait for warp scans to complete (because l_Data is being overwritten) - barrier(CLK_LOCAL_MEM_FENCE); - if( (get_local_id(0) & (WARP - 1)) == (WARP - 1) ) { -#if WITH_INTERLEAVED_BANKS2 - store2(warpResult, get_local_id(0) >> lgWARP, (__local REAL*)l_Data); -#else - l_Data[get_local_id(0) >> lgWARP] = warpResult; -#endif - } - - //wait for warp scans to complete - barrier(CLK_LOCAL_MEM_FENCE); - - if( get_local_id(0) < (WORKGROUP_SIZE / WARP) ){ -#if WITH_INTERLEAVED_BANKS2 - REAL2 val = load2(get_local_id(0), (__local REAL*)l_Data); - store2( warpScanInclLinFunComp(val, l_Data, size >> lgWARP), get_local_id(0), (__local REAL*)l_Data); -#else - //grab top warp elements - REAL2 val = l_Data[get_local_id(0)]; - //calculate inclusive scan and write back to shared memory - l_Data[get_local_id(0)] = warpScanInclLinFunComp(val, l_Data, size >> lgWARP); -#endif - } - - //return updated warp scans with exclusive scan results - barrier(CLK_LOCAL_MEM_FENCE); - - if( ( (get_local_id(0) & (size-1)) >> lgWARP ) > 0 ) { -#if WITH_INTERLEAVED_BANKS2 - REAL2 tmp = load2( (get_local_id(0) >> lgWARP) - 1, (__local REAL*)l_Data ); - warpResult = linfuncomp( warpResult, tmp ); -#else - warpResult = linfuncomp( warpResult, l_Data[ (get_local_id(0) >> lgWARP) - 1] ); -#endif - } - return warpResult; - }else{ - return warpScanInclLinFunComp(idata4, l_Data, size); - } -} - - -__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) -void scanLinFunCompIncl( - __global REAL2 *data, - __local REAL2 *l_Data, - uint size -){ - //Load data - REAL2 idata4 = data[get_global_id(0)]; - - //Calculate exclusive scan - REAL2 odata4 = scanLinFunCompInclLocal( idata4, l_Data, size ); - - //Write back - data[get_global_id(0)] = odata4; -} - - -/*************************************/ -/*** 2. TRIDAG - in between scans ****/ -/*************************************/ - -inline REAL map_matmult(REAL4 tmp, REAL val1) { - - REAL nom = tmp.x*val1+tmp.y; - REAL denom = tmp.z*val1+tmp.w; - - return nom/denom; - - //REAL denom = tmp.z*val1+tmp.w*val2; - //REAL nom = (tmp.x/denom)*val1 + (tmp.y/denom)*val2; - //return nom; -} - -__kernel void conclude_matmult ( - /*** Read-Write Temporary Arrays ***/ - __global REAL* b, - __global REAL* d, - __global REAL* y, - __global REAL* u, - __global REAL4* scan_tmp -) { - unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) - + get_global_id(1) * get_global_size(0); - REAL b0 = u[ind]; //b[ ind ]; - ind += get_global_id(0); - - if(get_global_id(0) > 0) { - u[ind] = map_matmult( scan_tmp[ind], b0 ); - } else { - y[ind] = d[ind]; - } -} - - -__kernel void prelude_fwd_fun_comp ( - /*** Read-Write Temporary Arrays ***/ - __global REAL* a, - __global REAL* d, - __global REAL* u, - __global REAL2* scan_tmp -) { - const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) - + get_global_id(1) * get_global_size(0) + get_global_id(0); - - if( get_global_id(0) > 0 ) { - scan_tmp[ind] = (REAL2) ( d[ind], (0.0 - (a[ind]/u[ind-1])) ); - } else { - scan_tmp[ind] = (REAL2) (0.0, 1.0); - } -} - -///// - -__kernel void post_fwd_fun_comp ( - /*** Read-Write Temporary Arrays ***/ - __global REAL* y, - __global REAL2* scan_tmp -) { - unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) - + get_global_id(1) * get_global_size(0); - - REAL y0 = y[ ind ]; - - ind += get_global_id(0); - - if( get_global_id(0) > 0 ) { - REAL2 fun = scan_tmp[ind]; - y[ind] = fun.x + y0 * fun.y; - } -} - -__kernel void prelude_bwd_fun_comp ( - /*** Read-Write Temporary Arrays ***/ - __global REAL* c, - __global REAL* y, - __global REAL* u, - __global REAL2* scan_tmp -) { - const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) - + get_global_id(1) * get_global_size(0) + get_global_id(0); - const unsigned int inv_ind = ind - 2*get_global_id(0) + get_global_size(0) - 2; - - if( get_global_id(0) < get_global_size(0) - 1 ) { - scan_tmp[ind] = (REAL2)(y[inv_ind]/u[inv_ind], 0.0 - c[inv_ind]/u[inv_ind]); - } else { // get_global_id(0) == get_global_size(0) - 1 - scan_tmp[ind] = (REAL2)(0.0, 1.0); - y[ind] = y[ind]/u[ind]; - } -} - -/** - * 1. map back the result from the (bacward) parallel prefix - * with linear function composition - * 2. update the RW scalars rw_scals->dtInv and rw_scals->timeline_i - */ -__kernel void post_bwd_fun_comp ( - __global REAL* y, - __global REAL2* scan_tmp -) { - // map back the result from the (bacward) parallel prefix - // with linear function composition - - const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) - + get_global_id(1) * get_global_size(0) + get_global_id(0); - const unsigned int inv_ind = ind - 2*get_global_id(0) + get_global_size(0) - 2; - - REAL ynm1 = y[inv_ind + get_global_id(0) + 1]; - - if( get_global_id(0) < get_global_size(0) - 1 ) { - REAL2 fun = scan_tmp[ind]; - y[inv_ind] = fun.x + ynm1 * fun.y; - } -} - - -/*********************************************/ -/*********** Matrix Transposition ************/ -/*********************************************/ - -// This kernel is optimized to ensure all global reads and writes are coalesced, -// and to avoid bank conflicts in shared memory. The shared memory array is sized -// to (BLOCK_DIM+1)*BLOCK_DIM. This pads each row of the 2D block in shared memory -// so that bank conflicts do not occur when threads address the array column-wise. -inline void transposeMatrix( - __global REAL *odata, - __global REAL *idata, - unsigned int width, - unsigned int height, - __local REAL* block) -{ - unsigned int xIndex, yIndex; - - // adjust the input and output arrays for the third dimension! - yIndex = get_global_id(2) * width * height; - odata = odata + yIndex; - idata = idata + yIndex; - - // read the matrix tile into shared memory - xIndex = get_global_id(0); - yIndex = get_global_id(1); - - if((xIndex < width) && (yIndex < height)) - { - unsigned int index_in = yIndex * width + xIndex; - block[get_local_id(1)*(BLOCK_DIM+1)+get_local_id(0)] = idata[index_in]; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // write the transposed matrix tile to global memory - xIndex = get_group_id(1) * BLOCK_DIM + get_local_id(0); - yIndex = get_group_id(0) * BLOCK_DIM + get_local_id(1); - if((xIndex < height) && (yIndex < width)) - { - unsigned int index_out = yIndex * height + xIndex; - odata[index_out] = block[get_local_id(0)*(BLOCK_DIM+1)+get_local_id(1)]; - } -} - -__kernel void transpose( - __global REAL *odata, - __global REAL *idata, - //int offset, - unsigned int width, - unsigned int height, - __local REAL* block) -{ - transposeMatrix( odata, idata, width, height, block ); -} - -__kernel void transposeUpdateScalars( - __global REAL *odata, - __global REAL *idata, - //int offset, - unsigned int width, - unsigned int height, - __local REAL* block, - __global RWScalars* ro_scals, // __constant - __constant REAL* timeline -) { - transposeMatrix( odata, idata, width, height, block ); - //odata[get_global_id(2)*get_global_size(1)*get_global_size(0) + get_global_id(1)*get_global_size(0) + get_global_id(0)] - // = 33.33; - - // update time-loop-variant scalars - if(get_global_id(2) + get_global_id(1) + get_global_id(0) == 0) { - int t_ind = --ro_scals->t_ind; - ro_scals->dtInv = 1.0 / ( timeline[t_ind+1] - timeline[t_ind] ); - ro_scals->timeline_i = timeline[ t_ind ]; - } -} - - -/***************************************************************/ -/**************** INLINED TRIDAG VERSION ***********************/ -/***************************************************************/ - -inline void tridag_inline_local ( - /*** Read-Write Temporary Arrays ***/ -// __global REAL* a, - REAL a_elem, -// __global REAL* c, - REAL c_elem, -// __global REAL* d, - REAL d_elem, - __global REAL* y, -// __global REAL4* scan_tmp4, - REAL4 data4, - const unsigned int SIZE, -/*** Temporary Array in Shared Space ***/ - __local REAL* cache_tmp, // size: [8*WORKSIZE*sizeof(REAL)] - const size_t first_id, - REAL b0, - REAL d0 -) { - //const size_t first_id = get_global_id(0) - (get_global_id(0) & (SIZE-1)); - //REAL b0; - - { // SCAN with matrix multiplication - __local REAL4* l_data = (__local REAL4*)cache_tmp; - - //Calculate exclusive scan - data4 = scanMatMultInclLocal( data4, l_data, SIZE ); - barrier(CLK_LOCAL_MEM_FENCE); // IMPORTANT! - - REAL data = map_matmult( data4, b0 ); - cache_tmp[get_local_id(0)] = data; - barrier(CLK_LOCAL_MEM_FENCE); - } - - { // Forward scan with linear function composition - REAL2 data2; - // prepare for scan - if(get_global_id(0) == first_id) { - //y[get_global_id(0)] = d0; //d[get_global_id(0)]; // y[ind] = d[ind]; - data2 = (REAL2) (0.0, 1.0); - } else { - data2 = (REAL2) ( d_elem, (0.0 - (a_elem/cache_tmp[get_local_id(0)-1])) ); - } - - {//Calculate exclusive scan - __local REAL2* l_Data = ((__local REAL2*)cache_tmp) + get_local_size(0); - data2 = scanLinFunCompInclLocal( data2, l_Data, SIZE ); - } - - //POST FWD MAP: y[ind] = fun.x + y0 * fun.y; - //y[get_global_id(0)] = data2.x + d0 * data2.y; - { - cache_tmp[get_local_size(0) + get_local_id(0)] = data2.x + d0 * data2.y; - barrier(CLK_LOCAL_MEM_FENCE); - } - } - - { // Backward scan with linear function composition - const unsigned int inv_ind = (SIZE-1) - (get_global_id(0) & (SIZE-1)); - REAL2 data2; - - unsigned int local_offset = get_local_id(0) - (get_local_id(0) & (SIZE-1)); - b0 = cache_tmp[local_offset + get_local_size(0) + (SIZE-1)]/cache_tmp[local_offset + (SIZE-1)]; - - // prepare for scan! - if(get_global_id(0) == first_id) { - data2 = (REAL2) (0.0, 1.0); - } else { - REAL myu = cache_tmp[local_offset + inv_ind]; - data2 = (REAL2) ( cache_tmp[local_offset + inv_ind + get_local_size(0)] / myu, - 0.0 - c_elem / myu ); - //0.0 - c[first_id + inv_ind]/myu ); - } - - {// BACKWARD SCAN with linear function compsition - __local REAL2* l_Data = ((__local REAL2*)cache_tmp) + get_local_size(0); - data2 = scanLinFunCompInclLocal( data2, l_Data, SIZE ); - } - - // //POST BWD MAP: y[ind] = fun.x + y0 * fun.y; - y[first_id + inv_ind] = data2.x + b0 * data2.y; - } - -} - -__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) -void tridag_inlined ( - /*** Read-Write Temporary Arrays ***/ - __global REAL* a, - __global REAL* c, - __global REAL* d, - __global REAL* y, - __global REAL* u, - __global REAL4* scan_tmp4, - const unsigned int SIZE, -/*** Temporary Array in Shared Space ***/ - __local REAL* cache_tmp // size: [8*WORKSIZE*sizeof(REAL)] -) { - const size_t first_id = get_global_id(0) - (get_global_id(0) & (SIZE-1)); - //const unsigned int inv_ind = (SIZE-1) - (get_global_id(0) & (SIZE-1)); - - tridag_inline_local ( - a[get_global_id(0)], - c[first_id + (SIZE-1) - (get_global_id(0) & (SIZE-1))], - //(get_global_id(0) != first_id) ? c[first_id + (SIZE-1) - (get_global_id(0) & (SIZE-1))] : 0.0, //c - d[get_global_id(0)], - y, - scan_tmp4[get_global_id(0)], - SIZE, - cache_tmp, - first_id, - scan_tmp4[first_id].x, - d[first_id] - ); -} - - - -/***************************************************************/ -/************* TWO KERNELS VERSION: X & Y **********************/ -/***************************************************************/ - -__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) -void nordea_kernel_x ( - /*** Read-Only Scalars ***/ - __constant RWScalars* ro_scals, // __constant - /*** Read-Only Arrays ***/ - __global REAL* myX, - __global REAL3* myDx, - __global REAL3* myDxx, - __constant REAL* myY, - __constant REAL* myDy, - __constant REAL* myDyy, - /*** Read-Write Temporary Arrays ***/ - __global REAL* u, - __global REAL* v, - /*** Temporary Array in Shared Space ***/ - __local REAL* cache_tmp, - /*** The Result Array ***/ - __global REAL* res_arr -) { - - REAL3 myD_elem; - - unsigned int ind_x = get_global_id(0) & (ro_scals->NUM_X-1); - unsigned int ind_y = (get_global_id(0) & (ro_scals->NUM_XY-1)) / ro_scals->NUM_X; - - REAL tmp = 0.0; - - { - // I. second loop - REAL3 myres_elem; - REAL cur_myMu = 0.0; - REAL cur_myVar = ro_scals->nu; - cur_myVar *= cur_myVar; - - myres_elem = (REAL3)( myDyy[ind_y<<2], myDyy[(ind_y<<2)+1], myDyy[(ind_y<<2)+2] ); - myD_elem = (REAL3)( myDy [ind_y<<2], myDy [(ind_y<<2)+1], myDy [(ind_y<<2)+2] ); - - myD_elem = cur_myMu*myD_elem + 0.5*cur_myVar*myres_elem; - - myres_elem = (REAL3)( (ind_y != 0) ? res_arr[get_global_id(0) - ro_scals->NUM_X] : 0.0, - res_arr[get_global_id(0)], - (ind_y != ro_scals->NUM_Y-1) ? res_arr[get_global_id(0) + ro_scals->NUM_X] : 0.0 - ); - - myD_elem *= myres_elem; - tmp += myD_elem.x + myD_elem.y + myD_elem.z; - -#if TRANSPOSE_UV - v[ get_global_id(0) ] = tmp; -#else - v[ (get_global_id(0)/ro_scals->NUM_XY)*ro_scals->NUM_XY + ind_x*ro_scals->NUM_Y + ind_y] = tmp; -#endif - - // II. first loop - cur_myMu = 0.0; // X - cur_myVar = exp( 2 * ( ro_scals->beta*log(myX[ind_x]) + - myY[ind_y] - 0.5*cur_myVar*ro_scals->timeline_i // cur_myVar == nu*nu - ) - ); - // CACHING ASSUMES ALL ELEMENTS IN X DIMENSION fit in the LOCALGROUP! - cache_tmp[get_local_id(0)] = res_arr[ get_global_id(0) ]; - - myD_elem = myDx[ ind_x ]; - - barrier(CLK_LOCAL_MEM_FENCE); - - - myres_elem = (REAL3)( (ind_x!=0) ? cache_tmp[ get_local_id(0) - 1 ] : 0.0, - cache_tmp[ get_local_id(0) ], - (ind_x != ro_scals->NUM_X-1) ? cache_tmp[ get_local_id(0) + 1 ] : 0.0 - ); - - tmp += ro_scals->dtInv*myres_elem.y; - myD_elem = 0.5*( cur_myMu*myD_elem + 0.5*cur_myVar*myDxx[ ind_x ] ); - - // write in cache the values of c! - cache_tmp[get_local_size(0) + get_local_id(0)] = - myD_elem.z; // c[get_global_id(0)] = - myD_elem.z; - - barrier(CLK_LOCAL_MEM_FENCE); - - myres_elem = myD_elem*myres_elem; - tmp += myres_elem.x + myres_elem.y + myres_elem.z; - - //a[get_global_id(0)] = - myD_elem.x; // b[ind] = ro_scals->dtInv - myDy_elem.y; - myD_elem.x = - myD_elem.x; // holds `a[glb_ind]' - } - - - { - // prepare for and call TRIDAG - REAL4 scan_elem; - //u[get_global_id(0)] = tmp; //u[j*NUM_X + i] = tmp1 + tmp2; //u[j][i] = tmp1 + tmp2; - myD_elem.z = tmp; - - tmp = ro_scals->dtInv - myD_elem.y; // b[ind] = tmp; - - //barrier(CLK_LOCAL_MEM_FENCE); - - - // third loop - if( ind_x > 0 ) { - myD_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) - 1]; // i.e., c[glob_ind-1] - scan_elem = (REAL4) ( tmp, 0.0 - myD_elem.x * myD_elem.y, 1.0, 0.0 ); - myD_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) + (ro_scals->NUM_X-1) - 2*ind_x]; // i.e., c[glb_ind_inv] - } else { // i == get_global_id(0) == 0 - scan_elem = (REAL4) ( tmp, 0.0, 0.0, tmp ); //(REAL4) ( 1.0, 0.0, 0.0, 1.0 ); - myD_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) + (ro_scals->NUM_X-1) ]; - - cache_tmp[get_local_id(0) ] = tmp; - cache_tmp[get_local_id(0) + 1] = myD_elem.z; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - tmp = cache_tmp[get_local_id(0) - ind_x ]; - REAL d0 = cache_tmp[get_local_id(0) - ind_x + 1]; - - barrier(CLK_LOCAL_MEM_FENCE); - - // CALL TRIDAG - tridag_inline_local ( - myD_elem.x, // a[glb_ind] - myD_elem.y, // c[glb_ind_inv] - myD_elem.z, // d[glb_ind] == u[glb_ind] - u, // y - scan_elem, // scan_tmp[glb_ind] - ro_scals->NUM_X, // SIZE - cache_tmp, // cache - get_global_id(0) - ind_x, // first_id - tmp, // b0 - d0 // d0 - ); - } -} - -//////////////////////////////////////////////////////////////// -////////// AND KERNEL FOR THE Y-INNERMOST DIMENSION //////////// -//////////////////////////////////////////////////////////////// - -__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) -void nordea_kernel_y ( - /*** Read-Only Scalars ***/ - __constant RWScalars* ro_scals, // __constant - /*** Read-Only Arrays ***/ - __global REAL3* myDy, - __global REAL3* myDyy, - /*** Read-Write Temporary Arrays ***/ - __global REAL* u, - __global REAL* v, - /*** Temporary Array in Shared Space ***/ - __local REAL* cache_tmp // SIZE: 8 * WORKGROUP_SIZE * sizeof(REAL) -) { - - REAL3 myDy_elem; - - unsigned int ind_y = get_global_id(0) & (ro_scals->NUM_Y-1); - unsigned int ind_x = (get_global_id(0) & (ro_scals->NUM_XY-1)) / ro_scals->NUM_Y; - - { - REAL dt_inv = ro_scals->dtInv; -#if TRANSPOSE_UV - REAL my_u = u[get_global_id(0)]; -#else - REAL my_u = u[ (get_global_id(0)/ro_scals->NUM_XY)*ro_scals->NUM_XY + - ind_y * ro_scals->NUM_X + ind_x ]; -#endif - - REAL tmp = 0.0; - REAL cur_myVarY = ro_scals->nu; cur_myVarY *= cur_myVarY*0.5; //nu*nu; - - myDy_elem = 0.0 - 0.5*( tmp*myDy[ind_y] + cur_myVarY*myDyy[ind_y] ); - - // a[ind] = myDy_elem.x; c[ind] = myDy_elem.z; - cache_tmp[get_local_size(0) + get_local_id(0)] = myDy_elem.z; // c[ind] - myDy_elem.y = dt_inv + myDy_elem.y; // b[ind] - - - //v[get_global_id(0)] = dt_inv * my_u - 0.5 * v[get_global_id(0)]; - myDy_elem.z = dt_inv * my_u - 0.5 * v[get_global_id(0)]; // i.e., v[ind] - - if(ind_y == 0) { - cache_tmp[get_local_id(0) ] = myDy_elem.y; // b0 - cache_tmp[get_local_id(0) + 1] = myDy_elem.z; // d0, i.e., v[0] - } - - } - - barrier(CLK_LOCAL_MEM_FENCE); - - { - REAL4 scan_elem; - REAL b0, d0; - - // third loop - if( ind_y > 0 ) { - scan_elem = (REAL4) ( myDy_elem.y, 0.0 - myDy_elem.x * cache_tmp[get_local_size(0)+get_local_id(0)-1], 1.0, 0.0 ); - } else { - scan_elem = (REAL4) ( 1.0, 0.0, 0.0, 1.0 ); - } - - myDy_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) + (ro_scals->NUM_Y-1) - 2*ind_y]; // i.e., c[ind_inv] - - b0 = cache_tmp[get_local_id(0) - ind_y ]; - d0 = cache_tmp[get_local_id(0) - ind_y + 1]; // d0 - - barrier(CLK_LOCAL_MEM_FENCE); - - // CALL TRIDAG - tridag_inline_local ( - myDy_elem.x, // a[glb_ind] - myDy_elem.y, // c[glb_ind_inv] - myDy_elem.z, // d[glb_ind] == v[glb_ind] - v, // y - scan_elem, // scan_tmp[glb_ind] - ro_scals->NUM_Y, // SIZE - cache_tmp, // cache - get_global_id(0) - ind_y, // first_id - b0, // b0 - d0 // d0 - ); - } -} diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile deleted file mode 100644 index e07480b..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile +++ /dev/null @@ -1,42 +0,0 @@ -include setup.mk - -ifndef ($(HAVE_GPU)) -include platform.mk -endif - -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ - -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ - -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ - -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) - -SOURCES_CPP =VolCalibAll.cpp -HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h ../includeC/Constants.h \ - ../includeC/ParseInput.h ../includeC/DataStructConst.h ../includeC/ParPrefixUtil.h -OBJECTS =VolCalibAll.o -EXECUTABLE =VolCalib - -ifeq ($(HAVE_GPU),1) -default: gpu -else -# cannot build this one... -no-gpu: - @echo "\n*** No GPU configured, cannot build `pwd` ***\n" - exit 1 -endif - -#.cpp.o: $(SOURCES_CPP) $(HELPERS) -# $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -#$(OBJECTS) -cpu: - $(CXX) $(CXXFLAGS) -D IS_GPU=0 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) - -gpu: - $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) - -clean: - rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt - @# clean nVidia compiler cache - rm -rf $(HOME)/.nv/ComputeCache/* - diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/PrepareKernels.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/PrepareKernels.h deleted file mode 100644 index d76d963..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/PrepareKernels.h +++ /dev/null @@ -1,1576 +0,0 @@ -/***********************************************************/ -/*************** Helper DATA STRUCTURES ********************/ -/***********************************************************/ - -// GPU BUFFERS -struct oclNordeaArrays { - /* RO scalars */ - cl_mem ro_scals; - - /* RO arrays */ - cl_mem timeline; // [NUM_T] - - cl_mem myX; // [NUM_X] - cl_mem myDx; // [NUM_X * 3] - cl_mem myDxx; // [NUM_X * 3] - - cl_mem myY; // [NUM_Y] - cl_mem myDy; // [NUM_Y * 3] - cl_mem myDyy; // [NUM_Y * 3] - - /* TRIDAG helpers */ - cl_mem a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem tmp4; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem tmp2; // [2 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - cl_mem res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - /* WRITE ONLY OUTPUT stored in "res"*/ - //cl_mem res; -}; - -// CPU BUFFERS -struct NordeaArrays { - /* RO arrays */ - REAL* timeline; // [NUM_T] - - REAL* myX; // [NUM_X] - REAL* myDx; // [NUM_X * 3] - REAL* myDxx; // [NUM_X * 3] - - REAL* myY; // [NUM_Y] - REAL* myDy; // [NUM_Y * 3] - REAL* myDyy; // [NUM_Y * 3] - - /* TRIDAG helpers are created on GPU only! no need for them to exist in main memory*/ - REAL* a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* tmp; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - REAL* res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - /* NOT USED FOR NOW! WRITE ONLY OUTPUT stored in "res"*/ - //REAL* res; -}; - -// GPU KERNELS -typedef struct { - // PRE/POST TRIDAG KERNELS - cl_kernel ckPreTridagX; // NUM_X x NUM_Y x OUTER_LOOP_COUNT - cl_kernel ckPreTridagY; // NUM_Y x NUM_X x OUTER_LOOP_COUNT - cl_kernel ckMatTranspUpdate; - - cl_kernel ckMatTransposeU; - cl_kernel ckMatTransposeV; - - // TRIDAG KERNELS - cl_kernel ckTridagMatMult [2]; // scan with matrix multiplication: - cl_kernel ckConcludeMatMult[2]; - - cl_kernel ckPreludeFwdFunComp[2]; - cl_kernel ckTridagFwdFunComp[2]; // scan with linear function composition - cl_kernel ckPostFwdFunComp[2]; - - cl_kernel ckPreludeBwdFunComp[2]; - cl_kernel ckPostBwdFunComp[2]; - - cl_kernel ckTridagAllOpt[2]; - - cl_kernel ckNordeaKernelX; - cl_kernel ckNordeaKernelY; - - size_t GWS_XYZ [3]; - size_t LWS_XYZ [3]; - - size_t GWS_YXZ [3]; - size_t LWS_YXZ [3]; - - // NOT USED - //cl_kernel ckMatTransp; // NUM_Y x NUM_X x OUTER_LOOP_COUNT -} GPUkernels __attribute__ ((aligned (32))); - -/******************************************************/ -/******* compute global/local grid dimensions *********/ -/******************************************************/ - -static void local_block_size( - size_t size_x, size_t size_y, size_t size_z, - size_t& loc_x, size_t& loc_y, size_t& loc_z -) { - bool ok = is_pow2(size_x) && is_pow2(size_y); - assert( ok && "Global Size X or Y is not a power of 2!"); - assert( size_x * size_y >= WORKGROUP_SIZE && "NUM_X * NUM_Y < WORKGROUP_SIZE!!!"); - - loc_x = WORKGROUP_SIZE; loc_y = 1; loc_z = 1; - while(size_x / loc_x == 0) { - loc_x /= 2; - loc_y *= 2; - } - - ok = is_pow2(loc_x) && is_pow2(loc_y) && (loc_x*loc_y == WORKGROUP_SIZE) && (loc_x <= size_x) && (loc_y <= size_y); - assert( ok && "Local Block Size is not a power of 2!"); -} - - -void initGPUgrid ( GPUkernels& kernels ) { - { // find a convenient local block size - size_t loc_x, loc_y, loc_z; - - kernels.GWS_XYZ[0] = NUM_X; kernels.GWS_XYZ[1] = NUM_Y; kernels.GWS_XYZ[2] = OUTER_LOOP_COUNT; - kernels.GWS_YXZ[0] = NUM_Y; kernels.GWS_YXZ[1] = NUM_X; kernels.GWS_YXZ[2] = OUTER_LOOP_COUNT; - - local_block_size(NUM_X, NUM_Y, OUTER_LOOP_COUNT, loc_x, loc_y, loc_z); - kernels.LWS_XYZ[0] = loc_x; kernels.LWS_XYZ[1] = loc_y; kernels.LWS_XYZ[2] = loc_z; - - local_block_size(NUM_Y, NUM_X, OUTER_LOOP_COUNT, loc_y, loc_x, loc_z); - kernels.LWS_YXZ[0] = loc_y; kernels.LWS_YXZ[1] = loc_x; kernels.LWS_YXZ[2] = loc_z; - } - -} - -/************************************************************/ -/*************** KERNELS OTHER THAN TRIDAG ****************** -/************************************************************/ - -cl_kernel make_prepare_tridag_X( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs, - size_t* globalWorkSize, - size_t* localWorkSize -) { - cl_kernel ckPreTridagX = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckPreTridagX = clCreateKernel(cpProgram, "prepare_tridag_x", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - { // 1. RO SCALARS // - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); - } - - { // 2. RO ARRAYS // - //ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.timeline); - - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myX); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDx); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDxx); - - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myY); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); - } - - { // 3. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); - } - -#if 1 - { // 4. LOCAL (PRIVATE ARRAYS) - const int PRIV_MULT = sizeof(REAL) * localWorkSize[0] * localWorkSize[1] * localWorkSize[2]; - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, PRIV_MULT, NULL); - } -#endif - { // 5. OUT ARRAY! - ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.res_arr ); - } -#if 0 - { // Finally, enqueue kernel - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreTridagX, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckPreTridagX; -} - -void run_prepare_tridag_X( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreTridagX, 3, NULL, - kernels.GWS_XYZ, kernels.LWS_XYZ, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - -/////////////////////////// -/// NORDEA_ALL_KERNEL_X /// -/////////////////////////// - -cl_kernel make_NordeaKernelX( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs -) { - cl_kernel ckAllX = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckAllX = clCreateKernel(cpProgram, "nordea_kernel_x", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - // 1. RO SCALARS // - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); - - // 2. RO ARRAYS // - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myX); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDx); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDxx); - - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myY); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); - - // 3. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); - - // 4. LOCAL (PRIVATE ARRAYS) - const int PRIV_MULT = sizeof(REAL) * 8 * WORKGROUP_SIZE; - ciErr1 |= clSetKernelArg(ckAllX, counter++, PRIV_MULT, NULL); - - // 5. OUT ARRAY! - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.res_arr ); - - oclCheckError(ciErr1, CL_SUCCESS); - - return ckAllX; -} - -void run_NordeaKernelX( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelX, 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL); - - ciErr1 |= clFinish(cqCommandQueue); - - oclCheckError(ciErr1, CL_SUCCESS); -} - - -////////////////////////////////////////////////////////////// -////////////////////////////////////////////////////////////// - -cl_kernel make_prepare_tridag_Y( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - size_t* globalWorkSize, - size_t* localWorkSize -) { - cl_kernel ckPreTridagY = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckPreTridagY = clCreateKernel(cpProgram, "prepare_tridag_y", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - { // 1. RO SCALARS // here we do not have to reload ro_scals! - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); - } - - { // 2. RO ARRAYS // - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); - } - - { // 3. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); - } -#if 1 - { // 4. LOCAL (PRIVATE ARRAYS) - const int PRIV_MULT = sizeof(REAL) * localWorkSize[0] * localWorkSize[1] * localWorkSize[2]; - ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, PRIV_MULT, NULL); - } -#endif -#if 0 - { // Finally, enqueue kernel - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreTridagY, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckPreTridagY; -} - -void run_prepare_tridag_Y( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreTridagY, 3, NULL, - &kernels.GWS_YXZ[0], &kernels.LWS_YXZ[0], 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - - -/////////////////////////// -/// NORDEA_ALL_KERNEL_X /// -/////////////////////////// - -cl_kernel make_NordeaKernelY( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs -) { - cl_kernel ckAllY = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckAllY = clCreateKernel(cpProgram, "nordea_kernel_y", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - // 1. RO SCALARS // - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); - - // 2. RO ARRAYS // - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); - - // 3. GPU-ONLY GLOBAL ARRAYS // -#if TRANSPOSE_UV - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); // y <- u^T - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); // u <- v^T -#else - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); -#endif - - // 4. LOCAL (PRIVATE ARRAYS) - const int PRIV_MULT = sizeof(REAL) * 8 * WORKGROUP_SIZE; - ciErr1 |= clSetKernelArg(ckAllY, counter++, PRIV_MULT, NULL); - - oclCheckError(ciErr1, CL_SUCCESS); - - return ckAllY; -} - -void run_NordeaKernelY( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelY, 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL); - - ciErr1 |= clFinish(cqCommandQueue); - - oclCheckError(ciErr1, CL_SUCCESS); -} - - -/************************************************************/ -/******************** TRIDAG KERNELS ************************/ -/************************************************************/ - - - -/** - * Parallel Prefix with matrix multiplication - */ -cl_kernel make_MatMultScan( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - const unsigned int* NUM_P -) { - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - cl_kernel ckTridagMatMultX = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckTridagMatMultX = clCreateKernel(cpProgram, "scanMatMultIncl", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - { // 1. GPU-ONLY GLOBAL ARRAYS /(4 * NUM_X * NUM_Y * OUTER_LOOP_COUNT) - ciErr1 |= clSetKernelArg(ckTridagMatMultX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); - } - - { // 2. LOCAL: 8 * sizeof(REAL) * worksize - const int PRIV_MULT = sizeof(REAL) * 8 * localWorkSize; - ciErr1 |= clSetKernelArg(ckTridagMatMultX, counter++, PRIV_MULT, NULL); - } - - { // 1. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckTridagMatMultX, counter++, sizeof(uint), (void *)NUM_P); - } - -#if 0 - { // Finally, the array size: - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckTridagMatMultX, 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckTridagMatMultX; -} - -void run_MatMultScan( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckTridagMatMult[X], 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - - - -/** - * Parallel Prefix with linear function composition - */ -cl_kernel make_FwdFunCompScan( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - const unsigned int* NUM_P -) { - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - cl_kernel ckTridagFwdFunComp = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; - unsigned long int cur_size; - - // find kernel - ckTridagFwdFunComp = clCreateKernel(cpProgram, "scanLinFunCompIncl", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - // 1. GPU-ONLY GLOBAL ARRAYS /(4 * NUM_X * NUM_Y * OUTER_LOOP_COUNT) - ciErr1 |= clSetKernelArg(ckTridagFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); - - // 2. LOCAL: 4 * sizeof(REAL) * worksize - const int PRIV_MULT = sizeof(REAL) * 4 * localWorkSize; - ciErr1 |= clSetKernelArg(ckTridagFwdFunComp, counter++, PRIV_MULT, NULL); - - // 1. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckTridagFwdFunComp, counter++, sizeof(uint), (void *)NUM_P); - - // Finally, the array size: -#if 0 - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckTridagFwdFunComp, 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckTridagFwdFunComp; -} - -void run_FwdFunCompScan( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckTridagFwdFunComp[X], 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -/** - * Mapping back the results of parallel prefix with matrix multiplication - */ -cl_kernel make_conclude_matmult ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - cl_mem d, - cl_mem y, - cl_mem u -) { - cl_kernel ckConcludeMatMult = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckConcludeMatMult = clCreateKernel(cpProgram, "conclude_matmult", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b ); // b - ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&d ); - ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&y ); - ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&u ); - ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); - - -#if 0 - { // Finally, enqueue kernel! - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckConcludeMatMult, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckConcludeMatMult; -} - - -void run_conclude_matmult( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; - size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckConcludeMatMult[X], 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - -/** - * Preparing for parallel prefix with linear function composition - * (i.e., filling in ocl_arrs.tmp) - */ -cl_kernel make_preludeFwdMapFunComp ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - cl_mem d, - cl_mem u -) { - cl_kernel ckPreludeFwdFunComp = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckPreludeFwdFunComp = clCreateKernel(cpProgram, "prelude_fwd_fun_comp", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a ); // b - ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&d ); - ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&u ); - ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); - - -#if 0 - { // Finally, enqueue kernel! - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreludeFwdFunComp, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckPreludeFwdFunComp; -} - -void run_preludeFwdMapFunComp( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; - size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreludeFwdFunComp[X], 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - -/** - * Mapping back the results of parallel prefix with linear function composition - */ -cl_kernel make_postFwdMapFunComp ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - cl_mem y -) { - cl_kernel ckPostFwdFunComp = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckPostFwdFunComp = clCreateKernel(cpProgram, "post_fwd_fun_comp", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - ciErr1 |= clSetKernelArg(ckPostFwdFunComp, counter++, sizeof(cl_mem), (void*)&y ); - ciErr1 |= clSetKernelArg(ckPostFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); - -#if 0 - { // Finally, enqueue kernel! - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPostFwdFunComp, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckPostFwdFunComp; -} - -void run_postFwdMapFunComp ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; - size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPostFwdFunComp[X], 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - - -/** - * Preparing for forward-parallel prefix with linear function composition - * (i.e., filling in ocl_arrs.tmp) - */ -cl_kernel make_preludeBwdMapFunComp ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - cl_mem y, - cl_mem u -) { - cl_kernel ckPreludeBwdFunComp = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckPreludeBwdFunComp = clCreateKernel(cpProgram, "prelude_bwd_fun_comp", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c ); // b - ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&y ); - ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&u ); - ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); - -#if 0 - { // Finally, enqueue kernel! - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreludeBwdFunComp, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckPreludeBwdFunComp; -} - -void run_preludeBwdMapFunComp ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; - size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreludeBwdFunComp[X], 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -/** - * Mapping back the results of parallel prefix with linear function composition - */ -cl_kernel make_postBwdMapFunComp ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - cl_mem y -) { - cl_kernel ckPostBwdFunComp = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckPostBwdFunComp = clCreateKernel(cpProgram, "post_bwd_fun_comp", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&y ); - ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2 ); - //ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals); - //ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.timeline); - -#if 0 - { // Finally, enqueue kernel! - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPostBwdFunComp, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - } -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckPostBwdFunComp; -} - -void run_postBwdMapFunComp ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; - size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; - - assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPostBwdFunComp[X], 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -//////////////////////////////////////////////////////// -//////////////////////////////////////////////////////// -//////////////////////////////////////////////////////// - -/** - * Mapping back the results of parallel prefix with matrix multiplication - */ -cl_kernel make_TRIDAG_ALL_OPT ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - cl_mem d, - cl_mem y, - cl_mem u, - const unsigned int* NUM_P -) { - cl_kernel ckTridagAll = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckTridagAll = clCreateKernel(cpProgram, "tridag_inlined", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a ); // a - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c ); // c - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&d ); - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&y ); - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&u ); - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(uint) , (void *)NUM_P ); - - { - const int PRIV_MULT = sizeof(REAL) * 8 * WORKGROUP_SIZE; - ciErr1 |= clSetKernelArg(ckTridagAll, counter++, PRIV_MULT, NULL); - } - - oclCheckError(ciErr1, CL_SUCCESS); - - return ckTridagAll; -} - - -void run_TRIDAG_ALL_OPT ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - int X -) { - cl_int ciErr1; - - size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - //size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; - //size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; - - assert( (X==0 || X==1) && "INVALID TRIDAG_ALL_OPT Kernel!"); - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckTridagAllOpt[X], 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL ); - - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - - - - - -/***************************************************/ -/********* Segmented Matrix Transposition ********/ -/***************************************************/ - -cl_kernel make_transposeGPU( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - cl_mem inp_arr, - cl_mem out_arr, - const unsigned int* size_x, - const unsigned int* size_y, - const unsigned int* size_z, - const char* kernel_name -// size_t* globalWorkSize, -// size_t* localWorkSize -) { - cl_kernel ckMatTransp = NULL; - cl_int ciErr1, ciErr2; - unsigned int counter = 0; - - ckMatTransp = clCreateKernel(cpProgram, kernel_name, &ciErr1); // "transposeUpdateScalars" - oclCheckError(ciErr1, CL_SUCCESS); - - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &out_arr); // input array - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &inp_arr); // output array - //ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), &offset); - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_x); // size of 0 dim - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_y); // size of 1 dim - - // shared memory space - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, (BLOCK_DIM + 1) * BLOCK_DIM * sizeof(REAL), 0 ); - -#if 0 - // enqueue kernel - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckMatTransp, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); -#endif - oclCheckError(ciErr1, CL_SUCCESS); - - return ckMatTransp; -} - -void run_transposeGPU ( - cl_command_queue& cqCommandQueue, - cl_kernel kernel, - size_t* globalWorkSize - -) { - cl_int ciErr1; - size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernel, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -cl_kernel make_transposeGPU_WithUpdate( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - cl_mem inp_arr, - cl_mem out_arr, - const unsigned int* size_x, - const unsigned int* size_y, - const unsigned int* size_z, - oclNordeaArrays& ocl_arrs -// size_t* globalWorkSize, -// size_t* localWorkSize -) { - cl_int ciErr1; - cl_kernel kernel = make_transposeGPU( - cqCommandQueue, cpProgram, inp_arr, - out_arr, size_x, size_y, size_z, "transposeUpdateScalars" - ); - - ciErr1 = clSetKernelArg(kernel, 5, sizeof(cl_mem), (void *) &ocl_arrs.ro_scals); - ciErr1 = clSetKernelArg(kernel, 6, sizeof(cl_mem), (void *) &ocl_arrs.timeline); - oclCheckError(ciErr1, CL_SUCCESS); - - return kernel; -} - -void run_transposeGPU_WithUpdate ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - size_t* globalWorkSize = kernels.GWS_YXZ; - size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; - //size_t* localWorkSize = kernels.LWS_YXZ; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckMatTranspUpdate, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -/**********************************************************/ -/**************** MAKE ALL KERNELS ************************/ -/**********************************************************/ - -void make_TRIDAG( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - oclNordeaArrays& ocl_arrs, - GPUkernels& kernels, - const int X -) { - assert( (X==0 || X==1) && "INVALID argument X to make_TRIDAG Kernels!"); - - cl_mem d; cl_mem y; cl_mem u; - const unsigned int* NUM_P = NULL; - //size_t* globalWorkSize = NULL; - //size_t* localWorkSize = NULL; - - if(X == 0) { - // first tridag run: d <- u; y <- u; u <- y NUM_P <- &NUM_X - d = ocl_arrs.u; y = ocl_arrs.u; u = ocl_arrs.y; NUM_P = &NUM_X; - //globalWorkSize = kernels.GWS_XYZ; - //localWorkSize = kernels.LWS_XYZ; - } else { // X == 1 - // second tridag run: d <- v; y <- y; u <- u NUM_P <- &NUM_Y - d = ocl_arrs.v; y = ocl_arrs.v; u = ocl_arrs.y; NUM_P = &NUM_Y; //y = ocl_arrs.y; u = ocl_arrs.u; - //globalWorkSize = kernels.GWS_XYZ; - //localWorkSize = kernels.LWS_XYZ; - } - - - // scan with matrix multiply! - kernels.ckTridagMatMult[X] = make_MatMultScan ( - cqCommandQueue, cpProgram, ocl_arrs, NUM_P - ); - - // map the results of the parallel prefix with matrix multiplication! - kernels.ckConcludeMatMult[X] = make_conclude_matmult ( - cqCommandQueue, cpProgram, ocl_arrs, d, y, u - ); - - // prepare for forward scan with function composition! - kernels.ckPreludeFwdFunComp[X] = make_preludeFwdMapFunComp ( - cqCommandQueue, cpProgram, ocl_arrs, d, u - ); - - // (forward) scan with function composition! - kernels.ckTridagFwdFunComp[X] = make_FwdFunCompScan ( - cqCommandQueue, cpProgram, ocl_arrs, NUM_P - ); - - // post_fwd_fun_comp - kernels.ckPostFwdFunComp[X] = make_postFwdMapFunComp ( - cqCommandQueue, cpProgram, ocl_arrs, y - ); - - // prepare for backward scan with linear-function composition - kernels.ckPreludeBwdFunComp[X] = make_preludeBwdMapFunComp ( - cqCommandQueue, cpProgram, ocl_arrs, y, u - ); - - // (backward) scan with function composition! - // have already been computed in "kernels.ckTridagFwdFunComp[X]" needs to be run twice!!! - //kernels.ckTridagFwdFunComp2[X] = make_FwdFunCompScan ( - // cqCommandQueue, cpProgram, ocl_arrs, NUM_P - // ); - - // post_bwd_fun_comp - kernels.ckPostBwdFunComp[X] = make_postBwdMapFunComp ( - cqCommandQueue, cpProgram, ocl_arrs, y - ); - - ///////////////////////// - // Finally, TRIDAG ALL // - ///////////////////////// - kernels.ckTridagAllOpt[X] = make_TRIDAG_ALL_OPT ( - cqCommandQueue, cpProgram, ocl_arrs, d, y, u, NUM_P - ); -} - - -void make_kernels ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs, - GPUkernels& kernels -) { - initGPUgrid ( kernels ); - - kernels.ckPreTridagX = make_prepare_tridag_X ( - cqCommandQueue, - cpProgram, - ro_scal, - ocl_arrs, - kernels.GWS_XYZ, - kernels.LWS_XYZ - ); - - make_TRIDAG( cqCommandQueue, cpProgram, ocl_arrs, kernels, 0 ); - - kernels.ckPreTridagY = make_prepare_tridag_Y ( - cqCommandQueue, - cpProgram, - ocl_arrs, - kernels.GWS_YXZ, - kernels.LWS_YXZ - ); - - make_TRIDAG( cqCommandQueue, cpProgram, ocl_arrs, kernels, 1 ); - -#if TRANSPOSE_UV - kernels.ckMatTranspUpdate = make_transposeGPU_WithUpdate ( - cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.res_arr, // ocl_arrs.y - &NUM_Y, &NUM_X, &OUTER_LOOP_COUNT, ocl_arrs - ); -#else - // transpose y into res_arr - kernels.ckMatTranspUpdate = make_transposeGPU_WithUpdate ( - cqCommandQueue, cpProgram, ocl_arrs.v, ocl_arrs.res_arr, // ocl_arrs.y - &NUM_Y, &NUM_X, &OUTER_LOOP_COUNT, ocl_arrs - ); -#endif - - ////////////////////////////////// - // Finally, Finally, TRIDAG ALL // - ////////////////////////////////// - kernels.ckNordeaKernelX = make_NordeaKernelX ( - cqCommandQueue, cpProgram, ro_scal, ocl_arrs - ); - - kernels.ckNordeaKernelY = make_NordeaKernelY ( - cqCommandQueue, cpProgram, ro_scal, ocl_arrs - ); - - // transpose U into Y - kernels.ckMatTransposeU = make_transposeGPU ( - cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.y, - &NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" - ); - - // transpose V into U - kernels.ckMatTransposeV = make_transposeGPU ( - cqCommandQueue, cpProgram, ocl_arrs.v, ocl_arrs.u, - &NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" - ); - -} - - -/**********************************************************/ -/********************* RUN KERNELS ************************/ -/**********************************************************/ - -void run_TRIDAG( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - const int X -) { - assert( (X==0 || X==1) && "INVALID argument X to make_TRIDAG Kernels!"); - -#ifdef TRIDAG_ALL_OPT_ON - run_TRIDAG_ALL_OPT( cqCommandQueue, kernels, X ); -#else - // scan with matrix multiply! - run_MatMultScan( cqCommandQueue, kernels, X ); - - // map the results of the parallel prefix with matrix multiplication! - run_conclude_matmult( cqCommandQueue, kernels, X ); - - - // prepare for forward scan with function composition! - run_preludeFwdMapFunComp( cqCommandQueue, kernels, X ); - - // (forward) scan with function composition! - run_FwdFunCompScan( cqCommandQueue, kernels, X); - - // post_fwd_fun_comp - run_postFwdMapFunComp( cqCommandQueue, kernels, X ); - - // prepare for backward scan with linear-function composition - run_preludeBwdMapFunComp( cqCommandQueue, kernels, X ); - - // (backward) scan with function composition! - run_FwdFunCompScan( cqCommandQueue, kernels, X ); - - // post_bwd_fun_comp - run_postBwdMapFunComp( cqCommandQueue, kernels, X ); -#endif -} - -void run_GPUkernels_one_time_iteration ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { -#ifdef MOST_OPTIMISED_ON - run_NordeaKernelX( cqCommandQueue, kernels ); - -#if TRANSPOSE_UV - run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeU, kernels.GWS_XYZ ); // y <- transpose(u) - run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeV, kernels.GWS_XYZ ); // u <- transpose(v) -#endif - - run_NordeaKernelY( cqCommandQueue, kernels ); - -#else - - run_prepare_tridag_X( cqCommandQueue, kernels ); - - run_TRIDAG( cqCommandQueue, kernels, 0); - - run_prepare_tridag_Y( cqCommandQueue, kernels ); - - run_TRIDAG( cqCommandQueue, kernels, 1); -#endif - - run_transposeGPU_WithUpdate( cqCommandQueue, kernels ); -} - -/**********************************************************/ -/******************* RELEASE KERNELS **********************/ -/**********************************************************/ - -void release_all_kernels ( GPUkernels& kernels ) { - clReleaseKernel(kernels.ckPreTridagX); - clReleaseKernel(kernels.ckPreTridagY); - clReleaseKernel(kernels.ckMatTranspUpdate); - - clReleaseKernel(kernels.ckTridagMatMult[0]); - clReleaseKernel(kernels.ckTridagMatMult[1]); - - clReleaseKernel(kernels.ckConcludeMatMult[0]); - clReleaseKernel(kernels.ckConcludeMatMult[1]); - - clReleaseKernel(kernels.ckPreludeFwdFunComp[0]); - clReleaseKernel(kernels.ckPreludeFwdFunComp[1]); - - clReleaseKernel(kernels.ckTridagFwdFunComp[0]); - clReleaseKernel(kernels.ckTridagFwdFunComp[1]); - - clReleaseKernel(kernels.ckPostFwdFunComp[0]); - clReleaseKernel(kernels.ckPostFwdFunComp[1]); - - clReleaseKernel(kernels.ckPreludeBwdFunComp[0]); - clReleaseKernel(kernels.ckPreludeBwdFunComp[1]); - - clReleaseKernel(kernels.ckPostBwdFunComp[0]); - clReleaseKernel(kernels.ckPostBwdFunComp[1]); - - clReleaseKernel(kernels.ckTridagAllOpt[0]); - clReleaseKernel(kernels.ckTridagAllOpt[1]); - - clReleaseKernel(kernels.ckNordeaKernelX); - clReleaseKernel(kernels.ckNordeaKernelY); - - clReleaseKernel(kernels.ckMatTransposeU); - clReleaseKernel(kernels.ckMatTransposeV); -} - -void release_all_GPU_resources( - cl_command_queue& cqCommandQueue, - cl_context& cxGPUContext, - cl_program cpProgram, - cl_device_id* cdDevices, - oclNordeaArrays& ocl_arrs, - GPUkernels& kernels -) { - - shrLog(stdlog, "Release Kernels...\n"); - release_all_kernels( kernels ); - - shrLog(stdlog, "Release CPU buffers and OpenCL objects...\n"); - clReleaseProgram(cpProgram); - - clReleaseMemObject(ocl_arrs.ro_scals); - clReleaseMemObject(ocl_arrs.timeline); - - clReleaseMemObject(ocl_arrs.a); - clReleaseMemObject(ocl_arrs.b); - clReleaseMemObject(ocl_arrs.c); - - clReleaseMemObject(ocl_arrs.y); - clReleaseMemObject(ocl_arrs.u); - clReleaseMemObject(ocl_arrs.v); - - clReleaseMemObject(ocl_arrs.tmp2); - clReleaseMemObject(ocl_arrs.tmp4); - clReleaseMemObject(ocl_arrs.res_arr); - - clReleaseMemObject(ocl_arrs.myX); - clReleaseMemObject(ocl_arrs.myDx); - clReleaseMemObject(ocl_arrs.myDxx); - - clReleaseMemObject(ocl_arrs.myY); - clReleaseMemObject(ocl_arrs.myDy); - clReleaseMemObject(ocl_arrs.myDyy); - - clReleaseCommandQueue(cqCommandQueue); - free(cdDevices); - clReleaseContext(cxGPUContext); -} - - -/**********************************************************/ -/******************* DEBUG TESTING **********************/ -/**********************************************************/ - -void testMatMultScan ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - cl_context& cxGPUContext -) { - //const unsigned NUM_X = 64, NUM_Y = 1; - - cl_mem cl_tmp; cl_int ciErr; - REAL* tmp = new REAL[NUM_X*NUM_Y*4]; - - for(int i=0; i4) - for( k=0; k4) - for( k=0; k4) - for( k=0; k4) - for( k=0; k4) - for( k=0; k( USER_MEM * 101.0 / 100.0 ); - const size_t lb = static_cast( USER_MEM * 99.0 / 100.0 ); - if ( !(glob_mem_size >= lb && glob_mem_size <= ub) ) { - fprintf(stderr, "WARNING! Querried GPU global memory %lu DIFFERS from what user declared: [%ld,%ld]!\n", - glob_mem_size, lb, ub); - glob_mem_size = static_cast(USER_MEM); - fprintf(stderr, "Using user-declared size for global memory: %lu\n", glob_mem_size); - } - } - - cl_ulong glob_mem_required = 15 * OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(REAL); - assert( glob_mem_required <= glob_mem_size && "Not Enough Global Memory. A possible fix is to strip-mine all kernels.\n" ); - //fprintf(stderr, "GPU global memory: %lu, needed: %lu bytes\n", glob_mem_size, glob_mem_required); -} - - -void makeOclBuffers ( - cl_context cxGPUContext, - cl_command_queue& cqCommandQueue, - RWScalars& ro_scal, - NordeaArrays& cpu_arrs, - oclNordeaArrays& ocl_arrs -) { - cl_int ciErr; - cl_int ciErr2; - unsigned long int cur_size; - - /*********************/ - /*** 1. RO scalars ***/ - /*********************/ - { - cur_size = sizeof(RWScalars); - ocl_arrs.ro_scals = clCreateBuffer( - cxGPUContext, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 - ); - - ciErr = ciErr2; - ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, - cur_size, &ro_scal, 0, NULL, NULL); - //oclCheckError(ciErr, CL_SUCCESS); - } - - /*********************/ - /*** 1. RO Arrays! ***/ - /*********************/ - { - cur_size = NUM_T*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(timeline); - - cur_size = NUM_X*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myX); - - cur_size *= REAL3_CT; - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDx); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDxx); - - cur_size = NUM_Y*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myY); - - cur_size *= REAL3_CT; - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDy); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDyy); - } - - //oclCheckError(ciErr, CL_SUCCESS); - - /*********************/ - /*** 1. RW Arrays! ***/ - /*********************/ - { - cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(REAL); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(a); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(b); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(c); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(y); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(u); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(v); - - cur_size *= 2; - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(tmp2); - - cur_size *= 2; - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(tmp4); - } - - { // Finally the result array (i.e., Read-Write but needs to be brought back to CPU in the end) - cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(REAL); - CREATE_AND_ENQUEUE_OUT_CL_BUFFER(res_arr); - } - - oclCheckError(ciErr, CL_SUCCESS); - - //shrLog("Before EXITING ALLOC ARRAYS!!! ...\n"); - -} - -#define USE_GPU_ITER 1 - -//extern "C" -unsigned long int -runOnGPU ( RWScalars& ro_scal, NordeaArrays& cpu_arrs, oclNordeaArrays& ocl_arrs ) { - cl_context cxGPUContext; // OpenCL context - cl_command_queue cqCommandQueue[16]; // OpenCL command que - cl_uint nDevice; // OpenCL device count - cl_device_id* cdDevices; // OpenCL device list - cl_program cpProgram; // OpenCL program - GPUkernels kernels; // OpenCL kernel - const unsigned int dev_id = GPU_DEV_ID; - - assert(GPU_DEV_ID >= 0 && "GPU DEVICE ID < 0 !\n"); - - { // initialize the loop-variant scalars! - ro_scal.t_ind = NUM_T - 2; - ro_scal.dtInv = 1.0/(cpu_arrs.timeline[ro_scal.t_ind+1]-cpu_arrs.timeline[ro_scal.t_ind]); - ro_scal.timeline_i = cpu_arrs.timeline[ro_scal.t_ind]; - } - - { // making command queue, building program, etc - char compile_opts[128]; - sprintf( compile_opts, "-D lgWARP=%d", lgWARP ); - - build_for_GPU( - cxGPUContext, cqCommandQueue, - nDevice, cdDevices, cpProgram, dev_id, compile_opts, "", "CrankNicolson" - ); - - verifyEnoughResources(cdDevices[dev_id]); - } - - // allocate space for the RO and RW arrays on GPU! - makeOclBuffers ( - cxGPUContext, cqCommandQueue[dev_id], ro_scal, cpu_arrs, ocl_arrs - ); - - - { // make all kernels! - make_kernels( cqCommandQueue[dev_id], cpProgram, ro_scal, ocl_arrs, kernels ); - } - - unsigned long int elapsed; - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - // now execute kernels and record the time! - for(int t_ind = NUM_T-2; t_ind>=0; --t_ind) { - run_GPUkernels_one_time_iteration ( cqCommandQueue[dev_id], kernels ); - } // END TIME LOOP! - - - { // WRITE BACK THE RESULT ARRAY TO CPU !!! // - cl_int ciErr; - const unsigned int ARR_SIZE = NUM_X * NUM_Y * OUTER_LOOP_COUNT * sizeof(REAL); - ciErr = clEnqueueReadBuffer ( - cqCommandQueue[dev_id], ocl_arrs.res_arr, CL_TRUE, - 0, ARR_SIZE, cpu_arrs.res_arr, 0, NULL, NULL - ); - oclCheckError(ciErr, CL_SUCCESS); - - // RELEASE ALL GPU RESOURCES - release_all_GPU_resources ( - cqCommandQueue[dev_id], cxGPUContext, cpProgram, cdDevices, ocl_arrs, kernels - ); - } - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; - - return elapsed; -} - -#endif // end include NORDEA_GPU diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp deleted file mode 100644 index 51406e1..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp +++ /dev/null @@ -1,166 +0,0 @@ -#include "Constants.h" -#include "DataStructConst.h" -#include "ParseInput.h" -#include "VolCalibInit.h" -#include "Vect_CPU.h" -#include "Vect_GPU.h" - -#include "Util.h" -#include "ParseInput.h" - -unsigned long int -whole_loop_nest ( - REAL* res, - const REAL* strikes, - const REAL s0, - const REAL t, - const REAL alpha, - const REAL nu, - const REAL beta -) { - // loop index - unsigned int i; - unsigned long int elapsed; - //const unsigned int NUM_XY = NUM_X*NUM_Y; - - // arrays: - REAL *a = NULL, *b = NULL, *c = NULL, - *y = NULL, *u = NULL, *v = NULL, - *scan_tmp = NULL; - - { // allocate arrays - a = new REAL __attribute__ ((aligned (32))) [OUTER_LOOP_COUNT*NUM_XY]; - b = new REAL[OUTER_LOOP_COUNT*NUM_XY]; - c = new REAL[OUTER_LOOP_COUNT*NUM_XY]; - - y = new REAL[OUTER_LOOP_COUNT*NUM_XY]; - u = new REAL[OUTER_LOOP_COUNT*NUM_XY]; - v = new REAL[OUTER_LOOP_COUNT*NUM_XY]; - - scan_tmp = new REAL[4*OUTER_LOOP_COUNT*NUM_XY]; - } - - // parallel! - whole_loop_nest_init ( s0, t, alpha, nu, beta ); - - // parallel! - for( i=0; i 0 ) { - RWScalars ro_scal; - NordeaArrays cpu_arrs; - oclNordeaArrays ocl_arrs; - - { // init arrays - cpu_arrs.myX = myX; cpu_arrs.myDx = myDx; cpu_arrs.myDxx = myDxx; - cpu_arrs.myY = myY; cpu_arrs.myDy = myDy; cpu_arrs.myDyy = myDyy; - cpu_arrs.timeline = myTimeline; - cpu_arrs.a = a; cpu_arrs.b = b; cpu_arrs.c = c; - cpu_arrs.y = y; cpu_arrs.u = u; cpu_arrs.v = v; - cpu_arrs.tmp = scan_tmp; - cpu_arrs.res_arr = &myResArr[0]; - } - - { // init scalars - ro_scal.NUM_X = NUM_X; ro_scal.NUM_Y = NUM_Y; ro_scal.NUM_XY = NUM_X * NUM_Y; - ro_scal.alpha = alpha; ro_scal.beta = beta; ro_scal.nu = nu; - } - - { // SAFETY CHECK! - bool is_safe = (NUM_X <= WORKGROUP_SIZE) && (NUM_Y <= WORKGROUP_SIZE) && - is_pow2(NUM_X) && is_pow2(NUM_Y) && - (WORKGROUP_SIZE % NUM_X == 0) && (WORKGROUP_SIZE % NUM_Y == 0); - assert(is_safe && "NOT SAFE TO PARALLELISE ON GPU!"); - } - - elapsed = runOnGPU ( ro_scal, cpu_arrs, ocl_arrs ); - } else { - // CPU instrumentation here: - - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - for(int t_ind = NUM_T-2; t_ind>=0; --t_ind) { - - iteration_expanded_CPU ( - t_ind, alpha, beta, nu, - a, b, c, y, u, v, scan_tmp - ); - } - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; - } - - for( i=0; i(s0/dx); - - for( i=0; i input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run <=0; i-=WARP) { - y[i] = (y[i] - c[i]*y[i+WARP]) / u[i]; - } -} - -/**************************************************************************/ -/*********** PREPARE FOR TRIDAG X *****************************************/ -/**************************************************************************/ - -__kernel void nordea_kernel_x ( - /*** Read-Only Scalars ***/ - __constant RWScalars* ro_scals, - /*** Read-Only Arrays ***/ - __constant REAL* myX, - __constant REAL* myDx, - __constant REAL* myDxx, - __global REAL* myY, - __global REAL4* myDy, - __global REAL4* myDyy, - /*** Read-Write Temporary Arrays ***/ - __global REAL* a, - __global REAL* b, - __global REAL* c, - __global REAL* y, - __global REAL* u, - __global REAL* v, - /*** The Result Array ***/ - __global REAL* res_arr -) { - unsigned int ind, i, ind_rev; - //const unsigned int step_rev = ro_scals->NUM_Y; //(ro_scals->NUM_Y << LOG2_WARP_SIZE); - REAL cur_myVar, cur_myMu, exp_add; - REAL4 myDy_el; - - { // cur_myVarY = nu*nu; cur_myMuY = 0.0; compute ind_y and exp_add - cur_myVar = ro_scals->nu; cur_myVar *= cur_myVar; - cur_myMu = 0.0; - - //ind_y = get_global_id(0) & (ro_scals->NUM_Y - 1); - exp_add = myY[get_global_id(0) & (ro_scals->NUM_Y - 1)] - 0.5*cur_myVar*ro_scals->timeline_i; - } - - { // adjust arrays: except for `res_arr' and `v' which are accesses as `v[i,j]', hence memory is already coalesced! - unsigned int offset = (get_global_id(0)>>lgWARP); - offset *= ( ro_scals->NUM_X << lgWARP ); - offset += ( get_global_id(0) & (WARP-1) ); - - a += offset; - b += offset; - c += offset; - y += offset; - u += offset; - } - - { // computing myDy_el = (cur_myMuY*myDy[j] + 0.5*cur_myVarY*myDyy[j]) - i = get_global_id(0) & (ro_scals->NUM_Y - 1); - myDy_el = cur_myMu*myDy[i] + (0.5*cur_myVar)*myDyy[i]; - //i = REAL3_CT*(get_global_id(0) & (ro_scals->NUM_Y - 1)); - //myDy_el = (REAL4)(myDyy[i], myDyy[i+1], myDyy[i+2], 1.0); - //myDy_el = myDy_el * (0.5*cur_myVar); - //myDy_el += cur_myMu*((REAL4)(myDy[i], myDy[i+1], myDy[i+2], 1.0)); - } - - - ind_rev = (get_global_id(0)/ro_scals->NUM_Y)*ro_scals->NUM_XY + (get_global_id(0) & (ro_scals->NUM_Y - 1)); - for( i=0, ind=0; iNUM_X; i++, ind+=WARP, ind_rev+=ro_scals->NUM_Y ) { - myDy_el.w = 0.0; - - { // comput cur_myMy and cur_myVar - cur_myMu = 0.0; // X - cur_myVar = exp( 2 * ( ro_scals->beta*log(myX[i]) + exp_add ) ); - //cur_myVar = exp(2*(ro_scals->beta*log(myX[i]) + myY[get_global_id(0) & (ro_scals->NUM_Y - 1)] - 0.5*ro_scals->nu*ro_scals->nu*ro_scals->timeline_i)); - } - - { // compute v[i, j] - if( (ind_rev & (ro_scals->NUM_Y-1)) != 0 ) myDy_el.w += myDy_el.x*res_arr[ind_rev-1]; //[(j-1)*NUM_X+i]; - myDy_el.w += myDy_el.y*res_arr[ind_rev ]; // [j*NUM_X+i]; - if( (ind_rev & (ro_scals->NUM_Y-1)) != ro_scals->NUM_Y-1 ) myDy_el.w += myDy_el.z*res_arr[ind_rev+1]; //[(j+1)*NUM_X+i]; - - //v[k*NUM_X*NUM_Y + i*NUM_Y + j] = tmp; // v[i*NUM_Y + j] = tmp; //v[i][j] = tmp2; - - v[ ind_rev ] = myDy_el.w; - } - - { // compute u, a, b, c - const unsigned int im3 = REAL3_CT*i; - - if(i!=0) - myDy_el.w += 0.5*(cur_myMu*myDx[im3 ] + 0.5*cur_myVar*myDxx[im3 ])*res_arr[ind_rev-ro_scals->NUM_Y]; //[j*NUM_X+i-1]; - - // tmp += ro_scals->dtInv * res_arr[ind]; WAS included in the next line! - myDy_el.w += ( 0.5*(cur_myMu*myDx[im3+1] + 0.5*cur_myVar*myDxx[im3+1]) + ro_scals->dtInv)*res_arr[ind_rev ]; //[j*NUM_X+i]; - - if(i!=ro_scals->NUM_X-1) - myDy_el.w += 0.5*(cur_myMu*myDx[im3+2] + 0.5*cur_myVar*myDxx[im3+2])*res_arr[ind_rev+ro_scals->NUM_Y]; //[j*NUM_X+i+1]; - - u[ind] = myDy_el.w; - - // compute a,b,c - a[ind] = 0.0 - 0.5*(cur_myMu*myDx[im3 ] + 0.5*cur_myVar*myDxx[im3 ]); // a[j*NUM_X+i] = ... - b[ind] = ro_scals->dtInv - 0.5*(cur_myMu*myDx[im3+1] + 0.5*cur_myVar*myDxx[im3+1]); // b[j*NUM_X+i] = ... - c[ind] = 0.0 - 0.5*(cur_myMu*myDx[im3+2] + 0.5*cur_myVar*myDxx[im3+2]); // c[j*NUM_X+i] = ... - } - } - - tridag_seq(a, b, c, u, ro_scals->NUM_X, u, y); -} - - -/**************************************************************************/ -/*********** IN-BETWEEN TRIDAGS -- i.e., prepare for TRIDAG Y *************/ -/**************************************************************************/ - -__kernel void nordea_kernel_y ( - /*** Read-Only Scalars ***/ - __constant RWScalars* ro_scals, // __constant - /*** Read-Only Arrays ***/ - __constant REAL* myDy, - __constant REAL* myDyy, - /*** Read-Write Temporary Arrays ***/ - __global REAL* a, - __global REAL* b, - __global REAL* c, - __global REAL* u, - __global REAL* v, - __global REAL* y -) { - //const unsigned int step_rev = ro_scals->NUM_X; //(ro_scals->NUM_X << LOG2_WARP_SIZE); - unsigned int ind, ind_rev, i; - REAL cur_myVar, cur_myMu; - - { // cur_myVarY = nu*nu; cur_myMuY = 0.0; compute ind_y and exp_add - cur_myVar = ro_scals->nu; cur_myVar *= cur_myVar; - cur_myMu = 0.0; - } - - { // adjust arrays! except for `u' whose access pattern is `u[j,i]' which is already coalesced! - unsigned int offset = (get_global_id(0)>>lgWARP); - offset *= ( ro_scals->NUM_Y << lgWARP ); - offset += ( get_global_id(0) & (WARP-1) ); - - a += offset; - b += offset; - c += offset; - y += offset; - v += offset; - } - - ind_rev = (get_global_id(0)/ro_scals->NUM_X)*ro_scals->NUM_XY + (get_global_id(0) & (ro_scals->NUM_X - 1)); // should step with `NUM_Y*32' - for( i=0, ind=0; iNUM_Y; i++, ind+=WARP, ind_rev+=ro_scals->NUM_X) { - unsigned int im3 = REAL3_CT*i; - - a[ind] = 0.0 - 0.5*(cur_myMu*myDy[im3 ] + 0.5*cur_myVar*myDyy[im3 ]); // a[i*NUM_Y+j] = ... - b[ind] = ro_scals->dtInv - 0.5*(cur_myMu*myDy[im3+1] + 0.5*cur_myVar*myDyy[im3+1]); // b[i*NUM_Y+j] = ... - c[ind] = 0.0 - 0.5*(cur_myMu*myDy[im3+2] + 0.5*cur_myVar*myDyy[im3+2]); // c[i*NUM_Y+j] = ... - - v[ind] = ro_scals->dtInv * u[ind_rev] - 0.5 * v[ind]; - //u[ (get_global_id(0)/ro_scals->NUM_XY)*ro_scals->NUM_XY + i*ro_scals->NUM_X + ind_x] - - } - - tridag_seq(a, b, c, v, ro_scals->NUM_Y, v, y); -} - - -/*********************************************/ -/*********** Matrix Transposition ************/ -/*********************************************/ - -// This kernel is optimized to ensure all global reads and writes are coalesced, -// and to avoid bank conflicts in shared memory. The shared memory array is sized -// to (BLOCK_DIM+1)*BLOCK_DIM. This pads each row of the 2D block in shared memory -// so that bank conflicts do not occur when threads address the array column-wise. -inline void transposeMatrix( - __global REAL *odata, - __global REAL *idata, - unsigned int width, - unsigned int height, - __local REAL* block) -{ - unsigned int xIndex, yIndex; - - // adjust the input and output arrays for the third dimension! - yIndex = get_global_id(2) * width * height; - odata = odata + yIndex; - idata = idata + yIndex; - - // read the matrix tile into shared memory - xIndex = get_global_id(0); - yIndex = get_global_id(1); - - if((xIndex < width) && (yIndex < height)) - { - unsigned int index_in = yIndex * width + xIndex; - block[get_local_id(1)*(BLOCK_DIM+1)+get_local_id(0)] = idata[index_in]; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // write the transposed matrix tile to global memory - xIndex = get_group_id(1) * BLOCK_DIM + get_local_id(0); - yIndex = get_group_id(0) * BLOCK_DIM + get_local_id(1); - if((xIndex < height) && (yIndex < width)) - { - unsigned int index_out = yIndex * height + xIndex; - odata[index_out] = block[get_local_id(0)*(BLOCK_DIM+1)+get_local_id(1)]; - } -} - -__kernel void transpose( - __global REAL *odata, - __global REAL *idata, - //int offset, - unsigned int width, - unsigned int height, - __local REAL* block) -{ - transposeMatrix( odata, idata, width, height, block ); -} - -__kernel void transposeUpdateScalars( - __global REAL *odata, - __global REAL *idata, - //int offset, - unsigned int width, - unsigned int height, - __local REAL* block, - __global RWScalars* ro_scals, // __constant - __constant REAL* timeline -) { - transposeMatrix( odata, idata, width, height, block ); - - // update time-loop-variant scalars - if(get_global_id(2) + get_global_id(1) + get_global_id(0) == 0) { - int t_ind = --ro_scals->t_ind; - ro_scals->dtInv = 1.0 / ( timeline[t_ind+1] - timeline[t_ind] ); - ro_scals->timeline_i = timeline[ t_ind ]; - } -} - - - diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile deleted file mode 100644 index e1e31ef..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile +++ /dev/null @@ -1,53 +0,0 @@ -include setup.mk - -ifndef ($(HAVE_GPU)) -include platform.mk -endif - -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ - -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ - -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ - -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) - -SOURCES_CPP =VolCalibOuter.cpp -HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h ../includeC/Constants.h \ - ../includeC/ParseInput.h ../includeC/DataStructConst.h ../includeC/ParPrefixUtil.h -OBJECTS =VolCalibOuter.o -EXECUTABLE =VolCalib - - -ifeq ($(HAVE_GPU),1) -default: gpu -else -# cannot build this one... -no-gpu: - @echo "\n*** No GPU configured, cannot build `pwd` ***\n" -endif - - -#.cpp.o: -# $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< - -#$(OBJECTS) -cpu: - $(CXX) $(CXXFLAGS) -D IS_GPU=0 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) - -gpu: - $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) - - -run_small: - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - -clean: - rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt - @# clean nVidia compiler cache - rm -rf $(HOME)/.nv/ComputeCache/* - diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/PrepareKernels.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/PrepareKernels.h deleted file mode 100644 index 13a39bd..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/PrepareKernels.h +++ /dev/null @@ -1,529 +0,0 @@ -#ifndef PREPARE_KERNELS -#define PREPARE_KERNELS - -/************************************************************/ -/*************** HELPER DATA STRUCTURES ******************/ -/************************************************************/ - -// GPU BUFFERS -struct oclNordeaArrays { - /* RO scalars */ - cl_mem ro_scals; - - /* RO arrays */ - cl_mem timeline; // [NUM_T] - - cl_mem myX; // [NUM_X] - cl_mem myDx; // [NUM_X * 3] - cl_mem myDxx; // [NUM_X * 3] - - cl_mem myY; // [NUM_Y] - cl_mem myDy; // [NUM_Y * 3] - cl_mem myDyy; // [NUM_Y * 3] - - /* TRIDAG helpers */ - cl_mem a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem tmp4; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] - cl_mem tmp2; // [2 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - cl_mem res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - /* WRITE ONLY OUTPUT stored in "res"*/ - //cl_mem res; -}; - -// CPU BUFFERS -struct NordeaArrays { - /* RO arrays */ - REAL* timeline; // [NUM_T] - - REAL* myX; // [NUM_X] - REAL* myDx; // [NUM_X * 3] - REAL* myDxx; // [NUM_X * 3] - - REAL* myY; // [NUM_Y] - REAL* myDy; // [NUM_Y * 3] - REAL* myDyy; // [NUM_Y * 3] - - /* TRIDAG helpers are created on GPU only! no need for them to exist in main memory*/ - REAL* a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - REAL* tmp; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - REAL* res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] - - /* NOT USED FOR NOW! WRITE ONLY OUTPUT stored in "res"*/ - //REAL* res; -}; - -// GPU KERNELS -typedef struct { - cl_kernel ckMatTranspUpdate; - cl_kernel ckMatTransposeU; - cl_kernel ckMatTransposeV; - - // TRIDAG KERNELS - cl_kernel ckNordeaKernelX; // OUTER_LOOP_COUNT x NUM_Y - cl_kernel ckNordeaKernelY; // OUTER_LOOP_COUNT x NUM_X - - size_t FORM_32X [3]; - size_t FORM_32Y [3]; - size_t FORM_Y32 [3]; -} GPUkernels __attribute__ ((aligned (32))); - -/******************************************************/ -/******* compute global/local grid dimensions *********/ -/******************************************************/ - -static bool is_pow2(unsigned int x) { - while(x > 1) { - if( x & 1 ) return false; - x = x >> 1; - } - return true; -} - -void initGPUgrid ( GPUkernels& kernels ) { - // fill transposition layouts! - - bool is_safe = ( (OUTER_LOOP_COUNT*NUM_X) % NUM_Y == 0 ) && - //( (OUTER_LOOP_COUNT*NUM_Y) % NUM_X == 0 ) && - ( (OUTER_LOOP_COUNT*NUM_X) % WORKGROUP_SIZE == 0 ) && - ( (OUTER_LOOP_COUNT*NUM_Y) % WORKGROUP_SIZE == 0 ) && - ( NUM_X % 32 == 0 && NUM_Y % 32 == 0); - assert( is_safe && "CANNOT EXECUTE ON GPU: sizes do not match!"); - - kernels.FORM_32X[0] = 32; kernels.FORM_32X[1] = NUM_X; kernels.FORM_32X[2] = (OUTER_LOOP_COUNT*NUM_Y)/32; - kernels.FORM_32Y[0] = 32; kernels.FORM_32Y[1] = NUM_Y; kernels.FORM_32Y[2] = (OUTER_LOOP_COUNT*NUM_X)/32; - kernels.FORM_Y32[0] = NUM_Y; kernels.FORM_Y32[1] = 32; kernels.FORM_Y32[2] = (OUTER_LOOP_COUNT*NUM_X)/32; -} - -/************************************************************/ -/*************** KERNELS OTHER THAN TRIDAG ****************** -/************************************************************/ - -/////////////////////////// -/// NORDEA_ALL_KERNEL_X /// -/////////////////////////// - -cl_kernel make_NordeaKernelX( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs -) { - //size_t* globalWorkSize, - //size_t* localWorkSize - cl_kernel ckAllX = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckAllX = clCreateKernel(cpProgram, "nordea_kernel_x", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - // 1. RO SCALARS // - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); - - // 2. RO ARRAYS // - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myX); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDx); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDxx); - - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myY); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); - - // 3. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); - - // 4. OUT ARRAY! - ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.res_arr ); - - oclCheckError(ciErr1, CL_SUCCESS); - - return ckAllX; -} - -void run_NordeaKernelX( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - size_t globalWorkSize = NUM_Y * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelX, 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL); - ciErr1 |= clFinish(cqCommandQueue); - - oclCheckError(ciErr1, CL_SUCCESS); -} - -/////////////////////////// -/// NORDEA_ALL_KERNEL_Y /// -/////////////////////////// - -cl_kernel make_NordeaKernelY( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs -) { - cl_kernel ckAllY = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - unsigned int counter = 0; // ro_scals - - ///// - ckAllY = clCreateKernel(cpProgram, "nordea_kernel_y", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - - unsigned long int cur_size; - - // 1. RO SCALARS // - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); - - // 2. RO ARRAYS // - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); - - // 3. GPU-ONLY GLOBAL ARRAYS // - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); - - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); // y <- u^T - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); // u <- v^T - ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); - - oclCheckError(ciErr1, CL_SUCCESS); - - return ckAllY; -} - -void run_NordeaKernelY( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - cl_int ciErr1; - size_t globalWorkSize = NUM_X * OUTER_LOOP_COUNT; - size_t localWorkSize = WORKGROUP_SIZE; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelY, 1, NULL, - &globalWorkSize, &localWorkSize, 0, NULL, NULL); - - ciErr1 |= clFinish(cqCommandQueue); - - oclCheckError(ciErr1, CL_SUCCESS); -} - -/***************************************************/ -/********* Segmented Matrix Transposition ********/ -/***************************************************/ - -cl_kernel make_transposeGPU( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - cl_mem inp_arr, - cl_mem out_arr, - size_t* size_x, - size_t* size_y, - size_t* size_z, - const char* kernel_name -// size_t* globalWorkSize, -// size_t* localWorkSize -) { - cl_kernel ckMatTransp = NULL; - cl_int ciErr1, ciErr2; - unsigned int counter = 0; - - ckMatTransp = clCreateKernel(cpProgram, kernel_name, &ciErr1); // "transposeUpdateScalars" - oclCheckError(ciErr1, CL_SUCCESS); - - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &out_arr); // input array - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &inp_arr); // output array - //ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), &offset); - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_x); // size of 0 dim - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_y); // size of 1 dim - - // shared memory space - ciErr1 |= clSetKernelArg(ckMatTransp, counter++, (BLOCK_DIM + 1) * BLOCK_DIM * sizeof(REAL), 0 ); - - oclCheckError(ciErr1, CL_SUCCESS); - - return ckMatTransp; -} - -void run_transposeGPU ( - cl_command_queue& cqCommandQueue, - cl_kernel kernel, - size_t* globalWorkSize - -) { - cl_int ciErr1; - size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernel, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -cl_kernel make_transposeGPU_WithUpdate( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - cl_mem inp_arr, - cl_mem out_arr, - size_t* size_x, - size_t* size_y, - size_t* size_z, - oclNordeaArrays& ocl_arrs -// size_t* globalWorkSize, -// size_t* localWorkSize -) { - cl_int ciErr1; - cl_kernel kernel = make_transposeGPU( - cqCommandQueue, cpProgram, inp_arr, - out_arr, size_x, size_y, size_z, "transposeUpdateScalars" - ); - - ciErr1 = clSetKernelArg(kernel, 5, sizeof(cl_mem), (void *) &ocl_arrs.ro_scals); - ciErr1 = clSetKernelArg(kernel, 6, sizeof(cl_mem), (void *) &ocl_arrs.timeline); - oclCheckError(ciErr1, CL_SUCCESS); - - return kernel; -} - -void run_transposeGPU_WithUpdate ( - cl_command_queue& cqCommandQueue, - cl_kernel kernel, - size_t* globalWorkSize -) { - cl_int ciErr1; - size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; - //size_t* localWorkSize = kernels.LWS_YXZ; - - ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernel, 3, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - ciErr1 |= clFinish(cqCommandQueue); - oclCheckError(ciErr1, CL_SUCCESS); -} - -/**********************************************************/ -/**************** MAKE ALL KERNELS ************************/ -/**********************************************************/ - -void make_kernels ( - cl_command_queue& cqCommandQueue, - cl_program cpProgram, - RWScalars& ro_scal, - oclNordeaArrays& ocl_arrs, - GPUkernels& kernels -) { - initGPUgrid ( kernels ); - - // First Kernel - kernels.ckNordeaKernelX = make_NordeaKernelX ( - cqCommandQueue, cpProgram, ro_scal, ocl_arrs - ); - - // Second Kernel - kernels.ckNordeaKernelY = make_NordeaKernelY ( - cqCommandQueue, cpProgram, ro_scal, ocl_arrs - ); - - { // matrix transpose!!! - // transpose U into Y - kernels.ckMatTransposeU = make_transposeGPU ( - cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.y, - &kernels.FORM_32X[0], &kernels.FORM_32X[1], &kernels.FORM_32X[2], "transpose" - //&NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" - ); - - // transpose V into U - kernels.ckMatTransposeV = make_transposeGPU ( - cqCommandQueue, cpProgram, ocl_arrs.v, ocl_arrs.u, - &kernels.FORM_Y32[0], &kernels.FORM_Y32[1], &kernels.FORM_Y32[2], "transpose" - //&NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" - ); - - - // Transpose into res_arr and update induction variables! - kernels.ckMatTranspUpdate = make_transposeGPU_WithUpdate ( - cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.res_arr, // ocl_arrs.y - &kernels.FORM_32Y[0], &kernels.FORM_32Y[1], &kernels.FORM_32Y[2], ocl_arrs - //&NUM_Y, &NUM_X, &OUTER_LOOP_COUNT, ocl_arrs - ); - } -} - - -/**********************************************************/ -/********************* RUN KERNELS ************************/ -/**********************************************************/ - -void run_GPUkernels_one_time_iteration ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels -) { - size_t globalWorkSize[3]; - - run_NordeaKernelX( cqCommandQueue, kernels ); - run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeU, kernels.FORM_32X ); // y <- transpose(u) - run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeV, kernels.FORM_Y32 ); // u <- transpose(v) - run_NordeaKernelY( cqCommandQueue, kernels ); - run_transposeGPU_WithUpdate( cqCommandQueue, kernels.ckMatTranspUpdate, kernels.FORM_32Y); -} - -/**********************************************************/ -/******************* RELEASE KERNELS **********************/ -/**********************************************************/ - -void release_all_kernels ( GPUkernels& kernels ) { - clReleaseKernel(kernels.ckNordeaKernelX); - - clReleaseKernel(kernels.ckMatTransposeU); - clReleaseKernel(kernels.ckMatTransposeV); - - clReleaseKernel(kernels.ckNordeaKernelY); - - clReleaseKernel(kernels.ckMatTranspUpdate); -} - -void release_all_GPU_resources( - cl_command_queue& cqCommandQueue, - cl_context& cxGPUContext, - cl_program cpProgram, - cl_device_id* cdDevices, - oclNordeaArrays& ocl_arrs, - GPUkernels& kernels -) { - - shrLog(stdlog, "Release Kernels...\n"); - release_all_kernels( kernels ); - - shrLog(stdlog, "Release CPU buffers and OpenCL objects...\n"); - clReleaseProgram(cpProgram); - - clReleaseMemObject(ocl_arrs.ro_scals); - clReleaseMemObject(ocl_arrs.timeline); - - clReleaseMemObject(ocl_arrs.a); - clReleaseMemObject(ocl_arrs.b); - clReleaseMemObject(ocl_arrs.c); - - clReleaseMemObject(ocl_arrs.y); - clReleaseMemObject(ocl_arrs.u); - clReleaseMemObject(ocl_arrs.v); - - clReleaseMemObject(ocl_arrs.res_arr); - - clReleaseMemObject(ocl_arrs.myX); - clReleaseMemObject(ocl_arrs.myDx); - clReleaseMemObject(ocl_arrs.myDxx); - - clReleaseMemObject(ocl_arrs.myY); - clReleaseMemObject(ocl_arrs.myDy); - clReleaseMemObject(ocl_arrs.myDyy); - - clReleaseCommandQueue(cqCommandQueue); - free(cdDevices); - clReleaseContext(cxGPUContext); -} - - -/*****************************************************************/ -/************ DEBUGGING ******************************************/ -/*****************************************************************/ - - -void run_trimmed_GPUkernels_one_time_iteration ( - cl_command_queue& cqCommandQueue, - GPUkernels& kernels, - NordeaArrays& cpu_arrs, - oclNordeaArrays& ocl_arrs, - int time_ind, - const REAL alpha, - const REAL beta, - const REAL nu -) { - run_NordeaKernelX( cqCommandQueue, kernels ); - run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeU, kernels.FORM_32X ); // y <- transpose(u) - run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeV, kernels.FORM_Y32 ); // u <- transpose(v) - run_NordeaKernelY( cqCommandQueue, kernels ); - run_transposeGPU_WithUpdate( cqCommandQueue, kernels.ckMatTranspUpdate, kernels.FORM_32Y); - - cl_int ciErr; - const unsigned int ARR_SIZE = NUM_X * NUM_Y * OUTER_LOOP_COUNT * sizeof(REAL); -#if 1 - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.a, CL_TRUE, 0, ARR_SIZE, cpu_arrs.a, 0, NULL, NULL ); - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.b, CL_TRUE, 0, ARR_SIZE, cpu_arrs.b, 0, NULL, NULL ); - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.c, CL_TRUE, 0, ARR_SIZE, cpu_arrs.c, 0, NULL, NULL ); - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.u, CL_TRUE, 0, ARR_SIZE, cpu_arrs.u, 0, NULL, NULL ); - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.v, CL_TRUE, 0, ARR_SIZE, cpu_arrs.v, 0, NULL, NULL ); - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.y, CL_TRUE, 0, ARR_SIZE, cpu_arrs.y, 0, NULL, NULL ); - ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.res_arr, CL_TRUE, 0, ARR_SIZE, cpu_arrs.res_arr, 0, NULL, NULL ); -#endif - - oclCheckError(ciErr, CL_SUCCESS); - - // now the rest of the code! - unsigned int i, j, k; - - REAL dtInv = 1.0/(cpu_arrs.timeline[time_ind+1]-cpu_arrs.timeline[time_ind]); - - REAL *res_arr = cpu_arrs.res_arr, *a = cpu_arrs.a, - *b = cpu_arrs.b, *c = cpu_arrs.c, *u = cpu_arrs.u, - *v = cpu_arrs.v, *y = cpu_arrs.y; - - unsigned int cos_test_ind = 3*NUM_XY + 23*NUM_X + 211, cos_test_ind_rev = 3*NUM_XY + 211*NUM_Y + 23; - - - { // transpose u: u is in form: [i/32, j, i%32] - // and needs to be brought to form [i/32, i%32, j], a.k.a. [i,j] - const unsigned int ID = OUTER_LOOP_COUNT * NUM_X / 32; - for( k=0; k=0; --time_ind) { - - - unsigned int i, j, k; - - REAL dtInv = 1.0/(myTimeline[time_ind+1]-myTimeline[time_ind]); - - REAL *res_arr = &myResArr[0]; - -#pragma omp parallel for default(shared) schedule(static) private(k,j,i) if(OUTER_LOOP_COUNT>4) - for( k=0; k4) - for( k=0; k4) - for( k=0; k( USER_MEM * 101.0 / 100.0 ); - const size_t lb = static_cast( USER_MEM * 99.0 / 100.0 ); - if ( !(glob_mem_size >= lb && glob_mem_size <= ub) ) { - fprintf(stderr, "WARNING! Querried GPU global memory %lu DIFFERS from what user declared: [%ld,%ld]!\n", - glob_mem_size, lb, ub); - glob_mem_size = static_cast(USER_MEM); - fprintf(stderr, "Using user-declared size for global memory: %lu\n", glob_mem_size); - } - } - - cl_ulong glob_mem_required = 8 * OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(REAL); - assert( glob_mem_required <= glob_mem_size && "Not Enough Global Memory. A possible fix is to strip-mine all kernels.\n" ); - //fprintf(stderr, "GPU global memory: %lu, needed: %lu bytes\n", glob_mem_size, glob_mem_required); -} - -void makeOclBuffers ( - cl_context cxGPUContext, - cl_command_queue& cqCommandQueue, - RWScalars& ro_scal, - NordeaArrays& cpu_arrs, - oclNordeaArrays& ocl_arrs -) { - cl_int ciErr; - cl_int ciErr2; - unsigned long int cur_size; - - /*********************/ - /*** 1. RO scalars ***/ - /*********************/ - { - cur_size = sizeof(RWScalars); - ocl_arrs.ro_scals = clCreateBuffer( - cxGPUContext, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 - ); - - ciErr = ciErr2; - ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, - cur_size, &ro_scal, 0, NULL, NULL); - //oclCheckError(ciErr, CL_SUCCESS); - } - - /*********************/ - /*** 1. RO Arrays! ***/ - /*********************/ - { - cur_size = NUM_T*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(timeline); - - cur_size = NUM_X*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myX); - - cur_size *= REAL3_CT; - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDx); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDxx); - - cur_size = NUM_Y*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myY); - - cur_size *= REAL3_CT; - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDy); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDyy); - } - - //oclCheckError(ciErr, CL_SUCCESS); - - /*********************/ - /*** 1. RW Arrays! ***/ - /*********************/ - { - cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(REAL); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(a); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(b); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(c); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(y); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(u); - CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(v); - } - - { // Finally the result array (i.e., Read-Write but needs to be brought back to CPU in the end) - cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(REAL); - CREATE_AND_ENQUEUE_OUT_CL_BUFFER(res_arr); - } - - oclCheckError(ciErr, CL_SUCCESS); - - //shrLog("Before EXITING ALLOC ARRAYS!!! ...\n"); - -} - -//extern "C" -unsigned long int -runOnGPU ( RWScalars& ro_scal, NordeaArrays& cpu_arrs, oclNordeaArrays& ocl_arrs ) { - cl_context cxGPUContext; // OpenCL context - cl_command_queue cqCommandQueue[16]; // OpenCL command que - cl_uint nDevice; // OpenCL device count - cl_device_id* cdDevices; // OpenCL device list - cl_program cpProgram; // OpenCL program - GPUkernels kernels; // OpenCL kernel - unsigned int dev_id = GPU_DEV_ID; - - assert(GPU_DEV_ID >= 0 && "GPU DEVICE ID < 0 !\n"); - - { // initialize the loop-variant scalars! - ro_scal.t_ind = NUM_T - 2; - ro_scal.dtInv = 1.0/(cpu_arrs.timeline[ro_scal.t_ind+1]-cpu_arrs.timeline[ro_scal.t_ind]); - ro_scal.timeline_i = cpu_arrs.timeline[ro_scal.t_ind]; - } - - { // making command queue, building program, etc - char compile_opts[128]; - sprintf( compile_opts, "-D lgWARP=%d", lgWARP ); - - build_for_GPU( - cxGPUContext, cqCommandQueue, - nDevice, cdDevices, cpProgram, dev_id, compile_opts, "", "CrankNicolson" - ); - - verifyEnoughResources(cdDevices[dev_id]); - } - - // allocate space for the RO and RW arrays on GPU! - makeOclBuffers ( - cxGPUContext, cqCommandQueue[dev_id], ro_scal, cpu_arrs, ocl_arrs - ); - - - // make all kernels! - make_kernels( cqCommandQueue[dev_id], cpProgram, ro_scal, ocl_arrs, kernels ); - - unsigned long int elapsed; - { // now execute kernels! - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - for(int t_ind = NUM_T-2; t_ind>=0; --t_ind) { - run_GPUkernels_one_time_iteration ( cqCommandQueue[dev_id], kernels ); - } // END TIME LOOP! - - - { // WRITE BACK THE RESULT ARRAY TO CPU !!! // - cl_int ciErr; - const unsigned int ARR_SIZE = NUM_X * NUM_Y * OUTER_LOOP_COUNT * sizeof(REAL); - ciErr = clEnqueueReadBuffer ( - cqCommandQueue[dev_id], ocl_arrs.res_arr, CL_TRUE, - 0, ARR_SIZE, cpu_arrs.res_arr, 0, NULL, NULL - ); - oclCheckError(ciErr, CL_SUCCESS); - - // RELEASE ALL GPU RESOURCES - release_all_GPU_resources ( - cqCommandQueue[dev_id], cxGPUContext, cpProgram, cdDevices, ocl_arrs, kernels - ); - } - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; - } - - return elapsed; -} - -#endif // end include NORDEA_GPU diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibInit.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibInit.h deleted file mode 100644 index e6aa566..0000000 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibInit.h +++ /dev/null @@ -1,137 +0,0 @@ -#ifndef NORDEA_INIT -#define NORDEA_INIT - -#include "DataStructConst.h" - -/////////////////////////////////////////////////////// -//// INITIALISATION ! -/////////////////////////////////////////////////////// - -void initGrid( - const REAL s0, - const REAL alpha, - const REAL nu, - const REAL t, - const unsigned int numX, - const unsigned int numY, - const unsigned int numT -) { - unsigned int i; - - for( i=0; i(s0/dx); - - for( i=0; i 0) { - for(unsigned int i=0; i 0 ) { - RWScalars ro_scal; - NordeaArrays cpu_arrs; - oclNordeaArrays ocl_arrs; - - { // init arrays - cpu_arrs.myX = myX; cpu_arrs.myDx = myDx; cpu_arrs.myDxx = myDxx; - cpu_arrs.myY = myY; cpu_arrs.myDy = myDy; cpu_arrs.myDyy = myDyy; - cpu_arrs.timeline = myTimeline; - cpu_arrs.a = a; cpu_arrs.b = b; cpu_arrs.c = c; - cpu_arrs.y = y; cpu_arrs.u = u; cpu_arrs.v = v; - cpu_arrs.res_arr = &myResArr[0]; - } - - { // init scalars - ro_scal.NUM_X = NUM_X; ro_scal.NUM_Y = NUM_Y; ro_scal.NUM_XY = NUM_X * NUM_Y; - ro_scal.alpha = alpha; ro_scal.beta = beta; ro_scal.nu = nu; - } - - { // SAFETY CHECK! - bool is_safe = ( (OUTER_LOOP_COUNT*NUM_X) % NUM_Y == 0 ) && - ( (OUTER_LOOP_COUNT*NUM_Y) % NUM_X == 0 ) && - ( (OUTER_LOOP_COUNT*NUM_X) % WORKGROUP_SIZE == 0 ) && - ( (OUTER_LOOP_COUNT*NUM_Y) % WORKGROUP_SIZE == 0 ) && - ( is_pow2(NUM_X) && is_pow2(NUM_Y) ) && - ( NUM_X % 32 == 0 && NUM_Y % 32 == 0) ; - - assert(is_safe && "NOT SAFE TO PARALLELISE ON GPU!"); - } - - elapsed = runOnGPU ( ro_scal, cpu_arrs, ocl_arrs ); - - for( i=0; i=0; --t_ind) { - iteration_expanded_CPU ( - t_ind, alpha, beta, nu, - a, b, c, y, u, v - ); - } - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; - - for( i=0; i input.data - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run < -#include - -typedef double REAL; -#define WORKGROUP_SIZE 512 - -#include "Util.h" -#include "ParseInput.h" - -using namespace std; - -struct PrivGlobs { - - // grid - vector myX; - vector myY; - vector myTimeline; - unsigned myXindex; - unsigned myYindex; - - // variable - vector > myResult; - - // coeffs - vector > myMuX; - vector > myVarX; - vector > myMuY; - vector > myVarY; - - // operators - vector > myDx; - vector > myDxx; - - vector > myDy; - vector > myDyy; -} __attribute__ ((aligned (128))); - - - - - -/***********************************/ - -void updateParams(const unsigned g, const double alpha, const double beta, const double nu, PrivGlobs& globs) -{ - for(unsigned i=0;i(s0/dx); - - for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) -{ - const unsigned n = x.size(); - - Dx.resize(n); - Dxx.resize(n); - - for(unsigned i=0;i& a, - const vector& b, - const vector& c, - const vector& r, - const int n, - vector& u, - vector& uu) -{ - int i, offset; - REAL beta; - - u[0] = r[0]; - uu[0] = b[0]; - - for(i=1; i=0; i--) { - u[i] = (u[i] - c[i]*u[i+1]) / uu[i]; - } -} - - -void -rollback( const unsigned g, PrivGlobs& globs ) { - unsigned numX = globs.myX.size(), - numY = globs.myY.size(); - - unsigned numZ = max(numX,numY); - - int k, l; - unsigned i, j; - - int kl, ku, ll, lu; - - double dtInv = 1.0/(globs.myTimeline[g+1]-globs.myTimeline[g]); - - vector > u(numY,vector(numX)), v(numX,vector(numY)); - vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); - - // explicit x - for(i=0;i=0;--i) - { - updateParams(i,alpha,beta,nu,globs); - rollback(i, globs); - } - - return globs.myResult[globs.myXindex][globs.myYindex]; -} - -double* run_CPUkernel( - const unsigned int& outer, - const unsigned int& numX, - const unsigned int& numY, - const unsigned int& numT, - const double& s0, - const double& t, - const double& alpha, - const double& nu, - const double& beta, - const vector& strikes, - vector& res -) { -#pragma omp parallel for default(shared) schedule(static) if(outer>4) - for( unsigned i = 0; i < outer; ++ i ) { - res[i] = value( s0, strikes[i], t, alpha, nu, beta, - numX, numY, numT ); - } -} - - -int main() -{ - unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; - const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; - - cout<<"\n// Running Original (Parallel) Volatility-Calibration Benchmark"< strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); - - for(unsigned i=0;i input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run < Debug.txt - -run_medium: $(EXECUTABLE) - cat 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"Util.h" -#include "ParseInput.h" - -using namespace std; - -// grid -vector myX, myY, myTimeline; -unsigned myXindex, myYindex; - -// variable -vector > myResult; - -// coeffs -vector > myMuX, myVarX, myMuY, myVarY; - -// operators -vector > myDx, myDxx, myDy, myDyy; - - - - -/***********************************/ - -void updateParams(const unsigned g, const double alpha, const double beta, const double nu) -{ - for(unsigned i=0;i(s0/dx); - - for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) -{ - const unsigned n = x.size(); - - Dx.resize(n); - Dxx.resize(n); - - for(unsigned i=0;i& a, - const vector& b, - const vector& c, - const vector& r, - const int n, - vector& u, - vector& uu) -{ - int i, offset; - REAL beta; - - u[0] = r[0]; - uu[0] = b[0]; - - for(i=1; i=0; i--) { - u[i] = (u[i] - c[i]*u[i+1]) / uu[i]; - } -} - -void -rollback(const unsigned g) -{ - unsigned numX = myX.size(), - numY = myY.size(); - - unsigned numZ = max(numX,numY); - - int k, l; - unsigned i, j; - - int kl, ku, ll, lu; - - double dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]); - - vector > u(numY,vector(numX)), v(numX,vector(numY)); - - vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); - - // explicit x - for(i=0;i=0;--i) - { - updateParams(i,alpha,beta,nu); - rollback(i); - } - - return myResult[myXindex][myYindex]; -} - -int main() -{ - unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; - const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; - - fprintf(stdout, "\n// Original (Sequential) Volatility Calibration Benchmark:\n"); - readDataSet( OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T ); - - vector strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); - - for(unsigned i=0;i input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk - -make diff --git a/benchmarks/LocVolCalib/implementations/cpp_sequential/run b/benchmarks/LocVolCalib/implementations/cpp_sequential/run deleted file mode 100755 index c409dcd..0000000 --- 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zVX#=@tD|J*f&(sC6*t6=b|q}mJ+33PH!HmLb);&0V9e@Z=QE-kqw&X zpg<8%s{R@JS4u>)eUskof2X7`mU!lQOrbAy*%E!k%x7jk$C|_+P ziSN|$*HL4oH_vwlBt72?S|5ijnCT{zt@LIb+940tTjyG-8QUg5zfPey&x_8w4LmcR zGO1GK??naMH}#)5SMnGXy@?8=oZ9}D6ngXg$-H0xxIvcqPHq1WDfH$!RfpFgaitKL z<7YCAAd`uYoF<8LlP#Kok&2&Mei>*uO-s<5?;*B+Mf#(lrT)zJ&GV&gUy=Sz(9-ry zdh;ADBIyUo9FJ+Aru^nOypK9-`{sFD?-D_luy><0V*e(elPUD(x!e{>A2kVOYSNkM z*%W$n|Ge>bgTR#2WMk5q<@3l8X7=CQuk=cKr->-jRDL|@WB>D0@J#x|PY-0hRHvXJ zC<`C6ZHXe1Kgss(CV{L>DGEL*Q$%1!{RTmY^aDKin1zqof75?)eva0DJr5M|JYYIL LqnMCe7M1@CeGhc5 diff --git a/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.c b/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.c deleted file mode 100644 index 4f0446e..0000000 --- a/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.c +++ /dev/null @@ -1,2077 +0,0 @@ -#include -#include -#include -#include -#include -#include -#include -#include -#include -struct tuple_int_mem_int { - int elem_0; - unsigned char* elem_1; - int elem_2; -}; -static struct tuple_int_mem_int futhark_main(int outer_loop_count_8, - int numX_12, int numY_13, - int numT_14, double s0_15, - double strike_17, double t_25, - double alpha_26, double nu_31, - double beta_32); -float futhark_toFloat32(int x) -{ - return x; -} -int futhark_trunc32(float x) -{ - return x; -} -float futhark_log32(float x) -{ - return log(x); -} -float futhark_sqrt32(float x) -{ - return sqrt(x); -} -float futhark_exp32(float x) -{ - return exp(x); -} -double futhark_toFloat64(int x) -{ - return x; -} -int futhark_trunc64(double x) -{ - return x; -} -double futhark_log64(double x) -{ - return log(x); -} -double futhark_sqrt64(double x) -{ - return sqrt(x); -} -double futhark_exp64(double x) -{ - return exp(x); -} -int timeval_subtract(struct timeval* result, struct timeval* t2, - struct timeval* t1) -{ - unsigned int resolution = 1000000; - long diff = t2->tv_usec + resolution * t2->tv_sec - (t1->tv_usec + - resolution * - t1->tv_sec); - - result->tv_sec = diff / resolution; - result->tv_usec = diff % resolution; - return diff < 0; -} -struct array_reader { - char* elems; - int64_t n_elems_space; - int64_t elem_size; - int64_t n_elems_used; - int64_t* shape; - int(* elem_reader)(void*); -}; -int peekc() - -{ - int c = getchar(); - - ungetc(c, stdin); - return c; -} -void skipspaces() - -{ - int c = getchar(); - - if (isspace(c)) { - skipspaces(); - } else if (c == '/') { - // Skip to end of line. - for (; c != '\n' && c != EOF; c = getchar()) - ; - // Next line may have more spaces. - skipspaces(); - } else if (c != EOF) { - ungetc(c, stdin); - } -} -int read_elem(struct array_reader* reader) -{ - int ret; - - if (reader->n_elems_used == reader->n_elems_space) { - reader->n_elems_space *= 2; - reader->elems = realloc(reader->elems, reader->n_elems_space * - reader->elem_size); - } - ret = reader->elem_reader(reader->elems + reader->n_elems_used * - reader->elem_size); - if (ret == 0) { - reader->n_elems_used++; - } - return ret; -} -int read_array_elems(struct array_reader* reader, int dims) -{ - int c; - int ret; - int first = 1; - char* knows_dimsize = calloc(dims, sizeof(char)); - int cur_dim = dims - 1; - int64_t* elems_read_in_dim = calloc(dims, sizeof(int64_t)); - - while (1) { - skipspaces(); - c = getchar(); - if (c == ']') { - if (knows_dimsize[cur_dim]) { - if (reader->shape[cur_dim] != elems_read_in_dim[cur_dim]) { - ret = 1; - break; - } - } else { - knows_dimsize[cur_dim] = 1; - reader->shape[cur_dim] = elems_read_in_dim[cur_dim]; - } - if (cur_dim == 0) { - ret = 0; - break; - } else { - cur_dim--; - elems_read_in_dim[cur_dim]++; - } - } else if (c == ',') { - skipspaces(); - c = getchar(); - if (c == '[') { - if (cur_dim == dims - 1) { - ret = 1; - break; - } - first = 1; - cur_dim++; - elems_read_in_dim[cur_dim] = 0; - } else if (cur_dim == dims - 1) { - ungetc(c, stdin); - ret = read_elem(reader); - if (ret != 0) { - break; - } - elems_read_in_dim[cur_dim]++; - } else { - ret = 1; - break; - } - } else if (c == EOF) { - ret = 1; - break; - } else if (first) { - if (c == '[') { - if (cur_dim == dims - 1) { - ret = 1; - break; - } - cur_dim++; - elems_read_in_dim[cur_dim] = 0; - } else { - ungetc(c, stdin); - ret = read_elem(reader); - if (ret != 0) { - break; - } - elems_read_in_dim[cur_dim]++; - first = 0; - } - } else { - ret = 1; - break; - } - } - free(knows_dimsize); - free(elems_read_in_dim); - return ret; -} -int read_array(int64_t elem_size, int(* elem_reader)(void*), void** data, - int64_t* shape, int64_t dims) -{ - int ret; - struct array_reader reader; - int64_t read_dims = 0; - - while (1) { - int c; - - skipspaces(); - c = getchar(); - if (c == '[') { - read_dims++; - } else { - if (c != EOF) { - ungetc(c, stdin); - } - break; - } - } - if (read_dims != dims) { - return 1; - } - reader.shape = shape; - reader.n_elems_used = 0; - reader.elem_size = elem_size; - reader.n_elems_space = 16; - reader.elems = calloc(elem_size, reader.n_elems_space); - reader.elem_reader = elem_reader; - ret = read_array_elems(&reader, dims); - *data = reader.elems; - return ret; -} -int read_int(void* dest) -{ - skipspaces(); - if (scanf("%d", (int*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_char(void* dest) -{ - skipspaces(); - if (scanf("%c", (char*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_double(void* dest) -{ - skipspaces(); - if (scanf("%lf", (double*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_float(void* dest) -{ - skipspaces(); - if (scanf("%f", (float*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_bool(void* dest) -{ - char b[4]; - - skipspaces(); - if (scanf("%4c", b) == 1) { - if (strncmp(b, "True", 4) == 0) { - *(int*) dest = 1; - return 0; - } else if (strncmp(b, "Fals", 4) == 0 && getchar() == 'e') { - *(int*) dest = 0; - return 0; - } else { - return 1; - } - } else { - return 1; - } -} -static struct tuple_int_mem_int futhark_main(int outer_loop_count_8, - int numX_12, int numY_13, - int numT_14, double s0_15, - double strike_17, double t_25, - double alpha_26, double nu_31, - double beta_32) -{ - int out_memsize_78; - unsigned char* out_mem_77; - int out_arrsize_98; - double res_37; - - res_37 = futhark_log64(alpha_26); - - double x_61; - - x_61 = futhark_toFloat64(numT_14); - - double y_97; - - y_97 = x_61 - 1.0; - - int bytes_42; - - bytes_42 = 8 * numT_14; - - unsigned char* mem_51; - - mem_51 = malloc(bytes_42); - for (int i_0 = 0; i_0 < numT_14; i_0++) { - double y_99; - - y_99 = futhark_toFloat64(i_0); - - double x_100; - - x_100 = t_25 * y_99; - - double res_101; - - res_101 = x_100 / y_97; - *(double*) &mem_51[i_0 * 1 * 8 + 0] = res_101; - } - - double x_103; - - x_103 = 20.0 * alpha_26; - - double x_104; - - x_104 = x_103 * s0_15; - - double y_105; - - y_105 = futhark_sqrt64(t_25); - - double res_106; - - res_106 = x_104 * y_105; - - double x_107; - - x_107 = 10.0 * nu_31; - - double res_108; - - res_108 = x_107 * y_105; - - double y_109; - - y_109 = futhark_toFloat64(numX_12); - - double res_110; - - res_110 = res_106 / y_109; - - double y_111; - - y_111 = futhark_toFloat64(numY_13); - - double res_112; - - res_112 = res_108 / y_111; - - double arg_113; - - arg_113 = s0_15 / res_110; - - int res_115; - - res_115 = futhark_trunc64(arg_113); - - int res_116; - - res_116 = numY_13 / 2 - (numY_13 % 2 != 0 && numY_13 % 2 < 0 != 2 < - 0 ? 1 : 0); - - double x_118; - - x_118 = futhark_toFloat64(res_115); - - double y_119; - - y_119 = x_118 * res_110; - - int bytes_157; - - bytes_157 = 8 * numX_12; - - unsigned char* mem_159; - - mem_159 = malloc(bytes_157); - for (int i_4 = 0; i_4 < numX_12; i_4++) { - double x_121; - - x_121 = futhark_toFloat64(i_4); - - double x_122; - - x_122 = x_121 * res_110; - - double x_123; - - x_123 = x_122 - y_119; - - double res_124; - - res_124 = x_123 + s0_15; - *(double*) &mem_159[i_4 * 1 * 8 + 0] = res_124; - } - - double x_127; - - x_127 = futhark_toFloat64(res_116); - - double y_128; - - y_128 = x_127 * res_112; - - int bytes_173; - - bytes_173 = 8 * numY_13; - - unsigned char* mem_174; - - mem_174 = malloc(bytes_173); - for (int i_9 = 0; i_9 < numY_13; i_9++) { - double x_130; - - x_130 = futhark_toFloat64(i_9); - - double x_131; - - x_131 = x_130 * res_112; - - double x_132; - - x_132 = x_131 - y_128; - - double res_133; - - res_133 = x_132 + res_37; - *(double*) &mem_174[i_9 * 1 * 8 + 0] = res_133; - } - - unsigned char* mem_186; - - mem_186 = malloc(24); - *(double*) &mem_186[0 * 1 * 8 + 0] = 0.0; - *(double*) &mem_186[1 * 1 * 8 + 0] = 0.0; - *(double*) &mem_186[2 * 1 * 8 + 0] = 0.0; - - unsigned char* mem_190; - - mem_190 = malloc(24); - for (int i_147 = 0; i_147 < 3; i_147++) { - *(double*) &mem_190[8 * i_147] = *(double*) &mem_186[8 * i_147]; - } - - int n_215; - - n_215 = numX_12 - 2; - - int x_192; - - x_192 = 8 * n_215; - - int bytes_191; - - bytes_191 = x_192 * 3; - - unsigned char* mem_193; - - mem_193 = malloc(bytes_191); - for (int i_18 = 0; i_18 < n_215; i_18++) { - int res_220; - - res_220 = i_18 + 1; - - double x_337; - - x_337 = *(double*) &mem_159[res_220 * 1 * 8 + 0]; - - int i_340; - - i_340 = res_220 - 1; - - double y_341; - - y_341 = *(double*) &mem_159[i_340 * 1 * 8 + 0]; - - double res_342; - - res_342 = x_337 - y_341; - - int i_343; - - i_343 = res_220 + 1; - - double x_345; - - x_345 = *(double*) &mem_159[i_343 * 1 * 8 + 0]; - - double res_349; - - res_349 = x_345 - x_337; - - double y_387; - - y_387 = res_342 + res_349; - - double x_423; - - x_423 = 2.0 / res_342; - - double arr_elem_424; - - arr_elem_424 = x_423 / y_387; - - double x_425; - - x_425 = 1.0 / res_342; - - double y_426; - - y_426 = 1.0 / res_349; - - double y_427; - - y_427 = x_425 + y_426; - - double x_428; - - x_428 = -2.0 * y_427; - - double arr_elem_429; - - arr_elem_429 = x_428 / y_387; - - double x_430; - - x_430 = 2.0 / res_349; - - double arr_elem_431; - - arr_elem_431 = x_430 / y_387; - *(double*) &mem_193[(i_18 * 3 + 0 * 1) * 8 + 0] = arr_elem_424; - *(double*) &mem_193[(i_18 * 3 + 1 * 1) * 8 + 0] = arr_elem_429; - *(double*) &mem_193[(i_18 * 3 + 2 * 1) * 8 + 0] = arr_elem_431; - } - - int i_435; - - i_435 = numX_12 - 1; - - char x_436; - - x_436 = 0 <= i_435; - - int bounds_check_437; - - if (!x_436) { - fprintf(stderr, "Assertion %s at %s failed.\n", "x_436", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:27:18-27:19"); - abort(); - } - - int conc_tmp_447; - - conc_tmp_447 = 1 + n_215; - - int conc_tmp_449; - - conc_tmp_449 = conc_tmp_447 + 1; - - int x_209; - - x_209 = 8 * conc_tmp_447; - - int bytes_204; - - bytes_204 = x_209 * 3; - - unsigned char* mem_210; - - mem_210 = malloc(bytes_204); - - int tmp_offs_153; - - tmp_offs_153 = 0; - memmove(mem_210 + (0 + tmp_offs_153 * 3 * 8), mem_190 + 0, 3 * - sizeof(double)); - tmp_offs_153 = tmp_offs_153 + 1; - memmove(mem_210 + (0 + tmp_offs_153 * 3 * 8), mem_193 + 0, n_215 * 3 * - sizeof(double)); - tmp_offs_153 = tmp_offs_153 + n_215; - - int x_212; - - x_212 = 8 * conc_tmp_449; - - int bytes_211; - - bytes_211 = x_212 * 3; - - unsigned char* mem_216; - - mem_216 = malloc(bytes_211); - - int tmp_offs_154; - - tmp_offs_154 = 0; - memmove(mem_216 + (0 + tmp_offs_154 * 3 * 8), mem_210 + 0, conc_tmp_447 * - 3 * sizeof(double)); - tmp_offs_154 = tmp_offs_154 + conc_tmp_447; - memmove(mem_216 + (0 + tmp_offs_154 * 3 * 8), mem_190 + 0, 3 * - sizeof(double)); - tmp_offs_154 = tmp_offs_154 + 1; - - int n_464; - - n_464 = numY_13 - 2; - - int x_218; - - x_218 = 8 * n_464; - - int bytes_217; - - bytes_217 = x_218 * 3; - - unsigned char* mem_219; - - mem_219 = malloc(bytes_217); - for (int i_22 = 0; i_22 < n_464; i_22++) { - int res_467; - - res_467 = i_22 + 1; - - double x_468; - - x_468 = *(double*) &mem_174[res_467 * 1 * 8 + 0]; - - int i_469; - - i_469 = res_467 - 1; - - double y_470; - - y_470 = *(double*) &mem_174[i_469 * 1 * 8 + 0]; - - double res_471; - - res_471 = x_468 - y_470; - - int i_472; - - i_472 = res_467 + 1; - - double x_473; - - x_473 = *(double*) &mem_174[i_472 * 1 * 8 + 0]; - - double res_474; - - res_474 = x_473 - x_468; - - double y_480; - - y_480 = res_471 + res_474; - - double x_489; - - x_489 = 2.0 / res_471; - - double arr_elem_490; - - arr_elem_490 = x_489 / y_480; - - double x_491; - - x_491 = 1.0 / res_471; - - double y_494; - - y_494 = 1.0 / res_474; - - double y_495; - - y_495 = x_491 + y_494; - - double x_496; - - x_496 = -2.0 * y_495; - - double arr_elem_497; - - arr_elem_497 = x_496 / y_480; - - double x_498; - - x_498 = 2.0 / res_474; - - double arr_elem_499; - - arr_elem_499 = x_498 / y_480; - *(double*) &mem_219[(i_22 * 3 + 0 * 1) * 8 + 0] = arr_elem_490; - *(double*) &mem_219[(i_22 * 3 + 1 * 1) * 8 + 0] = arr_elem_497; - *(double*) &mem_219[(i_22 * 3 + 2 * 1) * 8 + 0] = arr_elem_499; - } - - int i_503; - - i_503 = numY_13 - 1; - - char x_504; - - x_504 = 0 <= i_503; - - int bounds_check_505; - - if (!x_504) { - fprintf(stderr, "Assertion %s at %s failed.\n", "x_504", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:27:18-27:19"); - abort(); - } - - int conc_tmp_515; - - conc_tmp_515 = 1 + n_464; - - int conc_tmp_517; - - conc_tmp_517 = conc_tmp_515 + 1; - - int x_226; - - x_226 = 8 * conc_tmp_515; - - int bytes_225; - - bytes_225 = x_226 * 3; - - unsigned char* mem_227; - - mem_227 = malloc(bytes_225); - - int tmp_offs_156; - - tmp_offs_156 = 0; - memmove(mem_227 + (0 + tmp_offs_156 * 3 * 8), mem_190 + 0, 3 * - sizeof(double)); - tmp_offs_156 = tmp_offs_156 + 1; - memmove(mem_227 + (0 + tmp_offs_156 * 3 * 8), mem_219 + 0, n_464 * 3 * - sizeof(double)); - tmp_offs_156 = tmp_offs_156 + n_464; - - int x_229; - - x_229 = 8 * conc_tmp_517; - - int bytes_228; - - bytes_228 = x_229 * 3; - - unsigned char* mem_230; - - mem_230 = malloc(bytes_228); - - int tmp_offs_158; - - tmp_offs_158 = 0; - memmove(mem_230 + (0 + tmp_offs_158 * 3 * 8), mem_227 + 0, conc_tmp_515 * - 3 * sizeof(double)); - tmp_offs_158 = tmp_offs_158 + conc_tmp_515; - memmove(mem_230 + (0 + tmp_offs_158 * 3 * 8), mem_190 + 0, 3 * - sizeof(double)); - tmp_offs_158 = tmp_offs_158 + 1; - - int bound_521; - - bound_521 = numT_14 - 1; - - int x_522; - - x_522 = numT_14 - 2; - - double replicate_v_524; - - replicate_v_524 = nu_31 * nu_31; - - double x_527; - - x_527 = 0.5 * nu_31; - - double x_528; - - x_528 = x_527 * nu_31; - - char zip_cmp_530; - - zip_cmp_530 = conc_tmp_449 == numX_12; - - int zip_assert_531; - - if (!zip_cmp_530) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_530", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:165:21-165:24"); - abort(); - } - - int y_532; - - y_532 = conc_tmp_449 - 1; - - int y_536; - - y_536 = conc_tmp_517 - 1; - - char zip_cmp_537; - - zip_cmp_537 = numY_13 == conc_tmp_517; - - int zip_assert_538; - - if (!zip_cmp_537) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_537", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:219:18-219:21"); - abort(); - } - - char zip_cmp_542; - - zip_cmp_542 = numX_12 == conc_tmp_449; - - int zip_assert_543; - - if (!zip_cmp_542) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_542", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:188:25-188:28"); - abort(); - } - - char x_549; - - x_549 = 0 <= res_116; - - char x_555; - - x_555 = 0 <= res_115; - - char y_556; - - y_556 = res_115 < numX_12; - - char assert_arg_557; - - assert_arg_557 = x_555 && y_556; - - int bounds_check_558; - - if (!assert_arg_557) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_557", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:254:5-254:13"); - abort(); - } - - double x_566; - - x_566 = 0.5 * replicate_v_524; - - char y_569; - - y_569 = res_116 < numY_13; - - char assert_arg_570; - - assert_arg_570 = x_549 && y_569; - - int bounds_check_571; - - if (!assert_arg_570) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_570", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:254:5-254:13"); - abort(); - } - - int bytes_231; - - bytes_231 = 8 * outer_loop_count_8; - - unsigned char* mem_232; - - mem_232 = malloc(bytes_231); - - int bytes_235; - - bytes_235 = bytes_157 * numY_13; - - unsigned char* mem_237; - - mem_237 = malloc(bytes_235); - - int bytes_242; - - bytes_242 = bytes_173 * numX_12; - - unsigned char* mem_244; - - mem_244 = malloc(bytes_242); - - int bytes_247; - - bytes_247 = bytes_173 * conc_tmp_449; - - unsigned char* mem_249; - - mem_249 = malloc(bytes_247); - - unsigned char* mem_253; - - mem_253 = malloc(bytes_157); - - unsigned char* mem_266; - - mem_266 = malloc(bytes_247); - - int bytes_267; - - bytes_267 = bytes_157 * conc_tmp_517; - - unsigned char* mem_269; - - mem_269 = malloc(bytes_267); - - unsigned char* mem_280; - - mem_280 = malloc(bytes_267); - - unsigned char* mem_283; - - mem_283 = malloc(bytes_247); - - unsigned char* mem_287; - - mem_287 = malloc(x_212); - - unsigned char* mem_293; - - mem_293 = malloc(x_212); - - unsigned char* mem_295; - - mem_295 = malloc(bytes_157); - - unsigned char* mem_297; - - mem_297 = malloc(bytes_157); - - unsigned char* mem_299; - - mem_299 = malloc(bytes_157); - - unsigned char* mem_313; - - mem_313 = malloc(bytes_157); - - int bytes_329; - - bytes_329 = x_212 * numY_13; - - unsigned char* mem_331; - - mem_331 = malloc(bytes_329); - - unsigned char* mem_348; - - mem_348 = malloc(bytes_329); - - unsigned char* mem_351; - - mem_351 = malloc(bytes_173); - - unsigned char* mem_353; - - mem_353 = malloc(bytes_173); - - unsigned char* mem_355; - - mem_355 = malloc(bytes_173); - - unsigned char* mem_370; - - mem_370 = malloc(bytes_235); - - unsigned char* mem_374; - - mem_374 = malloc(bytes_173); - - unsigned char* mem_376; - - mem_376 = malloc(bytes_173); - - unsigned char* double_buffer_mem_41; - - double_buffer_mem_41 = malloc(bytes_242); - - unsigned char* mem_395; - - mem_395 = malloc(bytes_242); - for (int i_136 = 0; i_136 < outer_loop_count_8; i_136++) { - double y_575; - - y_575 = futhark_toFloat64(i_136); - - double res_578; - - res_578 = 1.0e-3 * y_575; - for (int i_28 = 0; i_28 < numX_12; i_28++) { - double xi_581; - - xi_581 = *(double*) &mem_159[i_28 * 1 * 8 + 0]; - - double arg_587; - - arg_587 = xi_581 - res_578; - - char cond_588; - - cond_588 = 0.0 < arg_587; - - double res_591; - - if (cond_588) { - res_591 = arg_587; - } else { - res_591 = 0.0; - } - for (int i_166 = 0; i_166 < numY_13; i_166++) { - *(double*) &mem_237[(i_28 * numY_13 + i_166 * 1) * 8 + 0] = - res_591; - } - } - for (int i_167 = 0; i_167 < numY_13; i_167++) { - for (int i_168 = 0; i_168 < numX_12; i_168++) { - *(double*) &mem_244[8 * (numX_12 * i_167) + 8 * i_168] = - *(double*) &mem_237[8 * (numY_13 * i_168) + 8 * i_167]; - } - } - - unsigned char* myResult_mem_398; - unsigned char* myResult_mem_246; - - myResult_mem_246 = mem_244; - for (int i_601 = 0; i_601 < bound_521; i_601++) { - int res_602; - - res_602 = x_522 - i_601; - - double y_603; - - y_603 = *(double*) &mem_51[res_602 * 1 * 8 + 0]; - - double y_604; - - y_604 = x_528 * y_603; - - int i_605; - - i_605 = res_602 + 1; - - double x_606; - - x_606 = *(double*) &mem_51[i_605 * 1 * 8 + 0]; - - double y_618; - - y_618 = x_606 - y_603; - - double res_619; - - res_619 = 1.0 / y_618; - for (int i_44 = 0; i_44 < numY_13; i_44++) { - double yj_620; - - yj_620 = *(double*) &mem_174[i_44 * 1 * 8 + 0]; - for (int i_34 = 0; i_34 < numX_12; i_34++) { - double xi_639; - - xi_639 = *(double*) &mem_159[i_34 * 1 * 8 + 0]; - - double y_640; - - y_640 = futhark_log64(xi_639); - - double x_642; - - x_642 = beta_32 * y_640; - - double x_643; - - x_643 = x_642 + yj_620; - - double y_644; - - y_644 = x_643 - y_604; - - double arg_645; - - arg_645 = 2.0 * y_644; - - double res_646; - - res_646 = futhark_exp64(arg_645); - *(double*) &mem_253[i_34 * 1 * 8 + 0] = res_646; - } - for (int i_40 = 0; i_40 < conc_tmp_449; i_40++) { - double tup_653; - - tup_653 = *(double*) &mem_253[i_40 * 1 * 8 + 0]; - - char cond_657; - - cond_657 = 0 < i_40; - - double x_658; - - x_658 = 0.5 * tup_653; - - int i_660; - - i_660 = i_40 - 1; - - double res_668; - - if (cond_657) { - double y_662; - - y_662 = *(double*) &mem_216[(i_40 * 3 + 0 * 1) * 8 + 0]; - - double y_663; - - y_663 = x_658 * y_662; - - double y_665; - - y_665 = *(double*) &myResult_mem_246[(i_44 * numX_12 + - i_660 * 1) * 8 + - 0]; - - double res_666; - - res_666 = y_663 * y_665; - res_668 = res_666; - } else { - res_668 = 0.0; - } - - char cond_669; - - cond_669 = i_40 < y_532; - - int i_671; - - i_671 = i_40 + 1; - - char y_672; - - y_672 = i_671 < numX_12; - - double res_679; - - if (cond_669) { - double y_674; - - y_674 = *(double*) &mem_216[(i_40 * 3 + 2 * 1) * 8 + 0]; - - double y_675; - - y_675 = x_658 * y_674; - - int bounds_check_676; - - if (!y_672) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_672", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:161:69-161:79"); - abort(); - } - - double y_677; - - y_677 = *(double*) &myResult_mem_246[(i_44 * numX_12 + - i_671 * 1) * 8 + - 0]; - - double res_678; - - res_678 = y_675 * y_677; - res_679 = res_678; - } else { - res_679 = 0.0; - } - - double y_682; - - y_682 = *(double*) &mem_216[(i_40 * 3 + 1 * 1) * 8 + 0]; - - double y_683; - - y_683 = x_658 * y_682; - - double y_686; - - y_686 = *(double*) &myResult_mem_246[(i_44 * numX_12 + - i_40 * 1) * 8 + 0]; - - double res_687; - - res_687 = y_683 * y_686; - - double x_688; - - x_688 = res_668 + res_687; - - double res_689; - - res_689 = x_688 + res_679; - *(double*) &mem_249[(i_44 * conc_tmp_449 + i_40 * 1) * 8 + - 0] = res_689; - } - } - memmove(mem_266 + 0, mem_249 + 0, numY_13 * conc_tmp_449 * - sizeof(double)); - for (int i_53 = 0; i_53 < numX_12; i_53++) { - for (int i_49 = 0; i_49 < conc_tmp_517; i_49++) { - char cond_707; - - cond_707 = 0 < i_49; - - int i_709; - - i_709 = i_49 - 1; - - double res_748; - - if (cond_707) { - double y_711; - - y_711 = *(double*) &mem_230[(i_49 * 3 + 0 * 1) * 8 + 0]; - - double y_717; - - y_717 = x_566 * y_711; - - double y_746; - - y_746 = *(double*) &myResult_mem_246[(i_709 * numX_12 + - i_53 * 1) * 8 + - 0]; - - double res_747; - - res_747 = y_717 * y_746; - res_748 = res_747; - } else { - res_748 = 0.0; - } - - char cond_749; - - cond_749 = i_49 < y_536; - - int i_750; - - i_750 = i_49 + 1; - - char y_751; - - y_751 = i_750 < numY_13; - - double res_776; - - if (cond_749) { - double y_754; - - y_754 = *(double*) &mem_230[(i_49 * 3 + 2 * 1) * 8 + 0]; - - double y_763; - - y_763 = x_566 * y_754; - - int bounds_check_764; - - if (!y_751) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_751", - "/home/athas/repos/finpar/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut:161:69-161:79"); - abort(); - } - - double y_767; - - y_767 = *(double*) &myResult_mem_246[(i_750 * numX_12 + - i_53 * 1) * 8 + - 0]; - - double res_771; - - res_771 = y_763 * y_767; - res_776 = res_771; - } else { - res_776 = 0.0; - } - - double y_782; - - y_782 = *(double*) &mem_230[(i_49 * 3 + 1 * 1) * 8 + 0]; - - double y_792; - - y_792 = x_566 * y_782; - - double y_796; - - y_796 = *(double*) &myResult_mem_246[(i_49 * numX_12 + - i_53 * 1) * 8 + 0]; - - double res_797; - - res_797 = y_792 * y_796; - - double x_805; - - x_805 = res_748 + res_797; - - double res_809; - - res_809 = x_805 + res_776; - *(double*) &mem_269[(i_53 * conc_tmp_517 + i_49 * 1) * 8 + - 0] = res_809; - } - } - memmove(mem_280 + 0, mem_269 + 0, numX_12 * conc_tmp_517 * - sizeof(double)); - for (int i_72 = 0; i_72 < numY_13; i_72++) { - double yj_846; - - yj_846 = *(double*) &mem_174[i_72 * 1 * 8 + 0]; - - int x_140; - - x_140 = i_72 * numX_12; - for (int i_57 = 0; i_57 < conc_tmp_449; i_57++) { - double tup_906; - - tup_906 = *(double*) &mem_266[(i_72 * conc_tmp_449 + i_57 * - 1) * 8 + 0]; - - double tup_907; - - tup_907 = *(double*) &myResult_mem_246[(i_72 * numX_12 + - i_57 * 1) * 8 + 0]; - - int flat_index_142; - - flat_index_142 = x_140 + i_57; - - int i_143; - - i_143 = flat_index_142 / numX_12 - (flat_index_142 % - numX_12 != 0 && - flat_index_142 % - numX_12 < 0 != numX_12 < - 0 ? 1 : 0); - - int y_144; - - y_144 = i_143 * numX_12; - - int i_remnant_145; - - i_remnant_145 = flat_index_142 - y_144; - - double y_908; - - y_908 = *(double*) &mem_280[(i_remnant_145 * conc_tmp_517 + - i_143 * 1) * 8 + 0]; - - double x_909; - - x_909 = res_619 * tup_907; - - double y_910; - - y_910 = 0.5 * tup_906; - - double res_911; - - res_911 = x_909 + y_910; - - double res_912; - - res_912 = res_911 + y_908; - *(double*) &mem_287[i_57 * 1 * 8 + 0] = res_912; - } - memmove(mem_293 + 0, mem_287 + 0, conc_tmp_449 * - sizeof(double)); - for (int i_62 = 0; i_62 < numX_12; i_62++) { - double xi_916; - - xi_916 = *(double*) &mem_159[i_62 * 1 * 8 + 0]; - - double y_917; - - y_917 = futhark_log64(xi_916); - - double x_918; - - x_918 = beta_32 * y_917; - - double x_919; - - x_919 = x_918 + yj_846; - - double y_920; - - y_920 = x_919 - y_604; - - double arg_921; - - arg_921 = 2.0 * y_920; - - double res_922; - - res_922 = futhark_exp64(arg_921); - - double x_923; - - x_923 = 0.5 * res_922; - - int x_149; - - x_149 = i_62 * 3; - - int i_152; - - i_152 = x_149 / 3 - (x_149 % 3 != 0 && x_149 % 3 < 0 != 3 < - 0 ? 1 : 0); - - double y_924; - - y_924 = *(double*) &mem_216[(i_152 * 3 + 0 * 1) * 8 + 0]; - - double y_925; - - y_925 = x_923 * y_924; - - double y_926; - - y_926 = 0.5 * y_925; - - double res_927; - - res_927 = 0.0 - y_926; - - int flat_index_160; - - flat_index_160 = x_149 + 1; - - int i_161; - - i_161 = flat_index_160 / 3 - (flat_index_160 % 3 != 0 && - flat_index_160 % 3 < 0 != 3 < - 0 ? 1 : 0); - - int y_162; - - y_162 = i_161 * 3; - - int i_remnant_163; - - i_remnant_163 = flat_index_160 - y_162; - - double y_928; - - y_928 = *(double*) &mem_216[(i_161 * 3 + i_remnant_163 * - 1) * 8 + 0]; - - double y_929; - - y_929 = x_923 * y_928; - - double y_930; - - y_930 = 0.5 * y_929; - - double res_931; - - res_931 = res_619 - y_930; - - int flat_index_169; - - flat_index_169 = x_149 + 2; - - int i_170; - - i_170 = flat_index_169 / 3 - (flat_index_169 % 3 != 0 && - flat_index_169 % 3 < 0 != 3 < - 0 ? 1 : 0); - - int y_171; - - y_171 = i_170 * 3; - - int i_remnant_172; - - i_remnant_172 = flat_index_169 - y_171; - - double y_932; - - y_932 = *(double*) &mem_216[(i_170 * 3 + i_remnant_172 * - 1) * 8 + 0]; - - double y_933; - - y_933 = x_923 * y_932; - - double y_934; - - y_934 = 0.5 * y_933; - - double res_935; - - res_935 = 0.0 - y_934; - *(double*) &mem_295[i_62 * 1 * 8 + 0] = res_927; - *(double*) &mem_297[i_62 * 1 * 8 + 0] = res_931; - *(double*) &mem_299[i_62 * 1 * 8 + 0] = res_935; - } - memmove(mem_313 + 0, mem_297 + 0, numX_12 * sizeof(double)); - for (int i_945 = 0; i_945 < i_435; i_945++) { - int res_946; - - res_946 = i_945 + 1; - - double x_947; - - x_947 = *(double*) &mem_295[res_946 * 1 * 8 + 0]; - - int i_948; - - i_948 = res_946 - 1; - - double y_949; - - y_949 = *(double*) &mem_313[i_948 * 1 * 8 + 0]; - - double res_950; - - res_950 = x_947 / y_949; - - double x_951; - - x_951 = *(double*) &mem_313[res_946 * 1 * 8 + 0]; - - double y_952; - - y_952 = *(double*) &mem_299[i_948 * 1 * 8 + 0]; - - double y_953; - - y_953 = res_950 * y_952; - - double lw_val_954; - - lw_val_954 = x_951 - y_953; - *(double*) &mem_313[res_946 * 1 * 8 + 0] = lw_val_954; - - double x_956; - - x_956 = *(double*) &mem_293[res_946 * 1 * 8 + 0]; - - double y_957; - - y_957 = *(double*) &mem_293[i_948 * 1 * 8 + 0]; - - double y_958; - - y_958 = res_950 * y_957; - - double lw_val_959; - - lw_val_959 = x_956 - y_958; - *(double*) &mem_293[res_946 * 1 * 8 + 0] = lw_val_959; - } - - double x_963; - - x_963 = *(double*) &mem_293[i_435 * 1 * 8 + 0]; - - double y_964; - - y_964 = *(double*) &mem_313[i_435 * 1 * 8 + 0]; - - double lw_val_965; - - lw_val_965 = x_963 / y_964; - *(double*) &mem_293[i_435 * 1 * 8 + 0] = lw_val_965; - for (int i_222 = 0; i_222 < conc_tmp_449; i_222++) { - *(double*) &mem_283[8 * (i_72 * conc_tmp_449) + 8 * i_222] = - *(double*) &mem_293[8 * i_222]; - } - for (int j_968 = 0; j_968 < i_435; j_968++) { - int res_969; - - res_969 = n_215 - j_968; - - double x_970; - - x_970 = *(double*) &mem_283[(i_72 * conc_tmp_449 + res_969 * - 1) * 8 + 0]; - - double x_971; - - x_971 = *(double*) &mem_299[res_969 * 1 * 8 + 0]; - - int i_972; - - i_972 = res_969 + 1; - - double y_973; - - y_973 = *(double*) &mem_283[(i_72 * conc_tmp_449 + i_972 * - 1) * 8 + 0]; - - double y_974; - - y_974 = x_971 * y_973; - - double x_975; - - x_975 = x_970 - y_974; - - double y_976; - - y_976 = *(double*) &mem_313[res_969 * 1 * 8 + 0]; - - double lw_val_977; - - lw_val_977 = x_975 / y_976; - *(double*) &mem_283[(i_72 * conc_tmp_449 + res_969 * 1) * - 8 + 0] = lw_val_977; - } - } - for (int i_80 = 0; i_80 < conc_tmp_449; i_80++) { - int x_176; - - x_176 = i_80 * conc_tmp_517; - for (int i_76 = 0; i_76 < numY_13; i_76++) { - double uv_987; - - uv_987 = *(double*) &mem_283[(i_76 * conc_tmp_449 + i_80 * - 1) * 8 + 0]; - - int flat_index_178; - - flat_index_178 = x_176 + i_76; - - int i_179; - - i_179 = flat_index_178 / conc_tmp_517 - (flat_index_178 % - conc_tmp_517 != - 0 && - flat_index_178 % - conc_tmp_517 < 0 != - conc_tmp_517 < - 0 ? 1 : 0); - - int y_180; - - y_180 = i_179 * conc_tmp_517; - - int i_remnant_181; - - i_remnant_181 = flat_index_178 - y_180; - - double uv_988; - - uv_988 = *(double*) &mem_280[(i_179 * conc_tmp_517 + - i_remnant_181 * 1) * 8 + 0]; - - double x_989; - - x_989 = res_619 * uv_987; - - double y_990; - - y_990 = 0.5 * uv_988; - - double res_991; - - res_991 = x_989 - y_990; - *(double*) &mem_331[(i_80 * numY_13 + i_76 * 1) * 8 + 0] = - res_991; - } - } - memmove(mem_348 + 0, mem_331 + 0, conc_tmp_449 * numY_13 * - sizeof(double)); - for (int i_84 = 0; i_84 < numY_13; i_84++) { - int x_185; - - x_185 = i_84 * 3; - - int i_188; - - i_188 = x_185 / 3 - (x_185 % 3 != 0 && x_185 % 3 < 0 != 3 < - 0 ? 1 : 0); - - double y_997; - - y_997 = *(double*) &mem_230[(i_188 * 3 + 0 * 1) * 8 + 0]; - - double y_998; - - y_998 = x_566 * y_997; - - double y_999; - - y_999 = 0.5 * y_998; - - double res_1000; - - res_1000 = 0.0 - y_999; - - int flat_index_196; - - flat_index_196 = x_185 + 1; - - int i_197; - - i_197 = flat_index_196 / 3 - (flat_index_196 % 3 != 0 && - flat_index_196 % 3 < 0 != 3 < - 0 ? 1 : 0); - - int y_198; - - y_198 = i_197 * 3; - - int i_remnant_199; - - i_remnant_199 = flat_index_196 - y_198; - - double y_1001; - - y_1001 = *(double*) &mem_230[(i_197 * 3 + i_remnant_199 * 1) * - 8 + 0]; - - double y_1002; - - y_1002 = x_566 * y_1001; - - double y_1003; - - y_1003 = 0.5 * y_1002; - - double res_1004; - - res_1004 = res_619 - y_1003; - - int flat_index_205; - - flat_index_205 = x_185 + 2; - - int i_206; - - i_206 = flat_index_205 / 3 - (flat_index_205 % 3 != 0 && - flat_index_205 % 3 < 0 != 3 < - 0 ? 1 : 0); - - int y_207; - - y_207 = i_206 * 3; - - int i_remnant_208; - - i_remnant_208 = flat_index_205 - y_207; - - double y_1005; - - y_1005 = *(double*) &mem_230[(i_206 * 3 + i_remnant_208 * 1) * - 8 + 0]; - - double y_1006; - - y_1006 = x_566 * y_1005; - - double y_1007; - - y_1007 = 0.5 * y_1006; - - double res_1008; - - res_1008 = 0.0 - y_1007; - *(double*) &mem_351[i_84 * 1 * 8 + 0] = res_1000; - *(double*) &mem_353[i_84 * 1 * 8 + 0] = res_1004; - *(double*) &mem_355[i_84 * 1 * 8 + 0] = res_1008; - } - for (int i_94 = 0; i_94 < numX_12; i_94++) { - for (int i_240 = 0; i_240 < numY_13; i_240++) { - *(double*) &mem_374[8 * i_240] = *(double*) &mem_348[8 * - (numY_13 * - i_94) + - 8 * - i_240]; - } - memmove(mem_376 + 0, mem_353 + 0, numY_13 * sizeof(double)); - for (int i_1016 = 0; i_1016 < i_503; i_1016++) { - int res_1017; - - res_1017 = i_1016 + 1; - - double x_1018; - - x_1018 = *(double*) &mem_351[res_1017 * 1 * 8 + 0]; - - int i_1019; - - i_1019 = res_1017 - 1; - - double y_1020; - - y_1020 = *(double*) &mem_376[i_1019 * 1 * 8 + 0]; - - double res_1021; - - res_1021 = x_1018 / y_1020; - - double x_1022; - - x_1022 = *(double*) &mem_376[res_1017 * 1 * 8 + 0]; - - double y_1023; - - y_1023 = *(double*) &mem_355[i_1019 * 1 * 8 + 0]; - - double y_1024; - - y_1024 = res_1021 * y_1023; - - double lw_val_1025; - - lw_val_1025 = x_1022 - y_1024; - *(double*) &mem_376[res_1017 * 1 * 8 + 0] = lw_val_1025; - - double x_1027; - - x_1027 = *(double*) &mem_374[res_1017 * 1 * 8 + 0]; - - double y_1028; - - y_1028 = *(double*) &mem_374[i_1019 * 1 * 8 + 0]; - - double y_1029; - - y_1029 = res_1021 * y_1028; - - double lw_val_1030; - - lw_val_1030 = x_1027 - y_1029; - *(double*) &mem_374[res_1017 * 1 * 8 + 0] = lw_val_1030; - } - - double x_1034; - - x_1034 = *(double*) &mem_374[i_503 * 1 * 8 + 0]; - - double y_1035; - - y_1035 = *(double*) &mem_376[i_503 * 1 * 8 + 0]; - - double lw_val_1036; - - lw_val_1036 = x_1034 / y_1035; - *(double*) &mem_374[i_503 * 1 * 8 + 0] = lw_val_1036; - for (int i_245 = 0; i_245 < numY_13; i_245++) { - *(double*) &mem_370[8 * (numY_13 * i_94) + 8 * i_245] = - *(double*) &mem_374[8 * i_245]; - } - for (int j_1039 = 0; j_1039 < i_503; j_1039++) { - int res_1040; - - res_1040 = n_464 - j_1039; - - double x_1041; - - x_1041 = *(double*) &mem_370[(i_94 * numY_13 + res_1040 * - 1) * 8 + 0]; - - double x_1042; - - x_1042 = *(double*) &mem_355[res_1040 * 1 * 8 + 0]; - - int i_1043; - - i_1043 = res_1040 + 1; - - double y_1044; - - y_1044 = *(double*) &mem_370[(i_94 * numY_13 + i_1043 * 1) * - 8 + 0]; - - double y_1045; - - y_1045 = x_1042 * y_1044; - - double x_1046; - - x_1046 = x_1041 - y_1045; - - double y_1047; - - y_1047 = *(double*) &mem_376[res_1040 * 1 * 8 + 0]; - - double lw_val_1048; - - lw_val_1048 = x_1046 / y_1047; - *(double*) &mem_370[(i_94 * numY_13 + res_1040 * 1) * 8 + - 0] = lw_val_1048; - } - } - for (int i_250 = 0; i_250 < numY_13; i_250++) { - for (int i_251 = 0; i_251 < numX_12; i_251++) { - *(double*) &mem_395[8 * (numX_12 * i_250) + 8 * i_251] = - *(double*) &mem_370[8 * (numY_13 * i_251) + 8 * i_250]; - } - } - memmove(double_buffer_mem_41 + 0, mem_395 + 0, numY_13 * numX_12 * - sizeof(double)); - - unsigned char* myResult_mem_tmp_175; - - myResult_mem_tmp_175 = double_buffer_mem_41; - myResult_mem_246 = myResult_mem_tmp_175; - } - myResult_mem_398 = myResult_mem_246; - - double res_1054; - - res_1054 = *(double*) &myResult_mem_398[(res_116 * numX_12 + res_115 * - 1) * 8 + 0]; - *(double*) &mem_232[i_136 * 1 * 8 + 0] = res_1054; - } - out_mem_77 = mem_232; - out_memsize_78 = bytes_231; - out_arrsize_98 = outer_loop_count_8; - - struct tuple_int_mem_int retval_0; - - retval_0.elem_0 = out_memsize_78; - retval_0.elem_1 = out_mem_77; - retval_0.elem_2 = out_arrsize_98; - return retval_0; -} -int main(int argc, char** argv) -{ - struct timeval t_start, t_end, t_diff; - unsigned long elapsed_usec; - - { - int out_memsize_78; - unsigned char* out_mem_77; - int out_arrsize_98; - int outer_loop_count_8; - int numX_12; - int numY_13; - int numT_14; - double s0_15; - double strike_17; - double t_25; - double alpha_26; - double nu_31; - double beta_32; - struct tuple_int_mem_int main_ret_1; - - if (read_int(&outer_loop_count_8) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&numX_12) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&numY_13) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&numT_14) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_double(&s0_15) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "float64"); - exit(1); - } - if (read_double(&strike_17) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "float64"); - exit(1); - } - if (read_double(&t_25) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "float64"); - exit(1); - } - if (read_double(&alpha_26) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "float64"); - exit(1); - } - if (read_double(&nu_31) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "float64"); - exit(1); - } - if (read_double(&beta_32) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "float64"); - exit(1); - } - gettimeofday(&t_start, NULL); - main_ret_1 = futhark_main(outer_loop_count_8, numX_12, numY_13, numT_14, - s0_15, strike_17, t_25, alpha_26, nu_31, - beta_32); - gettimeofday(&t_end, NULL); - out_memsize_78 = main_ret_1.elem_0; - out_mem_77 = main_ret_1.elem_1; - out_arrsize_98 = main_ret_1.elem_2; - { - if (out_arrsize_98 == 0) { - printf("empty(%s)", "float64"); - } else { - int print_i_2; - - putchar('['); - for (print_i_2 = 0; print_i_2 < out_arrsize_98; print_i_2++) { - double* print_elem_3 = (double*) out_mem_77 + print_i_2 * 1; - - printf("%.6f", *print_elem_3); - if (print_i_2 != out_arrsize_98 - 1) { - printf(", "); - } - } - putchar(']'); - } - } - printf("\n"); - } - ; - if (argc == 3 && strcmp(argv[1], "-t") == 0) { - FILE * runtime_file; - runtime_file = fopen(argv[2], "w"); - if (runtime_file == NULL) { - fprintf(stderr, "Cannot open %s: %s\n", argv[2], strerror(errno)); - exit(1); - } - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed_usec = t_diff.tv_sec * 1e6 + t_diff.tv_usec; - fprintf(runtime_file, "%ld\n", elapsed_usec / 1000); - fclose(runtime_file); - } - return 0; -} diff --git a/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut b/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut deleted file mode 100644 index 0b13af1..0000000 --- a/benchmarks/LocVolCalib/implementations/futhark/CalibVolDiff.fut +++ /dev/null @@ -1,265 +0,0 @@ -fun {int,int,[real],[real],[real]} -initGrid(real s0, real alpha, real nu, real t, int numX, int numY, int numT) = - let logAlpha = log(alpha) in - let myTimeline = map(fn real (int i) => t * toFloat(i) / (toFloat(numT) - 1.0), iota(numT)) in - let {stdX, stdY} = {20.0 * alpha * s0 * sqrt(t), - 10.0 * nu * sqrt(t)} in - let {dx, dy} = {stdX / toFloat(numX), stdY / toFloat(numY)} in - let {myXindex, myYindex} = {trunc(s0 / dx), numY / 2} in - let myX = map(fn real (int i) => toFloat(i) * dx - toFloat(myXindex) * dx + s0, iota(numX)) in - let myY = map(fn real (int i) => toFloat(i) * dy - toFloat(myYindex) * dy + logAlpha, iota(numY)) in - {myXindex, myYindex, myX, myY, myTimeline} - --- make the innermost dimension of the result of size 4 instead of 3? -fun {[[real]],[[real]]} initOperator([real] x) = - let n = size(0, x) in - let dxu = x[1] - x[0] in - let dxl = 0.0 in - let Dxlow = [[0.0, -1.0 / dxu, 1.0 / dxu]] in - let Dxxlow = [[0.0, 0.0, 0.0]] in - let Dxmids = map(fn {[real],[real]} (int i) => - let dxl = x[i] - x[i-1] in - let dxu = x[i+1] - x[i] in - { [ -dxu/dxl/(dxl+dxu), (dxu/dxl - dxl/dxu)/(dxl+dxu), dxl/dxu/(dxl+dxu) ], - [ 2.0/dxl/(dxl+dxu), -2.0*(1.0/dxl + 1.0/dxu)/(dxl+dxu), 2.0/dxu/(dxl+dxu) ] } - , map (+ (1), iota(n-2))) in - let {Dxmid, Dxxmid} = unzip(Dxmids) in - let dxl = x[n-1] - x[n-2] in - let dxu = 0.0 in - let Dxhigh = [[-1.0 / dxl, 1.0 / dxl, 0.0 ]] in - let Dxxhigh= [[0.0, 0.0, 0.0 ]] in - let Dx = concat(concat(Dxlow, Dxmid), Dxhigh) in - let Dxx = concat(concat(Dxxlow, Dxxmid), Dxxhigh) - in {Dx, Dxx} - -fun real max(real x, real y) = if y < x then x else y -fun int maxInt(int x, int y) = if y < x then x else y - -fun *[[real]] setPayoff(real strike, [real] myX, [real] myY) = - let n = size(0, myY) in - let myres = map(fn [real] (real xi) => replicate(n, max(xi-strike,0.0)), myX) in - copy(transpose(myres)) - --- Returns new myMuX, myVarX, myMuY, myVarY. -fun {[[real]] , [[real]] , [[real]] , [[real]]} -updateParams( [real] myX, [real] myY, [real] myTimeline, - int g, real alpha, real beta, real nu ) = - let { numX, numY } = { size(0,myX), size(0,myY) } in - let myMuY = replicate(numX, replicate(numY, 0.0 )) in - let myVarY = replicate(numX, replicate(numY, nu*nu)) in - let myMuX = replicate(numY, replicate(numX, 0.0 )) in - let myVarX = map( fn [real] (real yj) => - map ( fn real (real xi) => - exp(2.0*(beta*log(xi) + yj - 0.5*nu*nu*myTimeline[g])) - , myX ) - , myY ) - in { myMuX, myVarX, myMuY, myVarY } - -fun *[real] tridagSeq( [real] a, *[real] b, [real] c, *[real] y ) = - let n = size(0, a) in - loop ({y, b}) = - for i < n-1 do - let i = i + 1 in - let beta = a[i] / b[i-1] in - let b[i] = b[i] - beta*c[i-1] in - let y[i] = y[i] - beta*y[i-1] - in {y, b} - in - let y[n-1] = y[n-1]/b[n-1] in - loop (y) = for j < n - 1 do - let i = n - 2 - j in - let y[i] = (y[i] - c[i]*y[i+1]) / b[i] - in y - in y - -fun *[real] tridagPar( [real] a, *[real] b, [real] c, *[real] y ) = - let n = size(0, a) in - ---------------------------------------------------- - -- Recurrence 1: b[i] = b[i] - a[i]*c[i-1]/b[i-1] -- - -- solved by scan with 2x2 matrix mult operator -- - ---------------------------------------------------- - let b0 = b[0] in - let mats = map ( fn {real,real,real,real} (int i) => - if 0 < i - then {b[i], 0.0-a[i]*c[i-1], 1.0, 0.0} - else {1.0, 0.0, 0.0, 1.0} - , iota(n) ) in - let scmt = scan( fn {real,real,real,real} ( {real,real,real,real} a, - {real,real,real,real} b ) => - let {a0,a1,a2,a3} = a in - let {b0,b1,b2,b3} = b in - let val = 1.0/(a0*b0) in - { (b0*a0 + b1*a2)*val, - (b0*a1 + b1*a3)*val, - (b2*a0 + b3*a2)*val, - (b2*a1 + b3*a3)*val - } - , {1.0, 0.0, 0.0, 1.0}, mats ) in - let b = map ( fn real ({real,real,real,real} tup) => - let {t0,t1,t2,t3} = tup in - (t0*b0 + t1) / (t2*b0 + t3) - , scmt ) in - ------------------------------------------------------ - -- Recurrence 2: y[i] = y[i] - (a[i]/b[i-1])*y[i-1] -- - -- solved by scan with linear func comp operator -- - ------------------------------------------------------ - let y0 = y[0] in - let lfuns= map ( fn {real,real} (int i) => - if 0 < i - then {y[i], 0.0-a[i]/b[i-1]} - else {0.0, 1.0 } - , iota(n) ) in - let cfuns= scan( fn {real,real} ({real,real} a, {real,real} b) => - let {a0,a1} = a in - let {b0,b1} = b in - { b0 + b1*a0, a1*b1 } - , {0.0, 1.0}, lfuns ) in - let y = map ( fn real ({real,real} tup) => - let {a,b} = tup in - a + b*y0 - , cfuns ) in - ------------------------------------------------------ - -- Recurrence 3: backward recurrence solved via -- - -- scan with linear func comp operator -- - ------------------------------------------------------ - let yn = y[n-1]/b[n-1] in - let lfuns= map ( fn {real,real} (int k) => - let i = n-k-1 - in if 0 < k - then {y[i]/b[i], 0.0-c[i]/b[i]} - else {0.0, 1.0 } - , iota(n) ) in - let cfuns= scan( fn {real,real} ({real,real} a, {real,real} b) => - let {a0,a1} = a in - let {b0,b1} = b in - {b0 + b1*a0, a1*b1} - , {0.0, 1.0}, lfuns ) in - let y = map ( fn real ({real,real} tup) => - let {a,b} = tup in - a + b*yn - , cfuns ) in - let y = map (fn real (int i) => y[n-i-1], iota(n)) in - copy(y) - -------------------------------------------/ --- myD,myDD : [[real,3],m] --- myMu,myVar,result : [[real,m],n] --- RETURN : [[real,m],n] -------------------------------------------/ -fun *[[real]] explicitMethod( [[real]] myD, [[real]] myDD, - [[real]] myMu, [[real]] myVar, [[real]] result ) = - -- 0 <= i < m AND 0 <= j < n - let m = size(0,myD) in - copy( map( fn [real] ( {[real],[real],[real]} tup ) => - let {mu_row, var_row, result_row} = tup in - map( fn real ({[real], [real], real, real, int} tup) => - let { dx, dxx, mu, var, j } = tup in - let c1 = if 0 < j - then ( mu*dx[0] + 0.5*var*dxx[0] ) * result_row[j-1] - else 0.0 in - let c3 = if j < (m-1) - then ( mu*dx[2] + 0.5*var*dxx[2] ) * result_row[j+1] - else 0.0 in - let c2 = ( mu*dx[1] + 0.5*var*dxx[1] ) * result_row[j ] - in c1 + c2 + c3 - , zip( myD, myDD, mu_row, var_row, iota(m) ) - ) - , zip( myMu, myVar, result ) - ) - ) - -------------------------------------------/ --- myD,myDD : [[real,3],m] --- myMu,myVar,u : [[real,m],n] --- RETURN : [[real,m],n] -------------------------------------------/ --- for implicitY: should be called with transpose(u) instead of u -fun *[[real]] implicitMethod( [[real]] myD, [[real]] myDD, - [[real]] myMu, [[real]] myVar, - *[[real]] u, real dtInv ) = - map( fn *[real] ( {[real],[real],*[real]} tup ) => - let {mu_row,var_row,u_row} = tup in - let abc = map( fn {real,real,real} ({real,real,[real],[real]} tup) => - let {mu, var, d, dd} = tup in - { 0.0 - 0.5*(mu*d[0] + 0.5*var*dd[0]) - , dtInv - 0.5*(mu*d[1] + 0.5*var*dd[1]) - , 0.0 - 0.5*(mu*d[2] + 0.5*var*dd[2]) - } - , zip(mu_row, var_row, myD, myDD) - ) in - let {a,b,c} = unzip(abc) in - if 1==1 then tridagSeq( a, copy(b), c, u_row ) - else tridagPar( a, copy(b), c, u_row ) - , zip(myMu,myVar,u) - ) - -fun *[[real]] rollback - ([real] myX, [real] myY, [real] myTimeline, *[[real]] myResult, - [[real]] myMuX, [[real]] myDx, [[real]] myDxx, [[real]] myVarX, - [[real]] myMuY, [[real]] myDy, [[real]] myDyy, [[real]] myVarY, int g) = - - let {numX, numY} = {size(0, myX), size(0, myY)} in - let dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]) in - - -- explicitX - let u = explicitMethod( myDx, myDxx, myMuX, myVarX, myResult ) in - let u = map( fn [real] ({[real],[real]} tup) => - let {u_row, res_row} = tup in - map (fn real ({real,real} tup) => - let {u_el,res_el} = tup - in dtInv*res_el + 0.5*u_el - , zip(u_row,res_row) ) - , zip(u,myResult) ) - in - -- explicitY - let myResultTR = transpose(myResult) in - let v = explicitMethod( myDy, myDyy, myMuY, myVarY, myResultTR ) in - let u = map( fn *[real] ([real] us, [real] vs) => - copy(map(+, zip(us, vs))) - , zip(u, transpose(v)) - ) in - -- implicitX - let u = implicitMethod( myDx, myDxx, myMuX, myVarX, u, dtInv ) in - -- implicitY - let y = copy( map( fn [real] ({[real],[real]} uv_row) => - let {u_row, v_row} = uv_row in - map( fn real ({real,real} uv) => - let {u_el,v_el} = uv - in dtInv*u_el - 0.5*v_el - , zip(u_row,v_row) - ) - , zip(transpose(u),v) - ) ) - in - let myResultTR = implicitMethod( myDy, myDyy, myMuY, myVarY, y, dtInv ) - in transpose(myResultTR) - -fun real value(int numX, int numY, int numT, real s0, real strike, real t, real alpha, real nu, real beta) = - let {myXindex, myYindex, myX, myY, myTimeline} = - initGrid(s0, alpha, nu, t, numX, numY, numT) in - let {myDx, myDxx} = initOperator(myX) in - let {myDy, myDyy} = initOperator(myY) in - let myResult = setPayoff(strike, myX, myY) in - - loop (myResult) = - for i < numT - 1 do - let i = numT-2-i in - let {myMuX, myVarX, myMuY, myVarY} = - updateParams(myX, myY, myTimeline, i, alpha, beta, nu) in - let myResult = rollback(myX, myY, myTimeline, myResult, - myMuX, myDx, myDxx, myVarX, - myMuY, myDy, myDyy, myVarY, i) in - - myResult in - myResult[myYindex,myXindex] - -fun [real] main (int outer_loop_count, int numX, int numY, int numT) = - let s0 = 0.03 in - let strike = 0.03 in - let t = 5.0 in - let alpha = 0.2 in - let nu = 0.6 in - let beta = 0.5 in - let strikes = map(fn real (int i) => 0.001*toFloat(i), iota(outer_loop_count)) in - let res = map(fn real (real x) => value(numX, numY, numT, s0, x, t, alpha, nu, beta), strikes) in - res diff --git a/benchmarks/LocVolCalib/implementations/futhark/instantiate b/benchmarks/LocVolCalib/implementations/futhark/instantiate deleted file mode 100755 index 75cbad8..0000000 --- a/benchmarks/LocVolCalib/implementations/futhark/instantiate +++ /dev/null @@ -1,9 +0,0 @@ -#!/bin/sh - -set -e - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data - -cp $FINPAR_IMPLEMENTATION/run . - -futhark-c $FINPAR_IMPLEMENTATION/CalibVolDiff.fut -o CalibVolDiff diff --git a/benchmarks/LocVolCalib/implementations/futhark/run b/benchmarks/LocVolCalib/implementations/futhark/run deleted file mode 100755 index 66c288c..0000000 --- a/benchmarks/LocVolCalib/implementations/futhark/run +++ /dev/null @@ -1,5 +0,0 @@ -#!/bin/sh - -set -e - -./CalibVolDiff -t runtime.txt < input.data > result.json diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs b/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs deleted file mode 100644 index 5e99209..0000000 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs +++ /dev/null @@ -1,441 +0,0 @@ -module Main where - -import Control.DeepSeq -import Control.Applicative -import Control.Monad -import Data.Maybe -import System.CPUTime - ------------------------------------- ---- Requires the installation of --- ---- Parsec package, i.e., --- ---- cabal install parsec --- ------------------------------------- - -import Text.Parsec hiding (optional, (<|>), token) -import Text.Parsec.String - -import Data.Bits -import Data.List -import Prelude - ------------------------------- ---- Parser-related Helpers --- ------------------------------- -signed :: Parser String -> Parser String -signed p = (char '-' >> (('-':) <$> p)) <|> p - -whitespace :: Parser () -whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) - -lexeme :: Parser a -> Parser a -lexeme p = p <* whitespace - -token :: String -> Parser () -token = void . lexeme . string - -readInt :: Parser Int -readInt = lexeme $ read <$> signed (many1 digit) - -readDouble :: Parser Double -readDouble = lexeme $ read <$> signed (s2 <|> s1) - where s1 = do bef <- many1 digit - aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) - return $ bef ++ aft - s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit - -readArray :: Parser a -> Parser [a] -readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") - ---------------------------------------------- ---- Definition of lish-homomorphic reduce --- ---- requires a binary associative op --- ---------------------------------------------- - -reduce :: (a -> a -> a) -> a -> [a] -> a -reduce bop ne lst = foldl bop ne lst - ---------------------------------------------- ---------------------------------------------- - -initGrid :: Double -> Double -> Double -> Double - -> Int -> Int -> Int - -> ( Int, Int, [Double], [Double], [Double], - [[Double]], [[Double]], [[Double]], [[Double]] ) -initGrid s0 alpha nu t num_x num_y num_t = - let logAlpha = log alpha - myTimeline = map (\i -> t * (fromIntegral i) / ((fromIntegral num_t) - 1.0)) [0..num_t-1] - stdX = 20.0 * alpha * s0 * (sqrt t) - stdY = 10.0 * nu * (sqrt t) - (dx, dy) = (stdX / fromIntegral num_x, stdY / fromIntegral num_y) - (myXindex, myYindex) = (truncate (s0 / dx), num_y `div` 2) - myX = map (\i -> (fromIntegral i) * dx - (fromIntegral myXindex) * dx + s0 ) [0..num_x-1] - myY = map (\i -> (fromIntegral i) * dy - (fromIntegral myYindex) * dy + logAlpha) [0..num_y-1] - xXy = replicate num_x (replicate num_y 0.0) - (myMuX, myVarX, myMuY, myVarY) = (xXy, xXy, xXy, xXy) - in (myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY) - ---------------------------------------------- ---------------------------------------------- - ---------------------------------------------- ---------------------------------------------- - -initOperator :: [Double] - -> ( [(Double,Double,Double)], [(Double,Double,Double)] ) -initOperator x = - let n = length x - mid_x = zip3 x (tail x) (tail (tail x)) - - dxu = (x !! 1) - (x !! 0) - dxl = 0.0 - dxlow = (0.0, -1.0 / dxu, 1.0 / dxu) - dxxlow = (0.0, 0.0, 0.0) - - --- Implements a parallel loop such as: --- - --- doall i = 2, N-1, 1 --- - --- (a,b,c) = f(x[i-1], x[i], x[i+1]) --- - --- res[i-1] = (a,b,c) --- - dxmid = map (\(xim1, xi, xip1) -> - let (dxl, dxu) = (xi - xim1, xip1 - xi) - dxlpxu = dxl + dxu - in ( (-dxu/dxl ) / dxlpxu, - ( dxu/dxl - dxl/dxu) / dxlpxu, - ( dxl/dxu ) / dxlpxu - ) - ) mid_x - dxxmid = map (\(xim1, xi, xip1) -> - let (dxl, dxu) = (xi - xim1, xip1 - xi) - dxlpxu = dxl + dxu - in ( ( 2.0/dxl ) / dxlpxu, - -2.0*(1.0/dxl+1.0/dxu) / dxlpxu, - ( 2.0/dxu ) / dxlpxu - ) - ) mid_x - dxll = (x !! (n-1)) - (x !! (n-2)) - dxul = 0.0 - dxhigh = [(-1.0 / dxll, 1.0 / dxll, 0.0)] - dxxhigh= [(0.0, 0.0, 0.0)] - in ( dxlow : (dxmid++dxhigh), dxxlow : (dxxmid++dxxhigh) ) - ------------------------------------------------ ---- A tail-recursive function modeling a --- ---- do loop that goes from i = 0 to bound-1 --- ------------------------------------------------ - -doLoop :: Int -> Int - -> ( [Double], [(Double,Double,Double)], [(Double,Double,Double)], - [Double], [(Double,Double,Double)], [(Double,Double,Double)], - [Double], Double, Double, Double ) - -> ([[Double]], [[Double]], [[Double]], [[Double]], [[Double]]) - -> ([[Double]], [[Double]], [[Double]], [[Double]], [[Double]]) -doLoop i bound loop_ros loop_variants = - if i == bound - then loop_variants - else let (myResult, myMuX, myVarX, myMuY, myVarY) = loop_variants - - ( myX, myDx, myDxx, myY, myDy, myDyy, - myTimeline, alpha, beta, nu ) = loop_ros - - j = (bound-1-i) - - (myMuX', myVarX', myMuY', myVarY') = - updateParams myX myY myTimeline j alpha beta nu - - - - myResult'= rollback j myX myY myTimeline myResult - myMuX' myDx myDxx myVarX' - myMuY' myDy myDyy myVarY' - - loop_variants' = (myResult', myMuX', myVarX', myMuY', myVarY') - - in -- Hack to avoid space leak - myResult' `deepseq` myMuX' `deepseq` myVarX' `deepseq` myMuY' `deepseq` myVarY' `deepseq` - doLoop (i+1) bound loop_ros loop_variants' - ---------------------------------------------- ---------------------------------------------- - -updateParams :: [Double] -> [Double] -> [Double] -> Int -> Double -> Double -> Double - -> ( [[Double]], [[Double]], [[Double]], [[Double]] ) -updateParams myX myY myTimeline g alpha beta nu = - unzip4 $ map (\ xi -> unzip4 $ - map (\ yj -> let b = beta * log(xi) + yj - c = 0.5 * nu * nu * (myTimeline !! g) - in ( 0.0, exp (2.0 * (b - c) ), 0.0, nu * nu ) - ) myY - ) myX ---------------------------------------------- ---- Helpers for the rollback function --- ---- ToDo: make them nice!!! --- ---------------------------------------------- - --- explicitX = explicitXY dt_inv 0.5 (transpose my_result) (transpose myMuX) (transpose myVarX) myDx myDxx --- explicitY = explicitXY 0.0 1.0 my_result myMuY myVarY myDy myDyy -explicitXY :: Double -> Double - -> [[Double]] -> [[Double]] -> [[Double]] - -> [ (Double,Double,Double) ] - -> [ (Double,Double,Double) ] - -> [[Double]] -explicitXY dt_inv fact my_result myMuY myVarY myDy myDyy = - map (\ tup_i -> - let (res_row, myMuY_row, myVarY_row) = tup_i - res_row3 = zip3 (0.0:res_row) res_row ((tail res_row) ++ [0.0]) - - in map (\ ((myDy_i, myDyy_i, myMuY_ij, myVarY_ij),(r_jm1, r_j, r_jp1)) -> - let ((dy0, dy1, dy2), (dyy0, dyy1, dyy2)) = (myDy_i, myDyy_i) - res0 = dt_inv * r_j - res1 = fact * (myMuY_ij*dy0 + 0.5*myVarY_ij*dyy0) * r_jm1 - res2 = fact * (myMuY_ij*dy2 + 0.5*myVarY_ij*dyy2) * r_jp1 - res3 = fact * (myMuY_ij*dy1 + 0.5*myVarY_ij*dyy1) * r_j - in res0 + res1 + res2 + res3 - - ) (zip (zip4 myDy myDyy myMuY_row myVarY_row) res_row3) - - ) (zip3 my_result myMuY myVarY) - ------------------------------------------- ---- loop-like definition for explicitX --- ---- inneficient due to list traversal --- ---- to find every index. --- ---- Same is possible for explicitY0 --- ------------------------------------------- -explicitX0 :: Int -> Int -> Double -> [[Double]] -> [[Double]] - -> [ (Double,Double,Double) ] -> [ (Double,Double,Double) ] -> [[Double]] - -> [[Double]] -explicitX0 num_x num_y dt_inv my_result - myMuX myDx myDxx myVarX = - map (\ j -> - map (\ i -> let res0 = dt_inv * ((my_result !! i) !! j) -- my_result[i,j] - ((dx0, dx1, dx2), (dxx0, dxx1, dxx2)) = (myDx !! i, myDxx !! i) - - myMuX_ij = ( myMuX !! i) !! j -- myMuX[i,j] - myVarX_ij = (myVarX !! i) !! j -- myVarX[i,j] - - res1 = if i == 0 then 0.0 - else 0.5 * (myMuX_ij*dx0 + 0.5*myVarX_ij*dxx0) * - ((my_result !! (i-1)) !! j) -- my_result[i-1, j] - res2 = if i == num_x - 1 then 0.0 - else 0.5 * (myMuX_ij*dx2 + 0.5*myVarX_ij*dxx2) * - ((my_result !! (i+1)) !! j) -- my_result[i+1,j] - - res3 = 0.5 * (myMuX_ij*dx1 + 0.5*myVarX_ij*dxx1) * - ((my_result !! i) !! j) -- my_result[i ,j] - - in res0 + res1 + res2 + res3 - - - ) [0..num_x-1] - - ) [0..num_y-1] - -tridag :: [Double] -> [Double] -> [Double] -> [Double] - -> ( [Double], [Double] ) -tridag a b c r = - let u0 = head r - uu0 = head b - - -- scanl's binary operator is NOT associative - uu = scanl (\ uuim1 (ai, bi, cim1) -> - let beta = ai / uuim1 - in bi - beta*cim1 - ) uu0 (zip3 (tail a) (tail b) c) - - -- scanl's binary operator is NOT associative - u = scanl (\ uim1 (ai, ri, uuim1) -> - let beta = ai / uuim1 - in ri - beta*uim1 - ) u0 (zip3 (tail a) (tail r) uu) - - ur = reverse u - uur = reverse uu - ur0'= (head ur) / (head uur) - ur' = scanl (\ uip1 (uri, uuri, cri) -> - (uri - cri*uip1) / uuri - ) ur0' (zip3 (tail ur) (tail uur) (tail $ reverse c)) - in (reverse ur', uu) - - -tridagPar :: [Double] -> [Double] -> [Double] -> [Double] - -> ( [Double], [Double] ) -tridagPar a b c r = - let -- u0 = head r - -- uu0 = head b - u0 = head b - uu0 = head r - - -- creating the 2x2 matrices - mats = map (\(ai,bi,cim1)-> (bi, -ai*cim1, 1.0, 0.0)) (zip3 (tail a) (tail b) c) - -- scan with 2x2 matrix multiplication - scanmat = scanl (\(x1,y1,z1,w1) (x2,y2,z2,w2) -> - let dv = 1.0/(x1*x2) - in ( (x1*x2+y1*z2)*dv, - (x1*y2+y1*w2)*dv, - (z1*x2+w1*z2)*dv, - (z1*y2+w1*w2)*dv ) - ) (1.0, 0.0, 0.0, 1.0) mats - - -- compute the first recurrence result - uu = map (\(x,y,z,w) -> (x*u0 + y) / (z*u0 + w) ) scanmat - - -- compute the second recurrence - pairs = map (\(ai,ri,uuim1)->(ri, -ai/uuim1)) (zip3 (tail a) (tail r) uu) - - scanpairs = scanl (\ (x1,y1) (x2,y2) -> (x2+y2*x1, y1*y2) ) (0.0,1.0) pairs - - u = map (\(x,y) -> x + u0*y) scanpairs - - -- backwards recurrence - ur = reverse u - uur = reverse uu - ur0'= (head ur) / (head uur) - - pairsr = map (\(uri, uuri, cri)->(uri/uuri, -cri/uuri)) (zip3 (tail ur) (tail uur) (tail $ reverse c)) - scanpairsr = scanl (\ (x1,y1) (x2,y2) -> (x2+y2*x1, y1*y2) ) (0.0,1.0) pairsr - ur' = map (\(x,y) -> x + ur0'*y) scanpairsr - - in (reverse ur', uu) - ---------------------------------------------- ---- rollback: the brain of the program --- ---------------------------------------------- - -rollback :: Int -> [Double] -> [Double] -> [Double] -> [[Double]] - -> [[Double]] -> [(Double,Double,Double)] -> [(Double,Double,Double)] -> [[Double]] - -> [[Double]] -> [(Double,Double,Double)] -> [(Double,Double,Double)] -> [[Double]] - -> [[Double]] - -rollback g myX myY myTimeline myResult - myMuX myDx myDxx myVarX - myMuY myDy myDyy myVarY = - - let (numX, numY) = (length myX, length myY) - numZ = max numX numY - dtInv = 1.0 / ( (myTimeline !! (g+1)) - (myTimeline !! g) ) - - u0= explicitXY dtInv 0.5 (transpose myResult) (transpose myMuX) (transpose myVarX) myDx myDxx - v0= explicitXY 0.0 1.0 myResult myMuY myVarY myDy myDyy - - u1= map (\ (us, vs) -> zipWith (+) us vs ) - (zip u0 (transpose v0)) - - u2= map (\ t -> let (uj, myDx, myDxx, myMuX, myVarX) = t - (a,b,c) = unzip3 $ - map (\ tt -> let (myDx, myDxx, myMuX, myVarX) = tt - (dx0, dx1, dx2 ) = myDx - (dxx0, dxx1, dxx2) = myDxx - in ( -0.5*(myMuX*dx0 + 0.5*myVarX*dxx0), - dtInv - 0.5*(myMuX*dx1 + 0.5*myVarX*dxx1), - -0.5*(myMuX*dx2+0.5*myVarX*dxx2) ) ) - (zip4 myDx myDxx myMuX myVarX) - - (uj', yy) = tridag a b c uj -- tridagPar a b c uj - in uj' ) - (zip5 u1 (replicate numY myDx) (replicate numY myDxx) (transpose myMuX) (transpose myVarX)) - - in map (\ t -> let (ui, vi, myDy, myDyy, myMuY, myVarY) = t - (a,b,c) = unzip3 $ - map (\ tt -> let (myDy, myDyy, myMuY, myVarY) = tt - (dy0, dy1, dy2 ) = myDy - (dyy0, dyy1, dyy2) = myDyy - in ( -0.5*(myMuY*dy0+0.5*myVarY*dyy0), - dtInv - 0.5*(myMuY*dy1+0.5*myVarY*dyy1), - -0.5*(myMuY*dy2+0.5*myVarY*dyy2) ) ) - (zip4 myDy myDyy myMuY myVarY) - - y = map (\ (u,v) -> dtInv * u - 0.5 * v) (zip ui vi) - - (ri, yy) = tridag a b c y -- tridagPar a b c y - in ri ) - (zip6 (transpose u2) v0 (replicate numX myDy) (replicate numX myDyy) myMuY myVarY) - ---------------------------------------------- ---------------------------------------------- - -------------------------------------------------- ---- Cosmin ToDo: make MyX & MyY & myTimeline --- ---- vectors instead of lists --- -------------------------------------------------- - -value :: (Double, Double, Double, Double, Double) - -> (Int, Int, Int, Int) -> Double - -> Double -value params it_spaces strike = - let (outer, num_x, num_y, num_t) = it_spaces - (s0, t, alpha, nu, beta) = params - - (myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY) = - initGrid s0 alpha nu t num_x num_y num_t - (myDx, myDxx) = initOperator myX - (myDy, myDyy) = initOperator myY - - my_result_ini = map (\ xi -> replicate num_y (max (xi - strike) 0.0 )) myX - - loop_variants = (my_result_ini, myMuX, myVarX, myMuY, myVarY) - loop_ros = (myX, myDx, myDxx, myY, myDy, myDyy, myTimeline, alpha, beta, nu) - - (my_result,_,_,_,_) = doLoop 0 (num_t-1) loop_ros loop_variants - - in (my_result !! myXindex) !! myYindex -- my_result[myXindex, myYindex] - ------------------------------------------------- ---- Main Entry Point: volatility calibration --- ------------------------------------------------- -compute :: (Int, Int, Int, Int) - -> (Double, Double, Double, Double, Double) - -> [Double] -compute it_spaces params = - let (s0, t, alpha, nu, beta) = params - (outer, num_x, num_y, num_t) = it_spaces - strikes = map (\i -> 0.001 * (fromIntegral i)) [0..outer-1] - res = map (value params it_spaces) strikes - in res - ----------------------------------------------- ---- Formatting the Output of the Benchmark --- ----------------------------------------------- -validate :: [Double] -> [Double] -> (Int,Int,Int,Int) -> [String] -validate res_ref res info= - let errs = map abs $ zipWith (-) res_ref res - err = reduce max 0.0 errs - (outer, num_x, num_y, num_t) = info - in ["// Generic Pricing Haskell Benchmark (List-Homomorphism Style):", - "// OUTER: " ++ show outer ++ ", NUM_X: " ++ show num_x ++ - ", NUM_Y: " ++ show num_y ++ ", NUM_T: " ++ show num_t, - ( if err <= 0.00001 -- 0.0005 - then "1\t\t// VALID Result," - else "0\t\t// INVALID Result," ), - "0\t\t// Runtime in microseconds,", - "1\t\t// CPU Threads,", - show res ++ "\t// Volatility Calibration Result."] - - ------------------------------------------ ---- Entry point for Generic Pricing --- ---- The only place where using Monads,--- ---- e.g., parsing Dataset from StdIn --- ------------------------------------------ -main :: IO () -main = do s <- getContents - case parse run "input" s of - Left e -> error $ show e - Right m -> do (v,runtime) <- m - writeFile "result.json" $ show v - writeFile "runtime.txt" $ show runtime - where run = do whitespace - outer <- readInt - num_x <- readInt - num_y <- readInt - num_t <- readInt - - let params = (0.03, 5.0, 0.2, 0.6, 0.5) --(s0, t, alpha, nu, beta) - - return $ do - start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. - let v = compute (outer, num_x, num_y, num_t) params - end <- v `deepseq` getCPUTime - return (v, (end - start) `div` 1000000000) - --- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs --- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/instantiate b/benchmarks/LocVolCalib/implementations/haskell_lh/instantiate deleted file mode 100755 index 4d2f324..0000000 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/instantiate +++ /dev/null @@ -1,11 +0,0 @@ -#!/bin/sh - -set -e # Die on error. - -impl_dir=$FINPAR_IMPLEMENTATION -input=$FINPAR_INPUT - -cp $impl_dir/*hs . -cp $impl_dir/run . -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data -ghc -Wall -O2 -msse2 -rtsopts VolCalib.hs -o VolCalib diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/run b/benchmarks/LocVolCalib/implementations/haskell_lh/run deleted file mode 100755 index baa6480..0000000 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/run +++ /dev/null @@ -1,5 +0,0 @@ -#!/bin/sh - -set -e - -./VolCalib +RTS -K128m -RTS < input.data diff --git a/benchmarks/LocVolCalib/lib/include/Constants.h b/benchmarks/LocVolCalib/lib/include/Constants.h deleted file mode 100644 index 8fd8365..0000000 --- a/benchmarks/LocVolCalib/lib/include/Constants.h +++ /dev/null @@ -1,42 +0,0 @@ -#ifndef CONSTANTS_H -#define CONSTANTS_H - -#define WITH_FLOATS 1 - -#define REAL3_CT 4 -#define TRANSPOSE_UV 1 - -#if (WITH_FLOATS) - typedef float REAL; - typedef unsigned int ULONG; -#else - #pragma OPENCL EXTENSION cl_khr_fp64: enable - typedef double REAL; - typedef unsigned long ULONG; -#endif - -#define WARP (1< -#include - -#include -#include -#include -#include - -#include - -using namespace std; - -/////////////////////////////////////////////////////// -//// FLAGS and CONSTANT SCALARS! -/////////////////////////////////////////////////////// - -#define TRIDAG_ALL_OPT_ON -#define MOST_OPTIMISED_ON - -//#define IS_GPU -//#define DEBUG_PRINT_GPU_INFO - -unsigned int OUTER_LOOP_COUNT; //128; //1024; //100; -unsigned int NUM_X ; //256; //256; //64; //256; -unsigned int NUM_Y ; //32; //32; //32; -unsigned int NUM_T ; //64; //64; //64; -unsigned int NUM_XY ; //NUM_X*NUM_Y; - -/////////////////////////////////////////////////////// -//// GLOBAL ARRAYS ! -/////////////////////////////////////////////////////// - -/// grid /// -REAL* myX ; // 1-dim, size: NUM_X -REAL* myY ; // 1-dim, size: NUM_Y -REAL* myTimeline; // 1-dim, size: NUM_T - -unsigned int myXindex, myYindex; - -/// variable /// -REAL* myResArr; //[OUTER_LOOP_COUNT * NUM_Y * NUM_X]; // 3-dim, size: OUTER_LOOP_COUNT x NUM_Y x NUM_X - - -/// coeffs /// -REAL *myMuX, *myVarX; // 2-dim, size: NUM_X x NUM_Y -REAL *myMuY, *myVarY; // 2-dim, size: NUM_X x NUM_Y - -// operators -REAL *myDx, *myDxx; // 2-dim, size: NUM_X x REAL3_CT -REAL *myDy, *myDyy; // 2-dim, size: NUM_Y x REAL3_CT - -void allocGlobArrs() { - myX = new REAL[NUM_X]; - myY = new REAL[NUM_Y]; - myTimeline = new REAL[NUM_T]; - - myMuX = new REAL[NUM_X * NUM_Y]; - myVarX= new REAL[NUM_X * NUM_Y]; - myMuY = new REAL[NUM_X * NUM_Y]; - myVarY= new REAL[NUM_X * NUM_Y]; - - myDx = new REAL[NUM_X * REAL3_CT]; - myDxx = new REAL[NUM_X * REAL3_CT]; - myDy = new REAL[NUM_Y * REAL3_CT]; - myDyy = new REAL[NUM_Y * REAL3_CT]; - - myResArr = new REAL[OUTER_LOOP_COUNT * NUM_Y * NUM_X]; -} - -void deallocGlobArrs() { - delete[] myX; - delete[] myY; - delete[] myTimeline; - - delete[] myMuX; - delete[] myVarX; - delete[] myMuY; - delete[] myVarY; - - delete[] myDx; - delete[] myDxx; - delete[] myDy; - delete[] myDyy; - - delete[] myResArr; -} - -#endif // end include NORDEA_DATA_STRUCT diff --git a/benchmarks/LocVolCalib/lib/include/ParPrefixUtil.h b/benchmarks/LocVolCalib/lib/include/ParPrefixUtil.h deleted file mode 100644 index 3c8fa9f..0000000 --- a/benchmarks/LocVolCalib/lib/include/ParPrefixUtil.h +++ /dev/null @@ -1,323 +0,0 @@ -#ifndef PAR_PREFIX_UTIL -#define PAR_PREFIX_UTIL - -#include -#include - -// TIMING - -typedef struct timeb mlfi_timeb; -#define mlfi_ftime ftime - -#define mlfi_diff_time(t1,t2) \ - (t1.time - t2.time) * 1000 + (t1.millitm - t2.millitm) - -////////////////////////////////////////// -/// CLASSIC, SEQUENTIAL TRIDAG -////////////////////////////////////////// -void tridag( - REAL* a, - REAL* b, - REAL* c, - REAL* d, - int n, - REAL* y, - REAL* u) -{ - int i; - double beta; - - y[0] = d[0]; - u[0] = b[0]; - - for(i=1; i=0; i--) { - y[i] = (y[i] - c[i]*y[i+1]) / u[i]; - } -} - -///////////////////////////////////////////////////////////// - -/** - * Multiplies 2x2 matrixes `a' and `b' and - * stores the result in(-place in) `a'. - */ -void matmult2(REAL* a, REAL* b) { - REAL a0 = a[0], a1 = a[1], a2 = a[2], a3 = a[3], - val = 1.0/(a0*b[0]); - //val = 1.0/(a0*b[0]+a1*b[2]); - a[0] = (a0*b[0] + a1*b[2])*val; - a[1] = (a0*b[1] + a1*b[3])*val; - a[2] = (a2*b[0] + a3*b[2])*val; - a[3] = (a2*b[1] + a3*b[3])*val; -} - - -void scan_matmult_2by2(REAL* tmp, int N) { - REAL* prev = NULL; - - for(int i=1; i=0; i--, k+=2) { // NEW k=2 - tmp[k] = y[i]/u[i]; - tmp[k+1] = 0.0 - c[i]/u[i]; - } - - // backward scan with linear function composition on tmp - scan_linfuncomp(tmp, n); // NEW: n - - // map the result back: - for(i=n-2,k=2; i>=0; i--, k+=2) { // NEW k=2 - y[i] = map_linfuncomp(tmp+k, y[n-1]); - } - } -} - -void test_matmult(){ - int N = 16; - REAL* arr = new REAL[N*4]; - REAL* tmp = arr; - for(int i=0; i=0; i--, k+=2) { - tmp[k] = y[i]/u[i]; - tmp[k+1] = 0.0 - c[i]/u[i]; - } - - // forward scan with linear function composition on tmp - scan_linfuncomp(tmp, n-1); - - // map the result back: - for(i=n-2,k=0; i>=0; i--, k+=2) { - y[i] = map_linfuncomp(tmp+k, y[n-1]); - } - } -} - -inline void tridag_seq_32( - REAL* a, - REAL* b, - REAL* c, - REAL* d, - int n, - REAL* y, - REAL* u) -{ - int i, UB, offset; - REAL beta; - - y[0] = d[0]; - u[0] = b[0]; - - UB = n << 5; - for(i=32; i=0; i-=32) { - y[i] = (y[i] - c[i]*y[i+32]) / u[i]; - } -} - -inline void tridag_seq_1( - REAL* a, - REAL* b, - REAL* c, - REAL* d, - int n, - REAL* y, - REAL* u) -{ - int i, UB, offset; - REAL beta; - - y[0] = d[0]; - u[0] = b[0]; - - UB = n << 5; - for(i=1; i=0; i--) { - y[i] = (y[i] - c[i]*y[i+1]) / u[i]; - } -} - -#endif // end include PAR_PREFIX_UTIL - diff --git a/benchmarks/LocVolCalib/lib/include/ParseInput.h b/benchmarks/LocVolCalib/lib/include/ParseInput.h deleted file mode 100644 index 8453724..0000000 --- a/benchmarks/LocVolCalib/lib/include/ParseInput.h +++ /dev/null @@ -1,58 +0,0 @@ -#ifndef PARSE_INPUT -#define PARSE_INPUT - -#include "ParserC.h" -#include "Util.h" -#include -#include -#include - -using namespace std; - -#include - -#if WITH_FLOATS - #define read_real read_float -#else - #define read_real read_double -#endif - -const float EPS = 0.00001; - -/***********************************/ -/********** READ DATA SET **********/ -/***********************************/ - -void readDataSet( unsigned int& outer, - unsigned int& num_X, - unsigned int& num_Y, - unsigned int& num_T -) { - if( read_int( static_cast( &outer ) ) || - read_int( static_cast( &num_X ) ) || - read_int( static_cast( &num_Y ) ) || - read_int( static_cast( &num_T ) ) ) { - - fprintf(stderr, "Syntax error when reading the dataset, i.e., four ints.\n"); - exit(1); - } - - { // check dataset invariants: - bool atr_ok = true; - - atr_ok = outer > 0; - assert(atr_ok && "Outer loop count less than 0!"); - - atr_ok = (num_X > 0) && (num_X <= WORKGROUP_SIZE) && is_pow2(num_X); - assert(atr_ok && "Illegal NUM_X value!"); - - atr_ok = (num_Y > 0) && (num_Y <= WORKGROUP_SIZE) && is_pow2(num_Y); - assert(atr_ok && "Illegal NUM_X value!"); - - atr_ok = num_T > 0; - assert(atr_ok && "NUM_T value less or equal to zero!!"); - } -} - -#endif // PARSE_INPUT - diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate index b6df103..aae6162 100755 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate @@ -2,17 +2,17 @@ set -e -cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/include/ParserC.h . -cp $FINPAR_LIB_DIR/include/Util.h . -cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . -cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . -cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile . +cp $HIPERMARK_LIB_DIR/setup.mk . +cp $HIPERMARK_LIB_DIR/include/ParserC.h . +cp $HIPERMARK_LIB_DIR/include/Util.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/Constants.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/Optimizations.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/ParseInput.h . +cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data +$HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk +NCORES=$($HIPERMARK_LIB_DIR/json_get.py $HIPERMARK_PLATFORM num_cores) cat > run < Date: Thu, 30 Jul 2015 16:50:22 +0200 Subject: [PATCH 033/122] This repository works as Thor's testing ground for hipermark. Works with current hipermark program. --- .gitignore | 3 + benchmarks/CalibVolDiff/README.txt | 53 +++ benchmarks/CalibVolDiff/ToDo.txt | 28 ++ .../CalibVolDiff/datasets/medium/input.json | 6 + .../CalibVolDiff/datasets/medium/output.json | 17 + .../CalibVolDiff/datasets/small/input.json | 6 + .../CalibVolDiff/datasets/small/output.json | 3 + .../implementations/cpp_sequential/Makefile | 36 ++ .../cpp_sequential/VolCalibOrig.cpp | 318 +++++++++++++++++ .../cpp_sequential/instantiate | 15 + .../cpp_sequential/instantiate_data | 7 + .../implementations/cpp_sequential/run | 3 + .../CalibVolDiff/lib/include/Constants.h | 42 +++ .../lib/include/DataStructConst.h | 91 +++++ .../CalibVolDiff/lib/include/ParPrefixUtil.h | 323 ++++++++++++++++++ .../CalibVolDiff/lib/include/ParseInput.h | 58 ++++ .../cpp_openmp/instantiate_data | 18 + .../lib/{ => include}/Constants.h | 0 .../lib/{ => include}/Optimizations.h | 0 .../lib/{ => include}/ParseInput.h | 0 .../lib/{ => include}/TimeHelper.h | 0 21 files changed, 1027 insertions(+) create mode 100644 benchmarks/CalibVolDiff/README.txt create mode 100644 benchmarks/CalibVolDiff/ToDo.txt create mode 100644 benchmarks/CalibVolDiff/datasets/medium/input.json create mode 100644 benchmarks/CalibVolDiff/datasets/medium/output.json create mode 100644 benchmarks/CalibVolDiff/datasets/small/input.json create mode 100644 benchmarks/CalibVolDiff/datasets/small/output.json create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_sequential/run create mode 100644 benchmarks/CalibVolDiff/lib/include/Constants.h create mode 100644 benchmarks/CalibVolDiff/lib/include/DataStructConst.h create mode 100644 benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h create mode 100644 benchmarks/CalibVolDiff/lib/include/ParseInput.h create mode 100755 benchmarks/OptionPricing/implementations/cpp_openmp/instantiate_data rename benchmarks/OptionPricing/lib/{ => include}/Constants.h (100%) rename benchmarks/OptionPricing/lib/{ => include}/Optimizations.h (100%) rename benchmarks/OptionPricing/lib/{ => include}/ParseInput.h (100%) rename benchmarks/OptionPricing/lib/{ => include}/TimeHelper.h (100%) diff --git a/.gitignore b/.gitignore index d245830..7c68cb7 100644 --- a/.gitignore +++ b/.gitignore @@ -20,6 +20,9 @@ GenericPricing/HaskellLH/GenPricing GenericPricing/Orig_COpenMp/GenPricing CalibVolDiff/Original/CalibVol +# all instantiations +instantiations/* + # emacs backups *~ diff --git a/benchmarks/CalibVolDiff/README.txt b/benchmarks/CalibVolDiff/README.txt new file mode 100644 index 0000000..848f0be --- /dev/null +++ b/benchmarks/CalibVolDiff/README.txt @@ -0,0 +1,53 @@ +FIXME: this README is outdated. + +1. This is a benchmark received from Nordea, via Prof. Brian Vinter. + Here is Christian's (Andreetta) guess about what the application is about: + " The task is stochastic volatility calibration, i.e., given a set of + (observed) prices of contracts, we identify the parameters of a model + of such prices, as a function of volatility (unknown), time and strikes (known), + and unobserved parameters like alpha, beta, nu, etc. + + In this case, the volatility is modelled as a system of continuous + partial differential equations, which are solved via Crank-Nicolson's + finite differences method. + + The model seems to be a variation of SABR. + " + +2. STRUCTURE: + + a) `NordeaOrig' folder contains the original sequential code, which can be simply + compiled by: `$ g++ HiperfitExample1.cpp' + + b) `VectOuters' folder contains the GPU parallel version of the code, in which + two (outer) dimensions of parallelism are exploited, but the inner dimension, + corresponding to TRIDAG is sequentially executed. + + The CPU execution executes in parallel the outermost loop (OpenMP). + + The degree of parallelism is sensitive to the following parameters, set in + `DataStructConst.h' file: OUTER_LOOP_COUNT, NUM_X, NUM_Y, which are all set + by default to 128, but can be varied. The degree of exploited parallelism is: + OUTER_LOOP_COUNT * MIN(NUM_X, NUM_Y). + + If you wish the result to not be printed, set DEBUG to 0 in DataStructConst.h, + and if you wish GPU hardware info, define DEBUG_PRINT_GPU_INFO. + + To build for CPU execution, set OMP_NUM_THREADS, and: + $make cpu + To build for GPU execution: + $make gpu + + To run: + $./nordea + + c) `VectAll' folder contains the GPU versions that exploits all parallel dimensions + of parallelism, i.e., TRIDAG is parallelized as a combination of scan with + 2x2 matrix multiplication and linear function composition, respectively. + + It follows that it works well even with smaller values for the parallelism-degree + sensitive parameters, e.g., OUTER_LOOP_COUNT x NUM_X x NUM_Y = 128 x 32 x 32. + + The rest is as with `VectOuters', e.g., in the CPU version the outermost loop + (OUTER_LOOP_COUNT) is executed in parallel via OpenMP. + diff --git a/benchmarks/CalibVolDiff/ToDo.txt b/benchmarks/CalibVolDiff/ToDo.txt new file mode 100644 index 0000000..aa6a98a --- /dev/null +++ b/benchmarks/CalibVolDiff/ToDo.txt @@ -0,0 +1,28 @@ +0. Test on different OpSys: Ubuntu, Mac, Windows + Test on different hardware: AMD GPU & NVIDIA GPU + (Intel Phi?) + +1. For both VectAll and VectOuters, check whether the GPU + code is specialized for NVIDIA hardware constants, + such as WARP == 32. (Meaning, test it on AMD GPU) + +2. VectOuters and VectAll: + Currently all the result arrays are copied + back to CPU space, but only a small part + of it is actually required. This filtering + can be done on GPU so as to optimize + communication costs. + +3. Make the seguential overhead, e.g., allocation of CPU/GPU arrays, + close to negligible by increasing the NUM_T, especially for + the Medium and Small datasets. + +4. Source code focusing on readability (not performance). + +5. CONTENT-ORIENTED: + -- eliminate some of the restrictions for VectAll, e.g., + arbitrary size of NUM_X and NUM_Y which leads to + ``global'' segmented scan (in which the segments have + regular sizes). + -- irregular segmented scan, in which there are no restrictions + on the size of the segments. diff --git a/benchmarks/CalibVolDiff/datasets/medium/input.json b/benchmarks/CalibVolDiff/datasets/medium/input.json new file mode 100644 index 0000000..4b6f586 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/medium/input.json @@ -0,0 +1,6 @@ +{ + "outer" : 128, + "num_x" : 256, + "num_y" : 32, + "num_t" : 64 +} diff --git a/benchmarks/CalibVolDiff/datasets/medium/output.json b/benchmarks/CalibVolDiff/datasets/medium/output.json new file mode 100644 index 0000000..4d5f9c1 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/medium/output.json @@ -0,0 +1,17 @@ +[ 0.03, 0.0292079, 0.0288058, 0.028408, 0.0280152, 0.0276279, 0.0272462, 0.0268701, + 0.0264998, 0.0261355, 0.025777, 0.0254243, 0.0250773, 0.024736, 0.0244004, 0.0240704, + 0.0237459, 0.0234269, 0.0231134, 0.0228053, 0.0225025, 0.022205, 0.0219126, 0.0216253, + 0.0213431, 0.0210657, 0.0207928, 0.0205238, 0.0202581, 0.0199978, 0.0197739, 0.0194946, + 0.0192514, 0.0190136, 0.0187787, 0.018547, 0.0183189, 0.0180947, 0.0178743, 0.0176577, + 0.0174448, 0.0172356, 0.0170299, 0.0168278, 0.016629, 0.0164336, 0.0162415, 0.0160526, + 0.0158668, 0.0156841, 0.0155044, 0.0153276, 0.0151536, 0.0149826, 0.0148144, 0.0146488, + 0.0144858, 0.0143253, 0.0141674, 0.0140119, 0.0138588, 0.013708, 0.0135595, 0.0134132, + 0.0132691, 0.0131271, 0.0129872, 0.0128494, 0.0127136, 0.0125796, 0.0124477, 0.0123175, + 0.0121892, 0.0120627, 0.0119379, 0.0118149, 0.0116936, 0.0115739, 0.0114558, 0.0113392, + 0.0112242, 0.0111107, 0.0109986, 0.0108879, 0.0107787, 0.0106708, 0.0105642, 0.010459, + 0.010355, 0.0102523, 0.0101509, 0.0100506, 0.00995151, 0.00985357, 0.00975677, 0.00966107, + 0.00956649, 0.00947299, 0.00938053, 0.00928908, 0.00919862, 0.00910914, 0.00902062, 0.00893303, + 0.00884636, 0.00876059, 0.00867569, 0.00859167, 0.00850848, 0.00842613, 0.00834459, 0.00826384, + 0.00818388, 0.00810468, 0.00802623, 0.00794852, 0.00787153, 0.00779524, 0.00771969, 0.00764481, + 0.0075706, 0.00749704, 0.00742412, 0.00735183, 0.00728016, 0.00720909, 0.00713861, 0.00706872 +] diff --git a/benchmarks/CalibVolDiff/datasets/small/input.json b/benchmarks/CalibVolDiff/datasets/small/input.json new file mode 100644 index 0000000..e14df83 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/small/input.json @@ -0,0 +1,6 @@ +{ + "outer" : 16, + "num_x" : 32, + "num_y" : 256, + "num_t" : 256 +} diff --git a/benchmarks/CalibVolDiff/datasets/small/output.json b/benchmarks/CalibVolDiff/datasets/small/output.json new file mode 100644 index 0000000..a316bb0 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/small/output.json @@ -0,0 +1,3 @@ +[ 0.0300001, 0.0290001, 0.0280001, 0.0270001, 0.026, 0.0251064, 0.0247889, 0.0244714, + 0.0241539, 0.0238364, 0.0235189, 0.0232014, 0.0228839, 0.0225664, 0.0222744, 0.02199 +] diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile new file mode 100644 index 0000000..0ddc64c --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile @@ -0,0 +1,36 @@ +include setup.mk + +ifndef ($(HAVE_GPU)) +include platform.mk +endif + +INCLUDES += -I../includeC + +SOURCES_CPP =VolCalibOrig.cpp +HELPERS =../includeC/ParseInput.h +OBJECTS =VolCalibOrig.o +EXECUTABLE =VolCalib + +#g++ -I. -I/usr/local/cuda/include -O3 NordeaVect.cpp -lOpenCL +default: cpu + +.cpp.o: $(SOURCES_CPP) $(HELPERS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< + +cpu: $(EXECUTABLE) + +$(EXECUTABLE): $(OBJECTS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) + + +run_small: $(EXECUTABLE) + cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt + +run_medium: $(EXECUTABLE) + cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt + +run_large: $(EXECUTABLE) + cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp new file mode 100644 index 0000000..94662d3 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp @@ -0,0 +1,318 @@ +#include +#include + +#define WITH_FLOATS 0 +#define WORKGROUP_SIZE 512 + +typedef double REAL; + +#include "Util.h" +#include "ParseInput.h" + +using namespace std; + +// grid +vector myX, myY, myTimeline; +unsigned myXindex, myYindex; + +// variable +vector > myResult; + +// coeffs +vector > myMuX, myVarX, myMuY, myVarY; + +// operators +vector > myDx, myDxx, myDy, myDyy; + + + + +/***********************************/ + +void updateParams(const unsigned g, const double alpha, const double beta, const double nu) +{ + for(unsigned i=0;i(s0/dx); + + for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) +{ + const unsigned n = x.size(); + + Dx.resize(n); + Dxx.resize(n); + + for(unsigned i=0;i& a, + const vector& b, + const vector& c, + const vector& r, + const int n, + vector& u, + vector& uu) +{ + int i, offset; + REAL beta; + + u[0] = r[0]; + uu[0] = b[0]; + + for(i=1; i=0; i--) { + u[i] = (u[i] - c[i]*u[i+1]) / uu[i]; + } +} + +void +rollback(const unsigned g) +{ + unsigned numX = myX.size(), + numY = myY.size(); + + unsigned numZ = max(numX,numY); + + int k, l; + unsigned i, j; + + int kl, ku, ll, lu; + + double dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]); + + vector > u(numY,vector(numX)), v(numX,vector(numY)); + + vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); + + // explicit x + for(i=0;i=0;--i) + { + updateParams(i,alpha,beta,nu); + rollback(i); + } + + return myResult[myXindex][myYindex]; +} + +int main() +{ + unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; + const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; + + fprintf(stdout, "\n// Original (Sequential) Volatility Calibration Benchmark:\n"); + readDataSet( OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T ); + + vector strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); + + for(unsigned i=0;i platform.mk + +make diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data new file mode 100755 index 0000000..1054784 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data @@ -0,0 +1,7 @@ +#!/bin/sh + +set -e + +mkdir -p datasets/$HIPERMARK_INPUT_NAME + +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT outer num_x num_y num_t > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/run b/benchmarks/CalibVolDiff/implementations/cpp_sequential/run new file mode 100755 index 0000000..c9863c8 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/run @@ -0,0 +1,3 @@ +#!/bin/sh + +cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalib diff --git a/benchmarks/CalibVolDiff/lib/include/Constants.h b/benchmarks/CalibVolDiff/lib/include/Constants.h new file mode 100644 index 0000000..8fd8365 --- /dev/null +++ b/benchmarks/CalibVolDiff/lib/include/Constants.h @@ -0,0 +1,42 @@ +#ifndef CONSTANTS_H +#define CONSTANTS_H + +#define WITH_FLOATS 1 + +#define REAL3_CT 4 +#define TRANSPOSE_UV 1 + +#if (WITH_FLOATS) + typedef float REAL; + typedef unsigned int ULONG; +#else + #pragma OPENCL EXTENSION cl_khr_fp64: enable + typedef double REAL; + typedef unsigned long ULONG; +#endif + +#define WARP (1< +#include + +#include +#include +#include +#include + +#include + +using namespace std; + +/////////////////////////////////////////////////////// +//// FLAGS and CONSTANT SCALARS! +/////////////////////////////////////////////////////// + +#define TRIDAG_ALL_OPT_ON +#define MOST_OPTIMISED_ON + +//#define IS_GPU +//#define DEBUG_PRINT_GPU_INFO + +unsigned int OUTER_LOOP_COUNT; //128; //1024; //100; +unsigned int NUM_X ; //256; //256; //64; //256; +unsigned int NUM_Y ; //32; //32; //32; +unsigned int NUM_T ; //64; //64; //64; +unsigned int NUM_XY ; //NUM_X*NUM_Y; + +/////////////////////////////////////////////////////// +//// GLOBAL ARRAYS ! +/////////////////////////////////////////////////////// + +/// grid /// +REAL* myX ; // 1-dim, size: NUM_X +REAL* myY ; // 1-dim, size: NUM_Y +REAL* myTimeline; // 1-dim, size: NUM_T + +unsigned int myXindex, myYindex; + +/// variable /// +REAL* myResArr; //[OUTER_LOOP_COUNT * NUM_Y * NUM_X]; // 3-dim, size: OUTER_LOOP_COUNT x NUM_Y x NUM_X + + +/// coeffs /// +REAL *myMuX, *myVarX; // 2-dim, size: NUM_X x NUM_Y +REAL *myMuY, *myVarY; // 2-dim, size: NUM_X x NUM_Y + +// operators +REAL *myDx, *myDxx; // 2-dim, size: NUM_X x REAL3_CT +REAL *myDy, *myDyy; // 2-dim, size: NUM_Y x REAL3_CT + +void allocGlobArrs() { + myX = new REAL[NUM_X]; + myY = new REAL[NUM_Y]; + myTimeline = new REAL[NUM_T]; + + myMuX = new REAL[NUM_X * NUM_Y]; + myVarX= new REAL[NUM_X * NUM_Y]; + myMuY = new REAL[NUM_X * NUM_Y]; + myVarY= new REAL[NUM_X * NUM_Y]; + + myDx = new REAL[NUM_X * REAL3_CT]; + myDxx = new REAL[NUM_X * REAL3_CT]; + myDy = new REAL[NUM_Y * REAL3_CT]; + myDyy = new REAL[NUM_Y * REAL3_CT]; + + myResArr = new REAL[OUTER_LOOP_COUNT * NUM_Y * NUM_X]; +} + +void deallocGlobArrs() { + delete[] myX; + delete[] myY; + delete[] myTimeline; + + delete[] myMuX; + delete[] myVarX; + delete[] myMuY; + delete[] myVarY; + + delete[] myDx; + delete[] myDxx; + delete[] myDy; + delete[] myDyy; + + delete[] myResArr; +} + +#endif // end include NORDEA_DATA_STRUCT diff --git a/benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h b/benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h new file mode 100644 index 0000000..3c8fa9f --- /dev/null +++ b/benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h @@ -0,0 +1,323 @@ +#ifndef PAR_PREFIX_UTIL +#define PAR_PREFIX_UTIL + +#include +#include + +// TIMING + +typedef struct timeb mlfi_timeb; +#define mlfi_ftime ftime + +#define mlfi_diff_time(t1,t2) \ + (t1.time - t2.time) * 1000 + (t1.millitm - t2.millitm) + +////////////////////////////////////////// +/// CLASSIC, SEQUENTIAL TRIDAG +////////////////////////////////////////// +void tridag( + REAL* a, + REAL* b, + REAL* c, + REAL* d, + int n, + REAL* y, + REAL* u) +{ + int i; + double beta; + + y[0] = d[0]; + u[0] = b[0]; + + for(i=1; i=0; i--) { + y[i] = (y[i] - c[i]*y[i+1]) / u[i]; + } +} + +///////////////////////////////////////////////////////////// + +/** + * Multiplies 2x2 matrixes `a' and `b' and + * stores the result in(-place in) `a'. + */ +void matmult2(REAL* a, REAL* b) { + REAL a0 = a[0], a1 = a[1], a2 = a[2], a3 = a[3], + val = 1.0/(a0*b[0]); + //val = 1.0/(a0*b[0]+a1*b[2]); + a[0] = (a0*b[0] + a1*b[2])*val; + a[1] = (a0*b[1] + a1*b[3])*val; + a[2] = (a2*b[0] + a3*b[2])*val; + a[3] = (a2*b[1] + a3*b[3])*val; +} + + +void scan_matmult_2by2(REAL* tmp, int N) { + REAL* prev = NULL; + + for(int i=1; i=0; i--, k+=2) { // NEW k=2 + tmp[k] = y[i]/u[i]; + tmp[k+1] = 0.0 - c[i]/u[i]; + } + + // backward scan with linear function composition on tmp + scan_linfuncomp(tmp, n); // NEW: n + + // map the result back: + for(i=n-2,k=2; i>=0; i--, k+=2) { // NEW k=2 + y[i] = map_linfuncomp(tmp+k, y[n-1]); + } + } +} + +void test_matmult(){ + int N = 16; + REAL* arr = new REAL[N*4]; + REAL* tmp = arr; + for(int i=0; i=0; i--, k+=2) { + tmp[k] = y[i]/u[i]; + tmp[k+1] = 0.0 - c[i]/u[i]; + } + + // forward scan with linear function composition on tmp + scan_linfuncomp(tmp, n-1); + + // map the result back: + for(i=n-2,k=0; i>=0; i--, k+=2) { + y[i] = map_linfuncomp(tmp+k, y[n-1]); + } + } +} + +inline void tridag_seq_32( + REAL* a, + REAL* b, + REAL* c, + REAL* d, + int n, + REAL* y, + REAL* u) +{ + int i, UB, offset; + REAL beta; + + y[0] = d[0]; + u[0] = b[0]; + + UB = n << 5; + for(i=32; i=0; i-=32) { + y[i] = (y[i] - c[i]*y[i+32]) / u[i]; + } +} + +inline void tridag_seq_1( + REAL* a, + REAL* b, + REAL* c, + REAL* d, + int n, + REAL* y, + REAL* u) +{ + int i, UB, offset; + REAL beta; + + y[0] = d[0]; + u[0] = b[0]; + + UB = n << 5; + for(i=1; i=0; i--) { + y[i] = (y[i] - c[i]*y[i+1]) / u[i]; + } +} + +#endif // end include PAR_PREFIX_UTIL + diff --git a/benchmarks/CalibVolDiff/lib/include/ParseInput.h b/benchmarks/CalibVolDiff/lib/include/ParseInput.h new file mode 100644 index 0000000..8453724 --- /dev/null +++ b/benchmarks/CalibVolDiff/lib/include/ParseInput.h @@ -0,0 +1,58 @@ +#ifndef PARSE_INPUT +#define PARSE_INPUT + +#include "ParserC.h" +#include "Util.h" +#include +#include +#include + +using namespace std; + +#include + +#if WITH_FLOATS + #define read_real read_float +#else + #define read_real read_double +#endif + +const float EPS = 0.00001; + +/***********************************/ +/********** READ DATA SET **********/ +/***********************************/ + +void readDataSet( unsigned int& outer, + unsigned int& num_X, + unsigned int& num_Y, + unsigned int& num_T +) { + if( read_int( static_cast( &outer ) ) || + read_int( static_cast( &num_X ) ) || + read_int( static_cast( &num_Y ) ) || + read_int( static_cast( &num_T ) ) ) { + + fprintf(stderr, "Syntax error when reading the dataset, i.e., four ints.\n"); + exit(1); + } + + { // check dataset invariants: + bool atr_ok = true; + + atr_ok = outer > 0; + assert(atr_ok && "Outer loop count less than 0!"); + + atr_ok = (num_X > 0) && (num_X <= WORKGROUP_SIZE) && is_pow2(num_X); + assert(atr_ok && "Illegal NUM_X value!"); + + atr_ok = (num_Y > 0) && (num_Y <= WORKGROUP_SIZE) && is_pow2(num_Y); + assert(atr_ok && "Illegal NUM_X value!"); + + atr_ok = num_T > 0; + assert(atr_ok && "NUM_T value less or equal to zero!!"); + } +} + +#endif // PARSE_INPUT + diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate_data b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate_data new file mode 100755 index 0000000..76e52cd --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate_data @@ -0,0 +1,18 @@ +#!/bin/sh + +set -e + +# This instantiate file only compiles the data and not the program. +# It also creates a run file that can execute the binary with the specified input. + +# The dataset file should be compiled to a specific dataset folder. This folder can be +# made in the hipermark script and a process with that new folder as path can be started. +# This process compiles the data. This means that the run script should not be compiled +# in this script. The run file must be implementation dependent and not dataset dependent. +# So the dataset name is set in the script and not here. +#DATASET_NAME="input.data" +HIPERMARK_LIB_DIR=/home/thor/Documents/Uni/hiperfit/finpar/lib +HIPERMARK_INPUT=/home/thor/Documents/Uni/hiperfit/finpar/benchmarks/OptionPricing/datasets/small/input.json +HIPERMARK_PLATFORM=/home/thor/Documents/Uni/hiperfit/finpar/config/platform_example.json + +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > $DATASET_NAME diff --git a/benchmarks/OptionPricing/lib/Constants.h b/benchmarks/OptionPricing/lib/include/Constants.h similarity index 100% rename from benchmarks/OptionPricing/lib/Constants.h rename to benchmarks/OptionPricing/lib/include/Constants.h diff --git a/benchmarks/OptionPricing/lib/Optimizations.h b/benchmarks/OptionPricing/lib/include/Optimizations.h similarity index 100% rename from benchmarks/OptionPricing/lib/Optimizations.h rename to benchmarks/OptionPricing/lib/include/Optimizations.h diff --git a/benchmarks/OptionPricing/lib/ParseInput.h b/benchmarks/OptionPricing/lib/include/ParseInput.h similarity index 100% rename from benchmarks/OptionPricing/lib/ParseInput.h rename to benchmarks/OptionPricing/lib/include/ParseInput.h diff --git a/benchmarks/OptionPricing/lib/TimeHelper.h b/benchmarks/OptionPricing/lib/include/TimeHelper.h similarity index 100% rename from benchmarks/OptionPricing/lib/TimeHelper.h rename to benchmarks/OptionPricing/lib/include/TimeHelper.h From 576209a027a255dd041df301bacea0e80a32f618 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 7 Aug 2015 16:24:11 +0200 Subject: [PATCH 034/122] Working with finpar for the three implementations of CalibVolDiff present in this rep.: cpp_seq, cpp_openmp_naive, haskell_lh --- .../implementations/cpp_openmp_naive/Makefile | 23 + .../cpp_openmp_naive/VolCalibOrig.cpp | 349 ++++++++++++++ .../cpp_openmp_naive/instantiate | 16 + .../cpp_openmp_naive/instantiate_data | 7 + .../implementations/cpp_openmp_naive/run | 3 + .../implementations/haskell_lh/VolCalib.hs | 444 ++++++++++++++++++ .../implementations/haskell_lh/instantiate | 8 + .../haskell_lh/instantiate_data | 7 + .../implementations/haskell_lh/run | 6 + 9 files changed, 863 insertions(+) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run create mode 100644 benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs create mode 100755 benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate create mode 100755 benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data create mode 100755 benchmarks/CalibVolDiff/implementations/haskell_lh/run diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile new file mode 100644 index 0000000..447ba3c --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile @@ -0,0 +1,23 @@ +include setup.mk + +ifndef ($(HAVE_GPU)) +include platform.mk +endif + +SOURCES_CPP =VolCalibOrig.cpp +HELPERS =../includeC/ParseInput.h +OBJECTS =VolCalibOrig.o +EXECUTABLE =VolCalib + +.cpp.o: $(SOURCES_CPP) $(HELPERS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< + +# The GPU version is in: ../VectAll and ../VectOuters. This folder is CPU only! + +cpu: $(EXECUTABLE) +$(EXECUTABLE): $(OBJECTS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp new file mode 100644 index 0000000..f907517 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp @@ -0,0 +1,349 @@ +#include +#include + +typedef double REAL; +#define WORKGROUP_SIZE 512 + +#include "Util.h" +#include "ParseInput.h" + +using namespace std; + +struct PrivGlobs { + + // grid + vector myX; + vector myY; + vector myTimeline; + unsigned myXindex; + unsigned myYindex; + + // variable + vector > myResult; + + // coeffs + vector > myMuX; + vector > myVarX; + vector > myMuY; + vector > myVarY; + + // operators + vector > myDx; + vector > myDxx; + + vector > myDy; + vector > myDyy; +} __attribute__ ((aligned (128))); + + + + + +/***********************************/ + +void updateParams(const unsigned g, const double alpha, const double beta, const double nu, PrivGlobs& globs) +{ + for(unsigned i=0;i(s0/dx); + + for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) +{ + const unsigned n = x.size(); + + Dx.resize(n); + Dxx.resize(n); + + for(unsigned i=0;i& a, + const vector& b, + const vector& c, + const vector& r, + const int n, + vector& u, + vector& uu) +{ + int i, offset; + REAL beta; + + u[0] = r[0]; + uu[0] = b[0]; + + for(i=1; i=0; i--) { + u[i] = (u[i] - c[i]*u[i+1]) / uu[i]; + } +} + + +void +rollback( const unsigned g, PrivGlobs& globs ) { + unsigned numX = globs.myX.size(), + numY = globs.myY.size(); + + unsigned numZ = max(numX,numY); + + int k, l; + unsigned i, j; + + int kl, ku, ll, lu; + + double dtInv = 1.0/(globs.myTimeline[g+1]-globs.myTimeline[g]); + + vector > u(numY,vector(numX)), v(numX,vector(numY)); + vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); + + // explicit x + for(i=0;i=0;--i) + { + updateParams(i,alpha,beta,nu,globs); + rollback(i, globs); + } + + return globs.myResult[globs.myXindex][globs.myYindex]; +} + +double* run_CPUkernel( + const unsigned int& outer, + const unsigned int& numX, + const unsigned int& numY, + const unsigned int& numT, + const double& s0, + const double& t, + const double& alpha, + const double& nu, + const double& beta, + const vector& strikes, + vector& res +) { +#pragma omp parallel for default(shared) schedule(static) if(outer>4) + for( unsigned i = 0; i < outer; ++ i ) { + res[i] = value( s0, strikes[i], t, alpha, nu, beta, + numX, numY, numT ); + } +} + + +int main() +{ + unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; + const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; + + cout<<"\n// Running Original (Parallel) Volatility-Calibration Benchmark"< strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); + + for(unsigned i=0;i platform.mk +NCORES=$($HIPERMARK_LIB_DIR/json_get.py $HIPERMARK_PLATFORM num_cores) + +make diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data new file mode 100755 index 0000000..1054784 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data @@ -0,0 +1,7 @@ +#!/bin/sh + +set -e + +mkdir -p datasets/$HIPERMARK_INPUT_NAME + +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT outer num_x num_y num_t > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run new file mode 100755 index 0000000..8caf40b --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run @@ -0,0 +1,3 @@ +#!/bin/sh +export OMP_NUM_THREADS=$NCORES +cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalib \ No newline at end of file diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs b/benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs new file mode 100644 index 0000000..8068470 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs @@ -0,0 +1,444 @@ +module Main where + +import Control.DeepSeq +import Control.Applicative +import Control.Monad +import Data.Maybe +import System.CPUTime +import System.Environment + +------------------------------------ +--- Requires the installation of --- +--- Parsec package, i.e., --- +--- cabal install parsec --- +------------------------------------ + +import Text.Parsec hiding (optional, (<|>), token) +import Text.Parsec.String + +import Data.Bits +import Data.List +import Prelude + +------------------------------ +--- Parser-related Helpers --- +------------------------------ +signed :: Parser String -> Parser String +signed p = (char '-' >> (('-':) <$> p)) <|> p + +whitespace :: Parser () +whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) + +lexeme :: Parser a -> Parser a +lexeme p = p <* whitespace + +token :: String -> Parser () +token = void . lexeme . string + +readInt :: Parser Int +readInt = lexeme $ read <$> signed (many1 digit) + +readDouble :: Parser Double +readDouble = lexeme $ read <$> signed (s2 <|> s1) + where s1 = do bef <- many1 digit + aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) + return $ bef ++ aft + s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit + +readArray :: Parser a -> Parser [a] +readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") + +--------------------------------------------- +--- Definition of lish-homomorphic reduce --- +--- requires a binary associative op --- +--------------------------------------------- + +reduce :: (a -> a -> a) -> a -> [a] -> a +reduce bop ne lst = foldl bop ne lst + +--------------------------------------------- +--------------------------------------------- + +initGrid :: Double -> Double -> Double -> Double + -> Int -> Int -> Int + -> ( Int, Int, [Double], [Double], [Double], + [[Double]], [[Double]], [[Double]], [[Double]] ) +initGrid s0 alpha nu t num_x num_y num_t = + let logAlpha = log alpha + myTimeline = map (\i -> t * (fromIntegral i) / ((fromIntegral num_t) - 1.0)) [0..num_t-1] + stdX = 20.0 * alpha * s0 * (sqrt t) + stdY = 10.0 * nu * (sqrt t) + (dx, dy) = (stdX / fromIntegral num_x, stdY / fromIntegral num_y) + (myXindex, myYindex) = (truncate (s0 / dx), num_y `div` 2) + myX = map (\i -> (fromIntegral i) * dx - (fromIntegral myXindex) * dx + s0 ) [0..num_x-1] + myY = map (\i -> (fromIntegral i) * dy - (fromIntegral myYindex) * dy + logAlpha) [0..num_y-1] + xXy = replicate num_x (replicate num_y 0.0) + (myMuX, myVarX, myMuY, myVarY) = (xXy, xXy, xXy, xXy) + in (myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY) + +--------------------------------------------- +--------------------------------------------- + +--------------------------------------------- +--------------------------------------------- + +initOperator :: [Double] + -> ( [(Double,Double,Double)], [(Double,Double,Double)] ) +initOperator x = + let n = length x + mid_x = zip3 x (tail x) (tail (tail x)) + + dxu = (x !! 1) - (x !! 0) + dxl = 0.0 + dxlow = (0.0, -1.0 / dxu, 1.0 / dxu) + dxxlow = (0.0, 0.0, 0.0) + + --- Implements a parallel loop such as: --- + --- doall i = 2, N-1, 1 --- + --- (a,b,c) = f(x[i-1], x[i], x[i+1]) --- + --- res[i-1] = (a,b,c) --- + dxmid = map (\(xim1, xi, xip1) -> + let (dxl, dxu) = (xi - xim1, xip1 - xi) + dxlpxu = dxl + dxu + in ( (-dxu/dxl ) / dxlpxu, + ( dxu/dxl - dxl/dxu) / dxlpxu, + ( dxl/dxu ) / dxlpxu + ) + ) mid_x + dxxmid = map (\(xim1, xi, xip1) -> + let (dxl, dxu) = (xi - xim1, xip1 - xi) + dxlpxu = dxl + dxu + in ( ( 2.0/dxl ) / dxlpxu, + -2.0*(1.0/dxl+1.0/dxu) / dxlpxu, + ( 2.0/dxu ) / dxlpxu + ) + ) mid_x + dxll = (x !! (n-1)) - (x !! (n-2)) + dxul = 0.0 + dxhigh = [(-1.0 / dxll, 1.0 / dxll, 0.0)] + dxxhigh= [(0.0, 0.0, 0.0)] + in ( dxlow : (dxmid++dxhigh), dxxlow : (dxxmid++dxxhigh) ) + +----------------------------------------------- +--- A tail-recursive function modeling a --- +--- do loop that goes from i = 0 to bound-1 --- +----------------------------------------------- + +doLoop :: Int -> Int + -> ( [Double], [(Double,Double,Double)], [(Double,Double,Double)], + [Double], [(Double,Double,Double)], [(Double,Double,Double)], + [Double], Double, Double, Double ) + -> ([[Double]], [[Double]], [[Double]], [[Double]], [[Double]]) + -> ([[Double]], [[Double]], [[Double]], [[Double]], [[Double]]) +doLoop i bound loop_ros loop_variants = + if i == bound + then loop_variants + else let (myResult, myMuX, myVarX, myMuY, myVarY) = loop_variants + + ( myX, myDx, myDxx, myY, myDy, myDyy, + myTimeline, alpha, beta, nu ) = loop_ros + + j = (bound-1-i) + + (myMuX', myVarX', myMuY', myVarY') = + updateParams myX myY myTimeline j alpha beta nu + + + + myResult'= rollback j myX myY myTimeline myResult + myMuX' myDx myDxx myVarX' + myMuY' myDy myDyy myVarY' + + loop_variants' = (myResult', myMuX', myVarX', myMuY', myVarY') + + in -- Hack to avoid space leak + myResult' `deepseq` myMuX' `deepseq` myVarX' `deepseq` myMuY' `deepseq` myVarY' `deepseq` + doLoop (i+1) bound loop_ros loop_variants' + +--------------------------------------------- +--------------------------------------------- + +updateParams :: [Double] -> [Double] -> [Double] -> Int -> Double -> Double -> Double + -> ( [[Double]], [[Double]], [[Double]], [[Double]] ) +updateParams myX myY myTimeline g alpha beta nu = + unzip4 $ map (\ xi -> unzip4 $ + map (\ yj -> let b = beta * log(xi) + yj + c = 0.5 * nu * nu * (myTimeline !! g) + in ( 0.0, exp (2.0 * (b - c) ), 0.0, nu * nu ) + ) myY + ) myX +--------------------------------------------- +--- Helpers for the rollback function --- +--- ToDo: make them nice!!! --- +--------------------------------------------- + +-- explicitX = explicitXY dt_inv 0.5 (transpose my_result) (transpose myMuX) (transpose myVarX) myDx myDxx +-- explicitY = explicitXY 0.0 1.0 my_result myMuY myVarY myDy myDyy +explicitXY :: Double -> Double + -> [[Double]] -> [[Double]] -> [[Double]] + -> [ (Double,Double,Double) ] + -> [ (Double,Double,Double) ] + -> [[Double]] +explicitXY dt_inv fact my_result myMuY myVarY myDy myDyy = + map (\ tup_i -> + let (res_row, myMuY_row, myVarY_row) = tup_i + res_row3 = zip3 (0.0:res_row) res_row ((tail res_row) ++ [0.0]) + + in map (\ ((myDy_i, myDyy_i, myMuY_ij, myVarY_ij),(r_jm1, r_j, r_jp1)) -> + let ((dy0, dy1, dy2), (dyy0, dyy1, dyy2)) = (myDy_i, myDyy_i) + res0 = dt_inv * r_j + res1 = fact * (myMuY_ij*dy0 + 0.5*myVarY_ij*dyy0) * r_jm1 + res2 = fact * (myMuY_ij*dy2 + 0.5*myVarY_ij*dyy2) * r_jp1 + res3 = fact * (myMuY_ij*dy1 + 0.5*myVarY_ij*dyy1) * r_j + in res0 + res1 + res2 + res3 + + ) (zip (zip4 myDy myDyy myMuY_row myVarY_row) res_row3) + + ) (zip3 my_result myMuY myVarY) + +------------------------------------------ +--- loop-like definition for explicitX --- +--- inneficient due to list traversal --- +--- to find every index. --- +--- Same is possible for explicitY0 --- +------------------------------------------ +explicitX0 :: Int -> Int -> Double -> [[Double]] -> [[Double]] + -> [ (Double,Double,Double) ] -> [ (Double,Double,Double) ] -> [[Double]] + -> [[Double]] +explicitX0 num_x num_y dt_inv my_result + myMuX myDx myDxx myVarX = + map (\ j -> + map (\ i -> let res0 = dt_inv * ((my_result !! i) !! j) -- my_result[i,j] + ((dx0, dx1, dx2), (dxx0, dxx1, dxx2)) = (myDx !! i, myDxx !! i) + + myMuX_ij = ( myMuX !! i) !! j -- myMuX[i,j] + myVarX_ij = (myVarX !! i) !! j -- myVarX[i,j] + + res1 = if i == 0 then 0.0 + else 0.5 * (myMuX_ij*dx0 + 0.5*myVarX_ij*dxx0) * + ((my_result !! (i-1)) !! j) -- my_result[i-1, j] + res2 = if i == num_x - 1 then 0.0 + else 0.5 * (myMuX_ij*dx2 + 0.5*myVarX_ij*dxx2) * + ((my_result !! (i+1)) !! j) -- my_result[i+1,j] + + res3 = 0.5 * (myMuX_ij*dx1 + 0.5*myVarX_ij*dxx1) * + ((my_result !! i) !! j) -- my_result[i ,j] + + in res0 + res1 + res2 + res3 + + + ) [0..num_x-1] + + ) [0..num_y-1] + +tridag :: [Double] -> [Double] -> [Double] -> [Double] + -> ( [Double], [Double] ) +tridag a b c r = + let u0 = head r + uu0 = head b + + -- scanl's binary operator is NOT associative + uu = scanl (\ uuim1 (ai, bi, cim1) -> + let beta = ai / uuim1 + in bi - beta*cim1 + ) uu0 (zip3 (tail a) (tail b) c) + + -- scanl's binary operator is NOT associative + u = scanl (\ uim1 (ai, ri, uuim1) -> + let beta = ai / uuim1 + in ri - beta*uim1 + ) u0 (zip3 (tail a) (tail r) uu) + + ur = reverse u + uur = reverse uu + ur0'= (head ur) / (head uur) + ur' = scanl (\ uip1 (uri, uuri, cri) -> + (uri - cri*uip1) / uuri + ) ur0' (zip3 (tail ur) (tail uur) (tail $ reverse c)) + in (reverse ur', uu) + + +tridagPar :: [Double] -> [Double] -> [Double] -> [Double] + -> ( [Double], [Double] ) +tridagPar a b c r = + let -- u0 = head r + -- uu0 = head b + u0 = head b + uu0 = head r + + -- creating the 2x2 matrices + mats = map (\(ai,bi,cim1)-> (bi, -ai*cim1, 1.0, 0.0)) (zip3 (tail a) (tail b) c) + -- scan with 2x2 matrix multiplication + scanmat = scanl (\(x1,y1,z1,w1) (x2,y2,z2,w2) -> + let dv = 1.0/(x1*x2) + in ( (x1*x2+y1*z2)*dv, + (x1*y2+y1*w2)*dv, + (z1*x2+w1*z2)*dv, + (z1*y2+w1*w2)*dv ) + ) (1.0, 0.0, 0.0, 1.0) mats + + -- compute the first recurrence result + uu = map (\(x,y,z,w) -> (x*u0 + y) / (z*u0 + w) ) scanmat + + -- compute the second recurrence + pairs = map (\(ai,ri,uuim1)->(ri, -ai/uuim1)) (zip3 (tail a) (tail r) uu) + + scanpairs = scanl (\ (x1,y1) (x2,y2) -> (x2+y2*x1, y1*y2) ) (0.0,1.0) pairs + + u = map (\(x,y) -> x + u0*y) scanpairs + + -- backwards recurrence + ur = reverse u + uur = reverse uu + ur0'= (head ur) / (head uur) + + pairsr = map (\(uri, uuri, cri)->(uri/uuri, -cri/uuri)) (zip3 (tail ur) (tail uur) (tail $ reverse c)) + scanpairsr = scanl (\ (x1,y1) (x2,y2) -> (x2+y2*x1, y1*y2) ) (0.0,1.0) pairsr + ur' = map (\(x,y) -> x + ur0'*y) scanpairsr + + in (reverse ur', uu) + +--------------------------------------------- +--- rollback: the brain of the program --- +--------------------------------------------- + +rollback :: Int -> [Double] -> [Double] -> [Double] -> [[Double]] + -> [[Double]] -> [(Double,Double,Double)] -> [(Double,Double,Double)] -> [[Double]] + -> [[Double]] -> [(Double,Double,Double)] -> [(Double,Double,Double)] -> [[Double]] + -> [[Double]] + +rollback g myX myY myTimeline myResult + myMuX myDx myDxx myVarX + myMuY myDy myDyy myVarY = + + let (numX, numY) = (length myX, length myY) + numZ = max numX numY + dtInv = 1.0 / ( (myTimeline !! (g+1)) - (myTimeline !! g) ) + + u0= explicitXY dtInv 0.5 (transpose myResult) (transpose myMuX) (transpose myVarX) myDx myDxx + v0= explicitXY 0.0 1.0 myResult myMuY myVarY myDy myDyy + + u1= map (\ (us, vs) -> zipWith (+) us vs ) + (zip u0 (transpose v0)) + + u2= map (\ t -> let (uj, myDx, myDxx, myMuX, myVarX) = t + (a,b,c) = unzip3 $ + map (\ tt -> let (myDx, myDxx, myMuX, myVarX) = tt + (dx0, dx1, dx2 ) = myDx + (dxx0, dxx1, dxx2) = myDxx + in ( -0.5*(myMuX*dx0 + 0.5*myVarX*dxx0), + dtInv - 0.5*(myMuX*dx1 + 0.5*myVarX*dxx1), + -0.5*(myMuX*dx2+0.5*myVarX*dxx2) ) ) + (zip4 myDx myDxx myMuX myVarX) + + (uj', yy) = tridag a b c uj -- tridagPar a b c uj + in uj' ) + (zip5 u1 (replicate numY myDx) (replicate numY myDxx) (transpose myMuX) (transpose myVarX)) + + in map (\ t -> let (ui, vi, myDy, myDyy, myMuY, myVarY) = t + (a,b,c) = unzip3 $ + map (\ tt -> let (myDy, myDyy, myMuY, myVarY) = tt + (dy0, dy1, dy2 ) = myDy + (dyy0, dyy1, dyy2) = myDyy + in ( -0.5*(myMuY*dy0+0.5*myVarY*dyy0), + dtInv - 0.5*(myMuY*dy1+0.5*myVarY*dyy1), + -0.5*(myMuY*dy2+0.5*myVarY*dyy2) ) ) + (zip4 myDy myDyy myMuY myVarY) + + y = map (\ (u,v) -> dtInv * u - 0.5 * v) (zip ui vi) + + (ri, yy) = tridag a b c y -- tridagPar a b c y + in ri ) + (zip6 (transpose u2) v0 (replicate numX myDy) (replicate numX myDyy) myMuY myVarY) + +--------------------------------------------- +--------------------------------------------- + +------------------------------------------------- +--- Cosmin ToDo: make MyX & MyY & myTimeline --- +--- vectors instead of lists --- +------------------------------------------------- + +value :: (Double, Double, Double, Double, Double) + -> (Int, Int, Int, Int) -> Double + -> Double +value params it_spaces strike = + let (outer, num_x, num_y, num_t) = it_spaces + (s0, t, alpha, nu, beta) = params + + (myXindex, myYindex, myX, myY, myTimeline, myMuX, myVarX, myMuY, myVarY) = + initGrid s0 alpha nu t num_x num_y num_t + (myDx, myDxx) = initOperator myX + (myDy, myDyy) = initOperator myY + + my_result_ini = map (\ xi -> replicate num_y (max (xi - strike) 0.0 )) myX + + loop_variants = (my_result_ini, myMuX, myVarX, myMuY, myVarY) + loop_ros = (myX, myDx, myDxx, myY, myDy, myDyy, myTimeline, alpha, beta, nu) + + (my_result,_,_,_,_) = doLoop 0 (num_t-1) loop_ros loop_variants + + in (my_result !! myXindex) !! myYindex -- my_result[myXindex, myYindex] + +------------------------------------------------ +--- Main Entry Point: volatility calibration --- +------------------------------------------------ +compute :: (Int, Int, Int, Int) + -> (Double, Double, Double, Double, Double) + -> [Double] +compute it_spaces params = + let (s0, t, alpha, nu, beta) = params + (outer, num_x, num_y, num_t) = it_spaces + strikes = map (\i -> 0.001 * (fromIntegral i)) [0..outer-1] + res = map (value params it_spaces) strikes + in res + +---------------------------------------------- +--- Formatting the Output of the Benchmark --- +---------------------------------------------- +validate :: [Double] -> [Double] -> (Int,Int,Int,Int) -> [String] +validate res_ref res info= + let errs = map abs $ zipWith (-) res_ref res + err = reduce max 0.0 errs + (outer, num_x, num_y, num_t) = info + in ["// Generic Pricing Haskell Benchmark (List-Homomorphism Style):", + "// OUTER: " ++ show outer ++ ", NUM_X: " ++ show num_x ++ + ", NUM_Y: " ++ show num_y ++ ", NUM_T: " ++ show num_t, + ( if err <= 0.00001 -- 0.0005 + then "1\t\t// VALID Result," + else "0\t\t// INVALID Result," ), + "0\t\t// Runtime in microseconds,", + "1\t\t// CPU Threads,", + show res ++ "\t// Volatility Calibration Result."] + + +----------------------------------------- +--- Entry point for Generic Pricing --- +--- The only place where using Monads,--- +--- e.g., parsing Dataset from StdIn --- +----------------------------------------- +main :: IO () +main = do s <- getContents + case parse run "input" s of + Left e -> error $ show e + Right m -> do (v,runtime) <- m + result <- getEnv "HIPERMARK_RESULT" + writeFile result $ show v + runtime_file <- getEnv "HIPERMARK_RUNTIME" + writeFile runtime_file $ show runtime + where run = do whitespace + outer <- readInt + num_x <- readInt + num_y <- readInt + num_t <- readInt + + let params = (0.03, 5.0, 0.2, 0.6, 0.5) --(s0, t, alpha, nu, beta) + + return $ do + start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + let v = compute (outer, num_x, num_y, num_t) params + end <- v `deepseq` getCPUTime + return (v, (end - start) `div` 1000000000) + +-- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs +-- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate new file mode 100755 index 0000000..6a0342d --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate @@ -0,0 +1,8 @@ +#!/bin/sh + +set -e # Die on error. + +cp $HIPERMARK_IMPLEMENTATION/*hs . +cp $HIPERMARK_IMPLEMENTATION/run . + +ghc -Wall -O2 -msse2 -rtsopts VolCalib.hs -o VolCalib diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data new file mode 100755 index 0000000..2a92a4b --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data @@ -0,0 +1,7 @@ +#!/bin/sh + +set -e #Die on error + +mkdir -p datasets/$HIPERMARK_INPUT_NAME + +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT outer num_x num_y num_t > datasets/$HIPERMARK_INPUT_NAME/input.data \ No newline at end of file diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/run b/benchmarks/CalibVolDiff/implementations/haskell_lh/run new file mode 100755 index 0000000..bada098 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/haskell_lh/run @@ -0,0 +1,6 @@ +#!/bin/sh + +set -e + +./VolCalib +RTS -K128m -RTS < ./datasets/$HIPERMARK_INPUT_NAME/input.data +#cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalib +RTS -K128m -RTS From 6ba3b663d1a4e28ae3fe63aae4ae84edb2c3746a Mon Sep 17 00:00:00 2001 From: Thor Date: Mon, 10 Aug 2015 18:55:18 +0200 Subject: [PATCH 035/122] finpar OptionPricing cpp_openmp now works with hipermark --- .../cpp_opencl/ContractDefs/LargeContract.cl | 1167 ---- .../cpp_opencl/ContractDefs/MediumContract.cl | 72 - .../cpp_opencl/ContractDefs/SmallContract.cl | 44 - .../implementations/cpp_opencl/GenPricing.cpp | 186 - .../cpp_opencl/GenericPricingPrivOpt.cl | 377 -- .../cpp_opencl/GenericPricingVectOpt.cl | 588 -- .../GenericPricingVectUncoalesced.cl | 493 -- .../implementations/cpp_opencl/Makefile | 41 - .../implementations/cpp_opencl/StructGPU.h | 611 -- .../implementations/cpp_opencl/instantiate | 27 - .../implementations/cpp_openmp/GenPricing.cpp | 4 +- .../implementations/cpp_openmp/instantiate | 23 +- .../cpp_openmp/instantiate_data | 15 +- .../cpp_sequential/Contracts.h | 1267 ---- .../cpp_sequential/GenPricing.cpp | 152 - .../implementations/cpp_sequential/Makefile | 38 - .../cpp_sequential/SobolGaussBB.h | 239 - .../cpp_sequential/instantiate | 25 - .../implementations/futhark/GenericPricing | Bin 36816 -> 0 bytes .../implementations/futhark/GenericPricing.c | 5323 ----------------- .../futhark/GenericPricing.fut | 443 -- .../implementations/futhark/instantiate | 9 - .../OptionPricing/implementations/futhark/run | 5 - .../implementations/haskell_lh/GenPricing.hs | 520 -- .../implementations/haskell_lh/Payoff3Cond.hs | 1105 ---- .../implementations/haskell_lh/instantiate | 13 - .../implementations/haskell_lh/run | 5 - 27 files changed, 16 insertions(+), 12776 deletions(-) delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/Makefile delete mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h delete mode 100755 benchmarks/OptionPricing/implementations/cpp_opencl/instantiate delete mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/Contracts.h delete mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp delete mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/Makefile delete mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/SobolGaussBB.h delete mode 100755 benchmarks/OptionPricing/implementations/cpp_sequential/instantiate delete mode 100755 benchmarks/OptionPricing/implementations/futhark/GenericPricing delete mode 100644 benchmarks/OptionPricing/implementations/futhark/GenericPricing.c delete mode 100644 benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut delete mode 100755 benchmarks/OptionPricing/implementations/futhark/instantiate delete mode 100755 benchmarks/OptionPricing/implementations/futhark/run delete mode 100644 benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs delete mode 100644 benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs delete mode 100755 benchmarks/OptionPricing/implementations/haskell_lh/instantiate delete mode 100755 benchmarks/OptionPricing/implementations/haskell_lh/run diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl deleted file mode 100644 index 7651cb2..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl +++ /dev/null @@ -1,1167 +0,0 @@ -#include "Constants.h" - -#ifdef VECT_KERNEL - #define underlyings(i,j) \ - (inst_traj[(i*num_under + j)<notify_cash_flow(model, 0, 100., 0 /*2013-01-27, 1980-01-01, EUR*/); - trajectory_inner( num_cash_flows, model_num, 0, 100., md_discts, vhat ); - - if (((underlyings(366,0) < 3758.05) && x3309)) goto L40; - if (((underlyings(366,2) < 1200.) && x3309)) goto L40; - if (((underlyings(366,1) < 11840.) && x3309)) goto L40; - - //model->notify_cash_flow(model, 0, 1000., 1 /*2013-01-27, 2013-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 1, 1000., md_discts, vhat ); return; - -L40: - //model->notify_cash_flow(model, 0, (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))), 1 /*2013-01-27, 2013-01-27, EUR*/); - amount = (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))); - trajectory_inner( num_cash_flows, model_num, 1, amount, md_discts, vhat ); - - return; -} - diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl deleted file mode 100644 index 450343b..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl +++ /dev/null @@ -1,72 +0,0 @@ -#include "Constants.h" - -#ifdef VECT_KERNEL - #define underlyings(i,j) \ - (inst_traj[(i*num_under + j)<notify_cash_flow(model, 0, 1000., 4 /*2017-02-03, 2017-01-27, EUR*/); - trajectory_inner( num_cash_flows, model_num, 4, 1000., md_discts, vhat ); - - if ((1. <= x50)) goto L25; - if ((0.75 < x50)) return; - - //model->notify_cash_flow(model, 0, (-(1000. * (1. - x50))), 4 /*2017-02-03, 2017-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 4, (-(1000. * (1. - x50))), md_discts, vhat ); return; -L25: - //model->notify_cash_flow(model, 0, 750., 4 /*2017-02-03, 2017-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 4, 750., md_discts, vhat ); return; -L24: - //model->notify_cash_flow(model, 0, 1600., 3 /*2016-02-03, 2016-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 3, 1600., md_discts, vhat ); return; -L23: - //model->notify_cash_flow(model, 0, 1450., 2 /*2015-02-03, 2015-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 2, 1450., md_discts, vhat ); return; -L22: - //model->notify_cash_flow(model, 0, 1300., 1 /*2014-02-03, 2014-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 1, 1300., md_discts, vhat ); return; -L21: - //model->notify_cash_flow(model, 0, 1150., 0 /*2013-02-01, 2013-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 0, 1150., md_discts, vhat ); return; -} - diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl deleted file mode 100644 index ec83f9a..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl +++ /dev/null @@ -1,44 +0,0 @@ -#include "Constants.h" - -#ifdef VECT_KERNEL - #define underlyings(i,j) \ - (inst_traj[(i*num_under + j)< - -/*****************************************************/ -/*****************************************************/ -/*****************************************************/ - -double* -run_GPUkernel ( - LoopROScalars & ro_scal, - SobolArrays & sob_arrs, - ModelArrays & md_arrs, - BrowBridgeArrays& bb_arrs, - int & num_cores, - size_t & elapsed_usec - - -) { - cl_context cxGPUContext; // OpenCL context - cl_command_queue cqCommandQueue[16]; // OpenCL command que - cl_uint nDevice; // OpenCL device count - cl_device_id* cdDevices; // OpenCL device list - cl_program cpProgram; // OpenCL program - cl_kernel ckGenPricing = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; // Error code var - - size_t globalWorkSize[1]; // 1D var for Total # of work items - size_t localWorkSize [1]; // 1D var for # of work items in the work group, e.g., { 128 } - size_t global_arr_sz; - - REAL* glb_vhat = NULL; - - - double* vhat_fin = (double*)malloc(ro_scal.num_models*sizeof(double)); - for( int i = 0; i < ro_scal.num_models; i++ ) vhat_fin[i] = 0.0; - - GPU_KERNEL kernel_type = priv_or_vect_kernel( ro_scal ); -#ifdef _OPTIMIZATION_MEM_COALES_ON - const char* kernel_name = (kernel_type == PRIV) ? - "GenericPricingPrivOpt" : // .cl - "GenericPricingVectOpt" ; // .cl -#else - const char* kernel_name = "GenericPricingVectUncoalesced"; -#endif - - { // build the OpenCL program - const char* preamble = makeGPUprogPreamble( ro_scal, kernel_type ); - char compile_opts[128]; - sprintf( compile_opts, "-D lgWARP=%d -D TILE=%d", lgWARP, TILE ); - build_for_GPU( cxGPUContext, cqCommandQueue, nDevice, - cdDevices, cpProgram, GPU_DEV_ID, - compile_opts, preamble, kernel_name ); - } - // we do not measure the just-in-time compilation time! - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - { - num_cores = discriminate_cost_model(ro_scal, cdDevices[GPU_DEV_ID], kernel_type); - computeSobolFixIndex(sob_arrs, ro_scal.chunk); - - globalWorkSize[0] = getWorkSize( ro_scal.num_gpuits, ro_scal.chunk, ro_scal.BLOCK ); - localWorkSize [0] = ro_scal.BLOCK; - } - - oclLoopArrays ocl_arrs; - if(kernel_type == PRIV) { // CALL THE PRIVATE KERNEL - glb_vhat = oclAllocArrays_PrivKernel( - ocl_arrs, cxGPUContext, cqCommandQueue[GPU_DEV_ID], - ciErr1, ro_scal, sob_arrs, bb_arrs, md_arrs - ); - - runGPU_PRIV ( - ro_scal, glb_vhat, ocl_arrs, cqCommandQueue[GPU_DEV_ID], cpProgram, - globalWorkSize, localWorkSize - ); - - reduceVHAT_CPU( ro_scal, glb_vhat, vhat_fin ); - - } else { // VECT VERSION! - - glb_vhat = oclAllocArrays_VectKernel( - ocl_arrs, cxGPUContext, cqCommandQueue[GPU_DEV_ID], - ciErr1, ro_scal, sob_arrs, bb_arrs, md_arrs - ); - - UINT cur_iter = 0, sob_ini_count = ro_scal.sobol_count_ini; - - for(UINT cur_iter = 0; cur_iter < ro_scal.num_mcits; cur_iter+=ro_scal.num_gpuits) { - if(cur_iter + ro_scal.num_gpuits > ro_scal.num_mcits) { - ro_scal.num_gpuits = ro_scal.num_mcits - cur_iter; - globalWorkSize[0] = getWorkSize( ro_scal.num_gpuits,ro_scal.chunk,ro_scal.BLOCK); - } - if(cur_iter != 0) { - size_t cur_size = sizeof(LoopROScalars); - cl_int ciErr2; - ro_scal.sobol_count_ini = cur_iter + sob_ini_count; - clReleaseMemObject(ocl_arrs.ro_scals); - ocl_arrs.ro_scals = clCreateBuffer( - cxGPUContext, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 - ); - ciErr2 = clEnqueueWriteBuffer(cqCommandQueue[GPU_DEV_ID], ocl_arrs.ro_scals, CL_TRUE, 0, - cur_size, &ro_scal, 0, NULL, NULL); - oclCheckError(ciErr2, CL_SUCCESS); - } - - runGPU_VECT ( - ro_scal, glb_vhat, ocl_arrs, cqCommandQueue[GPU_DEV_ID], cpProgram, - globalWorkSize, localWorkSize - ); - - reduceVHAT_CPU( ro_scal, glb_vhat, vhat_fin ); - } - - ro_scal.sobol_count_ini = sob_ini_count; - } - - for(int ii = 0; ii Debug.txt diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl deleted file mode 100644 index 354a8ad..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl +++ /dev/null @@ -1,377 +0,0 @@ -/***************************************************/ -/*** Contract Definitions Are Linked at Run time ***/ -/*** & The RO-Scalar Data-Structure is included, ***/ -/** for e.g., ContractDefs/SmallContract.cl ***/ -/***************************************************/ - -#define TYPE REAL -#define FLAG uchar -#include "Utilities.cl" - -/********************************************/ -/********** SOBOL NUMER GENERATOR ***********/ -/********************************************/ - -void mlfi_genmatrix_uniformGPUind ( - UINT seq_count, - __constant LoopROScalars* ro_scal, - __constant int* sobol_v_dir, - int* sobol_last_num_vec, - REAL* md_zd -) { - UINT j, k, gs, gv_k = 0; - - seq_count += 1; - gs = seq_count >> 1; - gs = seq_count ^ gs; - - UINT sob_dim = ro_scal->num_under * ro_scal->num_dates; - - for( j = 0; j < sob_dim; j++ ) - sobol_last_num_vec[j] = 0; - for( k = 0; k < ro_scal->sobol_bits; ++k ) { - if(gs & 1) { - __constant int* dir_vect - = sobol_v_dir + k*sob_dim; - for( j=0; j < sob_dim; j++ ) { - // xor term g_k * v_k to direction i - sobol_last_num_vec[j] ^= dir_vect[j]; - } - } - gs = gs >> 1; - } - for( j = 0; j < sob_dim; j++ ) { - md_zd[j] = sobol_last_num_vec[j] * ro_scal->sob_norm_fact; - } -} - -inline void mlfi_genmatrix_uniformGPUrecOpt( - UINT f_ind, - __constant LoopROScalars* ro_scal, - __constant int* sobol_v_dir, - int* sobol_last_num_vec, - REAL* md_zd -) { - UINT j; - UINT sob_dim = ro_scal->num_under * ro_scal->num_dates; - f_ind *= sob_dim; - for(j=0; j < sob_dim; j++) { - sobol_last_num_vec[j] ^= sobol_v_dir[ f_ind + j ]; //f_ind * sob_dim - md_zd[j] = sobol_last_num_vec[j] * ro_scal->sob_norm_fact; - } -} - - -inline void mlfi_genmatrix_uniformGPUrec( - UINT seq_count, - __constant LoopROScalars* ro_scal, - __constant int* sobol_v_dir, - int* sobol_last_num_vec, - REAL* md_zd -) { - UINT ell, j; - - UINT c = seq_count; - ell = 0; - while(c & 1) { - ell++; - c >>= 1; - } - UINT sob_dim = ro_scal->num_under * ro_scal->num_dates; - for(j=0; j < sob_dim; j++) { - - sobol_last_num_vec[j] ^= sobol_v_dir[ell*sob_dim + j]; - md_zd[j] = sobol_last_num_vec[j] * ro_scal->sob_norm_fact; //sobol_last_den_inv; - } -} - - -/********************************************/ -/********** GAUSSIAN DISTRIBUTION ***********/ -/********************************************/ - -#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ - (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ - (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) - -inline REAL small_case(REAL q) { - REAL x = 0.180625 - q * q; - return q * rat_eval( - 3.387132872796366608, - 133.14166789178437745, - 1971.5909503065514427, - 13731.693765509461125, - 45921.953931549871457, - 67265.770927008700853, - 33430.575583588128105, - 2509.0809287301226727, - - 1.0, - 42.313330701600911252, - 687.1870074920579083, - 5394.1960214247511077, - 21213.794301586595867, - 39307.89580009271061, - 28729.085735721942674, - 5226.495278852854561); -} - -inline REAL intermediate(REAL r) { - REAL x = r - 1.6; - return rat_eval( - 1.42343711074968357734, - 4.6303378461565452959, - 5.7694972214606914055, - 3.64784832476320460504, - 1.27045825245236838258, - 0.24178072517745061177, - 0.0227238449892691845833, - 7.7454501427834140764e-4, - - 1.0, - 2.05319162663775882187, - 1.6763848301838038494, - 0.68976733498510000455, - 0.14810397642748007459, - 0.0151986665636164571966, - 5.475938084995344946e-4, - 1.05075007164441684324e-9); -} - -inline REAL tail(REAL r) { - REAL x = r - 5.0; - return rat_eval( - 6.6579046435011037772, - 5.4637849111641143699, - 1.7848265399172913358, - 0.29656057182850489123, - 0.026532189526576123093, - 0.0012426609473880784386, - 2.71155556874348757815e-5, - 2.01033439929228813265e-7, - - 1.0, - 0.59983220655588793769, - 0.13692988092273580531, - 0.0148753612908506148525, - 7.868691311456132591e-4, - 1.8463183175100546818e-5, - 1.4215117583164458887e-7, - 2.04426310338993978564e-15); -} - -inline void mlfi_ugaussian_Pinv_vector(REAL* p, UINT N, UINT logBLOCK) { - UINT i, UB = N; - - for ( i=0; i < UB; i++ ) { - REAL dp = p[i] - 0.5; - if (fabs(dp) <= 0.425) { - p[i] = small_case(dp); - } else { - REAL pp = (dp < 0.0) ? dp + 0.5 : (0.5 - dp); - REAL r = sqrt (- log(pp)); - REAL x = (r <= 5.0) ? intermediate(r) : tail(r); - p[i] = (dp < 0.0) ? (0.0 - x) : x; - } - } -} - - -/********************************************/ -/************* BROWNIAN BRIDGE **************/ -/********************************************/ -inline void mlfi_brownianbridge_wiener_pathNoTransGPU( - __constant LoopROScalars* ro_scal, - __constant int* bb_inds, - __constant REAL* bb_data, - REAL* md_zd, - __local REAL* md_z, - UINT block_size -) { - - UINT n, m, md_dim = ro_scal->num_under * block_size, nb_path_dates = ro_scal->num_dates; - __constant int *bb_li, *bb_bi, *bb_ri; - __constant REAL *bb_rw, *bb_lw, *bb_sd; - - bb_bi = bb_inds; - bb_li = bb_inds + nb_path_dates; - bb_ri = bb_inds + (nb_path_dates<<1); - - bb_sd = bb_data; - bb_lw = bb_data + nb_path_dates; - bb_rw = bb_data + (nb_path_dates<<1); - - for (n=0, m=0; m < md_dim; n++, m+=block_size) { - UINT i; - - md_z [ (bb_bi[0]-1) * md_dim + m ] = bb_sd[0] * md_zd[n]; - - for(i=1; i < nb_path_dates; i++) { - int j = bb_li[i] - 1; - int k = bb_ri[i] - 1; - int l = bb_bi[i] - 1; - - REAL wk = md_z [k*md_dim+m]; - REAL zi = md_zd[i*ro_scal->num_under+n]; - - md_z[l*md_dim+m] = (j == -1) ? - bb_rw[i] * wk + bb_sd[i] * zi : - bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * md_z[j*md_dim+m]; - } - } -} - - - -__kernel void payoffGPU( - __constant LoopROScalars* ro_scal, // RO SCALARS - __constant int* sobol_v_dir, // RO SOBOL - __constant UCHAR* fix_index, - // RO Brownian Bridge - __constant int* bb_ia, - __constant REAL* bb_coefs, - // RO MODELS DATA - __constant REAL* model_coefs, - // WO (GLOBAL) VHAT - __global REAL* model_vhat, - // LOCAL ARRAYS - __local REAL* md_z, - //__local REAL* inst_trajWF, - __local REAL* vhat_local -) { - - UINT k, block_size = get_local_size(0); - const UINT ct_init = 0; //ro_scal->sobol_count_ini; - - int sobol_last_num_vec[15];//UINT[ro_scal->sobol_dim]; - REAL md_zd [15]; //[ro_scal->sobol_dim]; - - { // each local array is ajusted w.r.t. the local offset! - UINT localID = get_local_id(0); - md_z = md_z + localID; - //inst_trajWF = inst_trajWF + localID; - vhat_local = vhat_local + localID; - } - - // initialize vhat_local to 0 - for( k = 0; k < ro_scal->num_models*block_size; k+=block_size) { - vhat_local[k] = 0.0; - } - - // ready to go to the main loop - UINT lb = (get_global_id (0) << ro_scal->log_chunk); - UINT ub = min(lb + ro_scal->chunk, ro_scal->num_gpuits); - - - for( k = lb; k < ub; k++ ) { - - // 1. random number generation phase -#ifndef _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR - mlfi_genmatrix_uniformGPUind ( - ct_init+k, ro_scal, - sobol_v_dir, sobol_last_num_vec, md_zd - ); -#else - if( k > lb && k < ub-1) { - mlfi_genmatrix_uniformGPUrecOpt ( - fix_index[k-lb], ro_scal, sobol_v_dir, sobol_last_num_vec, md_zd - ); - } else if (k==lb) { - mlfi_genmatrix_uniformGPUind ( - ct_init+k, ro_scal, - sobol_v_dir, sobol_last_num_vec, md_zd - ); - } else { - mlfi_genmatrix_uniformGPUrec ( - ct_init+k, ro_scal, sobol_v_dir, sobol_last_num_vec, md_zd - ); - } -#endif - - - // 2. generate uniform distribution - mlfi_ugaussian_Pinv_vector(md_zd, ro_scal->num_under*ro_scal->num_dates, ro_scal->logBLOCK); - - // 3. brownian bridge refinement - mlfi_brownianbridge_wiener_pathNoTransGPU( - ro_scal, bb_ia, bb_coefs, md_zd, md_z, block_size - ); - - { // 4. expand md_zd - UINT i; - UINT LB = ro_scal->num_under * block_size; - UINT UB = (ro_scal->num_under * ro_scal->num_dates - 1) * block_size; - for ( i = UB; i >= LB; i -= block_size ) { - md_z[i] -= md_z[i - LB]; - } - } - - { // 5. compute trajectory - UINT m, i, j, q, l; - UINT num_under = ro_scal->num_under; - UINT num_dates = ro_scal->num_dates; - REAL* trajWF = md_zd; - - __constant REAL *md_c, *md_vols, *md_drifts, *md_starts, *md_discts, *md_detvals; - { - UINT num_mods = ro_scal->num_models; - UINT dim_paths = num_under*num_dates; - UINT offset = 0; - md_c = model_coefs + offset; offset += num_mods * num_under * num_under; - md_vols = model_coefs + offset; offset += num_mods * dim_paths; - md_drifts = model_coefs + offset; offset += num_mods * dim_paths; - md_starts = model_coefs + offset; offset += num_mods * num_under; - md_discts = model_coefs + offset; offset += num_mods * ro_scal->num_cash_flows; - md_detvals= model_coefs + offset; - } - - for (m = 0; m < ro_scal->num_models; m++) { - - for (j = 0; j < num_under; j++) { - REAL accum = md_starts[j]; - for( i = 0; i < num_dates; i ++) { - REAL temp = 0.0; - q = num_under*i + j; - - for (l = 0; l <= j; l++) - temp += md_c[num_under * j + l] * md_z[(q - j + l)*block_size]; //md_z[(q - j + l) << logBLOCK]; - - temp = exp(temp * md_vols[q] + md_drifts[q]); - accum *= temp; - trajWF[q] = accum; - } - } - - // 6. reduce each instance/model locally on the multiprocessor - payoffFunction( m, num_under, - ro_scal->num_cash_flows, - ro_scal->num_det_pricers, - md_discts, - md_detvals, - trajWF, - vhat_local - ); - - if ( m+1 < ro_scal->num_models ) { - UINT dim_paths = num_under*num_dates; - md_c += num_under * num_under; md_vols += dim_paths; - md_drifts += dim_paths; md_starts += num_under; - md_discts += ro_scal->num_cash_flows; md_detvals += ro_scal->num_det_pricers; - } - } - } // end 5. compute trajectory - - } // END for( k ) - - barrier(CLK_LOCAL_MEM_FENCE); - - segm_scan_reg_block ( vhat_local - get_local_id(0), block_size * ro_scal->num_models, block_size ); - if( get_local_id(0) == 0) { - UINT glob_size = get_global_size(0)/block_size; - for ( k = 0; k < ro_scal->num_models; k++ ) { - model_vhat[ k * glob_size + get_group_id(0) ] = - vhat_local[ (k + 1)*block_size - 1 ]; - } - } -} - diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl deleted file mode 100644 index 9049b87..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl +++ /dev/null @@ -1,588 +0,0 @@ -/************************************/ -/************* MACROS ***************/ -/************************************/ - -#define TYPE REAL -#define FLAG uchar -#include "Utilities.cl" - -#define DUMMY 1 - -/********************************************/ -/********** SOBOL NUMER GENERATOR ***********/ -/********************************************/ - -#ifdef _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR - -__kernel void mlfi_genmatrix_uniform2 ( - __constant LoopROScalars* ro_scal, - __constant UCHAR* sobol_fix_ind, - __global int* sobol_v_dir, - __global REAL* md_zd -) { - UINT i, j, k; - UINT seq_count = ( get_global_id (0) << ro_scal->log_chunk ); - UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; - -#if(DUMMY==0) - uchar rmb_size = 0; - uchar rmb[32]; -#endif - - md_zd = md_zd + - ( ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) )*sobol_dim + - (get_global_id(0) & (WARP-1)) ); - __global REAL* md_zd_tmp = md_zd; - - UINT UB = (seq_count + (1 << ro_scal->log_chunk) < ro_scal->num_gpuits) ? - seq_count + (1 << ro_scal->log_chunk) : ro_scal->num_gpuits ; - UB = (UB > seq_count) ? UB - seq_count : 0; - - if( UB > 0 ) { - UINT gs; -#if(DUMMY==0) - // Compute gs == the Gray code rep of seq_count - gs = seq_count+1 + ro_scal->sobol_count_ini; - gs = gs ^ (gs>>1); - - // Compute the position of the 1 bits - for( k = 0; k < ro_scal->sobol_bits; ++k ) { - if(gs & 1) { - rmb[rmb_size] = (uchar)k; - rmb_size ++; - } - gs = gs >> 1; - } -#endif - // Compute the random number under the INDEPENDENT formulas - for( i = 0, j=0; j < sobol_dim; j++, i += WARP ) { - UINT accum = 0; - md_zd_tmp = md_zd; - - // FIRST ITER COMPUTED INDEPENDENTLY! -#if(DUMMY==0) - for(k=0; ksobol_bits + rmb[k] ]; - } -#else - gs = seq_count+1 + ro_scal->sobol_count_ini; - gs = gs ^ (gs>>1); - for(k=0; ksobol_bits; k++) { - if(gs & 1) { - accum ^= sobol_v_dir[ j*ro_scal->sobol_bits + k ]; - } - gs = gs >> 1; - } -#endif - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; -#if 1 - // THE REST OF CHUNK-1 ITERATIONS COMPUTED UNDER RECURRENT FORMULA - for( k = 1; k < UB-1; k++ ) { - accum = accum ^ sobol_v_dir[ j*ro_scal->sobol_bits + sobol_fix_ind[k] ]; - - md_zd_tmp += (sobol_dim << lgWARP); - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; - } - - gs = (seq_count + UB - 1 + ro_scal->sobol_count_ini) >> ro_scal->log_chunk; - UINT ell = ro_scal->log_chunk; - while(gs & 1) { - ell++; - gs >>= 1; - } - accum = accum ^ sobol_v_dir[j*ro_scal->sobol_bits + ell]; - md_zd_tmp += (sobol_dim << lgWARP); - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; -#else - for( k = seq_count+1 + ro_scal->sobol_count_ini; k < UB + ro_scal->sobol_count_ini; k++ ) { - gs = k; - UINT ell = 0; - while(gs & 1) { - ell++; - gs >>= 1; - } - - accum = accum ^ sobol_v_dir[j*ro_scal->sobol_bits + ell]; - - md_zd_tmp += (sobol_dim << lgWARP); - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; - } -#endif - } - } // end IF (seq_count < UB) - -} - -#else -/*********************************/ -/*** Independent formula Only ****/ -/*********************************/ - -__kernel void mlfi_genmatrix_uniform2 ( - __constant LoopROScalars* ro_scal, - __constant UCHAR* sobol_fix_ind, - __global int* sobol_v_dir, - __global REAL* md_zd -) { - UINT i, j, k, m; - UINT seq_count = ( get_global_id (0) << ro_scal->log_chunk ); - UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; - - uchar rmb_size = (uchar)0; - uchar rmb[32]; - - md_zd = md_zd + - ( ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) )*sobol_dim + - (get_global_id(0) & (WARP-1)) ); - __global REAL* md_zd_tmp = md_zd; - - UINT UB = (seq_count + (1 << ro_scal->log_chunk) < ro_scal->num_gpuits) ? - seq_count + (1 << ro_scal->log_chunk) : ro_scal->num_gpuits ; - UB = (UB > seq_count) ? UB - seq_count : 0; - - //if( UB > 0 ) - for(m=0; msobol_count_ini; - gs = gs ^ (gs>>1); - - // Compute the position of the 1 bits - for( k = 0; k < ro_scal->sobol_bits; ++k ) { - if(gs & 1) { - rmb[rmb_size] = (uchar)k; - rmb_size ++; - } - gs = gs >> 1; - } - - // Compute the random number under the INDEPENDENT formulas - for( i = 0, j=0; j < sobol_dim; j++, i += WARP ) { - UINT accum = 0; - - for(k=0; ksobol_bits + rmb[k] ]; - } - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; - } - - md_zd_tmp += (sobol_dim << lgWARP); - } // end IF (seq_count < UB) - -} - -#endif - - -/********************************************/ -/********** INV GAUSSIAN DISTRIB ************/ -/********************************************/ - - -#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ - (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ - (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) - -inline REAL small_case(REAL q) { - REAL x = 0.180625 - q * q; - return q * rat_eval( - 3.387132872796366608, - 133.14166789178437745, - 1971.5909503065514427, - 13731.693765509461125, - 45921.953931549871457, - 67265.770927008700853, - 33430.575583588128105, - 2509.0809287301226727, - - 1.0, - 42.313330701600911252, - 687.1870074920579083, - 5394.1960214247511077, - 21213.794301586595867, - 39307.89580009271061, - 28729.085735721942674, - 5226.495278852854561); -} - -inline REAL intermediate(REAL r) { - REAL x = r - 1.6; - return rat_eval( - 1.42343711074968357734, - 4.6303378461565452959, - 5.7694972214606914055, - 3.64784832476320460504, - 1.27045825245236838258, - 0.24178072517745061177, - 0.0227238449892691845833, - 7.7454501427834140764e-4, - - 1.0, - 2.05319162663775882187, - 1.6763848301838038494, - 0.68976733498510000455, - 0.14810397642748007459, - 0.0151986665636164571966, - 5.475938084995344946e-4, - 1.05075007164441684324e-9); -} - -inline REAL tail(REAL r) { - REAL x = r - 5.0; - return rat_eval( - 6.6579046435011037772, - 5.4637849111641143699, - 1.7848265399172913358, - 0.29656057182850489123, - 0.026532189526576123093, - 0.0012426609473880784386, - 2.71155556874348757815e-5, - 2.01033439929228813265e-7, - - 1.0, - 0.59983220655588793769, - 0.13692988092273580531, - 0.0148753612908506148525, - 7.868691311456132591e-4, - 1.8463183175100546818e-5, - 1.4215117583164458887e-7, - 2.04426310338993978564e-15); -} - -__kernel void mlfi_ugaussian_Pinv_vector1( - __constant LoopROScalars* ro_scal, __global REAL* p -) { - UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; - UINT id = get_global_id(0), i, UB; - p += ( (id >> lgWARP) << (ro_scal->log_chunk + lgWARP) )*sobol_dim + ( id & (WARP-1) ); - - id = get_global_id(0) << ro_scal->log_chunk; - - UB = min(id + (1<log_chunk), ro_scal->num_gpuits); - UB = (UB > id) ? UB - id : 0; - UB *= sobol_dim; - - for( id=0, i=0; id < UB; i+=WARP, id++) { - REAL dp = p[i] - 0.5; - if (fabs(dp) <= 0.425) { - p[i] = small_case(dp); - } else { - REAL pp = (dp < 0.0) ? dp + 0.5 : (0.5 - dp); - REAL r = sqrt (- log(pp)); - REAL x = (r <= 5.0) ? intermediate(r) : tail(r); - p[i] = (dp < 0.0) ? (0.0 - x) : x; - } - } -} - -/********************************************/ -/************* BROWNIAN BRIDGE **************/ -/********************************************/ - -__kernel void mlfi_brownianbridge_wiener_path1( - __constant LoopROScalars* ro_scal, - __constant int* bb_inds, - __constant REAL* bb_data, - __global REAL* md_zd, - __global REAL* md_z -) { - __constant int *bb_li, *bb_bi, *bb_ri; - __constant REAL *bb_rw, *bb_lw, *bb_sd; - - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - UINT m, i, md_dim = ro_scal->num_under << lgWARP, nb_path_dates = ro_scal->num_dates; - UINT sobol_dim = ro_scal->num_under * nb_path_dates; - - UINT UB = ( (cur_it + (1<log_chunk) ) < ro_scal->num_gpuits) ? - ( cur_it + (1<log_chunk) ) : ro_scal->num_gpuits; - - bb_bi = bb_inds; - bb_li = bb_inds + nb_path_dates; - bb_ri = bb_inds + (nb_path_dates<<1); - - bb_sd = bb_data; - bb_lw = bb_data + nb_path_dates; - bb_rw = bb_data + (nb_path_dates<<1); - - { - UINT tmp = ( (get_global_id(0) >> lgWARP) << (ro_scal->log_chunk + lgWARP) )*sobol_dim + ( get_global_id(0) & (WARP-1) ); - md_zd = md_zd + tmp; - md_z = md_z + tmp; - } - - for( ; cur_it < UB; cur_it++ ) { - for (m=0; m < md_dim; m+=WARP) { - md_z[ (bb_bi[0]-1) * md_dim + m ] = bb_sd[0] * md_zd[m]; - - for(i=1; i < nb_path_dates; i++) { - int j = bb_li[i] - 1; - int k = bb_ri[i] - 1; - int l = bb_bi[i] - 1; - - REAL wk = md_z [k*md_dim+m]; - REAL zi = md_zd[i*md_dim+m]; - - md_z[l*md_dim+m] = (j == -1) ? - bb_rw[i] * wk + bb_sd[i] * zi : - bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * md_z[j*md_dim+m]; - } - - } - md_z += (sobol_dim << lgWARP); - md_zd += (sobol_dim << lgWARP); - } -} - -/**************************************************/ -/************* TRAJECTORY COMPUTATION *************/ -/**************************************************/ - -void trajectory_contract( - UINT model_num, - __constant LoopROScalars* ro_scal, - __constant REAL* pc_coefs, - __global REAL* inst_traj, - __global REAL* vhat -); - -__kernel void mlfi_comp_traj1( - __constant LoopROScalars* ro_scal, // RO SCALARS - // RO MD INSTANCE DATA - __constant REAL* model_coefs, - // LOCAL SPACE 2 * ro_scal->num_under PER THREAD! - __local REAL* buff, - // RO (GLOBAL) MD_Z - __global REAL* md_z, - // WO (GLOBAL) traj - __global REAL* trajWF -) { - UINT offset; - UINT dim = ro_scal->num_under; - UINT dim_sq = dim*dim; - UINT dim_paths = dim*ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - - UINT UB = ( cur_it+(1<log_chunk) < ro_scal->num_gpuits) ? - cur_it+(1<log_chunk) : ro_scal->num_gpuits ; - { - offset = ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) ); - md_z = md_z + offset*dim_paths + (get_global_id(0) & (WARP-1)); - trajWF = trajWF + offset*dim_paths*ro_scal->num_models + (get_global_id(0) & (WARP-1)); - - offset = get_local_id (0); - offset = (offset >> lgWARP)*(TILE << lgWARP) + (offset & (WARP-1)); // ro_scal->TILE_FACT - buff += offset; - - offset = dim_paths<= LB; i -= WARP ) { - md_z[i] -= md_z[i - LB]; - } - - } - - __constant REAL *md_c, *md_vols, *md_drifts, *md_starts, *md_discts, *md_detvals; - { - UINT num_mods = ro_scal->num_models; - UINT offset = 0; - md_c = model_coefs + offset; offset += num_mods * dim_sq; - md_vols = model_coefs + offset; offset += num_mods * dim_paths; - md_drifts = model_coefs + offset; offset += num_mods * dim_paths; - md_starts = model_coefs + offset; - } - for (m = 0; m < ro_scal->num_models; m++) { - // cache in local space md_starts - for (j = 0; j < dim; j++) { - buff[(dim+j) << lgWARP] = md_starts[ j ]; - } - - for (i = 0; i < ro_scal->num_dates; i++) { - ind = (dim*i) << lgWARP; - - // cache in local space md_z! - for ( j = 0; j<(dim<num_models ) { - md_c += dim_sq; md_vols += dim_paths; - md_drifts += dim_paths; md_starts += dim; - } - - trajWF += offset; - } // end for m - - md_z += offset; - - } // end for cur_it -} - - -__kernel void mlfi_comp_traj_unopt( - __constant LoopROScalars* ro_scal, // RO SCALARS - // RO MD INSTANCE DATA - __constant REAL* model_coefs, - // RO (GLOBAL) MD_Z - __global REAL* md_z, - // WO (GLOBAL) traj - __global REAL* trajWF -) { - UINT offset; - UINT dim = ro_scal->num_under; - UINT dim_sq = dim*dim; - UINT dim_paths = dim*ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - - UINT UB = ( cur_it+(1<log_chunk) < ro_scal->num_gpuits ) ? - cur_it+(1<log_chunk) : ro_scal->num_gpuits ; - { - offset = ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) ); - md_z = md_z + offset*dim_paths + (get_global_id(0) & (WARP-1)); - trajWF = trajWF + offset*dim_paths*ro_scal->num_models + (get_global_id(0) & (WARP-1)); - - offset = dim_paths<= LB; i -= WARP ) { - md_z[i] -= md_z[i - LB]; - } - } - - __constant REAL *md_c, *md_vols, *md_drifts, *md_starts, *md_discts, *md_detvals; - { - UINT num_mods = ro_scal->num_models; - UINT offset = 0; - md_c = model_coefs + offset; offset += num_mods * dim_sq; - md_vols = model_coefs + offset; offset += num_mods * dim_paths; - md_drifts = model_coefs + offset; offset += num_mods * dim_paths; - md_starts = model_coefs + offset; - } - - for (m = 0; m < ro_scal->num_models; m++) { - for (i = 0; i < ro_scal->num_dates; i++) { - UINT ind = dim*i; - for (j = 0; j < dim; j++) { - REAL temp = 0.0; - - for (l = 0; l <= j; l++) { - temp += md_c[dim * j + l] * md_z[ (ind + l) << lgWARP ]; - } - temp = exp(temp * md_vols[ind + j] + md_drifts[ind + j]); - - trajWF[(ind+j) << lgWARP] = (i > 0) ? trajWF[(ind + j - dim) << lgWARP] * temp : - md_starts[ j ] * temp ; - } - } - - if ( m+1 < ro_scal->num_models ) { - md_c += dim_sq; md_vols += dim_paths; - md_drifts += dim_paths; md_starts += dim; - } - - trajWF += offset; - } // end for m - - md_z += offset; - - } // end for cur_it -} - -__kernel void mlfi_reduction_step1( - __constant LoopROScalars* ro_scal, // RO SCALARS - // RO MD INSTANCE DATA - __constant REAL* model_coefs, - // RO (GLOBAL) traj - __global REAL* inst_trajWF, - // WF (GLOBAL) traj - __global REAL* model_vhat, - __local REAL* vhat_local -) { - UINT j; - uint block_size = get_local_size(0); - int sobol_dim = ro_scal->num_under * ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - - UINT UB = ( cur_it + (1<log_chunk) < ro_scal->num_gpuits) ? - cur_it + (1<log_chunk) : ro_scal->num_gpuits ; - - { // adjust the start index - UINT id = get_global_id (0); - inst_trajWF += (id & (WARP-1)) + ( (id >> lgWARP) << (ro_scal->log_chunk+lgWARP) ) * - sobol_dim * ro_scal->num_models; - vhat_local += get_local_id(0); - } - - // initialize vhat_local to 0 - for( j = 0; j < ro_scal->num_models*block_size; j += block_size ) { - vhat_local[j] = 0.0; - } - - __constant REAL *md_discts; - __constant REAL *md_detvals; - { // compute from model_coefs - int offset; - offset = ro_scal->num_under * ( ro_scal->num_under + 1) + 2 * sobol_dim; - offset *= ro_scal->num_models; - md_discts = model_coefs + offset; - md_detvals = md_discts + ro_scal->num_models * ro_scal->num_cash_flows; - } - - for( ; cur_it < UB; cur_it++ ) { - for (j = 0; j < ro_scal->num_models; j++) { - - payoffFunction( j, ro_scal->num_under, - ro_scal->num_cash_flows, - ro_scal->num_det_pricers, - md_discts + j*ro_scal->num_cash_flows, - md_detvals+ j*ro_scal->num_det_pricers, - inst_trajWF, - vhat_local - ); - - inst_trajWF += (sobol_dim << lgWARP); - } - } - - barrier(CLK_LOCAL_MEM_FENCE); - - { - segm_scan_reg_block ( vhat_local - get_local_id(0), block_size * ro_scal->num_models, block_size ); - if( get_local_id(0) == 0 ) { - UINT glob_size = get_global_size(0)/block_size; - for ( j = 0; j < ro_scal->num_models; j ++ ) { - model_vhat[ j * glob_size + get_group_id(0) ] = - vhat_local[ (j + 1) * block_size - 1 ]; - } - } - } -} - diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl deleted file mode 100644 index 550102c..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl +++ /dev/null @@ -1,493 +0,0 @@ -/************************************/ -/************* MACROS ***************/ -/************************************/ - -#define TYPE REAL -#define FLAG uchar -#include "../../include/Utilities.cl" - -#define DUMMY 1 - -/************************************/ -/************* MACROS ***************/ -/************************************/ -//#include "Constants.h" -// -//#define underlyings(i,j) \ -// (inst_traj[(i*ro_scal->md_dim + j)]) -// -//#define DUMMY 1 - -/********************************************/ -/********** SOBOL NUMER GENERATOR ***********/ -/********************************************/ - -// TO DO: if we want to overlap kernels, then, since we reuse md_zd for traj_wf multiply also with *ro_scal->num_models - - - -__kernel void mlfi_genmatrix_uniform2 ( - __constant LoopROScalars* ro_scal, - __constant UCHAR* sobol_fix_ind, - __global int* sobol_v_dir, - __global REAL* md_zd -) { - UINT i, j, k; - UINT seq_count = ( get_global_id (0) << ro_scal->log_chunk ); - UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; - - md_zd = md_zd + (get_global_id (0) << ro_scal->log_chunk)*sobol_dim; - __global REAL* md_zd_tmp = md_zd; - - //UINT UB = min(seq_count + (1 << ro_scal->log_chunk), ro_scal->num_gpuits); - UINT UB = (seq_count + (1 << ro_scal->log_chunk) < ro_scal->num_gpuits) ? - seq_count + (1 << ro_scal->log_chunk) : ro_scal->num_gpuits ; - UB = (UB > seq_count) ? UB - seq_count : 0; - - //seq_count += ro_scal->sobol_count_ini; - - if( UB > 0 ) { - UINT gs; - // Compute the random number under the INDEPENDENT formulas - for( i = 0, j=0; j < sobol_dim; j++, i ++ ) { - UINT accum = 0; - md_zd_tmp = md_zd; - - // FIRST ITER COMPUTED INDEPENDENTLY! - gs = seq_count+1 + ro_scal->sobol_count_ini; - gs = gs ^ (gs>>1); - for(k=0; ksobol_bits; k++) { - if(gs & 1) { - accum ^= sobol_v_dir[ j*ro_scal->sobol_bits + k ]; - } - gs = gs >> 1; - } - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; - - // THE REST OF CHUNK-1 ITERATIONS COMPUTED UNDER RECURRENT FORMULA - for( k = 1; k < UB-1; k++ ) { - accum = accum ^ sobol_v_dir[ j*ro_scal->sobol_bits + sobol_fix_ind[k] ]; - - md_zd_tmp += sobol_dim; - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; - } - - // last one - gs = (seq_count + UB - 1 + ro_scal->sobol_count_ini) >> ro_scal->log_chunk; - UINT ell = ro_scal->log_chunk; - while(gs & 1) { - ell++; - gs >>= 1; - } - accum = accum ^ sobol_v_dir[j*ro_scal->sobol_bits + ell]; - md_zd_tmp += sobol_dim; - md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; - } - } // end IF (seq_count < UB) - -} - - - -/********************************************/ -/********** INV GAUSSIAN DISTRIB ************/ -/********************************************/ - - -#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ - (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ - (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) - -inline REAL small_case(REAL q) { - REAL x = 0.180625 - q * q; - return q * rat_eval( - 3.387132872796366608, - 133.14166789178437745, - 1971.5909503065514427, - 13731.693765509461125, - 45921.953931549871457, - 67265.770927008700853, - 33430.575583588128105, - 2509.0809287301226727, - - 1.0, - 42.313330701600911252, - 687.1870074920579083, - 5394.1960214247511077, - 21213.794301586595867, - 39307.89580009271061, - 28729.085735721942674, - 5226.495278852854561); -} - -inline REAL intermediate(REAL r) { - REAL x = r - 1.6; - return rat_eval( - 1.42343711074968357734, - 4.6303378461565452959, - 5.7694972214606914055, - 3.64784832476320460504, - 1.27045825245236838258, - 0.24178072517745061177, - 0.0227238449892691845833, - 7.7454501427834140764e-4, - - 1.0, - 2.05319162663775882187, - 1.6763848301838038494, - 0.68976733498510000455, - 0.14810397642748007459, - 0.0151986665636164571966, - 5.475938084995344946e-4, - 1.05075007164441684324e-9); -} - -inline REAL tail(REAL r) { - REAL x = r - 5.0; - return rat_eval( - 6.6579046435011037772, - 5.4637849111641143699, - 1.7848265399172913358, - 0.29656057182850489123, - 0.026532189526576123093, - 0.0012426609473880784386, - 2.71155556874348757815e-5, - 2.01033439929228813265e-7, - - 1.0, - 0.59983220655588793769, - 0.13692988092273580531, - 0.0148753612908506148525, - 7.868691311456132591e-4, - 1.8463183175100546818e-5, - 1.4215117583164458887e-7, - 2.04426310338993978564e-15); -} - - -__kernel void mlfi_ugaussian_Pinv_vector1( // UNTILED VERSION - __constant LoopROScalars* ro_scal, __global REAL* p - //__global REAL* p , __constant LoopROScalars* ro_scal, __local REAL* tmp_p -) { - UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; - UINT i, UB, id = get_global_id(0) << ro_scal->log_chunk; - p += id * sobol_dim; - - UB = min(id + (1<log_chunk), ro_scal->num_gpuits); - UB = (UB > id) ? UB - id : 0; - UB *= sobol_dim; - - for( i=0; i < UB; i++ ) { - REAL dp = p[i] - 0.5; - if (fabs(dp) <= 0.425) { - p[i] = small_case(dp); - } else { - REAL pp = (dp < 0.0) ? p[i] : (1.0 - p[i]); - REAL r = sqrt (- log(pp)); - REAL x = (r <= 5.0) ? intermediate(r) : tail(r); - p[i] = (dp < 0.0) ? (0.0 - x) : x; - } - } -} - -/********************************************/ -/************* BROWNIAN BRIDGE **************/ -/********************************************/ - -__kernel void mlfi_brownianbridge_wiener_path1( - __constant LoopROScalars* ro_scal, - __constant int* bb_inds, - __constant REAL* bb_data, - __global REAL* md_zd, - __global REAL* md_z -) { - __constant int *bb_li, *bb_bi, *bb_ri; - __constant REAL *bb_rw, *bb_lw, *bb_sd; - - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - UINT m, i, md_dim = ro_scal->num_under, nb_path_dates = ro_scal->num_dates; - UINT sobol_dim = ro_scal->num_under * nb_path_dates; - - UINT UB = ( (cur_it + (1<log_chunk) ) < ro_scal->num_gpuits) ? - ( cur_it + (1<log_chunk) ) : ro_scal->num_gpuits; - -// if ( ro_scal->bb_l != ro_scal->md_nb_path_dates || ro_scal->bb_l <= 0) return; - - bb_bi = bb_inds; - bb_li = bb_inds + nb_path_dates; - bb_ri = bb_inds + (nb_path_dates<<1); - - bb_sd = bb_data; - bb_lw = bb_data + nb_path_dates; - bb_rw = bb_data + (nb_path_dates<<1); - - { - UINT tmp = cur_it*sobol_dim; - md_zd = md_zd + tmp; - md_z = md_z + tmp; - } - - for( ; cur_it < UB; cur_it++ ) { - for (m=0; m < md_dim; m++) { - md_z[ (bb_bi[0]-1) * md_dim + m ] = bb_sd[0] * md_zd[m]; - - for(i=1; i < nb_path_dates; i++) { - int j = bb_li[i] - 1; - int k = bb_ri[i] - 1; - int l = bb_bi[i] - 1; - - REAL wk = md_z [k*md_dim+m]; - REAL zi = md_zd[i*md_dim+m]; - - md_z[l*md_dim+m] = (j == -1) ? - bb_rw[i] * wk + bb_sd[i] * zi : - bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * md_z[j*md_dim+m]; - } - - } - md_z += sobol_dim; - md_zd += sobol_dim; - } -} - -/**************************************************/ -/************* TRAJECTORY COMPUTATION *************/ -/**************************************************/ - -void trajectory_contract( - UINT model_num, - __constant LoopROScalars* ro_scal, - __constant REAL* pc_coefs, - __global REAL* inst_traj, - __global REAL* vhat -); - - -__kernel void mlfi_comp_traj1( - __constant LoopROScalars* ro_scal, // RO SCALARS - // RO MD INSTANCE DATA - __constant REAL* model_coefs, - // RO MODEL ATTRIBUTES -// __constant REAL* pc_coefs, -// __local REAL* buff, - // RO (GLOBAL) MD_Z - __global REAL* md_z, - // WO (GLOBAL) traj - __global REAL* trajWF -) { - UINT dim = ro_scal->num_under; - UINT dim_sq = dim*dim; - UINT dim_paths = dim*ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - - UINT UB = (cur_it+(1<log_chunk) < ro_scal->num_gpuits) ? cur_it + (1<log_chunk) : ro_scal->num_gpuits; - - trajWF += cur_it*dim_paths*ro_scal->num_models; - md_z += cur_it*dim_paths; - - for( ; cur_it < UB; cur_it++ ) { // ... - UINT m, i, j, l; - - { // 4. expand md_zd -- does not affect execution time - UINT LB = dim; - for( i = (dim_paths - 1); i >= LB; i -- ) { - md_z[i] -= md_z[i - LB]; - } - } - - __constant REAL *c, *vols, *drift, *trajRO; - { - UINT num_mods = ro_scal->num_models; - UINT offset = 0; - c = model_coefs + offset; offset += num_mods * dim_sq; - vols = model_coefs + offset; offset += num_mods * dim_paths; - drift = model_coefs + offset; offset += num_mods * dim_paths; - trajRO = model_coefs + offset; - } - - - for (m = 0; m < ro_scal->num_models; m++) { - - - -// __constant REAL* c = inst_coefs + ( ro_scal->inst_c_beg + m*dim_sq ); -// __constant REAL* vols = inst_coefs + ( ro_scal->inst_vols_beg + m*dim_paths ); -// __constant REAL* drift = inst_coefs + ( ro_scal->inst_drifts_beg + m*dim_paths ); -// __constant REAL* trajRO= inst_coefs + ( ro_scal->inst_trajRO_beg + m*dim ); - - for (i = 0; i < ro_scal->num_dates; i++) { - UINT ind = dim*i; - for (j = 0; j < dim; j++) { - REAL temp = 0.0; - - for (l = 0; l <= j; l++) { - temp += c[dim * j + l] * md_z[ (ind + l) ]; - } - temp = exp(temp * vols[ind + j] + drift[ind + j]); - - trajWF[(ind+j)] = (i > 0) ? trajWF[(ind + j - dim)] * temp : trajRO[ j ] * temp ; - } - } - - if ( m+1 < ro_scal->num_models ) { - c += dim_sq; vols += dim_paths; - drift += dim_paths; trajRO += dim; - } - - trajWF += dim_paths; - } // end for m - - md_z += dim_paths; - - } // end for cur_it -} - - - - -__kernel void mlfi_reduction_step1( - __constant LoopROScalars* ro_scal, // RO SCALARS - // RO MD INSTANCE DATA - __constant REAL* inst_coefs, - // RO MODEL ATTRIBUTES -// __constant REAL* pc_coefs, - // RO (GLOBAL) traj - __global REAL* inst_trajWF, - // WF (GLOBAL) traj - __global REAL* model_vhat, - __local REAL* vhat_local -) { - UINT j; - uint block_size = get_local_size(0); - int sobol_dim = ro_scal->num_under * ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; - - //UINT UB = min(cur_it + (1<log_chunk), ro_scal->num_gpuits); - UINT UB = ( cur_it + (1<log_chunk) < ro_scal->num_gpuits) ? - cur_it + (1<log_chunk) : ro_scal->num_gpuits ; - - { // adjust the start index - UINT id = get_global_id (0); -// vhat += ( (id >> lgWARP) << lgWARP )*ro_scal->num_contracts*ro_scal->num_models + (id & (WARP-1)); - inst_trajWF += cur_it*sobol_dim*ro_scal->num_models; - vhat_local += get_local_id(0); - } - - // initialize vhat_local to 0 - for( j = 0; j < ro_scal->num_models*block_size; j += block_size ) { - vhat_local[j] = 0.0; - } - -#if 0 - { // init vhat - UINT step_outer = ro_scal->num_contracts<num_models*step_outer; i+=step_outer) { - for( j = 0; j < step_outer; j+=WARP) { - vhat[j+i] = 0.0; - } - } - } -#endif - - __constant REAL *md_discts; - __constant REAL *md_detvals; - { // compute from model_coefs - int offset; - offset = ro_scal->num_under * ( ro_scal->num_under + 1) + 2 * sobol_dim; - offset *= ro_scal->num_models; - md_discts = inst_coefs + offset; - md_detvals = md_discts + ro_scal->num_models * ro_scal->num_cash_flows; - } - - for( ; cur_it < UB; cur_it++ ) { - //__global REAL* vhat_loc = vhat; - for (j = 0; j < ro_scal->num_models; j++) { - - payoffFunction( j, ro_scal->num_under, - ro_scal->num_cash_flows, - ro_scal->num_det_pricers, - md_discts + j*ro_scal->num_cash_flows, - md_detvals+ j*ro_scal->num_det_pricers, - inst_trajWF, - vhat_local - ); - - //inst_trajWF += (sobol_dim << lgWARP); - - inst_trajWF += sobol_dim; - //vhat_loc += (ro_scal->num_contracts << lgWARP); - } - } - - barrier(CLK_LOCAL_MEM_FENCE); - - { - segm_scan_reg_block ( vhat_local - get_local_id(0), block_size * ro_scal->num_models, block_size ); - if( get_local_id(0) == 0 ) { - UINT glob_size = get_global_size(0)/block_size; - for ( j = 0; j < ro_scal->num_models; j ++ ) { - model_vhat[ j * glob_size + get_group_id(0) ] = - vhat_local[ (j + 1) * block_size - 1 ]; - } - } - } - - -#if 0 - for( ; cur_it < UB; cur_it++ ) { - __global REAL* vhat_loc = vhat; - for (j = 0; j < ro_scal->num_models; j++) { - trajectory_contract( j, ro_scal, pc_coefs, inst_trajWF, vhat_loc ); - inst_trajWF += ro_scal->sobol_dim; - vhat_loc += (ro_scal->num_contracts << lgWARP); - } - } - - barrier(CLK_LOCAL_MEM_FENCE); - - if( get_local_id(0) == 0) { -#if 1 - UINT step_inner = ro_scal->num_contracts << lgWARP; - UINT step_outer = step_inner * ro_scal->num_models; - UINT BD = (step_outer >> lgWARP) * ro_scal->BLOCK; - UINT i, k; - for( i = 0; i < BD; i += step_outer ) { - for( j = 0; j < step_outer; j += step_inner ) { - for( k = j; k < j+step_inner; k += WARP ) { - for( cur_it = k+(i==0? 1 : 0); cur_it < k+WARP; cur_it++ ) { - vhat[k] += vhat[i+cur_it]; - } - } - } - } -#else - UINT step_j = ro_scal->num_contracts<num_models*step_j; - for (j = 0; j < BD_j; j+=step_j) { // for all instances - for(cur_it=0; cur_it < step_j; cur_it+=WARP) { // for all contracts - UINT i; - for(i=1; inum_cash_flows+date_index]; - //pc_coefs[ro_scal->pc_discounts_beg + model_num*ro_scal->num_cash_flows+date_index]; -} -*/ diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile deleted file mode 100644 index c1c5d4c..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile +++ /dev/null @@ -1,41 +0,0 @@ -include setup.mk - -ifndef ($(HAVE_GPU)) -include platform.mk -endif - -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ - -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ - -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ - -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) - -SOURCES_CPP =GenPricing.cpp -HELPERS =StructGPU.h Constants.h Optimizations.h ParseInput.h -OBJECTS =GenPricing.o -EXECUTABLE =GenPricing - - -ifeq ($(HAVE_GPU),1) -#g++ -I. -I/usr/local/cuda/include -O3 NordeaVect.cpp -lOpenCL -default: gpu -else -# cannot build this one... but proceed (return 0) -no-gpu: - @echo "$(HAVE_GPU) \n*** No GPU configured, cannot build `pwd` ***\n" -endif - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -gpu: $(OBJECTS) $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) - -# The CPU version is in: ../Orig_COpenMP. This folder is GPU only! -cpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) - -clean: - rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt - @# clean nVidia compiler cache - rm -rf $(HOME)/.nv/ComputeCache/* - diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h b/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h deleted file mode 100644 index 146abf5..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h +++ /dev/null @@ -1,611 +0,0 @@ -#ifndef GPU_HELPERS -#define GPU_HELPERS - -#include "Optimizations.h" -#include "SDK_stub.h" - -#if (_OPTIMIZATION_USE_FLOATS) - #define TILE GPU_TILE -#else - #define TILE GPU_TILE/2 -#endif - -/****************************/ -/*** GPU-Allocated Arrays ***/ -/****************************/ -struct oclLoopArrays { - - /* RO scalars */ - cl_mem ro_scals; - - /* sobol direction vector; RO */ - cl_mem sobol_dirvcts; // UINT[sobol_bit_count][num_under*num_dates]; - cl_mem sobol_fix_ind; // UCHAR[chunk-1] - - /* Brownian Bridge data RO */ - cl_mem bb_inds; // UINT[3][num_dates] - cl_mem bb_data; // REAL[3][num_dates] - - /* MD instance data; RO */ - cl_mem md_c; // Includes all arrays bellow: -// cl_mem md_c // RO; REAL[num_models][num_under^2] -// cl_mem md_vols; // RO; REAL[num_models][num_under*num_dates] -// cl_mem md_drifts; // RO; REAL[num_models][num_under*num_dates] -// cl_mem md_starts; // RO; REAL[num_models][num_under] -// cl_mem md_discts; // REAL[num_models][num_cash_flows ] -// cl_mem md_detvals; // REAL[num_models][num_det_pricers] - - /* FOR VECTORIZED VERSION */ - cl_mem md_zd; // RW: REAL[num_gpuits]x[num_under*num_dates] - cl_mem md_z; // RW: REAL[num_gpuits]x[num_models]x[num_under*num_dates] - - /* global array to be reduced on CPU; WO */ - cl_mem model_vhat; // WO; ~ [num_models]x[num_contracts]x[num_iter/(chunk*BLOCK)] - - /*** local tiled space ***/ - cl_mem local_space; - - void cleanupPRIV() { - clReleaseMemObject(ro_scals); - clReleaseMemObject(sobol_dirvcts); - clReleaseMemObject(sobol_fix_ind); - clReleaseMemObject(bb_inds); - clReleaseMemObject(bb_data); - clReleaseMemObject(md_c); - clReleaseMemObject(model_vhat); - } - void cleanupVECT() { - cleanupPRIV(); - clReleaseMemObject(md_z ); - clReleaseMemObject(md_zd); - } -}; - -/*********************************/ -/*** Math-Utility Functions ***/ -/*********************************/ - -UINT logNextPow2(UINT n) { - UINT ret = 1; - UINT logret = 0; - while(n>ret) { - ret = ret << 1; - logret += 1; - } - return logret; -} - -UINT prevMultipleOf(UINT n, UINT mul) { - if(n % mul == 0) return n; - UINT res = 0; - while(res <= n) res += mul; - return res - mul; -} - -/*********************************/ -/*** GPU-Glue Helper Functions ***/ -/*********************************/ - -enum GPU_KERNEL { PRIV, VECT }; - -GPU_KERNEL -priv_or_vect_kernel(const LoopROScalars& ro_scal) { -#if (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 1) - return VECT; -#elif (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 2) - return PRIV; -#else - UINT threshold = 16; - bool is_priv = (ro_scal.num_under*ro_scal.num_dates+ro_scal.num_models <= threshold); - fprintf(stderr, "\nCOST MODEL THRESHOLD: %u, PRIV_KERNEL: %d\n", threshold, (int)is_priv); - return (is_priv) ? PRIV : VECT; -#endif -} - -const char* -makeGPUprogPreamble( - const LoopROScalars& ro_scal, - const GPU_KERNEL & kernel_type -) { - const char* preamble = (ro_scal.contract == 1 && kernel_type == VECT) ? - "#define VECT_KERNEL\n#include \"ContractDefs/SmallContract.cl\"\n\n" : - (ro_scal.contract == 1 && kernel_type == PRIV) ? - "#include \"ContractDefs/SmallContract.cl\"\n\n" : - (ro_scal.contract == 2 && kernel_type == VECT) ? - "#define VECT_KERNEL\n#include \"ContractDefs/MediumContract.cl\"\n\n" : - (ro_scal.contract == 2 && kernel_type == PRIV) ? - "#include \"ContractDefs/MediumContract.cl\"\n\n" : - (ro_scal.contract == 3 && kernel_type == VECT) ? - "#define VECT_KERNEL\n#include \"ContractDefs/LargeContract.cl\"\n\n" : - (ro_scal.contract == 3 && kernel_type == PRIV) ? - "#include \"ContractDefs/LargeContract.cl\"\n\n" : NULL; - assert(preamble && "Invalid Contract Number (should be 1, 2 or 3) OR Invalid kernel type (PRIV or VECT)\n"); - return preamble; -} - - -UINT -getWorkSize(const UINT& num_iter, const UINT& chunk, const UINT& block) { - UINT tmp_rem = num_iter % chunk; - UINT res = (tmp_rem == 0) ? - (num_iter / chunk) : - ((num_iter / chunk) + 1) ; - - if(res % block == 0) return res; - - res = (res / block) * block + block; - return res; -} - -int -discriminate_cost_model( LoopROScalars& ro_scal, cl_device_id device, const GPU_KERNEL kernel) { - bool is_priv = (kernel == PRIV); - UINT THRESHOLD; - cl_uint tot_cuda_cores = 0; - - UINT size_vct = ro_scal.num_under * ro_scal.num_dates; - - ro_scal.logBLOCK = 7; - ro_scal.BLOCK = 1 << ro_scal.logBLOCK; - - // If not-enough GPU resources => sequentialize - // the loop into big chunks that execute on GPU. - if(!is_priv) { - // get device memory size info - cl_ulong glob_mem_size; - clGetDeviceInfo(device,CL_DEVICE_GLOBAL_MEM_SIZE,sizeof(glob_mem_size),&glob_mem_size,NULL); - { // check global mem matches the user-declared one - const size_t USER_MEM = ((size_t)GPU_GLB_MEM) << 30; - const size_t ub = static_cast( USER_MEM * 101.0 / 100.0 ); - const size_t lb = static_cast( USER_MEM * 99.0 / 100.0 ); - if ( !(glob_mem_size >= lb && glob_mem_size <= ub) ) { - fprintf(stderr, "WARNING! Querried GPU global memory %lu DIFFERS from what user declared: [%ld,%ld]!\n", - glob_mem_size, lb, ub); - glob_mem_size = static_cast(USER_MEM); - fprintf(stderr, "Using user-declared size for global memory: %lu\n", glob_mem_size); - } - } - - // check if there is enough memory - UINT perit_mem_size = size_vct*( ro_scal.num_models + 1 ) + ro_scal.num_models; - perit_mem_size *= sizeof(REAL); - - UINT max_mc_iter_num = ( (glob_mem_size * 3)/4 ) / perit_mem_size; - - UINT BLOCK = ro_scal.BLOCK; - if(max_mc_iter_num % BLOCK != 0) - max_mc_iter_num = (max_mc_iter_num / BLOCK)*BLOCK + BLOCK; - - max_mc_iter_num = prevMultipleOf(max_mc_iter_num, ro_scal.chunk); - - ro_scal.num_gpuits = MIN(max_mc_iter_num, ro_scal.num_mcits); - -// fprintf(stderr, "# of total iters: %u, # of gpu iters: %u, chunk: %u\n", -// ro_scal.num_mcits, ro_scal.num_gpuits, ro_scal.chunk ); - } else { - ro_scal.num_gpuits = ro_scal.num_mcits; - } - - { - cl_uint compute_units; - clGetDeviceInfo(device, CL_DEVICE_MAX_COMPUTE_UNITS, - sizeof(compute_units), &compute_units, NULL); - cl_uint comp_capabil_major, comp_capabil_minor; - clGetDeviceInfo(device, CL_DEVICE_COMPUTE_CAPABILITY_MAJOR_NV, - sizeof(cl_uint), &comp_capabil_major, NULL); - clGetDeviceInfo(device, CL_DEVICE_COMPUTE_CAPABILITY_MINOR_NV, - sizeof(cl_uint), &comp_capabil_minor, NULL); - tot_cuda_cores = compute_units * - ConvertSMVer2CoresCopy(comp_capabil_major, comp_capabil_minor); - - if( tot_cuda_cores != GPU_CORES ) { - fprintf(stderr, "WARNING! Querried GPU number of cores %u DIFFERS from what user declared: %d!\n", - tot_cuda_cores, GPU_CORES ); - tot_cuda_cores = GPU_CORES; - fprintf(stderr, "Using user-declared GPU number of cores: %u\n", tot_cuda_cores); - } - - UINT div = (1 << logNextPow2(tot_cuda_cores)) * 64; - ro_scal.log_chunk = logNextPow2(ro_scal.num_gpuits / div ); // was div*2 - ro_scal.log_chunk = MIN(ro_scal.log_chunk, logMAX_CHUNK); - if(ro_scal.log_chunk <= 3) ro_scal.log_chunk++; - } - - ro_scal.chunk = 1 << ro_scal.log_chunk; - -// fprintf(stderr, "\n\nCOST MODEL COMPUTED: MC_ITERS: %u, MC_TOT_ITERS: %u, CHUNK: %u, BLOCK: %u\n\n", -// ro_scal.num_gpuits, ro_scal.num_mcits, ro_scal.chunk, ro_scal.BLOCK); - - return tot_cuda_cores; -} - -/*********************************/ -/*** Allocating GPU Buffers & ***/ -/***running the Private Kernels***/ -/*********************************/ - -REAL* -oclAllocArrays_PrivKernel ( - oclLoopArrays& ocl_arrs, - cl_context cxGPUContext, - cl_command_queue& cqCommandQueue, - cl_int& ciErr, - const LoopROScalars& ro_scals, - const SobolArrays & sob_arrs, - const BrowBridgeArrays& bb_arrs, - const ModelArrays & md_arrs -) { - cl_int ciErr2; - size_t cur_size; - REAL* glb_vhat = NULL; - - { // 1. RO scalars - cur_size = sizeof(LoopROScalars); - ocl_arrs.ro_scals = clCreateBuffer( - cxGPUContext, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 - ); - - ciErr = ciErr2; - ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, - cur_size, &ro_scals, 0, NULL, NULL); - } - - { // 2. Sobol RO Arrays - const SobolArrays& cpu_arrs = sob_arrs; - - cur_size = (UINT) ro_scals.num_under * ro_scals.num_dates * - ro_scals.sobol_bits * sizeof(UINT); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(sobol_dirvcts); - - cur_size+= ro_scals.chunk * sizeof(UCHAR); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(sobol_fix_ind); - } - - { // 3. BROWNIAN BRIDGE RO indirect arrays and data arrays - const BrowBridgeArrays& cpu_arrs = bb_arrs; - - cur_size = 3*ro_scals.num_dates*sizeof(UINT); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(bb_inds); - - cur_size = 3*ro_scals.num_dates*sizeof(REAL); - CREATE_AND_ENQUEUE_RO_CL_BUFFER(bb_data); - } - - { // 4. Various RO Model Data Arrays - const ModelArrays& cpu_arrs = md_arrs; - - cur_size = ro_scals.num_under * ( ro_scals.num_under + 2*ro_scals.num_dates + 1); - cur_size += ro_scals.num_cash_flows + ro_scals.num_det_pricers; - cur_size *= ro_scals.num_models * sizeof(REAL); - - CREATE_AND_ENQUEUE_RO_CL_BUFFER(md_c); - } - - { // 5. Finally, the WO Partial Result - //red_sz = getGlobalRedArrSize( ro_scal->mc_iter_num, ro_scal->CHUNK*ro_scal->BLOCK ); - cur_size = getWorkSize(ro_scals.num_gpuits, ro_scals.chunk, ro_scals.BLOCK) / ro_scals.BLOCK; - cur_size *= ro_scals.num_models * sizeof(REAL); - - glb_vhat = (REAL*)malloc(cur_size); - ocl_arrs.model_vhat = clCreateBuffer( - cxGPUContext, CL_MEM_WRITE_ONLY | CL_MEM_USE_HOST_PTR, - cur_size, glb_vhat, &ciErr2 - ); - ciErr |= ciErr2; - } - - // 2. the rest: priv_arr->sobol_last_num_vec/md_zd/inst_trajWF - // are implemented as __local (private) hence do not require - // global memory allocation. - - oclCheckError(ciErr, CL_SUCCESS); - - return glb_vhat; -} - - -void -runGPU_PRIV( - const LoopROScalars& ro_scals, - REAL* glb_vhat, - oclLoopArrays& dev_arr, - cl_command_queue& cqCommandQueue, - cl_program& cpProgram, - size_t* globalWorkSize, - size_t* localWorkSize -) { - cl_kernel ckGenPricing = NULL; // OpenCL kernel - cl_int ciErr1, ciErr2; - - size_t counter = 0, priv_sz = 0; // ro_scals - const int PRIV_MULT = sizeof(REAL)*ro_scals.BLOCK; - - ckGenPricing = clCreateKernel(cpProgram, "payoffGPU", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - // 1. RO SCALARS struct - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.ro_scals ); - - // 2. RO SOBOL ARR // - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.sobol_dirvcts); - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.sobol_fix_ind); - - // 3. RO BROWNIAN BRIDGE // - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.bb_inds); - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.bb_data); - - // 4. RO MD INSTANCE DATA // - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.md_c); - - // 5. GLOBAL WO Array // - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.model_vhat ); - - // 6. LOCAL (PRIVATE ARRAYS) MD_Z - priv_sz = PRIV_MULT*ro_scals.num_under*ro_scals.num_dates; - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, priv_sz, NULL); - - // 7. LOCAL (PRIVATE ARRAY) VHAT - priv_sz = PRIV_MULT * ro_scals.num_models; - ciErr1 |= clSetKernelArg(ckGenPricing, counter++, priv_sz, NULL); // model_vhat (the private one) - - oclCheckError(ciErr1, CL_SUCCESS); - - // 8. ENQUEUE KERNEL!!! // - ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckGenPricing, 1, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL); - oclCheckError(ciErr1, CL_SUCCESS); - - // 9. FINALLY, WRITE BACK!!! // - priv_sz = (globalWorkSize[0]/ro_scals.BLOCK)*ro_scals.num_models*sizeof(REAL); - - ciErr1 |= clEnqueueReadBuffer(cqCommandQueue, dev_arr.model_vhat, CL_TRUE, 0, - priv_sz, glb_vhat, 0, NULL, NULL); - oclCheckError(ciErr1, CL_SUCCESS); - - clReleaseKernel(ckGenPricing); -} - - -void reduceVHAT_CPU(const LoopROScalars& ro_scals, REAL* vhat, double* cpu_vhat ) { - // final reduction on CPU!!! - UINT SZ = getWorkSize(ro_scals.num_gpuits, ro_scals.chunk, ro_scals.BLOCK) / ro_scals.BLOCK; - - for(int ii = 0; ii 4" ); - UINT priv_sz = TILE * ro_scals.BLOCK * sizeof(REAL); - ciErr1 |= clSetKernelArg(ckGenPricing_traj, counter++, priv_sz, NULL); // local_space! - } -#endif - - ciErr1 |= clSetKernelArg(ckGenPricing_traj, counter++, sizeof(cl_mem), (void*)&dev_arr.md_z ); - ciErr1 |= clSetKernelArg(ckGenPricing_traj, counter++, sizeof(cl_mem), (void*)&dev_arr.md_zd); - - ciErr1 |= clEnqueueNDRangeKernel( cqCommandQueue, ckGenPricing_traj, 1, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - - - oclCheckError(ciErr1, CL_SUCCESS); - } - - { // final reduction! - //shrLog("Call Compute Reduction kernel on GPU...\n\n"); - counter = 0; - ckGenPricing_finred = clCreateKernel(cpProgram, "mlfi_reduction_step1", &ciErr1); - oclCheckError(ciErr1, CL_SUCCESS); - - ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.ro_scals ); - ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.md_c ); - - ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.md_zd ); - ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.model_vhat ); - - assert( (ro_scals.num_models <= TILE) && "Illegal dataset: num_models > 8" ); - UINT priv_sz = TILE * ro_scals.BLOCK * sizeof(REAL); - ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, priv_sz, NULL); // local_space! - - ciErr1 |= clEnqueueNDRangeKernel( cqCommandQueue, ckGenPricing_finred, 1, NULL, - globalWorkSize, localWorkSize, 0, NULL, NULL ); - oclCheckError(ciErr1, CL_SUCCESS); - - ciErr1 |= clEnqueueReadBuffer( cqCommandQueue, dev_arr.model_vhat, CL_TRUE, 0, - globalWorkSize[0] * ro_scals.num_models * sizeof(REAL), - glb_vhat, 0, NULL, NULL); - oclCheckError(ciErr1, CL_SUCCESS); - } - - clReleaseKernel(ckGenPricing_sobol ); - clReleaseKernel(ckGenPricing_invg ); - clReleaseKernel(ckGenPricing_brown ); - clReleaseKernel(ckGenPricing_traj ); - clReleaseKernel(ckGenPricing_finred); -} - -#endif // GPU_HELPERS - diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/instantiate b/benchmarks/OptionPricing/implementations/cpp_opencl/instantiate deleted file mode 100755 index 914300f..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/instantiate +++ /dev/null @@ -1,27 +0,0 @@ -#!/bin/sh - -set -e - -cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/include/ParserC.h . -cp $FINPAR_LIB_DIR/include/Util.h . -cp $FINPAR_LIB_DIR/include/SDK_stub.h . -cp $FINPAR_LIB_DIR/include/Utilities.cl . -cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . -cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . -cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . -cp -r $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/*cl $FINPAR_IMPLEMENTATION/Makefile $FINPAR_IMPLEMENTATION/ContractDefs . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run < input.data +#$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data $HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk -NCORES=$($HIPERMARK_LIB_DIR/json_get.py $HIPERMARK_PLATFORM num_cores) +#NCORES=$($HIPERMARK_LIB_DIR/json_get.py $HIPERMARK_PLATFORM num_cores) -cat > run < run < $DATASET_NAME +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/Contracts.h b/benchmarks/OptionPricing/implementations/cpp_sequential/Contracts.h deleted file mode 100644 index 9058c84..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/Contracts.h +++ /dev/null @@ -1,1267 +0,0 @@ -#ifndef CONTRACTS_CODE -#define CONTRACTS_CODE - -#define underlyings(i,j) \ - (inst_traj[i*num_under + j]) - -inline -void trajectory_inner( - const UINT& num_cash_flows, - const UINT& model_ind, // the model index - const UINT& disct_index,// index of the discount - const REAL& amount, // update with amount - const REAL* md_discts, // [model_num][num_cash_flow] discounts - double* vhat // [model_num] Accumulated per-model price -) { -#if 0 - UINT prod = ro_scal->num_contracts * ro_scal->inst_num; - UINT index = model_num*ro_scal->num_contracts + contract_number; - index += cur_iter*prod; -#endif - UINT ind = disct_index + model_ind*num_cash_flows; - vhat[model_ind] += (amount * md_discts[ind]); - - //printf("Updating vhat with: %f %f \n", amount, md_discts[ind] ); - - //instance *inst = (instance*) model->model_data; - //inst->vhat[contract_number] += amount * inst->discounts[date_index]; -} - -inline -void trajectory_contract1( // SIMPLE - const UINT& model_num, // the index of the current model - const UINT& num_under, // the number of underlyings - const UINT& num_cash_flows, - const UINT& num_pricers,// the number of deterministic procers - const REAL* md_discts, // [num_models][num_cash_flows] discounts - const REAL* md_detvals, // [num_models, num_det_pricers] pricers - const REAL* inst_traj, // [num_dates, num_under] current trajectory - double* vhat // [model_num] Accumulated per-model price - -) { - REAL amount = ((underlyings(0,0)) - 4000.0) * md_detvals[model_num*num_pricers]; - amount = fmax(0.0, amount); - trajectory_inner( num_cash_flows, model_num, 0, amount, md_discts, vhat ); -} - -inline -void trajectory_contract2( // WORST OFF - const UINT& model_num, // the index of the current model - const UINT& num_under, // the number of underlyings - const UINT& num_cash_flows, - const UINT& num_pricers,// the number of deterministic procers - const REAL* md_discts, // [num_models][num_cash_flows] discounts - const REAL* md_detvals, // [num_models, num_det_pricers] pricers - const REAL* inst_traj, // [num_dates, num_under] current trajectory - double* vhat // [model_num] Accumulated per-model price -) { - double x50; - - if ((1. <= fmin((underlyings(0,1) / 11840.), fmin((underlyings(0,2) / 1200.), (underlyings(0,0) / 3758.05))))) goto L21; - if ((1. <= fmin((underlyings(1,1) / 11840.), fmin((underlyings(1,2) / 1200.), (underlyings(1,0) / 3758.05))))) goto L22; - if ((1. <= fmin((underlyings(2,1) / 11840.), fmin((underlyings(2,2) / 1200.), (underlyings(2,0) / 3758.05))))) goto L23; - if ((1. <= fmin((underlyings(3,1) / 11840.), fmin((underlyings(3,2) / 1200.), (underlyings(3,0) / 3758.05))))) goto L24; - x50=fmin((underlyings(4,1) / 11840.), fmin((underlyings(4,2) / 1200.), (underlyings(4,0) / 3758.05))); - - //model->notify_cash_flow(model, 0, 1000., 4 /*2017-02-03, 2017-01-27, EUR*/); - trajectory_inner( num_cash_flows, model_num, 4, 1000., md_discts, vhat ); - - if ((1. <= x50)) goto L25; - if ((0.75 < x50)) return; - - //model->notify_cash_flow(model, 0, (-(1000. * (1. - x50))), 4 /*2017-02-03, 2017-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 4, (-(1000. * (1. - x50))), md_discts, vhat ); return; -L25: - //model->notify_cash_flow(model, 0, 750., 4 /*2017-02-03, 2017-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 4, 750., md_discts, vhat ); return; -L24: - //model->notify_cash_flow(model, 0, 1600., 3 /*2016-02-03, 2016-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 3, 1600., md_discts, vhat ); return; -L23: - //model->notify_cash_flow(model, 0, 1450., 2 /*2015-02-03, 2015-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 2, 1450., md_discts, vhat ); return; -L22: - //model->notify_cash_flow(model, 0, 1300., 1 /*2014-02-03, 2014-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 1, 1300., md_discts, vhat ); return; -L21: - //model->notify_cash_flow(model, 0, 1150., 0 /*2013-02-01, 2013-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 0, 1150., md_discts, vhat ); return; -} - - - - -// LENGTHY CONTRACT - -inline -void trajectory_contract3( // BARRIER - const UINT& model_num, // the index of the current model - const UINT& num_under, // the number of underlyings - const UINT& num_cash_flows, - const UINT& num_pricers,// the number of deterministic procers - const REAL* md_discts, // [num_models][num_scash_flow] discounts - const REAL* md_detvals, // [num_models, num_det_pricers] pricers - const REAL* inst_traj, // [num_dates, num_under] current trajectory - double* vhat // [model_num] Accumulated per-model price -) { - //assert(model_num==0 && "NUM MODELS > 1"); - UINT x3309; - - if ((underlyings(0,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(0,2) <= 840.)) goto L50; - if ((underlyings(0,1) <= 8288.)) goto L50; - if ((underlyings(1,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(1,2) <= 840.)) goto L50; - if ((underlyings(1,1) <= 8288.)) goto L50; - if ((underlyings(2,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(2,2) <= 840.)) goto L50; - if ((underlyings(2,1) <= 8288.)) goto L50; - if ((underlyings(3,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(3,2) <= 840.)) goto L50; - if ((underlyings(3,1) <= 8288.)) goto L50; - if ((underlyings(4,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(4,2) <= 840.)) goto L50; - if ((underlyings(4,1) <= 8288.)) goto L50; - if ((underlyings(5,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(5,2) <= 840.)) goto L50; - if ((underlyings(5,1) <= 8288.)) goto L50; - if ((underlyings(6,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(6,2) <= 840.)) goto L50; - if ((underlyings(6,1) <= 8288.)) goto L50; - if ((underlyings(7,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(7,2) <= 840.)) goto L50; - if ((underlyings(7,1) <= 8288.)) goto L50; - if ((underlyings(8,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(8,2) <= 840.)) goto L50; - if ((underlyings(8,1) <= 8288.)) goto L50; - if ((underlyings(9,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(9,2) <= 840.)) goto L50; - if ((underlyings(9,1) <= 8288.)) goto L50; - if ((underlyings(10,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(10,2) <= 840.)) goto L50; - if ((underlyings(10,1) <= 8288.)) goto L50; - if ((underlyings(11,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(11,2) <= 840.)) goto L50; - if ((underlyings(11,1) <= 8288.)) goto L50; - if ((underlyings(12,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(12,2) <= 840.)) goto L50; - if ((underlyings(12,1) <= 8288.)) goto L50; - if ((underlyings(13,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(13,2) <= 840.)) goto L50; - if ((underlyings(13,1) <= 8288.)) goto L50; - if ((underlyings(14,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(14,2) <= 840.)) goto L50; - if ((underlyings(14,1) <= 8288.)) goto L50; - if ((underlyings(15,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(15,2) <= 840.)) goto L50; - if ((underlyings(15,1) <= 8288.)) goto L50; - if ((underlyings(16,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(16,2) <= 840.)) goto L50; - if ((underlyings(16,1) <= 8288.)) goto L50; - if ((underlyings(17,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(17,2) <= 840.)) goto L50; - if ((underlyings(17,1) <= 8288.)) goto L50; - if ((underlyings(18,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(18,2) <= 840.)) goto L50; - if ((underlyings(18,1) <= 8288.)) goto L50; - if ((underlyings(19,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(19,2) <= 840.)) goto L50; - if ((underlyings(19,1) <= 8288.)) goto L50; - if ((underlyings(20,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(20,2) <= 840.)) goto L50; - if ((underlyings(20,1) <= 8288.)) goto L50; - if ((underlyings(21,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(21,2) <= 840.)) goto L50; - if ((underlyings(21,1) <= 8288.)) goto L50; - if ((underlyings(22,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(22,2) <= 840.)) goto L50; - if ((underlyings(22,1) <= 8288.)) goto L50; - if ((underlyings(23,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(23,2) <= 840.)) goto L50; - if ((underlyings(23,1) <= 8288.)) goto L50; - if ((underlyings(24,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(24,2) <= 840.)) goto L50; - if ((underlyings(24,1) <= 8288.)) goto L50; - if ((underlyings(25,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(25,2) <= 840.)) goto L50; - if ((underlyings(25,1) <= 8288.)) goto L50; - if ((underlyings(26,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(26,2) <= 840.)) goto L50; - if ((underlyings(26,1) <= 8288.)) goto L50; - if ((underlyings(27,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(27,2) <= 840.)) goto L50; - if ((underlyings(27,1) <= 8288.)) goto L50; - if ((underlyings(28,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(28,2) <= 840.)) goto L50; - if ((underlyings(28,1) <= 8288.)) goto L50; - if ((underlyings(29,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(29,2) <= 840.)) goto L50; - if ((underlyings(29,1) <= 8288.)) goto L50; - if ((underlyings(30,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(30,2) <= 840.)) goto L50; - if ((underlyings(30,1) <= 8288.)) goto L50; - if ((underlyings(31,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(31,2) <= 840.)) goto L50; - if ((underlyings(31,1) <= 8288.)) goto L50; - if ((underlyings(32,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(32,2) <= 840.)) goto L50; - if ((underlyings(32,1) <= 8288.)) goto L50; - if ((underlyings(33,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(33,2) <= 840.)) goto L50; - if ((underlyings(33,1) <= 8288.)) goto L50; - if ((underlyings(34,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(34,2) <= 840.)) goto L50; - if ((underlyings(34,1) <= 8288.)) goto L50; - if ((underlyings(35,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(35,2) <= 840.)) goto L50; - if ((underlyings(35,1) <= 8288.)) goto L50; - if ((underlyings(36,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(36,2) <= 840.)) goto L50; - if ((underlyings(36,1) <= 8288.)) goto L50; - if ((underlyings(37,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(37,2) <= 840.)) goto L50; - if ((underlyings(37,1) <= 8288.)) goto L50; - if ((underlyings(38,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(38,2) <= 840.)) goto L50; - if ((underlyings(38,1) <= 8288.)) goto L50; - if ((underlyings(39,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(39,2) <= 840.)) goto L50; - if ((underlyings(39,1) <= 8288.)) goto L50; - if ((underlyings(40,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(40,2) <= 840.)) goto L50; - if ((underlyings(40,1) <= 8288.)) goto L50; - if ((underlyings(41,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(41,2) <= 840.)) goto L50; - if ((underlyings(41,1) <= 8288.)) goto L50; - if ((underlyings(42,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(42,2) <= 840.)) goto L50; - if ((underlyings(42,1) <= 8288.)) goto L50; - if ((underlyings(43,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(43,2) <= 840.)) goto L50; - if ((underlyings(43,1) <= 8288.)) goto L50; - if ((underlyings(44,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(44,2) <= 840.)) goto L50; - if ((underlyings(44,1) <= 8288.)) goto L50; - if ((underlyings(45,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(45,2) <= 840.)) goto L50; - if ((underlyings(45,1) <= 8288.)) goto L50; - if ((underlyings(46,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(46,2) <= 840.)) goto L50; - if ((underlyings(46,1) <= 8288.)) goto L50; - if ((underlyings(47,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(47,2) <= 840.)) goto L50; - if ((underlyings(47,1) <= 8288.)) goto L50; - if ((underlyings(48,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(48,2) <= 840.)) goto L50; - if ((underlyings(48,1) <= 8288.)) goto L50; - if ((underlyings(49,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(49,2) <= 840.)) goto L50; - if ((underlyings(49,1) <= 8288.)) goto L50; - if ((underlyings(50,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(50,2) <= 840.)) goto L50; - if ((underlyings(50,1) <= 8288.)) goto L50; - if ((underlyings(51,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(51,2) <= 840.)) goto L50; - if ((underlyings(51,1) <= 8288.)) goto L50; - if ((underlyings(52,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(52,2) <= 840.)) goto L50; - if ((underlyings(52,1) <= 8288.)) goto L50; - if ((underlyings(53,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(53,2) <= 840.)) goto L50; - if ((underlyings(53,1) <= 8288.)) goto L50; - if ((underlyings(54,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(54,2) <= 840.)) goto L50; - if ((underlyings(54,1) <= 8288.)) goto L50; - if ((underlyings(55,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(55,2) <= 840.)) goto L50; - if ((underlyings(55,1) <= 8288.)) goto L50; - if ((underlyings(56,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(56,2) <= 840.)) goto L50; - if ((underlyings(56,1) <= 8288.)) goto L50; - if ((underlyings(57,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(57,2) <= 840.)) goto L50; - if ((underlyings(57,1) <= 8288.)) goto L50; - if ((underlyings(58,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(58,2) <= 840.)) goto L50; - if ((underlyings(58,1) <= 8288.)) goto L50; - if ((underlyings(59,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(59,2) <= 840.)) goto L50; - if ((underlyings(59,1) <= 8288.)) goto L50; - if ((underlyings(60,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(60,2) <= 840.)) goto L50; - if ((underlyings(60,1) <= 8288.)) goto L50; - if ((underlyings(61,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(61,2) <= 840.)) goto L50; - if ((underlyings(61,1) <= 8288.)) goto L50; - if ((underlyings(62,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(62,2) <= 840.)) goto L50; - if ((underlyings(62,1) <= 8288.)) goto L50; - if ((underlyings(63,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(63,2) <= 840.)) goto L50; - if ((underlyings(63,1) <= 8288.)) goto L50; - if ((underlyings(64,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(64,2) <= 840.)) goto L50; - if ((underlyings(64,1) <= 8288.)) goto L50; - if ((underlyings(65,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(65,2) <= 840.)) goto L50; - if ((underlyings(65,1) <= 8288.)) goto L50; - if ((underlyings(66,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(66,2) <= 840.)) goto L50; - if ((underlyings(66,1) <= 8288.)) goto L50; - if ((underlyings(67,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(67,2) <= 840.)) goto L50; - if ((underlyings(67,1) <= 8288.)) goto L50; - if ((underlyings(68,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(68,2) <= 840.)) goto L50; - if ((underlyings(68,1) <= 8288.)) goto L50; - if ((underlyings(69,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(69,2) <= 840.)) goto L50; - if ((underlyings(69,1) <= 8288.)) goto L50; - if ((underlyings(70,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(70,2) <= 840.)) goto L50; - if ((underlyings(70,1) <= 8288.)) goto L50; - if ((underlyings(71,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(71,2) <= 840.)) goto L50; - if ((underlyings(71,1) <= 8288.)) goto L50; - if ((underlyings(72,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(72,2) <= 840.)) goto L50; - if ((underlyings(72,1) <= 8288.)) goto L50; - if ((underlyings(73,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(73,2) <= 840.)) goto L50; - if ((underlyings(73,1) <= 8288.)) goto L50; - if ((underlyings(74,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(74,2) <= 840.)) goto L50; - if ((underlyings(74,1) <= 8288.)) goto L50; - if ((underlyings(75,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(75,2) <= 840.)) goto L50; - if ((underlyings(75,1) <= 8288.)) goto L50; - if ((underlyings(76,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(76,2) <= 840.)) goto L50; - if ((underlyings(76,1) <= 8288.)) goto L50; - if ((underlyings(77,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(77,2) <= 840.)) goto L50; - if ((underlyings(77,1) <= 8288.)) goto L50; - if ((underlyings(78,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(78,2) <= 840.)) goto L50; - if ((underlyings(78,1) <= 8288.)) goto L50; - if ((underlyings(79,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(79,2) <= 840.)) goto L50; - if ((underlyings(79,1) <= 8288.)) goto L50; - if ((underlyings(80,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(80,2) <= 840.)) goto L50; - if ((underlyings(80,1) <= 8288.)) goto L50; - if ((underlyings(81,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(81,2) <= 840.)) goto L50; - if ((underlyings(81,1) <= 8288.)) goto L50; - if ((underlyings(82,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(82,2) <= 840.)) goto L50; - if ((underlyings(82,1) <= 8288.)) goto L50; - if ((underlyings(83,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(83,2) <= 840.)) goto L50; - if ((underlyings(83,1) <= 8288.)) goto L50; - if ((underlyings(84,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(84,2) <= 840.)) goto L50; - if ((underlyings(84,1) <= 8288.)) goto L50; - if ((underlyings(85,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(85,2) <= 840.)) goto L50; - if ((underlyings(85,1) <= 8288.)) goto L50; - if ((underlyings(86,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(86,2) <= 840.)) goto L50; - if ((underlyings(86,1) <= 8288.)) goto L50; - if ((underlyings(87,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(87,2) <= 840.)) goto L50; - if ((underlyings(87,1) <= 8288.)) goto L50; - if ((underlyings(88,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(88,2) <= 840.)) goto L50; - if ((underlyings(88,1) <= 8288.)) goto L50; - if ((underlyings(89,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(89,2) <= 840.)) goto L50; - if ((underlyings(89,1) <= 8288.)) goto L50; - if ((underlyings(90,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(90,2) <= 840.)) goto L50; - if ((underlyings(90,1) <= 8288.)) goto L50; - if ((underlyings(91,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(91,2) <= 840.)) goto L50; - if ((underlyings(91,1) <= 8288.)) goto L50; - if ((underlyings(92,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(92,2) <= 840.)) goto L50; - if ((underlyings(92,1) <= 8288.)) goto L50; - if ((underlyings(93,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(93,2) <= 840.)) goto L50; - if ((underlyings(93,1) <= 8288.)) goto L50; - if ((underlyings(94,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(94,2) <= 840.)) goto L50; - if ((underlyings(94,1) <= 8288.)) goto L50; - if ((underlyings(95,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(95,2) <= 840.)) goto L50; - if ((underlyings(95,1) <= 8288.)) goto L50; - if ((underlyings(96,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(96,2) <= 840.)) goto L50; - if ((underlyings(96,1) <= 8288.)) goto L50; - if ((underlyings(97,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(97,2) <= 840.)) goto L50; - if ((underlyings(97,1) <= 8288.)) goto L50; - if ((underlyings(98,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(98,2) <= 840.)) goto L50; - if ((underlyings(98,1) <= 8288.)) goto L50; - if ((underlyings(99,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(99,2) <= 840.)) goto L50; - if ((underlyings(99,1) <= 8288.)) goto L50; - if ((underlyings(100,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(100,2) <= 840.)) goto L50; - if ((underlyings(100,1) <= 8288.)) goto L50; - if ((underlyings(101,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(101,2) <= 840.)) goto L50; - if ((underlyings(101,1) <= 8288.)) goto L50; - if ((underlyings(102,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(102,2) <= 840.)) goto L50; - if ((underlyings(102,1) <= 8288.)) goto L50; - if ((underlyings(103,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(103,2) <= 840.)) goto L50; - if ((underlyings(103,1) <= 8288.)) goto L50; - if ((underlyings(104,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(104,2) <= 840.)) goto L50; - if ((underlyings(104,1) <= 8288.)) goto L50; - if ((underlyings(105,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(105,2) <= 840.)) goto L50; - if ((underlyings(105,1) <= 8288.)) goto L50; - if ((underlyings(106,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(106,2) <= 840.)) goto L50; - if ((underlyings(106,1) <= 8288.)) goto L50; - if ((underlyings(107,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(107,2) <= 840.)) goto L50; - if ((underlyings(107,1) <= 8288.)) goto L50; - if ((underlyings(108,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(108,2) <= 840.)) goto L50; - if ((underlyings(108,1) <= 8288.)) goto L50; - if ((underlyings(109,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(109,2) <= 840.)) goto L50; - if ((underlyings(109,1) <= 8288.)) goto L50; - if ((underlyings(110,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(110,2) <= 840.)) goto L50; - if ((underlyings(110,1) <= 8288.)) goto L50; - if ((underlyings(111,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(111,2) <= 840.)) goto L50; - if ((underlyings(111,1) <= 8288.)) goto L50; - if ((underlyings(112,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(112,2) <= 840.)) goto L50; - if ((underlyings(112,1) <= 8288.)) goto L50; - if ((underlyings(113,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(113,2) <= 840.)) goto L50; - if ((underlyings(113,1) <= 8288.)) goto L50; - if ((underlyings(114,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(114,2) <= 840.)) goto L50; - if ((underlyings(114,1) <= 8288.)) goto L50; - if ((underlyings(115,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(115,2) <= 840.)) goto L50; - if ((underlyings(115,1) <= 8288.)) goto L50; - if ((underlyings(116,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(116,2) <= 840.)) goto L50; - if ((underlyings(116,1) <= 8288.)) goto L50; - if ((underlyings(117,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(117,2) <= 840.)) goto L50; - if ((underlyings(117,1) <= 8288.)) goto L50; - if ((underlyings(118,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(118,2) <= 840.)) goto L50; - if ((underlyings(118,1) <= 8288.)) goto L50; - if ((underlyings(119,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(119,2) <= 840.)) goto L50; - if ((underlyings(119,1) <= 8288.)) goto L50; - if ((underlyings(120,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(120,2) <= 840.)) goto L50; - if ((underlyings(120,1) <= 8288.)) goto L50; - if ((underlyings(121,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(121,2) <= 840.)) goto L50; - if ((underlyings(121,1) <= 8288.)) goto L50; - if ((underlyings(122,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(122,2) <= 840.)) goto L50; - if ((underlyings(122,1) <= 8288.)) goto L50; - if ((underlyings(123,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(123,2) <= 840.)) goto L50; - if ((underlyings(123,1) <= 8288.)) goto L50; - if ((underlyings(124,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(124,2) <= 840.)) goto L50; - if ((underlyings(124,1) <= 8288.)) goto L50; - if ((underlyings(125,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(125,2) <= 840.)) goto L50; - if ((underlyings(125,1) <= 8288.)) goto L50; - if ((underlyings(126,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(126,2) <= 840.)) goto L50; - if ((underlyings(126,1) <= 8288.)) goto L50; - if ((underlyings(127,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(127,2) <= 840.)) goto L50; - if ((underlyings(127,1) <= 8288.)) goto L50; - if ((underlyings(128,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(128,2) <= 840.)) goto L50; - if ((underlyings(128,1) <= 8288.)) goto L50; - if ((underlyings(129,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(129,2) <= 840.)) goto L50; - if ((underlyings(129,1) <= 8288.)) goto L50; - if ((underlyings(130,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(130,2) <= 840.)) goto L50; - if ((underlyings(130,1) <= 8288.)) goto L50; - if ((underlyings(131,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(131,2) <= 840.)) goto L50; - if ((underlyings(131,1) <= 8288.)) goto L50; - if ((underlyings(132,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(132,2) <= 840.)) goto L50; - if ((underlyings(132,1) <= 8288.)) goto L50; - if ((underlyings(133,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(133,2) <= 840.)) goto L50; - if ((underlyings(133,1) <= 8288.)) goto L50; - if ((underlyings(134,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(134,2) <= 840.)) goto L50; - if ((underlyings(134,1) <= 8288.)) goto L50; - if ((underlyings(135,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(135,2) <= 840.)) goto L50; - if ((underlyings(135,1) <= 8288.)) goto L50; - if ((underlyings(136,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(136,2) <= 840.)) goto L50; - if ((underlyings(136,1) <= 8288.)) goto L50; - if ((underlyings(137,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(137,2) <= 840.)) goto L50; - if ((underlyings(137,1) <= 8288.)) goto L50; - if ((underlyings(138,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(138,2) <= 840.)) goto L50; - if ((underlyings(138,1) <= 8288.)) goto L50; - if ((underlyings(139,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(139,2) <= 840.)) goto L50; - if ((underlyings(139,1) <= 8288.)) goto L50; - if ((underlyings(140,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(140,2) <= 840.)) goto L50; - if ((underlyings(140,1) <= 8288.)) goto L50; - if ((underlyings(141,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(141,2) <= 840.)) goto L50; - if ((underlyings(141,1) <= 8288.)) goto L50; - if ((underlyings(142,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(142,2) <= 840.)) goto L50; - if ((underlyings(142,1) <= 8288.)) goto L50; - if ((underlyings(143,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(143,2) <= 840.)) goto L50; - if ((underlyings(143,1) <= 8288.)) goto L50; - if ((underlyings(144,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(144,2) <= 840.)) goto L50; - if ((underlyings(144,1) <= 8288.)) goto L50; - if ((underlyings(145,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(145,2) <= 840.)) goto L50; - if ((underlyings(145,1) <= 8288.)) goto L50; - if ((underlyings(146,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(146,2) <= 840.)) goto L50; - if ((underlyings(146,1) <= 8288.)) goto L50; - if ((underlyings(147,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(147,2) <= 840.)) goto L50; - if ((underlyings(147,1) <= 8288.)) goto L50; - if ((underlyings(148,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(148,2) <= 840.)) goto L50; - if ((underlyings(148,1) <= 8288.)) goto L50; - if ((underlyings(149,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(149,2) <= 840.)) goto L50; - if ((underlyings(149,1) <= 8288.)) goto L50; - if ((underlyings(150,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(150,2) <= 840.)) goto L50; - if ((underlyings(150,1) <= 8288.)) goto L50; - if ((underlyings(151,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(151,2) <= 840.)) goto L50; - if ((underlyings(151,1) <= 8288.)) goto L50; - if ((underlyings(152,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(152,2) <= 840.)) goto L50; - if ((underlyings(152,1) <= 8288.)) goto L50; - if ((underlyings(153,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(153,2) <= 840.)) goto L50; - if ((underlyings(153,1) <= 8288.)) goto L50; - if ((underlyings(154,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(154,2) <= 840.)) goto L50; - if ((underlyings(154,1) <= 8288.)) goto L50; - if ((underlyings(155,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(155,2) <= 840.)) goto L50; - if ((underlyings(155,1) <= 8288.)) goto L50; - if ((underlyings(156,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(156,2) <= 840.)) goto L50; - if ((underlyings(156,1) <= 8288.)) goto L50; - if ((underlyings(157,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(157,2) <= 840.)) goto L50; - if ((underlyings(157,1) <= 8288.)) goto L50; - if ((underlyings(158,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(158,2) <= 840.)) goto L50; - if ((underlyings(158,1) <= 8288.)) goto L50; - if ((underlyings(159,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(159,2) <= 840.)) goto L50; - if ((underlyings(159,1) <= 8288.)) goto L50; - if ((underlyings(160,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(160,2) <= 840.)) goto L50; - if ((underlyings(160,1) <= 8288.)) goto L50; - if ((underlyings(161,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(161,2) <= 840.)) goto L50; - if ((underlyings(161,1) <= 8288.)) goto L50; - if ((underlyings(162,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(162,2) <= 840.)) goto L50; - if ((underlyings(162,1) <= 8288.)) goto L50; - if ((underlyings(163,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(163,2) <= 840.)) goto L50; - if ((underlyings(163,1) <= 8288.)) goto L50; - if ((underlyings(164,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(164,2) <= 840.)) goto L50; - if ((underlyings(164,1) <= 8288.)) goto L50; - if ((underlyings(165,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(165,2) <= 840.)) goto L50; - if ((underlyings(165,1) <= 8288.)) goto L50; - if ((underlyings(166,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(166,2) <= 840.)) goto L50; - if ((underlyings(166,1) <= 8288.)) goto L50; - if ((underlyings(167,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(167,2) <= 840.)) goto L50; - if ((underlyings(167,1) <= 8288.)) goto L50; - if ((underlyings(168,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(168,2) <= 840.)) goto L50; - if ((underlyings(168,1) <= 8288.)) goto L50; - if ((underlyings(169,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(169,2) <= 840.)) goto L50; - if ((underlyings(169,1) <= 8288.)) goto L50; - if ((underlyings(170,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(170,2) <= 840.)) goto L50; - if ((underlyings(170,1) <= 8288.)) goto L50; - if ((underlyings(171,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(171,2) <= 840.)) goto L50; - if ((underlyings(171,1) <= 8288.)) goto L50; - if ((underlyings(172,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(172,2) <= 840.)) goto L50; - if ((underlyings(172,1) <= 8288.)) goto L50; - if ((underlyings(173,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(173,2) <= 840.)) goto L50; - if ((underlyings(173,1) <= 8288.)) goto L50; - if ((underlyings(174,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(174,2) <= 840.)) goto L50; - if ((underlyings(174,1) <= 8288.)) goto L50; - if ((underlyings(175,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(175,2) <= 840.)) goto L50; - if ((underlyings(175,1) <= 8288.)) goto L50; - if ((underlyings(176,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(176,2) <= 840.)) goto L50; - if ((underlyings(176,1) <= 8288.)) goto L50; - if ((underlyings(177,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(177,2) <= 840.)) goto L50; - if ((underlyings(177,1) <= 8288.)) goto L50; - if ((underlyings(178,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(178,2) <= 840.)) goto L50; - if ((underlyings(178,1) <= 8288.)) goto L50; - if ((underlyings(179,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(179,2) <= 840.)) goto L50; - if ((underlyings(179,1) <= 8288.)) goto L50; - if ((underlyings(180,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(180,2) <= 840.)) goto L50; - if ((underlyings(180,1) <= 8288.)) goto L50; - if ((underlyings(181,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(181,2) <= 840.)) goto L50; - if ((underlyings(181,1) <= 8288.)) goto L50; - if ((underlyings(182,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(182,2) <= 840.)) goto L50; - if ((underlyings(182,1) <= 8288.)) goto L50; - if ((underlyings(183,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(183,2) <= 840.)) goto L50; - if ((underlyings(183,1) <= 8288.)) goto L50; - if ((underlyings(184,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(184,2) <= 840.)) goto L50; - if ((underlyings(184,1) <= 8288.)) goto L50; - if ((underlyings(185,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(185,2) <= 840.)) goto L50; - if ((underlyings(185,1) <= 8288.)) goto L50; - if ((underlyings(186,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(186,2) <= 840.)) goto L50; - if ((underlyings(186,1) <= 8288.)) goto L50; - if ((underlyings(187,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(187,2) <= 840.)) goto L50; - if ((underlyings(187,1) <= 8288.)) goto L50; - if ((underlyings(188,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(188,2) <= 840.)) goto L50; - if ((underlyings(188,1) <= 8288.)) goto L50; - if ((underlyings(189,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(189,2) <= 840.)) goto L50; - if ((underlyings(189,1) <= 8288.)) goto L50; - if ((underlyings(190,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(190,2) <= 840.)) goto L50; - if ((underlyings(190,1) <= 8288.)) goto L50; - if ((underlyings(191,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(191,2) <= 840.)) goto L50; - if ((underlyings(191,1) <= 8288.)) goto L50; - if ((underlyings(192,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(192,2) <= 840.)) goto L50; - if ((underlyings(192,1) <= 8288.)) goto L50; - if ((underlyings(193,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(193,2) <= 840.)) goto L50; - if ((underlyings(193,1) <= 8288.)) goto L50; - if ((underlyings(194,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(194,2) <= 840.)) goto L50; - if ((underlyings(194,1) <= 8288.)) goto L50; - if ((underlyings(195,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(195,2) <= 840.)) goto L50; - if ((underlyings(195,1) <= 8288.)) goto L50; - if ((underlyings(196,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(196,2) <= 840.)) goto L50; - if ((underlyings(196,1) <= 8288.)) goto L50; - if ((underlyings(197,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(197,2) <= 840.)) goto L50; - if ((underlyings(197,1) <= 8288.)) goto L50; - if ((underlyings(198,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(198,2) <= 840.)) goto L50; - if ((underlyings(198,1) <= 8288.)) goto L50; - if ((underlyings(199,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(199,2) <= 840.)) goto L50; - if ((underlyings(199,1) <= 8288.)) goto L50; - if ((underlyings(200,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(200,2) <= 840.)) goto L50; - if ((underlyings(200,1) <= 8288.)) goto L50; - if ((underlyings(201,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(201,2) <= 840.)) goto L50; - if ((underlyings(201,1) <= 8288.)) goto L50; - if ((underlyings(202,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(202,2) <= 840.)) goto L50; - if ((underlyings(202,1) <= 8288.)) goto L50; - if ((underlyings(203,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(203,2) <= 840.)) goto L50; - if ((underlyings(203,1) <= 8288.)) goto L50; - if ((underlyings(204,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(204,2) <= 840.)) goto L50; - if ((underlyings(204,1) <= 8288.)) goto L50; - if ((underlyings(205,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(205,2) <= 840.)) goto L50; - if ((underlyings(205,1) <= 8288.)) goto L50; - if ((underlyings(206,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(206,2) <= 840.)) goto L50; - if ((underlyings(206,1) <= 8288.)) goto L50; - if ((underlyings(207,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(207,2) <= 840.)) goto L50; - if ((underlyings(207,1) <= 8288.)) goto L50; - if ((underlyings(208,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(208,2) <= 840.)) goto L50; - if ((underlyings(208,1) <= 8288.)) goto L50; - if ((underlyings(209,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(209,2) <= 840.)) goto L50; - if ((underlyings(209,1) <= 8288.)) goto L50; - if ((underlyings(210,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(210,2) <= 840.)) goto L50; - if ((underlyings(210,1) <= 8288.)) goto L50; - if ((underlyings(211,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(211,2) <= 840.)) goto L50; - if ((underlyings(211,1) <= 8288.)) goto L50; - if ((underlyings(212,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(212,2) <= 840.)) goto L50; - if ((underlyings(212,1) <= 8288.)) goto L50; - if ((underlyings(213,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(213,2) <= 840.)) goto L50; - if ((underlyings(213,1) <= 8288.)) goto L50; - if ((underlyings(214,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(214,2) <= 840.)) goto L50; - if ((underlyings(214,1) <= 8288.)) goto L50; - if ((underlyings(215,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(215,2) <= 840.)) goto L50; - if ((underlyings(215,1) <= 8288.)) goto L50; - if ((underlyings(216,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(216,2) <= 840.)) goto L50; - if ((underlyings(216,1) <= 8288.)) goto L50; - if ((underlyings(217,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(217,2) <= 840.)) goto L50; - if ((underlyings(217,1) <= 8288.)) goto L50; - if ((underlyings(218,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(218,2) <= 840.)) goto L50; - if ((underlyings(218,1) <= 8288.)) goto L50; - if ((underlyings(219,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(219,2) <= 840.)) goto L50; - if ((underlyings(219,1) <= 8288.)) goto L50; - if ((underlyings(220,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(220,2) <= 840.)) goto L50; - if ((underlyings(220,1) <= 8288.)) goto L50; - if ((underlyings(221,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(221,2) <= 840.)) goto L50; - if ((underlyings(221,1) <= 8288.)) goto L50; - if ((underlyings(222,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(222,2) <= 840.)) goto L50; - if ((underlyings(222,1) <= 8288.)) goto L50; - if ((underlyings(223,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(223,2) <= 840.)) goto L50; - if ((underlyings(223,1) <= 8288.)) goto L50; - if ((underlyings(224,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(224,2) <= 840.)) goto L50; - if ((underlyings(224,1) <= 8288.)) goto L50; - if ((underlyings(225,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(225,2) <= 840.)) goto L50; - if ((underlyings(225,1) <= 8288.)) goto L50; - if ((underlyings(226,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(226,2) <= 840.)) goto L50; - if ((underlyings(226,1) <= 8288.)) goto L50; - if ((underlyings(227,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(227,2) <= 840.)) goto L50; - if ((underlyings(227,1) <= 8288.)) goto L50; - if ((underlyings(228,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(228,2) <= 840.)) goto L50; - if ((underlyings(228,1) <= 8288.)) goto L50; - if ((underlyings(229,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(229,2) <= 840.)) goto L50; - if ((underlyings(229,1) <= 8288.)) goto L50; - if ((underlyings(230,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(230,2) <= 840.)) goto L50; - if ((underlyings(230,1) <= 8288.)) goto L50; - if ((underlyings(231,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(231,2) <= 840.)) goto L50; - if ((underlyings(231,1) <= 8288.)) goto L50; - if ((underlyings(232,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(232,2) <= 840.)) goto L50; - if ((underlyings(232,1) <= 8288.)) goto L50; - if ((underlyings(233,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(233,2) <= 840.)) goto L50; - if ((underlyings(233,1) <= 8288.)) goto L50; - if ((underlyings(234,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(234,2) <= 840.)) goto L50; - if ((underlyings(234,1) <= 8288.)) goto L50; - if ((underlyings(235,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(235,2) <= 840.)) goto L50; - if ((underlyings(235,1) <= 8288.)) goto L50; - if ((underlyings(236,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(236,2) <= 840.)) goto L50; - if ((underlyings(236,1) <= 8288.)) goto L50; - if ((underlyings(237,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(237,2) <= 840.)) goto L50; - if ((underlyings(237,1) <= 8288.)) goto L50; - if ((underlyings(238,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(238,2) <= 840.)) goto L50; - if ((underlyings(238,1) <= 8288.)) goto L50; - if ((underlyings(239,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(239,2) <= 840.)) goto L50; - if ((underlyings(239,1) <= 8288.)) goto L50; - if ((underlyings(240,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(240,2) <= 840.)) goto L50; - if ((underlyings(240,1) <= 8288.)) goto L50; - if ((underlyings(241,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(241,2) <= 840.)) goto L50; - if ((underlyings(241,1) <= 8288.)) goto L50; - if ((underlyings(242,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(242,2) <= 840.)) goto L50; - if ((underlyings(242,1) <= 8288.)) goto L50; - if ((underlyings(243,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(243,2) <= 840.)) goto L50; - if ((underlyings(243,1) <= 8288.)) goto L50; - if ((underlyings(244,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(244,2) <= 840.)) goto L50; - if ((underlyings(244,1) <= 8288.)) goto L50; - if ((underlyings(245,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(245,2) <= 840.)) goto L50; - if ((underlyings(245,1) <= 8288.)) goto L50; - if ((underlyings(246,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(246,2) <= 840.)) goto L50; - if ((underlyings(246,1) <= 8288.)) goto L50; - if ((underlyings(247,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(247,2) <= 840.)) goto L50; - if ((underlyings(247,1) <= 8288.)) goto L50; - if ((underlyings(248,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(248,2) <= 840.)) goto L50; - if ((underlyings(248,1) <= 8288.)) goto L50; - if ((underlyings(249,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(249,2) <= 840.)) goto L50; - if ((underlyings(249,1) <= 8288.)) goto L50; - if ((underlyings(250,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(250,2) <= 840.)) goto L50; - if ((underlyings(250,1) <= 8288.)) goto L50; - if ((underlyings(251,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(251,2) <= 840.)) goto L50; - if ((underlyings(251,1) <= 8288.)) goto L50; - if ((underlyings(252,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(252,2) <= 840.)) goto L50; - if ((underlyings(252,1) <= 8288.)) goto L50; - if ((underlyings(253,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(253,2) <= 840.)) goto L50; - if ((underlyings(253,1) <= 8288.)) goto L50; - if ((underlyings(254,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(254,2) <= 840.)) goto L50; - if ((underlyings(254,1) <= 8288.)) goto L50; - if ((underlyings(255,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(255,2) <= 840.)) goto L50; - if ((underlyings(255,1) <= 8288.)) goto L50; - if ((underlyings(256,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(256,2) <= 840.)) goto L50; - if ((underlyings(256,1) <= 8288.)) goto L50; - if ((underlyings(257,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(257,2) <= 840.)) goto L50; - if ((underlyings(257,1) <= 8288.)) goto L50; - if ((underlyings(258,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(258,2) <= 840.)) goto L50; - if ((underlyings(258,1) <= 8288.)) goto L50; - if ((underlyings(259,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(259,2) <= 840.)) goto L50; - if ((underlyings(259,1) <= 8288.)) goto L50; - if ((underlyings(260,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(260,2) <= 840.)) goto L50; - if ((underlyings(260,1) <= 8288.)) goto L50; - if ((underlyings(261,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(261,2) <= 840.)) goto L50; - if ((underlyings(261,1) <= 8288.)) goto L50; - if ((underlyings(262,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(262,2) <= 840.)) goto L50; - if ((underlyings(262,1) <= 8288.)) goto L50; - if ((underlyings(263,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(263,2) <= 840.)) goto L50; - if ((underlyings(263,1) <= 8288.)) goto L50; - if ((underlyings(264,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(264,2) <= 840.)) goto L50; - if ((underlyings(264,1) <= 8288.)) goto L50; - if ((underlyings(265,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(265,2) <= 840.)) goto L50; - if ((underlyings(265,1) <= 8288.)) goto L50; - if ((underlyings(266,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(266,2) <= 840.)) goto L50; - if ((underlyings(266,1) <= 8288.)) goto L50; - if ((underlyings(267,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(267,2) <= 840.)) goto L50; - if ((underlyings(267,1) <= 8288.)) goto L50; - if ((underlyings(268,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(268,2) <= 840.)) goto L50; - if ((underlyings(268,1) <= 8288.)) goto L50; - if ((underlyings(269,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(269,2) <= 840.)) goto L50; - if ((underlyings(269,1) <= 8288.)) goto L50; - if ((underlyings(270,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(270,2) <= 840.)) goto L50; - if ((underlyings(270,1) <= 8288.)) goto L50; - if ((underlyings(271,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(271,2) <= 840.)) goto L50; - if ((underlyings(271,1) <= 8288.)) goto L50; - if ((underlyings(272,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(272,2) <= 840.)) goto L50; - if ((underlyings(272,1) <= 8288.)) goto L50; - if ((underlyings(273,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(273,2) <= 840.)) goto L50; - if ((underlyings(273,1) <= 8288.)) goto L50; - if ((underlyings(274,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(274,2) <= 840.)) goto L50; - if ((underlyings(274,1) <= 8288.)) goto L50; - if ((underlyings(275,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(275,2) <= 840.)) goto L50; - if ((underlyings(275,1) <= 8288.)) goto L50; - if ((underlyings(276,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(276,2) <= 840.)) goto L50; - if ((underlyings(276,1) <= 8288.)) goto L50; - if ((underlyings(277,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(277,2) <= 840.)) goto L50; - if ((underlyings(277,1) <= 8288.)) goto L50; - if ((underlyings(278,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(278,2) <= 840.)) goto L50; - if ((underlyings(278,1) <= 8288.)) goto L50; - if ((underlyings(279,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(279,2) <= 840.)) goto L50; - if ((underlyings(279,1) <= 8288.)) goto L50; - if ((underlyings(280,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(280,2) <= 840.)) goto L50; - if ((underlyings(280,1) <= 8288.)) goto L50; - if ((underlyings(281,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(281,2) <= 840.)) goto L50; - if ((underlyings(281,1) <= 8288.)) goto L50; - if ((underlyings(282,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(282,2) <= 840.)) goto L50; - if ((underlyings(282,1) <= 8288.)) goto L50; - if ((underlyings(283,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(283,2) <= 840.)) goto L50; - if ((underlyings(283,1) <= 8288.)) goto L50; - if ((underlyings(284,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(284,2) <= 840.)) goto L50; - if ((underlyings(284,1) <= 8288.)) goto L50; - if ((underlyings(285,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(285,2) <= 840.)) goto L50; - if ((underlyings(285,1) <= 8288.)) goto L50; - if ((underlyings(286,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(286,2) <= 840.)) goto L50; - if ((underlyings(286,1) <= 8288.)) goto L50; - if ((underlyings(287,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(287,2) <= 840.)) goto L50; - if ((underlyings(287,1) <= 8288.)) goto L50; - if ((underlyings(288,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(288,2) <= 840.)) goto L50; - if ((underlyings(288,1) <= 8288.)) goto L50; - if ((underlyings(289,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(289,2) <= 840.)) goto L50; - if ((underlyings(289,1) <= 8288.)) goto L50; - if ((underlyings(290,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(290,2) <= 840.)) goto L50; - if ((underlyings(290,1) <= 8288.)) goto L50; - if ((underlyings(291,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(291,2) <= 840.)) goto L50; - if ((underlyings(291,1) <= 8288.)) goto L50; - if ((underlyings(292,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(292,2) <= 840.)) goto L50; - if ((underlyings(292,1) <= 8288.)) goto L50; - if ((underlyings(293,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(293,2) <= 840.)) goto L50; - if ((underlyings(293,1) <= 8288.)) goto L50; - if ((underlyings(294,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(294,2) <= 840.)) goto L50; - if ((underlyings(294,1) <= 8288.)) goto L50; - if ((underlyings(295,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(295,2) <= 840.)) goto L50; - if ((underlyings(295,1) <= 8288.)) goto L50; - if ((underlyings(296,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(296,2) <= 840.)) goto L50; - if ((underlyings(296,1) <= 8288.)) goto L50; - if ((underlyings(297,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(297,2) <= 840.)) goto L50; - if ((underlyings(297,1) <= 8288.)) goto L50; - if ((underlyings(298,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(298,2) <= 840.)) goto L50; - if ((underlyings(298,1) <= 8288.)) goto L50; - if ((underlyings(299,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(299,2) <= 840.)) goto L50; - if ((underlyings(299,1) <= 8288.)) goto L50; - if ((underlyings(300,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(300,2) <= 840.)) goto L50; - if ((underlyings(300,1) <= 8288.)) goto L50; - if ((underlyings(301,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(301,2) <= 840.)) goto L50; - if ((underlyings(301,1) <= 8288.)) goto L50; - if ((underlyings(302,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(302,2) <= 840.)) goto L50; - if ((underlyings(302,1) <= 8288.)) goto L50; - if ((underlyings(303,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(303,2) <= 840.)) goto L50; - if ((underlyings(303,1) <= 8288.)) goto L50; - if ((underlyings(304,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(304,2) <= 840.)) goto L50; - if ((underlyings(304,1) <= 8288.)) goto L50; - if ((underlyings(305,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(305,2) <= 840.)) goto L50; - if ((underlyings(305,1) <= 8288.)) goto L50; - if ((underlyings(306,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(306,2) <= 840.)) goto L50; - if ((underlyings(306,1) <= 8288.)) goto L50; - if ((underlyings(307,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(307,2) <= 840.)) goto L50; - if ((underlyings(307,1) <= 8288.)) goto L50; - if ((underlyings(308,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(308,2) <= 840.)) goto L50; - if ((underlyings(308,1) <= 8288.)) goto L50; - if ((underlyings(309,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(309,2) <= 840.)) goto L50; - if ((underlyings(309,1) <= 8288.)) goto L50; - if ((underlyings(310,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(310,2) <= 840.)) goto L50; - if ((underlyings(310,1) <= 8288.)) goto L50; - if ((underlyings(311,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(311,2) <= 840.)) goto L50; - if ((underlyings(311,1) <= 8288.)) goto L50; - if ((underlyings(312,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(312,2) <= 840.)) goto L50; - if ((underlyings(312,1) <= 8288.)) goto L50; - if ((underlyings(313,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(313,2) <= 840.)) goto L50; - if ((underlyings(313,1) <= 8288.)) goto L50; - if ((underlyings(314,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(314,2) <= 840.)) goto L50; - if ((underlyings(314,1) <= 8288.)) goto L50; - if ((underlyings(315,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(315,2) <= 840.)) goto L50; - if ((underlyings(315,1) <= 8288.)) goto L50; - if ((underlyings(316,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(316,2) <= 840.)) goto L50; - if ((underlyings(316,1) <= 8288.)) goto L50; - if ((underlyings(317,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(317,2) <= 840.)) goto L50; - if ((underlyings(317,1) <= 8288.)) goto L50; - if ((underlyings(318,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(318,2) <= 840.)) goto L50; - if ((underlyings(318,1) <= 8288.)) goto L50; - if ((underlyings(319,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(319,2) <= 840.)) goto L50; - if ((underlyings(319,1) <= 8288.)) goto L50; - if ((underlyings(320,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(320,2) <= 840.)) goto L50; - if ((underlyings(320,1) <= 8288.)) goto L50; - if ((underlyings(321,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(321,2) <= 840.)) goto L50; - if ((underlyings(321,1) <= 8288.)) goto L50; - if ((underlyings(322,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(322,2) <= 840.)) goto L50; - if ((underlyings(322,1) <= 8288.)) goto L50; - if ((underlyings(323,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(323,2) <= 840.)) goto L50; - if ((underlyings(323,1) <= 8288.)) goto L50; - if ((underlyings(324,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(324,2) <= 840.)) goto L50; - if ((underlyings(324,1) <= 8288.)) goto L50; - if ((underlyings(325,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(325,2) <= 840.)) goto L50; - if ((underlyings(325,1) <= 8288.)) goto L50; - if ((underlyings(326,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(326,2) <= 840.)) goto L50; - if ((underlyings(326,1) <= 8288.)) goto L50; - if ((underlyings(327,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(327,2) <= 840.)) goto L50; - if ((underlyings(327,1) <= 8288.)) goto L50; - if ((underlyings(328,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(328,2) <= 840.)) goto L50; - if ((underlyings(328,1) <= 8288.)) goto L50; - if ((underlyings(329,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(329,2) <= 840.)) goto L50; - if ((underlyings(329,1) <= 8288.)) goto L50; - if ((underlyings(330,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(330,2) <= 840.)) goto L50; - if ((underlyings(330,1) <= 8288.)) goto L50; - if ((underlyings(331,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(331,2) <= 840.)) goto L50; - if ((underlyings(331,1) <= 8288.)) goto L50; - if ((underlyings(332,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(332,2) <= 840.)) goto L50; - if ((underlyings(332,1) <= 8288.)) goto L50; - if ((underlyings(333,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(333,2) <= 840.)) goto L50; - if ((underlyings(333,1) <= 8288.)) goto L50; - if ((underlyings(334,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(334,2) <= 840.)) goto L50; - if ((underlyings(334,1) <= 8288.)) goto L50; - if ((underlyings(335,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(335,2) <= 840.)) goto L50; - if ((underlyings(335,1) <= 8288.)) goto L50; - if ((underlyings(336,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(336,2) <= 840.)) goto L50; - if ((underlyings(336,1) <= 8288.)) goto L50; - if ((underlyings(337,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(337,2) <= 840.)) goto L50; - if ((underlyings(337,1) <= 8288.)) goto L50; - if ((underlyings(338,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(338,2) <= 840.)) goto L50; - if ((underlyings(338,1) <= 8288.)) goto L50; - if ((underlyings(339,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(339,2) <= 840.)) goto L50; - if ((underlyings(339,1) <= 8288.)) goto L50; - if ((underlyings(340,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(340,2) <= 840.)) goto L50; - if ((underlyings(340,1) <= 8288.)) goto L50; - if ((underlyings(341,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(341,2) <= 840.)) goto L50; - if ((underlyings(341,1) <= 8288.)) goto L50; - if ((underlyings(342,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(342,2) <= 840.)) goto L50; - if ((underlyings(342,1) <= 8288.)) goto L50; - if ((underlyings(343,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(343,2) <= 840.)) goto L50; - if ((underlyings(343,1) <= 8288.)) goto L50; - if ((underlyings(344,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(344,2) <= 840.)) goto L50; - if ((underlyings(344,1) <= 8288.)) goto L50; - if ((underlyings(345,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(345,2) <= 840.)) goto L50; - if ((underlyings(345,1) <= 8288.)) goto L50; - if ((underlyings(346,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(346,2) <= 840.)) goto L50; - if ((underlyings(346,1) <= 8288.)) goto L50; - if ((underlyings(347,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(347,2) <= 840.)) goto L50; - if ((underlyings(347,1) <= 8288.)) goto L50; - if ((underlyings(348,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(348,2) <= 840.)) goto L50; - if ((underlyings(348,1) <= 8288.)) goto L50; - if ((underlyings(349,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(349,2) <= 840.)) goto L50; - if ((underlyings(349,1) <= 8288.)) goto L50; - if ((underlyings(350,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(350,2) <= 840.)) goto L50; - if ((underlyings(350,1) <= 8288.)) goto L50; - if ((underlyings(351,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(351,2) <= 840.)) goto L50; - if ((underlyings(351,1) <= 8288.)) goto L50; - if ((underlyings(352,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(352,2) <= 840.)) goto L50; - if ((underlyings(352,1) <= 8288.)) goto L50; - if ((underlyings(353,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(353,2) <= 840.)) goto L50; - if ((underlyings(353,1) <= 8288.)) goto L50; - if ((underlyings(354,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(354,2) <= 840.)) goto L50; - if ((underlyings(354,1) <= 8288.)) goto L50; - if ((underlyings(355,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(355,2) <= 840.)) goto L50; - if ((underlyings(355,1) <= 8288.)) goto L50; - if ((underlyings(356,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(356,2) <= 840.)) goto L50; - if ((underlyings(356,1) <= 8288.)) goto L50; - if ((underlyings(357,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(357,2) <= 840.)) goto L50; - if ((underlyings(357,1) <= 8288.)) goto L50; - if ((underlyings(358,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(358,2) <= 840.)) goto L50; - if ((underlyings(358,1) <= 8288.)) goto L50; - if ((underlyings(359,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(359,2) <= 840.)) goto L50; - if ((underlyings(359,1) <= 8288.)) goto L50; - if ((underlyings(360,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(360,2) <= 840.)) goto L50; - if ((underlyings(360,1) <= 8288.)) goto L50; - if ((underlyings(361,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(361,2) <= 840.)) goto L50; - if ((underlyings(361,1) <= 8288.)) goto L50; - if ((underlyings(362,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(362,2) <= 840.)) goto L50; - if ((underlyings(362,1) <= 8288.)) goto L50; - if ((underlyings(363,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(363,2) <= 840.)) goto L50; - if ((underlyings(363,1) <= 8288.)) goto L50; - if ((underlyings(364,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(364,2) <= 840.)) goto L50; - if ((underlyings(364,1) <= 8288.)) goto L50; - if ((underlyings(365,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(365,2) <= 840.)) goto L50; - if ((underlyings(365,1) <= 8288.)) goto L50; - if ((underlyings(366,0) <= 2630.6349999999998)) goto L50; - if ((underlyings(366,2) <= 840.)) goto L50; - x3309=(underlyings(366,1) <= 8288.); - goto L48; - -L50: - x3309=1; - -L48: - //model->notify_cash_flow(model, 0, 100., 0 /*2013-01-27, 1980-01-01, EUR*/); - trajectory_inner( num_cash_flows, model_num, 0, 100., md_discts, vhat ); - - if (((underlyings(366,0) < 3758.05) && x3309)) goto L40; - if (((underlyings(366,2) < 1200.) && x3309)) goto L40; - if (((underlyings(366,1) < 11840.) && x3309)) goto L40; - - //model->notify_cash_flow(model, 0, 1000., 1 /*2013-01-27, 2013-01-27, EUR*/); return; - trajectory_inner( num_cash_flows, model_num, 1, 1000., md_discts, vhat ); return; - -L40: - //model->notify_cash_flow(model, 0, (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))), 1 /*2013-01-27, 2013-01-27, EUR*/); - const REAL amount = (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))); - trajectory_inner( num_cash_flows, model_num, 1, amount, md_discts, vhat ); - - return; -} - -#define CONTRACT_NUM 2 - -inline -void aggregDiscountedPayoff( - const UINT& model_num, // the index of the current model - const UINT& contr_num, - const UINT& num_under, // the number of underlyings - const UINT& num_cash_flows, - const UINT& num_pricers,// the number of deterministic procers - const REAL* md_discts, // [num_models][num_scash_flow] discounts - const REAL* md_detvals, // [num_models, num_det_pricers] pricers - const REAL* inst_traj, // [num_dates, num_under] current trajectory - double* vhat // [model_num] Accumulated per-model price -) { - if (contr_num == 1) { -//#if (CONTRACT_NUM == 1) - trajectory_contract1(model_num, num_under, num_cash_flows, num_pricers, md_discts, md_detvals, inst_traj, vhat); - } else if (contr_num == 2) { -//#elif (CONTRACT_NUM == 2) - trajectory_contract2(model_num, num_under, num_cash_flows, num_pricers, md_discts, md_detvals, inst_traj, vhat); - } else if (contr_num == 3) { -//#elif (CONTRACT_NUM == 3) - trajectory_contract3(model_num, num_under, num_cash_flows, num_pricers, md_discts, md_detvals, inst_traj, vhat); - } else { -//#else - trajectory_contract1(model_num, num_under, num_cash_flows, num_pricers, md_discts, md_detvals, inst_traj, vhat); - } -//#endif - -} - -#endif //CONTRACTS_CODE - diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp deleted file mode 100644 index ab03cc8..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp +++ /dev/null @@ -1,152 +0,0 @@ -// This is the original implementation. - -#define FAST_BB - -#include "ParseInput.h" -#include "SobolGaussBB.h" -#include "Contracts.h" - -double* run_CPUkernel( const LoopROScalars & scals, - const SobolArrays & sob_arrs, - const ModelArrays & md_arrs, - const BrowBridgeArrays& bb_arrs -) { - const UINT sob_dim = scals.num_under * scals.num_dates; - const UINT num_under_sq = scals.num_under * scals.num_under; - const int* sob_matT = sob_arrs.sobol_dirvcts; - - // allocate for Ps threads - const UINT Sd = do_padding( sob_dim ); - UINT* sob_vct = static_cast( malloc( Sd * sizeof(UINT)) ); - REAL* md_vct = static_cast( malloc( Sd * sizeof(REAL)) ); - REAL* trj_vct = static_cast( malloc( Sd * sizeof(REAL)) ); - - const UINT Sv = do_padding( scals.num_models ); - double* vhat = static_cast( malloc( Sv * sizeof(double)) ); - - // init the prices to 0 - for(int i = 0; i < scals.num_models; i ++) { - vhat[ i ] = 0.0; - } - - // Sobol number 0 is a vector of 0s. - for(int i = 0; i < sob_dim; i++) { - sob_vct[i] = 0; - } - - for( int i = 0; i < scals.num_mcits; i ++ ) { - - // Sobol strength-reduced (recurrence) formula. - sobolRec( sob_dim, scals.sobol_bits, sob_matT, i+1, sob_vct ); - - // transform the normal [0,1) to gaussian distribution [-inf, +inf] - uGaussian( scals.sob_norm_fact, sob_dim, sob_vct, md_vct ); - - // correlate the dates on each path using a Brownian Bridge - brownianBridge( scals.num_under, scals.num_dates, - bb_arrs.bb_inds, bb_arrs.bb_data, - md_vct, trj_vct ); - -#ifdef FAST_BB - REAL* traj = md_vct; -#else - REAL* traj = trj_vct; //md_vct; -#endif - - // compute trajectory - for ( int m = 0; m < scals.num_models; m ++ ) { - REAL* md_c = md_arrs.md_c + ( m * num_under_sq ); - REAL* md_vols = md_arrs.md_vols + ( m * sob_dim ); - REAL* md_drifts = md_arrs.md_drifts + ( m * sob_dim ); - REAL* md_starts = md_arrs.md_starts + ( m * scals.num_under ); - - for( int i = 0; i < scals.num_dates; i ++ ) { - for( int j = 0; j < scals.num_under; j ++ ) { - REAL temp = 0.0; - int k = i*scals.num_under + j; - - for ( int l = 0; l <= j; l ++ ) { -#ifdef FAST_BB - REAL md_val = trj_vct[i*scals.num_under + l]; -#else - REAL md_val = md_vct [i*scals.num_under + l]; -#endif - temp += md_c[j*scals.num_under + l] * md_val; - } - - temp = exp( temp*md_vols[k] + md_drifts[k] ); - - traj[k] = (k < scals.num_under) ? - md_starts[ k ] * temp : - traj[k - scals.num_under] * temp ; - } - } - - aggregDiscountedPayoff( m, scals.contract, - scals.num_under, - scals.num_cash_flows, - scals.num_det_pricers, - md_arrs.md_discts, - md_arrs.md_detvals, - traj, vhat ); - } - } - - - for(int i = 0; i < scals.num_models; i ++) { - vhat[i] = vhat[i] / scals.num_mcits; - } - - // clean-up! - free(sob_vct); - free( md_vct); - free(trj_vct); - - return vhat; -} - - -int main() { - LoopROScalars scals; - SobolArrays sob_arrs; - ModelArrays md_arrs; - BrowBridgeArrays bb_arrs; - - fprintf(stdout, "\n// Generic Pricing, Original Sequential Benchmark:\n"); - - readDataSet(scals, sob_arrs, md_arrs, bb_arrs); - - fprintf(stdout, "// Contract: %d, MC Its#: %d, #Underlyings: %d, #Path Dates: %d, chunk: %d\n\n", - scals.contract, scals.num_mcits, scals.num_under, scals.num_dates, scals.chunk ); - - double* prices; - unsigned long int elapsed_usec; - { // run kernel - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - computeSobolFixIndex( sob_arrs, scals.chunk ); - { // do work and cleanup - prices = run_CPUkernel( scals, sob_arrs, md_arrs, bb_arrs ); - } - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; - { - FILE* runtime = fopen("runtime.txt", "w"); - FILE* result = fopen("result.json", "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); - fclose(runtime); - write_1Darr(result, prices, scals.num_models); - fclose(result); - } - - md_arrs .cleanup(); - bb_arrs .cleanup(); - sob_arrs.cleanup(); - } - - return 0; -} - diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile deleted file mode 100644 index e71d099..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile +++ /dev/null @@ -1,38 +0,0 @@ -include setup.mk - -ifndef ($(HAVE_GPU)) -include platform.mk -endif - -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) - -SOURCES_CPP =GenPricing.cpp -HELPERS =Contracts.h SobolGaussBB.h ../includeC/Constants.h ../includeC/Optimizations.h ../includeC/ParseInput.h -# XXX what about the boilerplate in ../includeC ??? -OBJECTS =GenPricing.o -EXECUTABLE =GenPricing - -default: cpu - -# TODO need redesign, probably use different executable names (or -# standardisation of "gpu" targets across all benchmarks) - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -cpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - -clean: - rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) - diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/SobolGaussBB.h b/benchmarks/OptionPricing/implementations/cpp_sequential/SobolGaussBB.h deleted file mode 100644 index d6ae829..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/SobolGaussBB.h +++ /dev/null @@ -1,239 +0,0 @@ -#ifndef SOBOL_GAUSS -#define SOBOL_GAUSS - -/** - * Computes the x's Sobol quasirandom vector - * of size `sob_dim' in result `res' - * using the Sobol-independent formula, - * which does not depend on the previous - * Sobol vector. - */ -inline static -void sobolInd( const int& sobol_dim, // size of the quasi-random vector - const int& bit_count, // number of bits of Sobol numbers - const int* dir_matrix, // [bit_count, sobol_dim]: Sobol's - // direction vectors - const UINT& x, // x'th sobol number - UINT* res // result (quasi-random vector) -) { - UINT gs, y = x + 1; - gs = (y >> 1); - gs = (y ^ gs); - - for( int i = 0; i < sobol_dim; i ++ ) { - res[i] = 0; - } - for( int k = 0; k < bit_count; k ++ ) { - const int* dir_row = dir_matrix + k*sobol_dim; - if( gs & 1 ) { - for( int i = 0; i < sobol_dim; i++ ) { - res[i] ^= dir_row[i]; - } - } - gs = gs >> 1; - } -} - -/** - * Computes the x's Sobol quasirandom vector - * of size `sob_dim' in result `res' - * using the Sobol-reccurent formula, - * which depends on the previous Sobol - * vector (stored in `res'). - */ -inline static -void sobolRec( const int& sobol_dim, // size of the quasi-random vector - const int& bit_count, // number of bits of Sobol numbers - const int* dir_matrix, // [bit_count, sobol_dim]: Sobol's - // direction vectors - const UINT& x, // x'th sobol number - UINT* res // in-out param-result -) { - UINT y = 0; - UINT c = x; - while(c & 1) { - y++; - c >>= 1; - } - //assert( (y < bit_count) && "In sobolRec ell > bit_count!!!"); - - for( int i = 0; i < sobol_dim; i ++ ) { - res[i] ^= dir_matrix[y*sobol_dim + i]; - //md_zd[i] = res[i] * ro_scal->sobol_last_den_inv; - } -} - -inline static void -sobolRecOpt( const int& sobol_dim, // size of the quasi-random vector - const int& bit_count, // number of bits of Sobol numbers - const int* dir_matrix, // [bit_count, sobol_dim]: Sobol's - // direction vectors - const UINT& f_ind, // lookup-table index - UINT* res // in-out param-result -) { - const UINT f_ind_dim = f_ind * sobol_dim; - for( int i = 0; i < sobol_dim; i ++ ) - res[i] ^= dir_matrix[ f_ind_dim + i]; -} - - -/******************************************************/ -/*** Normal-to-Gaussian Distribution Transformation ***/ -/******************************************************/ - -#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ - (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ - (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) - -inline static REAL small_case(const REAL& q) { - REAL x = 0.180625 - q * q; - return q * rat_eval( - 3.387132872796366608, - 133.14166789178437745, - 1971.5909503065514427, - 13731.693765509461125, - 45921.953931549871457, - 67265.770927008700853, - 33430.575583588128105, - 2509.0809287301226727, - - 1.0, - 42.313330701600911252, - 687.1870074920579083, - 5394.1960214247511077, - 21213.794301586595867, - 39307.89580009271061, - 28729.085735721942674, - 5226.495278852854561); -} - -inline static REAL intermediate(const REAL& r) { - REAL x = r - 1.6; - return rat_eval( - 1.42343711074968357734, - 4.6303378461565452959, - 5.7694972214606914055, - 3.64784832476320460504, - 1.27045825245236838258, - 0.24178072517745061177, - 0.0227238449892691845833, - 7.7454501427834140764e-4, - - 1.0, - 2.05319162663775882187, - 1.6763848301838038494, - 0.68976733498510000455, - 0.14810397642748007459, - 0.0151986665636164571966, - 5.475938084995344946e-4, - 1.05075007164441684324e-9); -} - -inline static REAL tail(const REAL& r) { - REAL x = r - 5.0; - return rat_eval( - 6.6579046435011037772, - 5.4637849111641143699, - 1.7848265399172913358, - 0.29656057182850489123, - 0.026532189526576123093, - 0.0012426609473880784386, - 2.71155556874348757815e-5, - 2.01033439929228813265e-7, - - 1.0, - 0.59983220655588793769, - 0.13692988092273580531, - 0.0148753612908506148525, - 7.868691311456132591e-4, - 1.8463183175100546818e-5, - 1.4215117583164458887e-7, - 2.04426310338993978564e-15); -} - -/** - * Transforms the Sobol quasi-random (int) vector `sov_vct' - * to a gaussian distribution, uniformely distributed in [-inf, +inf]. - */ -inline -void uGaussian( const REAL& fract, // 2 ^ sobol_bits - const UINT& dim, // size of the Sobol quasi-random vector - const UINT* sob_vct, // [dim] Sobol quasi-random (int) vector - REAL* gauss_vct // result -) { - for ( int i = 0; i < dim; i ++ ) { - // sobol int number -> sobol real number in [0,1) - REAL sob_real = static_cast(sob_vct[i]) * fract; - - // sobol real number [0,1) -> gaussian number in (-inf, +inf) - REAL dp = sob_real - 0.5; - if ( fabs(dp) <= 0.425 ) { - gauss_vct[i]= small_case(dp); - } else { - REAL pp = (dp < 0.0) ? (0.5 + dp) : (0.5 - dp); - REAL r = sqrt (- log(pp)); - REAL x = (r <= 5.0) ? intermediate(r) : tail(r); - gauss_vct[i]= (dp < 0.0) ? (0.0 - x) : x; - } - } -} - -/******************************************************/ -/*** Brownian Bridge: Correlate each path's dates ***/ -/******************************************************/ - -/** - * Brownian Bridge entry point. - */ -inline -void brownianBridge( - const UINT& num_under, - const UINT& num_dates, - const int* bb_inds, // [3, num_dates] Brownian Bridge's indirect indexing - const REAL* bb_data, // [3, num_dates] Brownian Bridge's data - REAL* md_zd, // [num_dates, num_under] the gaussian vector - // also holds the result! - REAL* res // [num_dates, num_under] temporary array -) { - const int * bb_bi = bb_inds; - const int * bb_li = bb_inds + num_dates; - const int * bb_ri = bb_inds + 2*num_dates; - const REAL* bb_sd = bb_data; - const REAL* bb_lw = bb_data + num_dates; - const REAL* bb_rw = bb_data + 2*num_dates; - - for ( int m = 0; m < num_under; m ++ ) { - res[ (bb_bi[0]-1) * num_under + m ] = bb_sd[0] * md_zd[m]; - - for( int i = 1; i < num_dates; i ++) { - int j = bb_li[i] - 1; - int k = bb_ri[i] - 1; - int l = bb_bi[i] - 1; - - double wk = res [k*num_under + m]; - double zi = md_zd[i*num_under + m]; - - res[l*num_under + m] = (j == -1) ? - bb_rw[i] * wk + bb_sd[i] * zi : - bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * res[j*num_under + m]; - } - } - - const UINT S = num_under * num_dates; -#ifdef FAST_BB - for ( int i = S - 1; i >= num_under; i -- ) { - res[i] -= res[i - num_under]; - } -#else - for( int i = 0; i < S; i ++ ) { - if (i < num_under) - md_zd[i] = res[i]; - else md_zd[i] = res[i] - res[i - num_under]; - } -#endif - - -} - -#endif //SOBOL_GAUSS - diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/instantiate b/benchmarks/OptionPricing/implementations/cpp_sequential/instantiate deleted file mode 100755 index b6df103..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/instantiate +++ /dev/null @@ -1,25 +0,0 @@ -#!/bin/sh - -set -e - -cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/include/ParserC.h . -cp $FINPAR_LIB_DIR/include/Util.h . -cp $FINPAR_BENCHMARK_LIB_DIR/Constants.h . -cp $FINPAR_BENCHMARK_LIB_DIR/Optimizations.h . -cp $FINPAR_BENCHMARK_LIB_DIR/ParseInput.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/*h $FINPAR_IMPLEMENTATION/Makefile . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run <`sG16DYJJRzkBA8If%ElHUHl z?&(>wf5S3ul-nipUk^9YNFmhk4A>!68!%Dw#RHmoA14WM4*f>L2|A`2(6Eq@`Gqfsyw%|ojXG*T zMX?G3c?8t@vHf8s2ZI)fu+bI>e0ukLhH^fQH}8RRSJzap&Yf{}&6;U7 z)wNB{)0*>gr{&JbY^=-77WR{mMO?UOnUFB*!wQUfkH?2q#`F_)C*N?Q5ck~GKf|UMjLM#*;mg-Wx+tg&y+v#n2V>>vinLxr)1R 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all_md_c_mem_size_71, - int all_md_vols_mem_size_255, - int all_md_drifts_mem_size_345, - int all_md_st_mem_size_354, - int all_md_detvals_mem_size_360, - int all_md_disc_mem_size_363, - int bb_inds_mem_size_369, - int bb_data_mem_size_376, - unsigned char* dir_vs_mem_40, - unsigned char* all_md_c_mem_84, - unsigned char* all_md_vols_mem_268, - unsigned char* all_md_drifts_mem_350, - unsigned char* all_md_st_mem_359, - unsigned char* all_md_detvals_mem_361, - unsigned char* all_md_disc_mem_368, - unsigned char* bb_inds_mem_371, - unsigned char* bb_data_mem_381, - int size_14, int size_18, - int size_19, int size_20, - int size_21, int size_22, - int size_86, int size_89, - int size_90, int size_91, - int size_92, int size_93, - int size_94, int size_95, - int size_111, int size_112, - int size_113, int size_114, - int size_115, int size_116, - int size_117, - int contract_number_118, - int num_mc_it_119, - int num_dates_120, int num_und_121, - int num_models_122, - int num_bits_123); -float futhark_toFloat32(int x) -{ - return x; -} -int futhark_trunc32(float x) -{ - return x; -} -float futhark_log32(float x) -{ - return log(x); -} -float futhark_sqrt32(float x) -{ - return sqrt(x); -} -float futhark_exp32(float x) -{ - return exp(x); -} -double futhark_toFloat64(int x) -{ - return x; -} -int futhark_trunc64(double x) -{ - return x; -} -double futhark_log64(double x) -{ - return log(x); -} -double futhark_sqrt64(double x) -{ - return sqrt(x); -} -double futhark_exp64(double x) -{ - return exp(x); -} -int timeval_subtract(struct timeval* result, struct timeval* t2, - struct timeval* t1) -{ - unsigned int resolution = 1000000; - long diff = t2->tv_usec + resolution * t2->tv_sec - (t1->tv_usec + - resolution * - t1->tv_sec); - - result->tv_sec = diff / resolution; - result->tv_usec = diff % resolution; - return diff < 0; -} -struct array_reader { - char* elems; - int64_t n_elems_space; - int64_t elem_size; - int64_t n_elems_used; - int64_t* shape; - int(* elem_reader)(void*); -}; -int peekc() - -{ - int c = getchar(); - - ungetc(c, stdin); - return c; -} -void skipspaces() - -{ - int c = getchar(); - - if (isspace(c)) { - skipspaces(); - } else if (c == '/') { - // Skip to end of line. - for (; c != '\n' && c != EOF; c = getchar()) - ; - // Next line may have more spaces. - skipspaces(); - } else if (c != EOF) { - ungetc(c, stdin); - } -} -int read_elem(struct array_reader* reader) -{ - int ret; - - if (reader->n_elems_used == reader->n_elems_space) { - reader->n_elems_space *= 2; - reader->elems = realloc(reader->elems, reader->n_elems_space * - reader->elem_size); - } - ret = reader->elem_reader(reader->elems + reader->n_elems_used * - reader->elem_size); - if (ret == 0) { - reader->n_elems_used++; - } - return ret; -} -int read_array_elems(struct array_reader* reader, int dims) -{ - int c; - int ret; - int first = 1; - char* knows_dimsize = calloc(dims, sizeof(char)); - int cur_dim = dims - 1; - int64_t* elems_read_in_dim = calloc(dims, sizeof(int64_t)); - - while (1) { - skipspaces(); - c = getchar(); - if (c == ']') { - if (knows_dimsize[cur_dim]) { - if (reader->shape[cur_dim] != elems_read_in_dim[cur_dim]) { - ret = 1; - break; - } - } else { - knows_dimsize[cur_dim] = 1; - reader->shape[cur_dim] = elems_read_in_dim[cur_dim]; - } - if (cur_dim == 0) { - ret = 0; - break; - } else { - cur_dim--; - elems_read_in_dim[cur_dim]++; - } - } else if (c == ',') { - skipspaces(); - c = getchar(); - if (c == '[') { - if (cur_dim == dims - 1) { - ret = 1; - break; - } - first = 1; - cur_dim++; - elems_read_in_dim[cur_dim] = 0; - } else if (cur_dim == dims - 1) { - ungetc(c, stdin); - ret = read_elem(reader); - if (ret != 0) { - break; - } - elems_read_in_dim[cur_dim]++; - } else { - ret = 1; - break; - } - } else if (c == EOF) { - ret = 1; - break; - } else if (first) { - if (c == '[') { - if (cur_dim == dims - 1) { - ret = 1; - break; - } - cur_dim++; - elems_read_in_dim[cur_dim] = 0; - } else { - ungetc(c, stdin); - ret = read_elem(reader); - if (ret != 0) { - break; - } - elems_read_in_dim[cur_dim]++; - first = 0; - } - } else { - ret = 1; - break; - } - } - free(knows_dimsize); - free(elems_read_in_dim); - return ret; -} -int read_array(int64_t elem_size, int(* elem_reader)(void*), void** data, - int64_t* shape, int64_t dims) -{ - int ret; - struct array_reader reader; - int64_t read_dims = 0; - - while (1) { - int c; - - skipspaces(); - c = getchar(); - if (c == '[') { - read_dims++; - } else { - if (c != EOF) { - ungetc(c, stdin); - } - break; - } - } - if (read_dims != dims) { - return 1; - } - reader.shape = shape; - reader.n_elems_used = 0; - reader.elem_size = elem_size; - reader.n_elems_space = 16; - reader.elems = calloc(elem_size, reader.n_elems_space); - reader.elem_reader = elem_reader; - ret = read_array_elems(&reader, dims); - *data = reader.elems; - return ret; -} -int read_int(void* dest) -{ - skipspaces(); - if (scanf("%d", (int*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_char(void* dest) -{ - skipspaces(); - if (scanf("%c", (char*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_double(void* dest) -{ - skipspaces(); - if (scanf("%lf", (double*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_float(void* dest) -{ - skipspaces(); - if (scanf("%f", (float*) dest) == 1) { - return 0; - } else { - return 1; - } -} -int read_bool(void* dest) -{ - char b[4]; - - skipspaces(); - if (scanf("%4c", b) == 1) { - if (strncmp(b, "True", 4) == 0) { - *(int*) dest = 1; - return 0; - } else if (strncmp(b, "Fals", 4) == 0 && getchar() == 'e') { - *(int*) dest = 0; - return 0; - } else { - return 1; - } - } else { - return 1; - } -} -static struct tuple_int_mem_int futhark_main(int dir_vs_mem_size_27, - int all_md_c_mem_size_71, - int all_md_vols_mem_size_255, - int all_md_drifts_mem_size_345, - int all_md_st_mem_size_354, - int all_md_detvals_mem_size_360, - int all_md_disc_mem_size_363, - int bb_inds_mem_size_369, - int bb_data_mem_size_376, - unsigned char* dir_vs_mem_40, - unsigned char* all_md_c_mem_84, - unsigned char* all_md_vols_mem_268, - unsigned char* all_md_drifts_mem_350, - unsigned char* all_md_st_mem_359, - unsigned char* all_md_detvals_mem_361, - unsigned char* all_md_disc_mem_368, - unsigned char* bb_inds_mem_371, - unsigned char* bb_data_mem_381, - int size_14, int size_18, - int size_19, int size_20, - int size_21, int size_22, - int size_86, int size_89, - int size_90, int size_91, - int size_92, int size_93, - int size_94, int size_95, - int size_111, int size_112, - int size_113, int size_114, - int size_115, int size_116, - int size_117, - int contract_number_118, - int num_mc_it_119, - int num_dates_120, int num_und_121, - int num_models_122, - int num_bits_123) -{ - int out_memsize_24; - unsigned char* out_mem_23; - int out_arrsize_26; - char y_133; - - y_133 = 0 < size_19; - - int bounds_check_134; - - if (!y_133) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_133", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:253:16-253:24"); - abort(); - } - - char y_135; - - y_135 = 0 < size_22; - - int bounds_check_136; - - if (!y_135) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_135", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:254:19-254:30"); - abort(); - } - - char y_138; - - y_138 = 0 < size_90; - - int bounds_check_139; - - if (!y_138) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_138", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:255:21-255:34"); - abort(); - } - - char y_141; - - y_141 = 0 < size_93; - - int bounds_check_142; - - if (!y_141) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_141", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:256:17-256:26"); - abort(); - } - - char y_144; - - y_144 = 0 < size_95; - - int bounds_check_145; - - if (!y_144) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_144", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:257:22-257:36"); - abort(); - } - - char y_146; - - y_146 = 0 < size_112; - - int bounds_check_147; - - if (!y_146) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_146", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:258:19-258:30"); - abort(); - } - - char cond_149; - - cond_149 = num_mc_it_119 == 0; - - double y_150; - - y_150 = futhark_toFloat64(num_bits_123); - - double res_151; - - res_151 = powl(2.0, y_150); - - int bytes_385; - - bytes_385 = 4 * num_bits_123; - - unsigned char* mem_387; - - mem_387 = malloc(bytes_385); - for (int i_39 = 0; i_39 < num_bits_123; i_39++) { - *(int*) &mem_387[i_39 * 1 * 4 + 0] = i_39; - } - - char cond_153; - - cond_153 = num_und_121 == 0; - - int size_154; - - if (cond_153) { - size_154 = 0; - } else { - size_154 = num_dates_120; - } - - int size_155; - - if (cond_149) { - size_155 = 0; - } else { - size_155 = size_154; - } - - int y_156; - - y_156 = num_dates_120 * num_und_121; - - char assert_arg_157; - - assert_arg_157 = size_14 == y_156; - - int shape_ok_158; - - if (!assert_arg_157) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_157", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:190:20-190:27"); - abort(); - } - - char y_159; - - y_159 = 0 < size_114; - - int bounds_check_160; - - if (!y_159) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_159", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:147:14-147:21"); - abort(); - } - - char y_161; - - y_161 = 1 < size_114; - - int bounds_check_162; - - if (!y_161) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_161", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:148:14-148:21"); - abort(); - } - - char y_163; - - y_163 = 2 < size_114; - - int bounds_check_164; - - if (!y_163) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_163", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:149:14-149:21"); - abort(); - } - - char y_165; - - y_165 = 0 < size_116; - - int bounds_check_166; - - if (!y_165) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_165", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:150:14-150:21"); - abort(); - } - - char y_167; - - y_167 = 1 < size_116; - - int bounds_check_168; - - if (!y_167) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_167", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:151:14-151:21"); - abort(); - } - - char y_169; - - y_169 = 2 < size_116; - - int bounds_check_170; - - if (!y_169) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_169", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:152:14-152:21"); - abort(); - } - - int bytes_399; - - bytes_399 = 8 * num_dates_120; - - unsigned char* mem_404; - - mem_404 = malloc(bytes_399); - for (int i_56 = 0; i_56 < num_dates_120; i_56++) { - *(double*) &mem_404[i_56 * 1 * 8 + 0] = 0.0; - } - - char y_172; - - y_172 = 0 < size_115; - - int bounds_check_173; - - if (!y_172) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_172", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:156:16-156:18"); - abort(); - } - - int x_174; - - x_174 = *(int*) &bb_inds_mem_371[(0 * size_115 + 0 * 1) * 4 + 0]; - - int idx_175; - - idx_175 = x_174 - 1; - - char y_176; - - y_176 = 0 < size_117; - - int bounds_check_177; - - if (!y_176) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_176", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:156:28-156:30"); - abort(); - } - - double x_178; - - x_178 = *(double*) &bb_data_mem_381[(0 * size_117 + 0 * 1) * 8 + 0]; - - char y_179; - - y_179 = 0 < num_dates_120; - - int bounds_check_180; - - if (!y_179) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_179", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:156:36-156:41"); - abort(); - } - - char x_181; - - x_181 = 0 <= idx_175; - - char y_182; - - y_182 = idx_175 < num_dates_120; - - char assert_arg_183; - - assert_arg_183 = x_181 && y_182; - - int bounds_check_184; - - if (!assert_arg_183) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_183", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:156:5-156:8"); - abort(); - } - - int bound_185; - - bound_185 = num_dates_120 - 1; - - char assert_arg_186; - - assert_arg_186 = size_155 == num_dates_120; - - int shape_cert_187; - - if (!assert_arg_186) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_186", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:261:27-261:41"); - abort(); - } - - char cond_188; - - cond_188 = size_155 == 0; - - int size_189; - - if (cond_188) { - size_189 = 0; - } else { - size_189 = size_92; - } - - int size_190; - - if (cond_149) { - size_190 = 0; - } else { - size_190 = size_189; - } - - char zip_cmp_192; - - zip_cmp_192 = size_155 == size_86; - - int zip_assert_193; - - if (!zip_cmp_192) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_192", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:218:38-218:41"); - abort(); - } - - char zip_cmp_195; - - zip_cmp_195 = size_155 == size_91; - - int zip_assert_196; - - if (!zip_cmp_195) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_195", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:218:38-218:41"); - abort(); - } - - char zip_cmp_198; - - zip_cmp_198 = num_und_121 == size_89; - - int zip_assert_199; - - if (!zip_cmp_198) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_198", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:214:33-214:36"); - abort(); - } - - char zip_cmp_200; - - zip_cmp_200 = size_92 == num_und_121; - - int zip_assert_201; - - if (!zip_cmp_200) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_200", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:214:13-214:16"); - abort(); - } - - char assert_arg_202; - - assert_arg_202 = size_92 == size_94; - - int shape_cert_203; - - if (!assert_arg_202) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_202", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:220:9-220:13"); - abort(); - } - - char assert_arg_205; - - assert_arg_205 = size_190 == size_92; - - int shape_cert_206; - - if (!assert_arg_205) { - fprintf(stderr, "Assertion %s at %s failed.\n", "assert_arg_205", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:262:27-262:39"); - abort(); - } - - char cond_207; - - cond_207 = contract_number_118 == 1; - - char cond_208; - - cond_208 = contract_number_118 == 2; - - char cond_209; - - cond_209 = contract_number_118 == 3; - - char y_210; - - y_210 = 0 < size_111; - - char y_211; - - y_211 = 0 < size_155; - - char y_212; - - y_212 = 0 < size_190; - - char y_213; - - y_213 = 0 < size_113; - - char zip_cmp_214; - - zip_cmp_214 = size_190 == 3; - - char y_215; - - y_215 = 1 < size_155; - - char y_216; - - y_216 = 2 < size_155; - - char y_217; - - y_217 = 3 < size_155; - - char y_218; - - y_218 = 4 < size_155; - - char y_219; - - y_219 = 1 < size_113; - - char y_220; - - y_220 = 2 < size_113; - - char y_221; - - y_221 = 3 < size_113; - - char y_222; - - y_222 = 4 < size_113; - - char y_223; - - y_223 = 1 < size_190; - - char y_224; - - y_224 = 2 < size_190; - - char y_281; - - y_281 = 366 < size_155; - - int x_282; - - x_282 = 366 * size_190; - - int i_283; - - i_283 = x_282 / size_92 - (x_282 % size_92 != 0 && x_282 % size_92 < 0 != - size_92 < 0 ? 1 : 0); - - int y_284; - - y_284 = i_283 * size_92; - - int i_remnant_288; - - i_remnant_288 = x_282 - y_284; - - int flat_index_289; - - flat_index_289 = x_282 + 2; - - int i_291; - - i_291 = flat_index_289 / size_92 - (flat_index_289 % size_92 != 0 && - flat_index_289 % size_92 < 0 != - size_92 < 0 ? 1 : 0); - - int y_295; - - y_295 = i_291 * size_92; - - int i_remnant_296; - - i_remnant_296 = flat_index_289 - y_295; - - int flat_index_297; - - flat_index_297 = x_282 + 1; - - int i_298; - - i_298 = flat_index_297 / size_92 - (flat_index_297 % size_92 != 0 && - flat_index_297 % size_92 < 0 != - size_92 < 0 ? 1 : 0); - - int y_299; - - y_299 = i_298 * size_92; - - int i_remnant_300; - - i_remnant_300 = flat_index_297 - y_299; - - int new_slice_size_286; - - new_slice_size_286 = num_und_121 * size_18; - - unsigned char* mem_406; - - mem_406 = malloc(bytes_385); - - unsigned char* mem_418; - - mem_418 = malloc(bytes_385); - - int x_424; - - x_424 = 8 * num_und_121; - - int bytes_423; - - bytes_423 = x_424 * num_dates_120; - - unsigned char* mem_425; - - mem_425 = malloc(bytes_423); - - unsigned char* mem_433; - - mem_433 = malloc(bytes_399); - - unsigned char* mem_483; - - mem_483 = malloc(bytes_399); - - int x_524; - - x_524 = 8 * size_155; - - int bytes_523; - - bytes_523 = x_524 * size_92; - - unsigned char* mem_525; - - mem_525 = malloc(bytes_523); - - int x_535; - - x_535 = 8 * size_92; - - int bytes_534; - - bytes_534 = x_535 * size_155; - - unsigned char* mem_536; - - mem_536 = malloc(bytes_534); - - unsigned char* mem_540; - - mem_540 = malloc(x_524); - - unsigned char* mem_552; - - mem_552 = malloc(24); - - unsigned char* mem_554; - - mem_554 = malloc(bytes_385); - - unsigned char* mem_560; - - mem_560 = malloc(bytes_385); - - unsigned char* mem_563; - - mem_563 = malloc(bytes_423); - - unsigned char* mem_567; - - mem_567 = malloc(bytes_399); - - unsigned char* mem_573; - - mem_573 = malloc(bytes_399); - - unsigned char* mem_596; - - mem_596 = malloc(bytes_523); - - unsigned char* mem_607; - - mem_607 = malloc(bytes_534); - - unsigned char* mem_611; - - mem_611 = malloc(x_524); - - unsigned char* mem_623; - - mem_623 = malloc(x_524); - - int bytes_626; - - bytes_626 = 8 * size_190; - - unsigned char* mem_627; - - mem_627 = malloc(bytes_626); - - unsigned char* mem_640; - - mem_640 = malloc(bytes_385); - - unsigned char* mem_649; - - mem_649 = malloc(bytes_385); - - unsigned char* mem_652; - - mem_652 = malloc(bytes_423); - - unsigned char* mem_656; - - mem_656 = malloc(bytes_399); - - unsigned char* mem_662; - - mem_662 = malloc(bytes_399); - - unsigned char* mem_722; - - mem_722 = malloc(bytes_523); - - unsigned char* mem_771; - - mem_771 = malloc(bytes_534); - - unsigned char* mem_777; - - mem_777 = malloc(x_524); - - double res_2307; - - if (cond_207) { - int bounds_check_301; - - if (!y_210) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_210", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:284:16-284:26"); - abort(); - } - - double res_326; - - res_326 = *(double*) &all_md_detvals_mem_361[(0 * size_111 + 0 * 1) * - 8 + 0]; - - int bounds_check_329; - - if (!y_211) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_211", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:285:17-285:20"); - abort(); - } - - int bounds_check_330; - - if (!y_212) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_212", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:285:17-285:20"); - abort(); - } - - int bounds_check_331; - - if (!y_213) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_213", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_332; - - y_332 = *(double*) &all_md_disc_mem_368[(0 * size_113 + 0 * 1) * 8 + 0]; - - double res_989; - double acc_48; - - acc_48 = 0.0; - for (int i_47 = 0; i_47 < num_mc_it_119; i_47++) { - int res_388; - - res_388 = i_47 + 1; - - int x_389; - - x_389 = res_388 >> 1; - - int res_390; - - res_390 = x_389 ^ res_388; - for (int i_0 = 0; i_0 < num_bits_123; i_0++) { - int res_392; - - res_392 = 1 << i_0; - - int x_393; - - x_393 = res_390 & res_392; - - char res_394; - - res_394 = x_393 == res_392; - - int partition_equivalence_class_395; - - if (res_394) { - partition_equivalence_class_395 = 0; - } else { - partition_equivalence_class_395 = 1; - } - *(int*) &mem_406[i_0 * 1 * 4 + 0] = - partition_equivalence_class_395; - } - - int filter_size_397; - - filter_size_397 = 0; - - int eqclass_104; - - for (int i_103 = 0; i_103 < num_bits_123; i_103++) { - eqclass_104 = *(int*) &mem_406[i_103 * 1 * 4 + 0]; - if (eqclass_104 == 0) { - filter_size_397 = filter_size_397 + 1; - } else { } - } - - int partition_offset_109; - - partition_offset_109 = 0; - - int partition_cur_offset_110; - - for (int i_103 = 0; i_103 < num_bits_123; i_103++) { - eqclass_104 = *(int*) &mem_406[i_103 * 1 * 4 + 0]; - if (eqclass_104 == 0) { - partition_cur_offset_110 = partition_offset_109; - *(int*) &mem_418[partition_cur_offset_110 * 1 * 4 + 0] = - *(int*) &mem_387[i_103 * 1 * 4 + 0]; - partition_offset_109 = partition_offset_109 + 1; - } else { } - } - for (int i_11 = 0; i_11 < num_und_121; i_11++) { - int y_290; - - y_290 = i_11 * size_18; - for (int i_7 = 0; i_7 < num_dates_120; i_7++) { - int x_287; - - x_287 = i_7 * new_slice_size_286; - - int x_292; - - x_292 = x_287 + y_290; - - int res_443; - int acc_5; - - acc_5 = 0; - for (int i_4 = 0; i_4 < filter_size_397; i_4++) { - int not_curried_438; - - not_curried_438 = *(int*) &mem_418[i_4 * 1 * 4 + 0]; - - char y_439; - - y_439 = not_curried_438 < size_18; - - int bounds_check_440; - - if (!y_439) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_439", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:6:35-6:38"); - abort(); - } - - int flat_index_294; - - flat_index_294 = x_292 + not_curried_438; - - int i_302; - - i_302 = flat_index_294 / size_18 - (flat_index_294 % - size_18 != 0 && - flat_index_294 % - size_18 < 0 != - size_18 < - 0 ? 1 : 0); - - int y_303; - - y_303 = i_302 * size_18; - - int i_remnant_304; - - i_remnant_304 = flat_index_294 - y_303; - - int res_441; - - res_441 = *(int*) &dir_vs_mem_40[(i_302 * size_18 + - i_remnant_304 * 1) * - 4 + 0]; - - int res_442; - - res_442 = acc_5 ^ res_441; - - int acc_tmp_226; - - acc_tmp_226 = res_442; - acc_5 = acc_tmp_226; - } - res_443 = acc_5; - - double x_444; - - x_444 = futhark_toFloat64(res_443); - - double res_445; - - res_445 = x_444 / res_151; - - double res_446; - - res_446 = res_445 - 0.5; - - char x_447; - - x_447 = res_446 < 0.0; - - double x_448; - - x_448 = 0.0 - res_446; - - char y_449; - - y_449 = x_448 <= 0.425; - - char x_450; - - x_450 = x_447 && y_449; - - char x_451; - - x_451 = 0.0 <= res_446; - - char y_452; - - y_452 = res_446 <= 0.425; - - char y_453; - - y_453 = x_451 && y_452; - - char cond_454; - - cond_454 = x_450 || y_453; - - double res_455; - - res_455 = res_446 + 0.5; - - double res_456; - - res_456 = 0.5 - res_446; - - double res_457; - - if (x_447) { - res_457 = res_455; - } else { - res_457 = res_456; - } - - double y_458; - - y_458 = res_446 * res_446; - - double arg_459; - - arg_459 = 0.180625 - y_458; - - double x_460; - - x_460 = arg_459 * 2509.0809287301227; - - double y_461; - - y_461 = x_460 + 33430.57558358813; - - double x_462; - - x_462 = arg_459 * y_461; - - double y_463; - - y_463 = x_462 + 67265.7709270087; - - double x_464; - - x_464 = arg_459 * y_463; - - double y_465; - - y_465 = x_464 + 45921.95393154987; - - double x_466; - - x_466 = arg_459 * y_465; - - double y_467; - - y_467 = x_466 + 13731.69376550946; - - double x_468; - - x_468 = arg_459 * y_467; - - double y_469; - - y_469 = x_468 + 1971.5909503065513; - - double x_470; - - x_470 = arg_459 * y_469; - - double y_471; - - y_471 = x_470 + 133.14166789178438; - - double x_472; - - x_472 = arg_459 * y_471; - - double x_473; - - x_473 = x_472 + 3.3871328727963665; - - double x_474; - - x_474 = arg_459 * 5226.495278852854; - - double y_475; - - y_475 = x_474 + 28729.085735721943; - - double x_476; - - x_476 = arg_459 * y_475; - - double y_496; - - y_496 = x_476 + 39307.89580009271; - - double x_497; - - x_497 = arg_459 * y_496; - - double y_498; - - y_498 = x_497 + 21213.794301586597; - - double x_499; - - x_499 = arg_459 * y_498; - - double y_500; - - y_500 = x_499 + 5394.196021424751; - - double x_501; - - x_501 = arg_459 * y_500; - - double y_502; - - y_502 = x_501 + 687.1870074920579; - - double x_503; - - x_503 = arg_459 * y_502; - - double y_504; - - y_504 = x_503 + 42.31333070160091; - - double x_505; - - x_505 = arg_459 * y_504; - - double y_506; - - y_506 = x_505 + 1.0; - - double res_715; - - if (cond_454) { - double res_507; - - res_507 = x_473 / y_506; - - double res_508; - - res_508 = res_446 * res_507; - res_715 = res_508; - } else { - double negate_arg_509; - - negate_arg_509 = futhark_log64(res_457); - - double arg_510; - - arg_510 = -negate_arg_509; - - double res_511; - - res_511 = futhark_sqrt64(arg_510); - - char cond_512; - - cond_512 = res_511 <= 5.0; - - double arg_513; - - arg_513 = res_511 - 1.6; - - double x_514; - - x_514 = arg_513 * 7.745450142783414e-4; - - double y_515; - - y_515 = x_514 + 2.2723844989269184e-2; - - double x_516; - - x_516 = arg_513 * y_515; - - double y_517; - - y_517 = x_516 + 0.2417807251774506; - - double x_518; - - x_518 = arg_513 * y_517; - - double y_575; - - y_575 = x_518 + 1.2704582524523684; - - double x_576; - - x_576 = arg_513 * y_575; - - double y_577; - - y_577 = x_576 + 3.6478483247632045; - - double x_578; - - x_578 = arg_513 * y_577; - - double y_579; - - y_579 = x_578 + 5.769497221460691; - - double x_580; - - x_580 = arg_513 * y_579; - - double y_581; - - y_581 = x_580 + 4.630337846156546; - - double x_582; - - x_582 = arg_513 * y_581; - - double x_583; - - x_583 = x_582 + 1.4234371107496835; - - double x_633; - - x_633 = arg_513 * 1.0507500716444169e-9; - - double y_636; - - y_636 = x_633 + 5.475938084995345e-4; - - double x_637; - - x_637 = arg_513 * y_636; - - double y_638; - - y_638 = x_637 + 1.5198666563616457e-2; - - double x_639; - - x_639 = arg_513 * y_638; - - double y_642; - - y_642 = x_639 + 0.14810397642748008; - - double x_645; - - x_645 = arg_513 * y_642; - - double y_647; - - y_647 = x_645 + 0.6897673349851; - - double x_675; - - x_675 = arg_513 * y_647; - - double y_676; - - y_676 = x_675 + 1.6763848301838038; - - double x_677; - - x_677 = arg_513 * y_676; - - double y_678; - - y_678 = x_677 + 2.053191626637759; - - double x_679; - - x_679 = arg_513 * y_678; - - double y_680; - - y_680 = x_679 + 1.0; - - double arg_681; - - arg_681 = res_511 - 5.0; - - double x_682; - - x_682 = arg_681 * 2.0103343992922881e-7; - - double y_683; - - y_683 = x_682 + 2.7115555687434876e-5; - - double x_684; - - x_684 = arg_681 * y_683; - - double y_685; - - y_685 = x_684 + 1.2426609473880784e-3; - - double x_686; - - x_686 = arg_681 * y_685; - - double y_687; - - y_687 = x_686 + 2.6532189526576124e-2; - - double x_688; - - x_688 = arg_681 * y_687; - - double y_689; - - y_689 = x_688 + 0.29656057182850487; - - double x_690; - - x_690 = arg_681 * y_689; - - double y_691; - - y_691 = x_690 + 1.7848265399172913; - - double x_692; - - x_692 = arg_681 * y_691; - - double y_693; - - y_693 = x_692 + 5.463784911164114; - - double x_694; - - x_694 = arg_681 * y_693; - - double x_695; - - x_695 = x_694 + 6.657904643501103; - - double x_696; - - x_696 = arg_681 * 2.0442631033899398e-5; - - double y_697; - - y_697 = x_696 + 1.421511758316446e-7; - - double x_698; - - x_698 = arg_681 * y_697; - - double y_699; - - y_699 = x_698 + 1.8463183175100548e-5; - - double x_700; - - x_700 = arg_681 * y_699; - - double y_701; - - y_701 = x_700 + 7.868691311456133e-4; - - double x_702; - - x_702 = arg_681 * y_701; - - double y_703; - - y_703 = x_702 + 1.4875361290850615e-2; - - double x_704; - - x_704 = arg_681 * y_703; - - double y_705; - - y_705 = x_704 + 0.1369298809227358; - - double x_706; - - x_706 = arg_681 * y_705; - - double y_707; - - y_707 = x_706 + 0.599832206555888; - - double x_708; - - x_708 = arg_681 * y_707; - - double y_709; - - y_709 = x_708 + 1.0; - - double res_712; - - if (cond_512) { - double res_710; - - res_710 = x_583 / y_680; - res_712 = res_710; - } else { - double res_711; - - res_711 = x_695 / y_709; - res_712 = res_711; - } - - double res_713; - - res_713 = 0.0 - res_712; - - double res_714; - - if (x_447) { - res_714 = res_713; - } else { - res_714 = res_712; - } - res_715 = res_714; - } - *(double*) &mem_433[i_7 * 1 * 8 + 0] = res_715; - } - memmove(mem_483 + 0, mem_404 + 0, num_dates_120 * - sizeof(double)); - - double y_719; - - y_719 = *(double*) &mem_433[0 * 1 * 8 + 0]; - - double lw_val_720; - - lw_val_720 = x_178 * y_719; - *(double*) &mem_483[idx_175 * 1 * 8 + 0] = lw_val_720; - for (int i_251 = 0; i_251 < num_dates_120; i_251++) { - *(double*) &mem_425[8 * (i_11 * num_dates_120) + 8 * - i_251] = *(double*) &mem_483[8 * i_251]; - } - for (int i_723 = 0; i_723 < bound_185; i_723++) { - int i_724; - - i_724 = i_723 + 1; - - char y_725; - - y_725 = i_724 < size_115; - - int bounds_check_727; - - if (!y_725) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_725", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:160:22-160:24"); - abort(); - } - - int x_728; - - x_728 = *(int*) &bb_inds_mem_371[(1 * size_115 + i_724 * - 1) * 4 + 0]; - - int res_729; - - res_729 = x_728 - 1; - - int x_730; - - x_730 = *(int*) &bb_inds_mem_371[(2 * size_115 + i_724 * - 1) * 4 + 0]; - - int res_731; - - res_731 = x_730 - 1; - - int x_736; - - x_736 = *(int*) &bb_inds_mem_371[(0 * size_115 + i_724 * - 1) * 4 + 0]; - - int res_737; - - res_737 = x_736 - 1; - - char x_738; - - x_738 = 0 <= res_731; - - char y_739; - - y_739 = res_731 < num_dates_120; - - char assert_arg_740; - - assert_arg_740 = x_738 && y_739; - - int bounds_check_741; - - if (!assert_arg_740) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_740", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:164:22-164:27"); - abort(); - } - - double res_742; - - res_742 = *(double*) &mem_425[(i_11 * num_dates_120 + - res_731 * 1) * 8 + 0]; - - double res_743; - - res_743 = *(double*) &mem_433[i_724 * 1 * 8 + 0]; - - char y_744; - - y_744 = i_724 < size_117; - - int bounds_check_745; - - if (!y_744) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_744", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:166:22-166:24"); - abort(); - } - - double x_746; - - x_746 = *(double*) &bb_data_mem_381[(2 * size_117 + i_724 * - 1) * 8 + 0]; - - double x_747; - - x_747 = x_746 * res_742; - - double x_748; - - x_748 = *(double*) &bb_data_mem_381[(0 * size_117 + i_724 * - 1) * 8 + 0]; - - double y_749; - - y_749 = x_748 * res_743; - - double res_750; - - res_750 = x_747 + y_749; - - int x_751; - - x_751 = res_729 + 1; - - char cond_752; - - cond_752 = x_751 == 0; - - char x_753; - - x_753 = 0 <= res_729; - - char y_754; - - y_754 = res_729 < num_dates_120; - - char assert_arg_755; - - assert_arg_755 = x_753 && y_754; - - double lw_val_761; - - if (cond_752) { - lw_val_761 = res_750; - } else { - double x_756; - - x_756 = *(double*) &bb_data_mem_381[(1 * size_117 + - i_724 * 1) * 8 + - 0]; - - int bounds_check_757; - - if (!assert_arg_755) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_755", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:170:51-170:56"); - abort(); - } - - double y_758; - - y_758 = *(double*) &mem_425[(i_11 * num_dates_120 + - res_729 * 1) * 8 + 0]; - - double y_759; - - y_759 = x_756 * y_758; - - double res_760; - - res_760 = res_750 + y_759; - lw_val_761 = res_760; - } - - char x_762; - - x_762 = 0 <= res_737; - - char y_763; - - y_763 = res_737 < num_dates_120; - - char assert_arg_764; - - assert_arg_764 = x_762 && y_763; - - int bounds_check_768; - - if (!assert_arg_764) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_764", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:168:13-168:16"); - abort(); - } - *(double*) &mem_425[(i_11 * num_dates_120 + res_737 * 1) * - 8 + 0] = lw_val_761; - } - for (int ii_778 = 0; ii_778 < bound_185; ii_778++) { - int y_779; - - y_779 = ii_778 + 1; - - int res_780; - - res_780 = num_dates_120 - y_779; - - double x_781; - - x_781 = *(double*) &mem_425[(i_11 * num_dates_120 + - res_780 * 1) * 8 + 0]; - - int i_782; - - i_782 = res_780 - 1; - - double y_783; - - y_783 = *(double*) &mem_425[(i_11 * num_dates_120 + i_782 * - 1) * 8 + 0]; - - double lw_val_784; - - lw_val_784 = x_781 - y_783; - *(double*) &mem_425[(i_11 * num_dates_120 + res_780 * 1) * - 8 + 0] = lw_val_784; - } - } - for (int i_29 = 0; i_29 < size_155; i_29++) { - int x_308; - - x_308 = i_29 * size_92; - - int x_317; - - x_317 = i_29 * size_89; - - int x_143; - - x_143 = i_29 * num_und_121; - for (int i_25 = 0; i_25 < size_92; i_25++) { - int flat_index_310; - - flat_index_310 = x_308 + i_25; - - int i_311; - - i_311 = flat_index_310 / size_92 - (flat_index_310 % - size_92 != 0 && - flat_index_310 % - size_92 < 0 != size_92 < - 0 ? 1 : 0); - - int y_312; - - y_312 = i_311 * size_92; - - int i_remnant_313; - - i_remnant_313 = flat_index_310 - y_312; - - double x_942; - - x_942 = *(double*) &all_md_drifts_mem_350[(0 * (size_91 * - size_92) + - i_311 * size_92 + - i_remnant_313 * - 1) * 8 + 0]; - - int flat_index_319; - - flat_index_319 = x_317 + i_25; - - int i_320; - - i_320 = flat_index_319 / size_89 - (flat_index_319 % - size_89 != 0 && - flat_index_319 % - size_89 < 0 != size_89 < - 0 ? 1 : 0); - - int y_321; - - y_321 = i_320 * size_89; - - int i_remnant_322; - - i_remnant_322 = flat_index_319 - y_321; - - double y_943; - - y_943 = *(double*) &all_md_vols_mem_268[(0 * (size_86 * - size_89) + - i_320 * size_89 + - i_remnant_322 * - 1) * 8 + 0]; - - int arg_944; - - arg_944 = i_25 + 1; - - char y_948; - - y_948 = i_25 < size_20; - - int bounds_check_949; - - if (!y_948) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_948", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:205:58-205:62"); - abort(); - } - - char split_index_cnd_951; - - split_index_cnd_951 = arg_944 <= size_21; - - int split_index_assert_952; - - if (!split_index_cnd_951) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "split_index_cnd_951", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:201:56-201:61"); - abort(); - } - - double res_965; - double acc_17; - - acc_17 = 0.0; - for (int i_16 = 0; i_16 < arg_944; i_16++) { - int flat_index_194; - - flat_index_194 = x_143 + i_16; - - int i_197; - - i_197 = flat_index_194 / num_und_121 - (flat_index_194 % - num_und_121 != - 0 && - flat_index_194 % - num_und_121 < - 0 != - num_und_121 < - 0 ? 1 : 0); - - int y_204; - - y_204 = i_197 * num_und_121; - - int i_remnant_225; - - i_remnant_225 = flat_index_194 - y_204; - - double x_961; - - x_961 = *(double*) &mem_425[(i_remnant_225 * - num_dates_120 + i_197 * - 1) * 8 + 0]; - - double x_962; - - x_962 = *(double*) &all_md_c_mem_84[(0 * (size_20 * - size_21) + - i_25 * size_21 + - i_16 * 1) * 8 + 0]; - - double res_963; - - res_963 = x_961 * x_962; - - double res_964; - - res_964 = acc_17 + res_963; - - double acc_tmp_293; - - acc_tmp_293 = res_964; - acc_17 = acc_tmp_293; - } - res_965 = acc_17; - - double res_966; - - res_966 = res_965 * y_943; - - double res_967; - - res_967 = x_942 + res_966; - *(double*) &mem_525[(i_29 * size_92 + i_25 * 1) * 8 + 0] = - res_967; - } - } - for (int i_43 = 0; i_43 < size_92; i_43++) { - double x_973; - - x_973 = *(double*) &all_md_st_mem_359[(0 * size_94 + i_43 * 1) * - 8 + 0]; - for (int i_33 = 0; i_33 < size_155; i_33++) { - double not_curried_974; - - not_curried_974 = *(double*) &mem_525[(i_33 * size_92 + - i_43 * 1) * 8 + 0]; - - double curried_fun_result_975; - - curried_fun_result_975 = futhark_exp64(not_curried_974); - *(double*) &mem_540[i_33 * 1 * 8 + 0] = - curried_fun_result_975; - } - - double acc_38; - - acc_38 = x_973; - for (int i_37 = 0; i_37 < size_155; i_37++) { - double y_978; - - y_978 = *(double*) &mem_540[i_37 * 1 * 8 + 0]; - - double res_979; - - res_979 = acc_38 * y_978; - *(double*) &mem_536[(i_43 * size_155 + i_37 * 1) * 8 + 0] = - res_979; - - double row_42; - - row_42 = *(double*) &mem_536[(i_43 * size_155 + i_37 * 1) * - 8 + 0]; - - double acc_tmp_314; - - acc_tmp_314 = row_42; - acc_38 = acc_tmp_314; - } - } - - double x_982; - - x_982 = *(double*) &mem_536[(0 * size_155 + 0 * 1) * 8 + 0]; - - double x_983; - - x_983 = x_982 - 4000.0; - - double res_984; - - res_984 = x_983 * res_326; - - char cond_985; - - cond_985 = res_984 < 0.0; - - double res_986; - - if (cond_985) { - res_986 = 0.0; - } else { - res_986 = res_984; - } - - double res_987; - - res_987 = res_986 * y_332; - - double res_988; - - res_988 = acc_48 + res_987; - - double acc_tmp_70; - - acc_tmp_70 = res_988; - acc_48 = acc_tmp_70; - } - res_989 = acc_48; - res_2307 = res_989; - } else { - double res_2306; - - if (cond_208) { - *(double*) &mem_552[0 * 1 * 8 + 0] = 2.6609544843735446e-4; - *(double*) &mem_552[1 * 1 * 8 + 0] = 8.445945945945946e-5; - *(double*) &mem_552[2 * 1 * 8 + 0] = 8.333333333333334e-4; - - int zip_assert_991; - - if (!zip_cmp_214) { - fprintf(stderr, "Assertion %s at %s failed.\n", "zip_cmp_214", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:292:56-292:59"); - abort(); - } - - int bounds_check_993; - - if (!y_212) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_212", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:329:62-329:65"); - abort(); - } - - int bounds_check_994; - - if (!y_211) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_211", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:294:20-294:24"); - abort(); - } - - double res_1845; - double acc_232; - - acc_232 = 0.0; - for (int i_231 = 0; i_231 < num_mc_it_119; i_231++) { - int res_1000; - - res_1000 = i_231 + 1; - - int x_1001; - - x_1001 = res_1000 >> 1; - - int res_1002; - - res_1002 = x_1001 ^ res_1000; - for (int i_50 = 0; i_50 < num_bits_123; i_50++) { - int res_1004; - - res_1004 = 1 << i_50; - - int x_1005; - - x_1005 = res_1002 & res_1004; - - char res_1006; - - res_1006 = x_1005 == res_1004; - - int partition_equivalence_class_1007; - - if (res_1006) { - partition_equivalence_class_1007 = 0; - } else { - partition_equivalence_class_1007 = 1; - } - *(int*) &mem_554[i_50 * 1 * 4 + 0] = - partition_equivalence_class_1007; - } - - int filter_size_1009; - - filter_size_1009 = 0; - - int eqclass_341; - - for (int i_336 = 0; i_336 < num_bits_123; i_336++) { - eqclass_341 = *(int*) &mem_554[i_336 * 1 * 4 + 0]; - if (eqclass_341 == 0) { - filter_size_1009 = filter_size_1009 + 1; - } else { } - } - - int partition_offset_370; - - partition_offset_370 = 0; - - int partition_cur_offset_372; - - for (int i_336 = 0; i_336 < num_bits_123; i_336++) { - eqclass_341 = *(int*) &mem_554[i_336 * 1 * 4 + 0]; - if (eqclass_341 == 0) { - partition_cur_offset_372 = partition_offset_370; - *(int*) &mem_560[partition_cur_offset_372 * 1 * 4 + 0] = - *(int*) &mem_387[i_336 * 1 * 4 + 0]; - partition_offset_370 = partition_offset_370 + 1; - } else { } - } - for (int i_61 = 0; i_61 < num_und_121; i_61++) { - int y_334; - - y_334 = i_61 * size_18; - for (int i_57 = 0; i_57 < num_dates_120; i_57++) { - int x_333; - - x_333 = i_57 * new_slice_size_286; - - int x_335; - - x_335 = x_333 + y_334; - - int res_1055; - int acc_55; - - acc_55 = 0; - for (int i_54 = 0; i_54 < filter_size_1009; i_54++) { - int not_curried_1050; - - not_curried_1050 = *(int*) &mem_560[i_54 * 1 * 4 + - 0]; - - char y_1051; - - y_1051 = not_curried_1050 < size_18; - - int bounds_check_1052; - - if (!y_1051) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_1051", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:6:35-6:38"); - abort(); - } - - int flat_index_337; - - flat_index_337 = x_335 + not_curried_1050; - - int i_338; - - i_338 = flat_index_337 / size_18 - (flat_index_337 % - size_18 != 0 && - flat_index_337 % - size_18 < 0 != - size_18 < - 0 ? 1 : 0); - - int y_339; - - y_339 = i_338 * size_18; - - int i_remnant_340; - - i_remnant_340 = flat_index_337 - y_339; - - int res_1053; - - res_1053 = *(int*) &dir_vs_mem_40[(i_338 * size_18 + - i_remnant_340 * - 1) * 4 + 0]; - - int res_1054; - - res_1054 = acc_55 ^ res_1053; - - int acc_tmp_413; - - acc_tmp_413 = res_1054; - acc_55 = acc_tmp_413; - } - res_1055 = acc_55; - - double x_1056; - - x_1056 = futhark_toFloat64(res_1055); - - double res_1057; - - res_1057 = x_1056 / res_151; - - double res_1058; - - res_1058 = res_1057 - 0.5; - - char x_1059; - - x_1059 = res_1058 < 0.0; - - double x_1060; - - x_1060 = 0.0 - res_1058; - - char y_1061; - - y_1061 = x_1060 <= 0.425; - - char x_1062; - - x_1062 = x_1059 && y_1061; - - char x_1063; - - x_1063 = 0.0 <= res_1058; - - char y_1064; - - y_1064 = res_1058 <= 0.425; - - char y_1065; - - y_1065 = x_1063 && y_1064; - - char cond_1066; - - cond_1066 = x_1062 || y_1065; - - double res_1067; - - res_1067 = res_1058 + 0.5; - - double res_1068; - - res_1068 = 0.5 - res_1058; - - double res_1069; - - if (x_1059) { - res_1069 = res_1067; - } else { - res_1069 = res_1068; - } - - double y_1070; - - y_1070 = res_1058 * res_1058; - - double arg_1071; - - arg_1071 = 0.180625 - y_1070; - - double x_1072; - - x_1072 = arg_1071 * 2509.0809287301227; - - double y_1073; - - y_1073 = x_1072 + 33430.57558358813; - - double x_1074; - - x_1074 = arg_1071 * y_1073; - - double y_1075; - - y_1075 = x_1074 + 67265.7709270087; - - double x_1076; - - x_1076 = arg_1071 * y_1075; - - double y_1077; - - y_1077 = x_1076 + 45921.95393154987; - - double x_1079; - - x_1079 = arg_1071 * y_1077; - - double y_1081; - - y_1081 = x_1079 + 13731.69376550946; - - double x_1082; - - x_1082 = arg_1071 * y_1081; - - double y_1083; - - y_1083 = x_1082 + 1971.5909503065513; - - double x_1084; - - x_1084 = arg_1071 * y_1083; - - double y_1085; - - y_1085 = x_1084 + 133.14166789178438; - - double x_1086; - - x_1086 = arg_1071 * y_1085; - - double x_1087; - - x_1087 = x_1086 + 3.3871328727963665; - - double x_1088; - - x_1088 = arg_1071 * 5226.495278852854; - - double y_1089; - - y_1089 = x_1088 + 28729.085735721943; - - double x_1090; - - x_1090 = arg_1071 * y_1089; - - double y_1096; - - y_1096 = x_1090 + 39307.89580009271; - - double x_1097; - - x_1097 = arg_1071 * y_1096; - - double y_1098; - - y_1098 = x_1097 + 21213.794301586597; - - double x_1099; - - x_1099 = arg_1071 * y_1098; - - double y_1100; - - y_1100 = x_1099 + 5394.196021424751; - - double x_1101; - - x_1101 = arg_1071 * y_1100; - - double y_1102; - - y_1102 = x_1101 + 687.1870074920579; - - double x_1103; - - x_1103 = arg_1071 * y_1102; - - double y_1104; - - y_1104 = x_1103 + 42.31333070160091; - - double x_1105; - - x_1105 = arg_1071 * y_1104; - - double y_1106; - - y_1106 = x_1105 + 1.0; - - double res_1596; - - if (cond_1066) { - double res_1107; - - res_1107 = x_1087 / y_1106; - - double res_1108; - - res_1108 = res_1058 * res_1107; - res_1596 = res_1108; - } else { - double negate_arg_1185; - - negate_arg_1185 = futhark_log64(res_1069); - - double arg_1186; - - arg_1186 = -negate_arg_1185; - - double res_1187; - - res_1187 = futhark_sqrt64(arg_1186); - - char cond_1188; - - cond_1188 = res_1187 <= 5.0; - - double arg_1189; - - arg_1189 = res_1187 - 1.6; - - double x_1216; - - x_1216 = arg_1189 * 7.745450142783414e-4; - - double y_1225; - - y_1225 = x_1216 + 2.2723844989269184e-2; - - double x_1229; - - x_1229 = arg_1189 * y_1225; - - double y_1230; - - y_1230 = x_1229 + 0.2417807251774506; - - double x_1231; - - x_1231 = arg_1189 * y_1230; - - double y_1245; - - y_1245 = x_1231 + 1.2704582524523684; - - double x_1371; - - x_1371 = arg_1189 * y_1245; - - double y_1376; - - y_1376 = x_1371 + 3.6478483247632045; - - double x_1380; - - x_1380 = arg_1189 * y_1376; - - double y_1381; - - y_1381 = x_1380 + 5.769497221460691; - - double x_1382; - - x_1382 = arg_1189 * y_1381; - - double y_1413; - - y_1413 = x_1382 + 4.630337846156546; - - double x_1540; - - x_1540 = arg_1189 * y_1413; - - double x_1545; - - x_1545 = x_1540 + 1.4234371107496835; - - double x_1546; - - x_1546 = arg_1189 * 1.0507500716444169e-9; - - double y_1547; - - y_1547 = x_1546 + 5.475938084995345e-4; - - double x_1548; - - x_1548 = arg_1189 * y_1547; - - double y_1549; - - y_1549 = x_1548 + 1.5198666563616457e-2; - - double x_1550; - - x_1550 = arg_1189 * y_1549; - - double y_1551; - - y_1551 = x_1550 + 0.14810397642748008; - - double x_1552; - - x_1552 = arg_1189 * y_1551; - - double y_1553; - - y_1553 = x_1552 + 0.6897673349851; - - double x_1554; - - x_1554 = arg_1189 * y_1553; - - double y_1555; - - y_1555 = x_1554 + 1.6763848301838038; - - double x_1556; - - x_1556 = arg_1189 * y_1555; - - double y_1557; - - y_1557 = x_1556 + 2.053191626637759; - - double x_1558; - - x_1558 = arg_1189 * y_1557; - - double y_1559; - - y_1559 = x_1558 + 1.0; - - double arg_1560; - - arg_1560 = res_1187 - 5.0; - - double x_1561; - - x_1561 = arg_1560 * 2.0103343992922881e-7; - - double y_1562; - - y_1562 = x_1561 + 2.7115555687434876e-5; - - double x_1563; - - x_1563 = arg_1560 * y_1562; - - double y_1564; - - y_1564 = x_1563 + 1.2426609473880784e-3; - - double x_1565; - - x_1565 = arg_1560 * y_1564; - - double y_1568; - - y_1568 = x_1565 + 2.6532189526576124e-2; - - double x_1569; - - x_1569 = arg_1560 * y_1568; - - double y_1570; - - y_1570 = x_1569 + 0.29656057182850487; - - double x_1571; - - x_1571 = arg_1560 * y_1570; - - double y_1572; - - y_1572 = x_1571 + 1.7848265399172913; - - double x_1573; - - x_1573 = arg_1560 * y_1572; - - double y_1574; - - y_1574 = x_1573 + 5.463784911164114; - - double x_1575; - - x_1575 = arg_1560 * y_1574; - - double x_1576; - - x_1576 = x_1575 + 6.657904643501103; - - double x_1577; - - x_1577 = arg_1560 * 2.0442631033899398e-5; - - double y_1578; - - y_1578 = x_1577 + 1.421511758316446e-7; - - double x_1579; - - x_1579 = arg_1560 * y_1578; - - double y_1580; - - y_1580 = x_1579 + 1.8463183175100548e-5; - - double x_1581; - - x_1581 = arg_1560 * y_1580; - - double y_1582; - - y_1582 = x_1581 + 7.868691311456133e-4; - - double x_1583; - - x_1583 = arg_1560 * y_1582; - - double y_1584; - - y_1584 = x_1583 + 1.4875361290850615e-2; - - double x_1585; - - x_1585 = arg_1560 * y_1584; - - double y_1586; - - y_1586 = x_1585 + 0.1369298809227358; - - double x_1587; - - x_1587 = arg_1560 * y_1586; - - double y_1588; - - y_1588 = x_1587 + 0.599832206555888; - - double x_1589; - - x_1589 = arg_1560 * y_1588; - - double y_1590; - - y_1590 = x_1589 + 1.0; - - double res_1593; - - if (cond_1188) { - double res_1591; - - res_1591 = x_1545 / y_1559; - res_1593 = res_1591; - } else { - double res_1592; - - res_1592 = x_1576 / y_1590; - res_1593 = res_1592; - } - - double res_1594; - - res_1594 = 0.0 - res_1593; - - double res_1595; - - if (x_1059) { - res_1595 = res_1594; - } else { - res_1595 = res_1593; - } - res_1596 = res_1595; - } - *(double*) &mem_567[i_57 * 1 * 8 + 0] = res_1596; - } - memmove(mem_573 + 0, mem_404 + 0, num_dates_120 * - sizeof(double)); - - double y_1600; - - y_1600 = *(double*) &mem_567[0 * 1 * 8 + 0]; - - double lw_val_1601; - - lw_val_1601 = x_178 * y_1600; - *(double*) &mem_573[idx_175 * 1 * 8 + 0] = lw_val_1601; - for (int i_414 = 0; i_414 < num_dates_120; i_414++) { - *(double*) &mem_563[8 * (i_61 * num_dates_120) + 8 * - i_414] = *(double*) &mem_573[8 * - i_414]; - } - for (int i_1604 = 0; i_1604 < bound_185; i_1604++) { - int i_1605; - - i_1605 = i_1604 + 1; - - char y_1606; - - y_1606 = i_1605 < size_115; - - int bounds_check_1607; - - if (!y_1606) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_1606", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:160:22-160:24"); - abort(); - } - - int x_1608; - - x_1608 = *(int*) &bb_inds_mem_371[(1 * size_115 + - i_1605 * 1) * 4 + 0]; - - int res_1609; - - res_1609 = x_1608 - 1; - - int x_1610; - - x_1610 = *(int*) &bb_inds_mem_371[(2 * size_115 + - i_1605 * 1) * 4 + 0]; - - int res_1611; - - res_1611 = x_1610 - 1; - - int x_1612; - - x_1612 = *(int*) &bb_inds_mem_371[(0 * size_115 + - i_1605 * 1) * 4 + 0]; - - int res_1613; - - res_1613 = x_1612 - 1; - - char x_1614; - - x_1614 = 0 <= res_1611; - - char y_1615; - - y_1615 = res_1611 < num_dates_120; - - char assert_arg_1616; - - assert_arg_1616 = x_1614 && y_1615; - - int bounds_check_1617; - - if (!assert_arg_1616) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_1616", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:164:22-164:27"); - abort(); - } - - double res_1618; - - res_1618 = *(double*) &mem_563[(i_61 * num_dates_120 + - res_1611 * 1) * 8 + 0]; - - double res_1619; - - res_1619 = *(double*) &mem_567[i_1605 * 1 * 8 + 0]; - - char y_1620; - - y_1620 = i_1605 < size_117; - - int bounds_check_1621; - - if (!y_1620) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_1620", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:166:22-166:24"); - abort(); - } - - double x_1622; - - x_1622 = *(double*) &bb_data_mem_381[(2 * size_117 + - i_1605 * 1) * 8 + - 0]; - - double x_1623; - - x_1623 = x_1622 * res_1618; - - double x_1624; - - x_1624 = *(double*) &bb_data_mem_381[(0 * size_117 + - i_1605 * 1) * 8 + - 0]; - - double y_1625; - - y_1625 = x_1624 * res_1619; - - double res_1626; - - res_1626 = x_1623 + y_1625; - - int x_1627; - - x_1627 = res_1609 + 1; - - char cond_1628; - - cond_1628 = x_1627 == 0; - - char x_1629; - - x_1629 = 0 <= res_1609; - - char y_1630; - - y_1630 = res_1609 < num_dates_120; - - char assert_arg_1631; - - assert_arg_1631 = x_1629 && y_1630; - - double lw_val_1637; - - if (cond_1628) { - lw_val_1637 = res_1626; - } else { - double x_1632; - - x_1632 = *(double*) &bb_data_mem_381[(1 * size_117 + - i_1605 * 1) * - 8 + 0]; - - int bounds_check_1633; - - if (!assert_arg_1631) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_1631", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:170:51-170:56"); - abort(); - } - - double y_1634; - - y_1634 = *(double*) &mem_563[(i_61 * num_dates_120 + - res_1609 * 1) * 8 + - 0]; - - double y_1635; - - y_1635 = x_1632 * y_1634; - - double res_1636; - - res_1636 = res_1626 + y_1635; - lw_val_1637 = res_1636; - } - - char x_1638; - - x_1638 = 0 <= res_1613; - - char y_1639; - - y_1639 = res_1613 < num_dates_120; - - char assert_arg_1640; - - assert_arg_1640 = x_1638 && y_1639; - - int bounds_check_1641; - - if (!assert_arg_1640) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_1640", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:168:13-168:16"); - abort(); - } - *(double*) &mem_563[(i_61 * num_dates_120 + res_1613 * - 1) * 8 + 0] = lw_val_1637; - } - for (int ii_1645 = 0; ii_1645 < bound_185; ii_1645++) { - int y_1646; - - y_1646 = ii_1645 + 1; - - int res_1647; - - res_1647 = num_dates_120 - y_1646; - - double x_1648; - - x_1648 = *(double*) &mem_563[(i_61 * num_dates_120 + - res_1647 * 1) * 8 + 0]; - - int i_1649; - - i_1649 = res_1647 - 1; - - double y_1650; - - y_1650 = *(double*) &mem_563[(i_61 * num_dates_120 + - i_1649 * 1) * 8 + 0]; - - double lw_val_1651; - - lw_val_1651 = x_1648 - y_1650; - *(double*) &mem_563[(i_61 * num_dates_120 + res_1647 * - 1) * 8 + 0] = lw_val_1651; - } - } - for (int i_73 = 0; i_73 < size_155; i_73++) { - int x_344; - - x_344 = i_73 * size_92; - - int x_353; - - x_353 = i_73 * size_89; - - int x_325; - - x_325 = i_73 * num_und_121; - for (int i_69 = 0; i_69 < size_92; i_69++) { - int flat_index_346; - - flat_index_346 = x_344 + i_69; - - int i_347; - - i_347 = flat_index_346 / size_92 - (flat_index_346 % - size_92 != 0 && - flat_index_346 % - size_92 < 0 != - size_92 < - 0 ? 1 : 0); - - int y_348; - - y_348 = i_347 * size_92; - - int i_remnant_349; - - i_remnant_349 = flat_index_346 - y_348; - - double x_1688; - - x_1688 = *(double*) &all_md_drifts_mem_350[(0 * - (size_91 * - size_92) + - i_347 * - size_92 + - i_remnant_349 * - 1) * 8 + 0]; - - int flat_index_355; - - flat_index_355 = x_353 + i_69; - - int i_356; - - i_356 = flat_index_355 / size_89 - (flat_index_355 % - size_89 != 0 && - flat_index_355 % - size_89 < 0 != - size_89 < - 0 ? 1 : 0); - - int y_357; - - y_357 = i_356 * size_89; - - int i_remnant_358; - - i_remnant_358 = flat_index_355 - y_357; - - double y_1690; - - y_1690 = *(double*) &all_md_vols_mem_268[(0 * (size_86 * - size_89) + - i_356 * - size_89 + - i_remnant_358 * - 1) * 8 + 0]; - - int arg_1691; - - arg_1691 = i_69 + 1; - - char y_1695; - - y_1695 = i_69 < size_20; - - int bounds_check_1696; - - if (!y_1695) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_1695", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:205:58-205:62"); - abort(); - } - - char split_index_cnd_1698; - - split_index_cnd_1698 = arg_1691 <= size_21; - - int split_index_assert_1699; - - if (!split_index_cnd_1698) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "split_index_cnd_1698", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:201:56-201:61"); - abort(); - } - - double res_1711; - double acc_66; - - acc_66 = 0.0; - for (int i_65 = 0; i_65 < arg_1691; i_65++) { - double x_1707; - - x_1707 = *(double*) &all_md_c_mem_84[(0 * (size_20 * - size_21) + - i_69 * - size_21 + - i_65 * 1) * - 8 + 0]; - - int flat_index_342; - - flat_index_342 = x_325 + i_65; - - int i_343; - - i_343 = flat_index_342 / num_und_121 - - (flat_index_342 % num_und_121 != 0 && - flat_index_342 % num_und_121 < 0 != - num_und_121 < 0 ? 1 : 0); - - int y_351; - - y_351 = i_343 * num_und_121; - - int i_remnant_352; - - i_remnant_352 = flat_index_342 - y_351; - - double x_1708; - - x_1708 = *(double*) &mem_563[(i_remnant_352 * - num_dates_120 + - i_343 * 1) * 8 + 0]; - - double res_1709; - - res_1709 = x_1708 * x_1707; - - double res_1710; - - res_1710 = acc_66 + res_1709; - - double acc_tmp_429; - - acc_tmp_429 = res_1710; - acc_66 = acc_tmp_429; - } - res_1711 = acc_66; - - double res_1712; - - res_1712 = res_1711 * y_1690; - - double res_1713; - - res_1713 = x_1688 + res_1712; - *(double*) &mem_596[(i_73 * size_92 + i_69 * 1) * 8 + - 0] = res_1713; - } - } - for (int i_88 = 0; i_88 < size_92; i_88++) { - double x_1719; - - x_1719 = *(double*) &all_md_st_mem_359[(0 * size_94 + i_88 * - 1) * 8 + 0]; - for (int i_77 = 0; i_77 < size_155; i_77++) { - double not_curried_1720; - - not_curried_1720 = *(double*) &mem_596[(i_77 * size_92 + - i_88 * 1) * 8 + - 0]; - - double curried_fun_result_1721; - - curried_fun_result_1721 = - futhark_exp64(not_curried_1720); - *(double*) &mem_611[i_77 * 1 * 8 + 0] = - curried_fun_result_1721; - } - - double acc_82; - - acc_82 = x_1719; - for (int i_81 = 0; i_81 < size_155; i_81++) { - double y_1724; - - y_1724 = *(double*) &mem_611[i_81 * 1 * 8 + 0]; - - double res_1725; - - res_1725 = acc_82 * y_1724; - *(double*) &mem_607[(i_88 * size_155 + i_81 * 1) * 8 + - 0] = res_1725; - - double row_87; - - row_87 = *(double*) &mem_607[(i_88 * size_155 + i_81 * - 1) * 8 + 0]; - - double acc_tmp_436; - - acc_tmp_436 = row_87; - acc_82 = acc_tmp_436; - } - } - for (int i_227 = 0; i_227 < size_155; i_227++) { - int x_362; - - x_362 = i_227 * size_190; - for (int i_99 = 0; i_99 < size_190; i_99++) { - int flat_index_364; - - flat_index_364 = x_362 + i_99; - - int i_365; - - i_365 = flat_index_364 / size_92 - (flat_index_364 % - size_92 != 0 && - flat_index_364 % - size_92 < 0 != - size_92 < - 0 ? 1 : 0); - - int y_366; - - y_366 = i_365 * size_92; - - int i_remnant_367; - - i_remnant_367 = flat_index_364 - y_366; - - double x_1731; - - x_1731 = *(double*) &mem_607[(i_remnant_367 * size_155 + - i_365 * 1) * 8 + 0]; - - double y_1732; - - y_1732 = *(double*) &mem_552[i_99 * 1 * 8 + 0]; - - double res_1733; - - res_1733 = x_1731 * y_1732; - *(double*) &mem_627[i_99 * 1 * 8 + 0] = res_1733; - } - - double reduce_ne_1735; - - reduce_ne_1735 = *(double*) &mem_627[0 * 1 * 8 + 0]; - - double res_1751; - double acc_108; - - acc_108 = reduce_ne_1735; - for (int i_107 = 0; i_107 < size_190; i_107++) { - double y_1745; - - y_1745 = *(double*) &mem_552[i_107 * 1 * 8 + 0]; - - int flat_index_382; - - flat_index_382 = x_362 + i_107; - - int i_383; - - i_383 = flat_index_382 / size_92 - (flat_index_382 % - size_92 != 0 && - flat_index_382 % - size_92 < 0 != - size_92 < - 0 ? 1 : 0); - - int y_386; - - y_386 = i_383 * size_92; - - int i_remnant_391; - - i_remnant_391 = flat_index_382 - y_386; - - double x_1746; - - x_1746 = *(double*) &mem_607[(i_remnant_391 * size_155 + - i_383 * 1) * 8 + 0]; - - double res_1747; - - res_1747 = x_1746 * y_1745; - - char cond_1749; - - cond_1749 = acc_108 < res_1747; - - double res_1750; - - if (cond_1749) { - res_1750 = acc_108; - } else { - res_1750 = res_1747; - } - - double acc_tmp_484; - - acc_tmp_484 = res_1750; - acc_108 = acc_tmp_484; - } - res_1751 = acc_108; - *(double*) &mem_623[i_227 * 1 * 8 + 0] = res_1751; - } - - double y_1758; - - y_1758 = *(double*) &mem_623[0 * 1 * 8 + 0]; - - char cond_1759; - - cond_1759 = 1.0 <= y_1758; - - double res_1843; - - if (cond_1759) { - int bounds_check_1760; - - if (!y_213) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_213", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1761; - - y_1761 = *(double*) &all_md_disc_mem_368[(0 * size_113 + 0 * - 1) * 8 + 0]; - - double res_1762; - - res_1762 = 1150.0 * y_1761; - res_1843 = res_1762; - } else { - int bounds_check_1763; - - if (!y_215) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_215", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:295:25-295:29"); - abort(); - } - - double y_1764; - - y_1764 = *(double*) &mem_623[1 * 1 * 8 + 0]; - - char cond_1765; - - cond_1765 = 1.0 <= y_1764; - - double res_1842; - - if (cond_1765) { - int bounds_check_1766; - - if (!y_219) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_219", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1767; - - y_1767 = *(double*) &all_md_disc_mem_368[(0 * size_113 + - 1 * 1) * 8 + - 0]; - - double res_1768; - - res_1768 = 1300.0 * y_1767; - res_1842 = res_1768; - } else { - int bounds_check_1769; - - if (!y_216) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_216", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:296:30-296:34"); - abort(); - } - - double y_1770; - - y_1770 = *(double*) &mem_623[2 * 1 * 8 + 0]; - - char cond_1771; - - cond_1771 = 1.0 <= y_1770; - - double res_1840; - - if (cond_1771) { - int bounds_check_1772; - - if (!y_220) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_220", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1773; - - y_1773 = *(double*) &all_md_disc_mem_368[(0 * - size_113 + - 2 * 1) * - 8 + 0]; - - double res_1790; - - res_1790 = 1450.0 * y_1773; - res_1840 = res_1790; - } else { - int bounds_check_1791; - - if (!y_217) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_217", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:297:35-297:39"); - abort(); - } - - double y_1792; - - y_1792 = *(double*) &mem_623[3 * 1 * 8 + 0]; - - char cond_1793; - - cond_1793 = 1.0 <= y_1792; - - double res_1827; - - if (cond_1793) { - int bounds_check_1803; - - if (!y_221) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "y_221", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1805; - - y_1805 = *(double*) &all_md_disc_mem_368[(0 * - size_113 + - 3 * - 1) * - 8 + 0]; - - double res_1806; - - res_1806 = 1600.0 * y_1805; - res_1827 = res_1806; - } else { - int bounds_check_1807; - - if (!y_218) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "y_218", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:298:40-298:44"); - abort(); - } - - double y_1808; - - y_1808 = *(double*) &mem_623[4 * 1 * 8 + 0]; - - char cond_1809; - - cond_1809 = 1.0 <= y_1808; - - char cond_1810; - - cond_1810 = 0.75 < y_1808; - - double arg_1812; - - arg_1812 = 1000.0 * y_1808; - - double res_1826; - - if (cond_1809) { - int bounds_check_1814; - - if (!y_222) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "y_222", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1815; - - y_1815 = - *(double*) &all_md_disc_mem_368[(0 * - size_113 + - 4 * - 1) * - 8 + 0]; - - double res_1816; - - res_1816 = 1750.0 * y_1815; - res_1826 = res_1816; - } else { - double res_1825; - - if (cond_1810) { - int bounds_check_1817; - - if (!y_222) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "y_222", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1818; - - y_1818 = - *(double*) &all_md_disc_mem_368[(0 * - size_113 + - 4 * - 1) * - 8 + - 0]; - - double res_1820; - - res_1820 = 1000.0 * y_1818; - res_1825 = res_1820; - } else { - int bounds_check_1822; - - if (!y_222) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "y_222", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1823; - - y_1823 = - *(double*) &all_md_disc_mem_368[(0 * - size_113 + - 4 * - 1) * - 8 + - 0]; - - double res_1824; - - res_1824 = arg_1812 * y_1823; - res_1825 = res_1824; - } - res_1826 = res_1825; - } - res_1827 = res_1826; - } - res_1840 = res_1827; - } - res_1842 = res_1840; - } - res_1843 = res_1842; - } - - double res_1844; - - res_1844 = acc_232 + res_1843; - - double acc_tmp_323; - - acc_tmp_323 = res_1844; - acc_232 = acc_tmp_323; - } - res_1845 = acc_232; - res_2306 = res_1845; - } else { - double res_2305; - - if (cond_209) { - int bounds_check_1846; - - if (!y_212) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_212", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:306:29-306:31"); - abort(); - } - - int bounds_check_1847; - - if (!y_223) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_223", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:307:29-307:31"); - abort(); - } - - int bounds_check_1848; - - if (!y_224) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_224", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:308:29-308:31"); - abort(); - } - - int bounds_check_1859; - - if (!y_281) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_281", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:311:19-311:22"); - abort(); - } - - int bounds_check_1860; - - if (!y_213) { - fprintf(stderr, "Assertion %s at %s failed.\n", "y_213", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_1861; - - y_1861 = *(double*) &all_md_disc_mem_368[(0 * size_113 + 0 * - 1) * 8 + 0]; - - double res_1862; - - res_1862 = 100.0 * y_1861; - - double res_2304; - double acc_279; - - acc_279 = 0.0; - for (int i_278 = 0; i_278 < num_mc_it_119; i_278++) { - int res_1873; - - res_1873 = i_278 + 1; - - int x_1917; - - x_1917 = res_1873 >> 1; - - int res_1925; - - res_1925 = x_1917 ^ res_1873; - for (int i_234 = 0; i_234 < num_bits_123; i_234++) { - int res_1927; - - res_1927 = 1 << i_234; - - int x_1928; - - x_1928 = res_1925 & res_1927; - - char res_1929; - - res_1929 = x_1928 == res_1927; - - int partition_equivalence_class_1930; - - if (res_1929) { - partition_equivalence_class_1930 = 0; - } else { - partition_equivalence_class_1930 = 1; - } - *(int*) &mem_640[i_234 * 1 * 4 + 0] = - partition_equivalence_class_1930; - } - - int filter_size_1932; - - filter_size_1932 = 0; - - int eqclass_492; - - for (int i_491 = 0; i_491 < num_bits_123; i_491++) { - eqclass_492 = *(int*) &mem_640[i_491 * 1 * 4 + 0]; - if (eqclass_492 == 0) { - filter_size_1932 = filter_size_1932 + 1; - } else { } - } - - int partition_offset_493; - - partition_offset_493 = 0; - - int partition_cur_offset_494; - - for (int i_491 = 0; i_491 < num_bits_123; i_491++) { - eqclass_492 = *(int*) &mem_640[i_491 * 1 * 4 + 0]; - if (eqclass_492 == 0) { - partition_cur_offset_494 = partition_offset_493; - *(int*) &mem_649[partition_cur_offset_494 * 1 * 4 + - 0] = *(int*) &mem_387[i_491 * 1 * - 4 + 0]; - partition_offset_493 = partition_offset_493 + 1; - } else { } - } - for (int i_245 = 0; i_245 < num_und_121; i_245++) { - int y_374; - - y_374 = i_245 * size_18; - for (int i_241 = 0; i_241 < num_dates_120; i_241++) { - int x_373; - - x_373 = i_241 * new_slice_size_286; - - int x_375; - - x_375 = x_373 + y_374; - - int res_1978; - int acc_239; - - acc_239 = 0; - for (int i_238 = 0; i_238 < filter_size_1932; - i_238++) { - int not_curried_1973; - - not_curried_1973 = *(int*) &mem_649[i_238 * 1 * - 4 + 0]; - - char y_1974; - - y_1974 = not_curried_1973 < size_18; - - int bounds_check_1975; - - if (!y_1974) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "y_1974", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:6:35-6:38"); - abort(); - } - - int flat_index_377; - - flat_index_377 = x_375 + not_curried_1973; - - int i_378; - - i_378 = flat_index_377 / size_18 - - (flat_index_377 % size_18 != 0 && - flat_index_377 % size_18 < 0 != size_18 < - 0 ? 1 : 0); - - int y_379; - - y_379 = i_378 * size_18; - - int i_remnant_380; - - i_remnant_380 = flat_index_377 - y_379; - - int res_1976; - - res_1976 = *(int*) &dir_vs_mem_40[(i_378 * - size_18 + - i_remnant_380 * - 1) * 4 + 0]; - - int res_1977; - - res_1977 = acc_239 ^ res_1976; - - int acc_tmp_520; - - acc_tmp_520 = res_1977; - acc_239 = acc_tmp_520; - } - res_1978 = acc_239; - - double x_1979; - - x_1979 = futhark_toFloat64(res_1978); - - double res_1980; - - res_1980 = x_1979 / res_151; - - double res_1981; - - res_1981 = res_1980 - 0.5; - - char x_1982; - - x_1982 = res_1981 < 0.0; - - double x_2000; - - x_2000 = 0.0 - res_1981; - - char y_2001; - - y_2001 = x_2000 <= 0.425; - - char x_2002; - - x_2002 = x_1982 && y_2001; - - char x_2003; - - x_2003 = 0.0 <= res_1981; - - char y_2004; - - y_2004 = res_1981 <= 0.425; - - char y_2005; - - y_2005 = x_2003 && y_2004; - - char cond_2006; - - cond_2006 = x_2002 || y_2005; - - double res_2007; - - res_2007 = res_1981 + 0.5; - - double res_2008; - - res_2008 = 0.5 - res_1981; - - double res_2009; - - if (x_1982) { - res_2009 = res_2007; - } else { - res_2009 = res_2008; - } - - double y_2010; - - y_2010 = res_1981 * res_1981; - - double arg_2011; - - arg_2011 = 0.180625 - y_2010; - - double x_2012; - - x_2012 = arg_2011 * 2509.0809287301227; - - double y_2013; - - y_2013 = x_2012 + 33430.57558358813; - - double x_2014; - - x_2014 = arg_2011 * y_2013; - - double y_2015; - - y_2015 = x_2014 + 67265.7709270087; - - double x_2016; - - x_2016 = arg_2011 * y_2015; - - double y_2017; - - y_2017 = x_2016 + 45921.95393154987; - - double x_2019; - - x_2019 = arg_2011 * y_2017; - - double y_2020; - - y_2020 = x_2019 + 13731.69376550946; - - double x_2021; - - x_2021 = arg_2011 * y_2020; - - double y_2022; - - y_2022 = x_2021 + 1971.5909503065513; - - double x_2023; - - x_2023 = arg_2011 * y_2022; - - double y_2034; - - y_2034 = x_2023 + 133.14166789178438; - - double x_2038; - - x_2038 = arg_2011 * y_2034; - - double x_2039; - - x_2039 = x_2038 + 3.3871328727963665; - - double x_2040; - - x_2040 = arg_2011 * 5226.495278852854; - - double y_2041; - - y_2041 = x_2040 + 28729.085735721943; - - double x_2042; - - x_2042 = arg_2011 * y_2041; - - double y_2043; - - y_2043 = x_2042 + 39307.89580009271; - - double x_2044; - - x_2044 = arg_2011 * y_2043; - - double y_2045; - - y_2045 = x_2044 + 21213.794301586597; - - double x_2046; - - x_2046 = arg_2011 * y_2045; - - double y_2047; - - y_2047 = x_2046 + 5394.196021424751; - - double x_2048; - - x_2048 = arg_2011 * y_2047; - - double y_2049; - - y_2049 = x_2048 + 687.1870074920579; - - double x_2050; - - x_2050 = arg_2011 * y_2049; - - double y_2051; - - y_2051 = x_2050 + 42.31333070160091; - - double x_2052; - - x_2052 = arg_2011 * y_2051; - - double y_2053; - - y_2053 = x_2052 + 1.0; - - double res_2123; - - if (cond_2006) { - double res_2054; - - res_2054 = x_2039 / y_2053; - - double res_2055; - - res_2055 = res_1981 * res_2054; - res_2123 = res_2055; - } else { - double negate_arg_2056; - - negate_arg_2056 = futhark_log64(res_2009); - - double arg_2057; - - arg_2057 = -negate_arg_2056; - - double res_2058; - - res_2058 = futhark_sqrt64(arg_2057); - - char cond_2059; - - cond_2059 = res_2058 <= 5.0; - - double arg_2060; - - arg_2060 = res_2058 - 1.6; - - double x_2061; - - x_2061 = arg_2060 * 7.745450142783414e-4; - - double y_2062; - - y_2062 = x_2061 + 2.2723844989269184e-2; - - double x_2063; - - x_2063 = arg_2060 * y_2062; - - double y_2064; - - y_2064 = x_2063 + 0.2417807251774506; - - double x_2065; - - x_2065 = arg_2060 * y_2064; - - double y_2066; - - y_2066 = x_2065 + 1.2704582524523684; - - double x_2067; - - x_2067 = arg_2060 * y_2066; - - double y_2068; - - y_2068 = x_2067 + 3.6478483247632045; - - double x_2069; - - x_2069 = arg_2060 * y_2068; - - double y_2070; - - y_2070 = x_2069 + 5.769497221460691; - - double x_2071; - - x_2071 = arg_2060 * y_2070; - - double y_2072; - - y_2072 = x_2071 + 4.630337846156546; - - double x_2073; - - x_2073 = arg_2060 * y_2072; - - double x_2074; - - x_2074 = x_2073 + 1.4234371107496835; - - double x_2075; - - x_2075 = arg_2060 * 1.0507500716444169e-9; - - double y_2076; - - y_2076 = x_2075 + 5.475938084995345e-4; - - double x_2077; - - x_2077 = arg_2060 * y_2076; - - double y_2078; - - y_2078 = x_2077 + 1.5198666563616457e-2; - - double x_2079; - - x_2079 = arg_2060 * y_2078; - - double y_2080; - - y_2080 = x_2079 + 0.14810397642748008; - - double x_2081; - - x_2081 = arg_2060 * y_2080; - - double y_2082; - - y_2082 = x_2081 + 0.6897673349851; - - double x_2083; - - x_2083 = arg_2060 * y_2082; - - double y_2084; - - y_2084 = x_2083 + 1.6763848301838038; - - double x_2085; - - x_2085 = arg_2060 * y_2084; - - double y_2086; - - y_2086 = x_2085 + 2.053191626637759; - - double x_2087; - - x_2087 = arg_2060 * y_2086; - - double y_2088; - - y_2088 = x_2087 + 1.0; - - double arg_2089; - - arg_2089 = res_2058 - 5.0; - - double x_2090; - - x_2090 = arg_2089 * 2.0103343992922881e-7; - - double y_2091; - - y_2091 = x_2090 + 2.7115555687434876e-5; - - double x_2092; - - x_2092 = arg_2089 * y_2091; - - double y_2093; - - y_2093 = x_2092 + 1.2426609473880784e-3; - - double x_2094; - - x_2094 = arg_2089 * y_2093; - - double y_2095; - - y_2095 = x_2094 + 2.6532189526576124e-2; - - double x_2096; - - x_2096 = arg_2089 * y_2095; - - double y_2097; - - y_2097 = x_2096 + 0.29656057182850487; - - double x_2098; - - x_2098 = arg_2089 * y_2097; - - double y_2099; - - y_2099 = x_2098 + 1.7848265399172913; - - double x_2100; - - x_2100 = arg_2089 * y_2099; - - double y_2101; - - y_2101 = x_2100 + 5.463784911164114; - - double x_2102; - - x_2102 = arg_2089 * y_2101; - - double x_2103; - - x_2103 = x_2102 + 6.657904643501103; - - double x_2104; - - x_2104 = arg_2089 * 2.0442631033899398e-5; - - double y_2105; - - y_2105 = x_2104 + 1.421511758316446e-7; - - double x_2106; - - x_2106 = arg_2089 * y_2105; - - double y_2107; - - y_2107 = x_2106 + 1.8463183175100548e-5; - - double x_2108; - - x_2108 = arg_2089 * y_2107; - - double y_2109; - - y_2109 = x_2108 + 7.868691311456133e-4; - - double x_2110; - - x_2110 = arg_2089 * y_2109; - - double y_2111; - - y_2111 = x_2110 + 1.4875361290850615e-2; - - double x_2112; - - x_2112 = arg_2089 * y_2111; - - double y_2113; - - y_2113 = x_2112 + 0.1369298809227358; - - double x_2114; - - x_2114 = arg_2089 * y_2113; - - double y_2115; - - y_2115 = x_2114 + 0.599832206555888; - - double x_2116; - - x_2116 = arg_2089 * y_2115; - - double y_2117; - - y_2117 = x_2116 + 1.0; - - double res_2120; - - if (cond_2059) { - double res_2118; - - res_2118 = x_2074 / y_2088; - res_2120 = res_2118; - } else { - double res_2119; - - res_2119 = x_2103 / y_2117; - res_2120 = res_2119; - } - - double res_2121; - - res_2121 = 0.0 - res_2120; - - double res_2122; - - if (x_1982) { - res_2122 = res_2121; - } else { - res_2122 = res_2120; - } - res_2123 = res_2122; - } - *(double*) &mem_656[i_241 * 1 * 8 + 0] = res_2123; - } - memmove(mem_662 + 0, mem_404 + 0, num_dates_120 * - sizeof(double)); - - double y_2127; - - y_2127 = *(double*) &mem_656[0 * 1 * 8 + 0]; - - double lw_val_2128; - - lw_val_2128 = x_178 * y_2127; - *(double*) &mem_662[idx_175 * 1 * 8 + 0] = lw_val_2128; - for (int i_521 = 0; i_521 < num_dates_120; i_521++) { - *(double*) &mem_652[8 * (num_dates_120 * i_245) + - 8 * i_521] = - *(double*) &mem_662[8 * i_521]; - } - for (int i_2131 = 0; i_2131 < bound_185; i_2131++) { - int i_2132; - - i_2132 = i_2131 + 1; - - char y_2133; - - y_2133 = i_2132 < size_115; - - int bounds_check_2134; - - if (!y_2133) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_2133", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:160:22-160:24"); - abort(); - } - - int x_2135; - - x_2135 = *(int*) &bb_inds_mem_371[(1 * size_115 + - i_2132 * 1) * 4 + - 0]; - - int res_2136; - - res_2136 = x_2135 - 1; - - int x_2137; - - x_2137 = *(int*) &bb_inds_mem_371[(2 * size_115 + - i_2132 * 1) * 4 + - 0]; - - int res_2138; - - res_2138 = x_2137 - 1; - - int x_2139; - - x_2139 = *(int*) &bb_inds_mem_371[(0 * size_115 + - i_2132 * 1) * 4 + - 0]; - - int res_2140; - - res_2140 = x_2139 - 1; - - char x_2141; - - x_2141 = 0 <= res_2138; - - char y_2142; - - y_2142 = res_2138 < num_dates_120; - - char assert_arg_2143; - - assert_arg_2143 = x_2141 && y_2142; - - int bounds_check_2144; - - if (!assert_arg_2143) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_2143", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:164:22-164:27"); - abort(); - } - - double res_2145; - - res_2145 = *(double*) &mem_652[(i_245 * - num_dates_120 + - res_2138 * 1) * 8 + - 0]; - - double res_2146; - - res_2146 = *(double*) &mem_656[i_2132 * 1 * 8 + 0]; - - char y_2147; - - y_2147 = i_2132 < size_117; - - int bounds_check_2148; - - if (!y_2147) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_2147", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:166:22-166:24"); - abort(); - } - - double x_2149; - - x_2149 = *(double*) &bb_data_mem_381[(2 * size_117 + - i_2132 * 1) * - 8 + 0]; - - double x_2150; - - x_2150 = x_2149 * res_2145; - - double x_2151; - - x_2151 = *(double*) &bb_data_mem_381[(0 * size_117 + - i_2132 * 1) * - 8 + 0]; - - double y_2152; - - y_2152 = x_2151 * res_2146; - - double res_2153; - - res_2153 = x_2150 + y_2152; - - int x_2154; - - x_2154 = res_2136 + 1; - - char cond_2155; - - cond_2155 = x_2154 == 0; - - char x_2156; - - x_2156 = 0 <= res_2136; - - char y_2157; - - y_2157 = res_2136 < num_dates_120; - - char assert_arg_2158; - - assert_arg_2158 = x_2156 && y_2157; - - double lw_val_2164; - - if (cond_2155) { - lw_val_2164 = res_2153; - } else { - double x_2159; - - x_2159 = *(double*) &bb_data_mem_381[(1 * - size_117 + - i_2132 * - 1) * 8 + - 0]; - - int bounds_check_2160; - - if (!assert_arg_2158) { - fprintf(stderr, - "Assertion %s at %s failed.\n", - "assert_arg_2158", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:170:51-170:56"); - abort(); - } - - double y_2161; - - y_2161 = *(double*) &mem_652[(i_245 * - num_dates_120 + - res_2136 * 1) * - 8 + 0]; - - double y_2162; - - y_2162 = x_2159 * y_2161; - - double res_2163; - - res_2163 = res_2153 + y_2162; - lw_val_2164 = res_2163; - } - - char x_2165; - - x_2165 = 0 <= res_2140; - - char y_2166; - - y_2166 = res_2140 < num_dates_120; - - char assert_arg_2167; - - assert_arg_2167 = x_2165 && y_2166; - - int bounds_check_2168; - - if (!assert_arg_2167) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "assert_arg_2167", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:168:13-168:16"); - abort(); - } - *(double*) &mem_652[(i_245 * num_dates_120 + - res_2140 * 1) * 8 + 0] = - lw_val_2164; - } - for (int ii_2172 = 0; ii_2172 < bound_185; ii_2172++) { - int y_2173; - - y_2173 = ii_2172 + 1; - - int res_2174; - - res_2174 = num_dates_120 - y_2173; - - double x_2175; - - x_2175 = *(double*) &mem_652[(i_245 * - num_dates_120 + - res_2174 * 1) * 8 + - 0]; - - int i_2176; - - i_2176 = res_2174 - 1; - - double y_2177; - - y_2177 = *(double*) &mem_652[(i_245 * - num_dates_120 + - i_2176 * 1) * 8 + 0]; - - double lw_val_2178; - - lw_val_2178 = x_2175 - y_2177; - *(double*) &mem_652[(i_245 * num_dates_120 + - res_2174 * 1) * 8 + 0] = - lw_val_2178; - } - } - for (int i_257 = 0; i_257 < size_155; i_257++) { - int x_384; - - x_384 = i_257 * size_92; - - int x_407; - - x_407 = i_257 * size_89; - - int x_417; - - x_417 = i_257 * num_und_121; - for (int i_253 = 0; i_253 < size_92; i_253++) { - int flat_index_400; - - flat_index_400 = x_384 + i_253; - - int i_401; - - i_401 = flat_index_400 / size_92 - (flat_index_400 % - size_92 != 0 && - flat_index_400 % - size_92 < 0 != - size_92 < - 0 ? 1 : 0); - - int y_402; - - y_402 = i_401 * size_92; - - int i_remnant_403; - - i_remnant_403 = flat_index_400 - y_402; - - double x_2217; - - x_2217 = *(double*) &all_md_drifts_mem_350[(0 * - (size_91 * - size_92) + - i_401 * - size_92 + - i_remnant_403 * - 1) * 8 + - 0]; - - int flat_index_409; - - flat_index_409 = x_407 + i_253; - - int i_410; - - i_410 = flat_index_409 / size_89 - (flat_index_409 % - size_89 != 0 && - flat_index_409 % - size_89 < 0 != - size_89 < - 0 ? 1 : 0); - - int y_411; - - y_411 = i_410 * size_89; - - int i_remnant_412; - - i_remnant_412 = flat_index_409 - y_411; - - double y_2219; - - y_2219 = *(double*) &all_md_vols_mem_268[(0 * - (size_86 * - size_89) + - i_410 * - size_89 + - i_remnant_412 * - 1) * 8 + - 0]; - - int arg_2220; - - arg_2220 = i_253 + 1; - - char y_2224; - - y_2224 = i_253 < size_20; - - int bounds_check_2225; - - if (!y_2224) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_2224", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:205:58-205:62"); - abort(); - } - - char split_index_cnd_2227; - - split_index_cnd_2227 = arg_2220 <= size_21; - - int split_index_assert_2228; - - if (!split_index_cnd_2227) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "split_index_cnd_2227", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:201:56-201:61"); - abort(); - } - - double res_2240; - double acc_250; - - acc_250 = 0.0; - for (int i_249 = 0; i_249 < arg_2220; i_249++) { - int flat_index_419; - - flat_index_419 = x_417 + i_249; - - int i_420; - - i_420 = flat_index_419 / num_und_121 - - (flat_index_419 % num_und_121 != 0 && - flat_index_419 % num_und_121 < 0 != - num_und_121 < 0 ? 1 : 0); - - int y_421; - - y_421 = i_420 * num_und_121; - - int i_remnant_422; - - i_remnant_422 = flat_index_419 - y_421; - - double x_2236; - - x_2236 = *(double*) &mem_652[(i_remnant_422 * - num_dates_120 + - i_420 * 1) * 8 + - 0]; - - double x_2237; - - x_2237 = *(double*) &all_md_c_mem_84[(0 * - (size_20 * - size_21) + - i_253 * - size_21 + - i_249 * - 1) * 8 + - 0]; - - double res_2238; - - res_2238 = x_2236 * x_2237; - - double res_2239; - - res_2239 = acc_250 + res_2238; - - double acc_tmp_529; - - acc_tmp_529 = res_2239; - acc_250 = acc_tmp_529; - } - res_2240 = acc_250; - - double res_2241; - - res_2241 = res_2240 * y_2219; - - double res_2242; - - res_2242 = x_2217 + res_2241; - *(double*) &mem_722[(i_257 * size_92 + i_253 * 1) * - 8 + 0] = res_2242; - } - } - for (int i_271 = 0; i_271 < size_92; i_271++) { - double x_2248; - - x_2248 = *(double*) &all_md_st_mem_359[(0 * size_94 + - i_271 * 1) * 8 + - 0]; - for (int i_261 = 0; i_261 < size_155; i_261++) { - double not_curried_2249; - - not_curried_2249 = *(double*) &mem_722[(i_261 * - size_92 + - i_271 * 1) * - 8 + 0]; - - double curried_fun_result_2250; - - curried_fun_result_2250 = - futhark_exp64(not_curried_2249); - *(double*) &mem_777[i_261 * 1 * 8 + 0] = - curried_fun_result_2250; - } - - double acc_266; - - acc_266 = x_2248; - for (int i_265 = 0; i_265 < size_155; i_265++) { - double y_2253; - - y_2253 = *(double*) &mem_777[i_265 * 1 * 8 + 0]; - - double res_2254; - - res_2254 = acc_266 * y_2253; - *(double*) &mem_771[(i_271 * size_155 + i_265 * 1) * - 8 + 0] = res_2254; - - double row_270; - - row_270 = *(double*) &mem_771[(i_271 * size_155 + - i_265 * 1) * 8 + 0]; - - double acc_tmp_532; - - acc_tmp_532 = row_270; - acc_266 = acc_tmp_532; - } - } - - char res_2273; - char acc_276; - - acc_276 = 0; - for (int i_275 = 0; i_275 < size_155; i_275++) { - int x_427; - - x_427 = i_275 * size_190; - - int i_430; - - i_430 = x_427 / size_92 - (x_427 % size_92 != 0 && - x_427 % size_92 < 0 != - size_92 < 0 ? 1 : 0); - - int y_431; - - y_431 = i_430 * size_92; - - int i_remnant_432; - - i_remnant_432 = x_427 - y_431; - - double x_2264; - - x_2264 = *(double*) &mem_771[(i_remnant_432 * size_155 + - i_430 * 1) * 8 + 0]; - - char x_2265; - - x_2265 = x_2264 <= 2630.6349999999998; - - int flat_index_477; - - flat_index_477 = x_427 + 1; - - int i_478; - - i_478 = flat_index_477 / size_92 - (flat_index_477 % - size_92 != 0 && - flat_index_477 % - size_92 < 0 != - size_92 < - 0 ? 1 : 0); - - int y_479; - - y_479 = i_478 * size_92; - - int i_remnant_480; - - i_remnant_480 = flat_index_477 - y_479; - - double x_2266; - - x_2266 = *(double*) &mem_771[(i_remnant_480 * size_155 + - i_478 * 1) * 8 + 0]; - - char y_2267; - - y_2267 = x_2266 <= 8288.0; - - char x_2268; - - x_2268 = x_2265 || y_2267; - - int flat_index_486; - - flat_index_486 = x_427 + 2; - - int i_487; - - i_487 = flat_index_486 / size_92 - (flat_index_486 % - size_92 != 0 && - flat_index_486 % - size_92 < 0 != - size_92 < - 0 ? 1 : 0); - - int y_488; - - y_488 = i_487 * size_92; - - int i_remnant_489; - - i_remnant_489 = flat_index_486 - y_488; - - double x_2269; - - x_2269 = *(double*) &mem_771[(i_remnant_489 * size_155 + - i_487 * 1) * 8 + 0]; - - char y_2270; - - y_2270 = x_2269 <= 840.0; - - char res_2271; - - res_2271 = x_2268 || y_2270; - - char res_2272; - - res_2272 = acc_276 || res_2271; - - char acc_tmp_537; - - acc_tmp_537 = res_2272; - acc_276 = acc_tmp_537; - } - res_2273 = acc_276; - - double x_2274; - - x_2274 = *(double*) &mem_771[(i_remnant_288 * size_155 + - i_283 * 1) * 8 + 0]; - - char x_2275; - - x_2275 = x_2274 < 3758.05; - - double x_2276; - - x_2276 = *(double*) &mem_771[(i_remnant_296 * size_155 + - i_291 * 1) * 8 + 0]; - - char y_2277; - - y_2277 = x_2276 < 1200.0; - - char x_2278; - - x_2278 = x_2275 || y_2277; - - double x_2279; - - x_2279 = *(double*) &mem_771[(i_remnant_300 * size_155 + - i_298 * 1) * 8 + 0]; - - char y_2280; - - y_2280 = x_2279 < 11840.0; - - char y_2281; - - y_2281 = x_2278 || y_2280; - - char res_2282; - - res_2282 = res_2273 && y_2281; - - double x_2283; - - x_2283 = x_2276 / 1200.0; - - double arg_2284; - - arg_2284 = x_2283 - 1.0; - - double x_2285; - - x_2285 = x_2274 / 3758.05; - - double arg_2286; - - arg_2286 = x_2285 - 1.0; - - char cond_2287; - - cond_2287 = arg_2284 < arg_2286; - - double res_2288; - - if (cond_2287) { - res_2288 = arg_2284; - } else { - res_2288 = arg_2286; - } - - double x_2289; - - x_2289 = x_2279 / 11840.0; - - double arg_2290; - - arg_2290 = x_2289 - 1.0; - - char cond_2291; - - cond_2291 = arg_2290 < res_2288; - - double res_2292; - - if (cond_2291) { - res_2292 = arg_2290; - } else { - res_2292 = res_2288; - } - - double y_2293; - - y_2293 = 1.0 + res_2292; - - double res_2294; - - res_2294 = 1000.0 * y_2293; - - double res_2301; - - if (res_2282) { - int bounds_check_2295; - - if (!y_219) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_219", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_2296; - - y_2296 = *(double*) &all_md_disc_mem_368[(0 * size_113 + - 1 * 1) * 8 + - 0]; - - double res_2297; - - res_2297 = res_2294 * y_2296; - res_2301 = res_2297; - } else { - int bounds_check_2298; - - if (!y_219) { - fprintf(stderr, "Assertion %s at %s failed.\n", - "y_219", - "/home/athas/repos/finpar/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut:331:66-331:70"); - abort(); - } - - double y_2299; - - y_2299 = *(double*) &all_md_disc_mem_368[(0 * size_113 + - 1 * 1) * 8 + - 0]; - - double res_2300; - - res_2300 = 1000.0 * y_2299; - res_2301 = res_2300; - } - - double res_2302; - - res_2302 = res_1862 + res_2301; - - double res_2303; - - res_2303 = acc_279 + res_2302; - - double acc_tmp_485; - - acc_tmp_485 = res_2303; - acc_279 = acc_tmp_485; - } - res_2304 = acc_279; - res_2305 = res_2304; - } else { - res_2305 = 0.0; - } - res_2306 = res_2305; - } - res_2307 = res_2306; - } - - double y_2308; - - y_2308 = futhark_toFloat64(num_mc_it_119); - - double arr_elem_2309; - - arr_elem_2309 = res_2307 / y_2308; - - unsigned char* mem_799; - - mem_799 = malloc(8); - *(double*) &mem_799[0 * 1 * 8 + 0] = arr_elem_2309; - out_mem_23 = mem_799; - out_memsize_24 = 8; - out_arrsize_26 = 1; - - struct tuple_int_mem_int retval_0; - - retval_0.elem_0 = out_memsize_24; - retval_0.elem_1 = out_mem_23; - retval_0.elem_2 = out_arrsize_26; - return retval_0; -} -int main(int argc, char** argv) -{ - struct timeval t_start, t_end, t_diff; - unsigned long elapsed_usec; - - { - int out_memsize_24; - unsigned char* out_mem_23; - int out_arrsize_26; - int dir_vs_mem_size_27; - int all_md_c_mem_size_71; - int all_md_vols_mem_size_255; - int all_md_drifts_mem_size_345; - int all_md_st_mem_size_354; - int all_md_detvals_mem_size_360; - int all_md_disc_mem_size_363; - int bb_inds_mem_size_369; - int bb_data_mem_size_376; - unsigned char* dir_vs_mem_40; - unsigned char* all_md_c_mem_84; - unsigned char* all_md_vols_mem_268; - unsigned char* all_md_drifts_mem_350; - unsigned char* all_md_st_mem_359; - unsigned char* all_md_detvals_mem_361; - unsigned char* all_md_disc_mem_368; - unsigned char* bb_inds_mem_371; - unsigned char* bb_data_mem_381; - int size_14; - int size_18; - int size_19; - int size_20; - int size_21; - int size_22; - int size_86; - int size_89; - int size_90; - int size_91; - int size_92; - int size_93; - int size_94; - int size_95; - int size_111; - int size_112; - int size_113; - int size_114; - int size_115; - int size_116; - int size_117; - int contract_number_118; - int num_mc_it_119; - int num_dates_120; - int num_und_121; - int num_models_122; - int num_bits_123; - struct tuple_int_mem_int main_ret_1; - - if (read_int(&contract_number_118) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&num_mc_it_119) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&num_dates_120) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&num_und_121) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&num_models_122) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - if (read_int(&num_bits_123) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "int"); - exit(1); - } - { - int64_t shape[2]; - - if (read_array(sizeof(int), read_int, (void**) &dir_vs_mem_40, - shape, 2) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "[[int]]"); - exit(1); - } - size_14 = shape[0]; - size_18 = shape[1]; - dir_vs_mem_size_27 = sizeof(int) * shape[0] * shape[1]; - } - { - int64_t shape[3]; - - if (read_array(sizeof(double), read_double, - (void**) &all_md_c_mem_84, shape, 3) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[[float64]]]"); - exit(1); - } - size_19 = shape[0]; - size_20 = shape[1]; - size_21 = shape[2]; - all_md_c_mem_size_71 = sizeof(double) * shape[0] * shape[1] * - shape[2]; - } - { - int64_t shape[3]; - - if (read_array(sizeof(double), read_double, - (void**) &all_md_vols_mem_268, shape, 3) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[[float64]]]"); - exit(1); - } - size_22 = shape[0]; - size_86 = shape[1]; - size_89 = shape[2]; - all_md_vols_mem_size_255 = sizeof(double) * shape[0] * shape[1] * - shape[2]; - } - { - int64_t shape[3]; - - if (read_array(sizeof(double), read_double, - (void**) &all_md_drifts_mem_350, shape, 3) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[[float64]]]"); - exit(1); - } - size_90 = shape[0]; - size_91 = shape[1]; - size_92 = shape[2]; - all_md_drifts_mem_size_345 = sizeof(double) * shape[0] * shape[1] * - shape[2]; - } - { - int64_t shape[2]; - - if (read_array(sizeof(double), read_double, - (void**) &all_md_st_mem_359, shape, 2) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[float64]]"); - exit(1); - } - size_93 = shape[0]; - size_94 = shape[1]; - all_md_st_mem_size_354 = sizeof(double) * shape[0] * shape[1]; - } - { - int64_t shape[2]; - - if (read_array(sizeof(double), read_double, - (void**) &all_md_detvals_mem_361, shape, 2) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[float64]]"); - exit(1); - } - size_95 = shape[0]; - size_111 = shape[1]; - all_md_detvals_mem_size_360 = sizeof(double) * shape[0] * shape[1]; - } - { - int64_t shape[2]; - - if (read_array(sizeof(double), read_double, - (void**) &all_md_disc_mem_368, shape, 2) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[float64]]"); - exit(1); - } - size_112 = shape[0]; - size_113 = shape[1]; - all_md_disc_mem_size_363 = sizeof(double) * shape[0] * shape[1]; - } - { - int64_t shape[2]; - - if (read_array(sizeof(int), read_int, (void**) &bb_inds_mem_371, - shape, 2) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", "[[int]]"); - exit(1); - } - size_114 = shape[0]; - size_115 = shape[1]; - bb_inds_mem_size_369 = sizeof(int) * shape[0] * shape[1]; - } - { - int64_t shape[2]; - - if (read_array(sizeof(double), read_double, - (void**) &bb_data_mem_381, shape, 2) != 0) { - fprintf(stderr, "Syntax error when reading %s.\n", - "[[float64]]"); - exit(1); - } - size_116 = shape[0]; - size_117 = shape[1]; - bb_data_mem_size_376 = sizeof(double) * shape[0] * shape[1]; - } - gettimeofday(&t_start, NULL); - main_ret_1 = futhark_main(dir_vs_mem_size_27, all_md_c_mem_size_71, - all_md_vols_mem_size_255, - all_md_drifts_mem_size_345, - all_md_st_mem_size_354, - all_md_detvals_mem_size_360, - all_md_disc_mem_size_363, - bb_inds_mem_size_369, bb_data_mem_size_376, - dir_vs_mem_40, all_md_c_mem_84, - all_md_vols_mem_268, all_md_drifts_mem_350, - all_md_st_mem_359, all_md_detvals_mem_361, - all_md_disc_mem_368, bb_inds_mem_371, - bb_data_mem_381, size_14, size_18, size_19, - size_20, size_21, size_22, size_86, size_89, - size_90, size_91, size_92, size_93, size_94, - size_95, size_111, size_112, size_113, - size_114, size_115, size_116, size_117, - contract_number_118, num_mc_it_119, - num_dates_120, num_und_121, num_models_122, - num_bits_123); - gettimeofday(&t_end, NULL); - out_memsize_24 = main_ret_1.elem_0; - out_mem_23 = main_ret_1.elem_1; - out_arrsize_26 = main_ret_1.elem_2; - { - if (out_arrsize_26 == 0) { - printf("empty(%s)", "float64"); - } else { - int print_i_2; - - putchar('['); - for (print_i_2 = 0; print_i_2 < out_arrsize_26; print_i_2++) { - double* print_elem_3 = (double*) out_mem_23 + print_i_2 * 1; - - printf("%.6f", *print_elem_3); - if (print_i_2 != out_arrsize_26 - 1) { - printf(", "); - } - } - putchar(']'); - } - } - printf("\n"); - } - ; - if (argc == 3 && strcmp(argv[1], "-t") == 0) { - FILE * runtime_file; - runtime_file = fopen(argv[2], "w"); - if (runtime_file == NULL) { - fprintf(stderr, "Cannot open %s: %s\n", argv[2], strerror(errno)); - exit(1); - } - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed_usec = t_diff.tv_sec * 1e6 + t_diff.tv_usec; - fprintf(runtime_file, "%ld\n", elapsed_usec / 1000); - fclose(runtime_file); - } - return 0; -} diff --git a/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut b/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut deleted file mode 100644 index 216abe7..0000000 --- a/benchmarks/OptionPricing/implementations/futhark/GenericPricing.fut +++ /dev/null @@ -1,443 +0,0 @@ -fun int grayCode(int x) = (x >> 1) ^ x - ----------------------------------------- ---- Sobol Generator ----------------------------------------- -fun bool testBit(int n, int ind) = - let t = (1 << ind) in (n & t) == t - ------------------------------------------------------------------ ----- INDEPENDENT FORMULA: ----- filter is redundantly computed inside map. ----- Currently Futhark hoists it outside, but this will ----- not allow fusing the filter with reduce => redomap, ------------------------------------------------------------------ -fun int xorInds(int n, [int,num_bits] dir_vs) = - let reldv_vals = map( fn int (int dv, int i) => - if testBit(grayCode(n),i) - then dv else 0 - , zip(dir_vs,iota(num_bits)) ) in - reduce( ^, 0, reldv_vals ) - -fun [int] sobolIndI ( [[int]] dir_vs, int n ) = - map( xorInds(n), dir_vs ) - -fun [real] sobolIndR( [[int,num_bits]] dir_vs, int n ) = - let divisor = 2.0 pow toFloat (num_bits) in - let arri = sobolIndI( dir_vs, n ) in - map( fn real (int x) => toFloat(x) / divisor, arri ) - --------------------------------- ----- STRENGTH-REDUCED FORMULA --------------------------------- -fun int index_of_least_significant_0(int num_bits, int n) = - let {goon,k} = {True,0} in - loop ({goon,k,n}) = - for i < num_bits do - if(goon) - then if (n & 1) == 1 - then {True, k+1, n>>1} - else {False,k, n } - else {False,k, n } - in k - -fun [int] sobolRecI([[int,num_bits]] sob_dir_vs, [int] prev, int n) = - let bit = index_of_least_significant_0(num_bits,n) in - map (fn int ({[int],int} vct_prev) => - let {vct_row, prev} = vct_prev in - vct_row[bit] ^ prev - , zip(sob_dir_vs,prev)) - -fun [[real]] sobolRecMap( real sob_fact, [[int]] dir_vs, {int,int} lu_bds ) = - let {lb_inc, ub_exc} = lu_bds in - -- the if inside may be particularly ugly for - -- flattening since it introduces control flow! - let contribs = map( fn [int] (int k) => - if (k==0) - then sobolIndI(dir_vs,lb_inc+1) - else recM(dir_vs,k+lb_inc) - , iota(ub_exc-lb_inc) - ) in - let vct_ints = scan( fn [int] ([int] x, [int] y) => zipWith(^, x, y) - , replicate( size(0,dir_vs), 0 ) - , contribs - ) - in map( fn [real] ([int] xs) => - map ( fn real (int x) => - toFloat(x) * sob_fact - , xs) - , vct_ints) - -fun [int] sobolRecI2([[int]] sob_dirs, [int] prev, int i)= - let col = recM(sob_dirs, i) in zipWith(^,prev,col) - -fun [int] recM( [[int,num_bits]] sob_dirs, int i ) = - let bit= index_of_least_significant_0(num_bits,i) in - map( fn int([int] row) => row[bit], sob_dirs ) - --- computes sobol numbers: n,..,n+chunk-1 -fun [[real],chunk] sobolChunk([[int,num_bits],len] dir_vs, int n, int chunk) = - let sob_fact= 1.0 / toFloat(1 << num_bits) in - let sob_beg = sobolIndI(dir_vs, n+1) in - let contrbs = map( fn [int] (int k) => - let sob = k + n in - if(k==0) then sob_beg - else recM(dir_vs, k+n) - , iota(chunk) ) in - let vct_ints= scan( fn [int] ([int] x, [int] y) => - zipWith(^, x, y) - , replicate(len, 0), contrbs ) in - map( fn [real] ([int] xs) => - map ( fn real (int x) => - toFloat(x) * sob_fact - , xs) - , vct_ints) - ----------------------------------------- ---- Inverse Gaussian ----------------------------------------- -fun real polyAppr( real x, - real a0, real a1, real a2, real a3, - real a4, real a5, real a6, real a7, - real b0, real b1, real b2, real b3, - real b4, real b5, real b6, real b7 - ) = - (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0) / - (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) - -fun real smallcase(real q) = - q * polyAppr( 0.180625 - q * q, - - 3.387132872796366608, - 133.14166789178437745, - 1971.5909503065514427, - 13731.693765509461125, - 45921.953931549871457, - 67265.770927008700853, - 33430.575583588128105, - 2509.0809287301226727, - - 1.0, - 42.313330701600911252, - 687.1870074920579083, - 5394.1960214247511077, - 21213.794301586595867, - 39307.89580009271061, - 28729.085735721942674, - 5226.495278852854561 - ) - -fun real intermediate(real r) = - polyAppr( r - 1.6, - - 1.42343711074968357734, - 4.6303378461565452959, - 5.7694972214606914055, - 3.64784832476320460504, - 1.27045825245236838258, - 0.24178072517745061177, - 0.0227238449892691845833, - 7.7454501427834140764e-4, - - 1.0, - 2.05319162663775882187, - 1.6763848301838038494, - 0.68976733498510000455, - 0.14810397642748007459, - 0.0151986665636164571966, - 5.475938084995344946e-4, - 1.05075007164441684324e-9 - ) - -fun real tail(real r) = - polyAppr( r - 5.0, - - 6.6579046435011037772, - 5.4637849111641143699, - 1.7848265399172913358, - 0.29656057182850489123, - 0.026532189526576123093, - 0.0012426609473880784386, - 2.71155556874348757815e-5, - 2.01033439929228813265e-7, - - 1.0, - 0.59983220655588793769, - 0.13692988092273580531, - 0.0148753612908506148525, - 7.868691311456132591e-4, - 1.8463183175100546818e-5, - 1.4215117583164458887e-7, - 2.04426310338993978564e-5 - ) - -fun real ugaussianEl( real p ) = - let dp = p - 0.5 - in --if ( fabs(dp) <= 0.425 ) - if ( ( (dp < 0.0 ) && (0.0 - dp <= 0.425) ) || - ( (0.0 <= dp) && (dp <= 0.425) ) ) - then smallcase(dp) - else let pp = if(dp < 0.0) then dp + 0.5 - else 0.5 - dp in - let r = sqrt( - log(pp) ) in - let x = if(r <= 5.0) then intermediate(r) - else tail(r) in - if(dp < 0.0) then 0.0 - x - else x - --- Transforms a uniform distribution [0,1) --- into a gaussian distribution (-inf, +inf) -fun [real] ugaussian([real] ps) = map(ugaussianEl, ps) - - ---------------------------------- ---- Brownian Bridge ---------------------------------- -fun [real,num_dates] brownianBridgeDates ( - [[int, num_dates],3] bb_inds, - [[real,num_dates],3] bb_data, - [real,num_dates] gauss - ) = - let bi = bb_inds[0] in - let li = bb_inds[1] in - let ri = bb_inds[2] in - let sd = bb_data[0] in - let lw = bb_data[1] in - let rw = bb_data[2] in - - let bbrow = copy(replicate(num_dates, 0.0)) in - let bbrow[ bi[0]-1 ] = sd[0] * gauss[0] in - - loop (bbrow) = - for i < num_dates-1 do -- use i+1 since i in 1 .. num_dates-1 - let j = li[i+1] - 1 in - let k = ri[i+1] - 1 in - let l = bi[i+1] - 1 in - - let wk = bbrow [k ] in - let zi = gauss [i+1] in - let tmp= rw[i+1] * wk + sd[i+1] * zi in - - let bbrow[ l ] = if( j == -1) - then tmp - else tmp + lw[i+1] * bbrow[j] - in bbrow - - -- This can be written as map-reduce, but it - -- needs delayed arrays to be mapped nicely! - in loop (bbrow) = - for ii < num_dates-1 do - let i = num_dates - (ii+1) in - let bbrow[i] = bbrow[i] - bbrow[i-1] - in bbrow - in bbrow - -fun [[real,num_und],num_dates] brownianBridge ( - int num_und, - [[int, num_dates],3] bb_inds, - [[real,num_dates],3] bb_data, - [real] gaussian_arr - ) = - let gauss2d = reshape((num_dates,num_und), gaussian_arr) in - let gauss2dT = transpose(gauss2d) in - transpose( - map( brownianBridgeDates(bb_inds, bb_data), gauss2dT ) - ) - - ---------------------------------- ---- Black-Scholes ---------------------------------- -fun [real] take(int n, [real] a) = let {first, rest} = split((n), a) in first - -fun [[real,num_und],num_dates] -correlateDeltas( [[real,num_und],num_und ] md_c, - [[real,num_und],num_dates] zds -) = - map( fn [real,num_und] ([real,num_und] zi) => - map( fn real (int j) => - let x = zipWith( *, take(j+1,zi), take(j+1,md_c[j]) ) - in reduce( +, 0.0, x ) - , iota(num_und) ) - , zds ) - -fun [real,num_und] combineVs( [real,num_und] n_row, - [real,num_und] vol_row, - [real,num_und] dr_row ) = - map(+, zip(dr_row, map(*, zip(n_row, vol_row ) ))) - -fun [[real,num_und],num_dates] -mkPrices( [real,num_und] md_starts, - [[real,num_und],num_dates] md_vols, - [[real,num_und],num_dates] md_drifts, - [[real,num_und],num_dates] noises -) = - let c_rows = map( combineVs, zip(noises, md_vols, md_drifts) ) in - let e_rows = map( fn [real] ([real] x) => map(exp, x) - , c_rows --map( combineVs, zip(noises, md_vols, md_drifts) ) - ) - in scan( fn [real] ([real] x, [real] y) => zipWith(*, x, y) - , md_starts, e_rows ) - -fun [[real,num_und],num_dates] blackScholes( - [[real,num_und],num_und ] md_c, - [[real,num_und],num_dates] md_vols, - [[real,num_und],num_dates] md_drifts, - [real,num_und] md_starts, - [[real,num_und],num_dates] bb_arr - ) = - let noises = correlateDeltas(md_c, bb_arr) - in mkPrices(md_starts, md_vols, md_drifts, noises) - ----------------------------------------- --- MAIN ----------------------------------------- -fun [real] mainInd( - int contract_number, - int num_mc_it, - [[int,num_bits]] dir_vs_nosz, - [[[real,num_und],num_und ],num_models] md_cs, - [[[real,num_und],num_dates],num_models] md_vols, - [[[real,num_und],num_dates],num_models] md_drifts, - [[real,num_und],num_models] md_sts, - [[real],num_models] md_detvals, - [[real],num_models] md_discts, - [[int, num_dates],3] bb_inds, - [[real,num_dates],3] bb_data -) = - let dir_vs = reshape( (num_dates*num_und, num_bits), dir_vs_nosz ) in - - let sobol_mat = map ( sobolIndR(dir_vs) - , map( fn int (int x) => x + 1, iota(num_mc_it) ) - ) in - - let gauss_mat = map ( ugaussian, sobol_mat ) in - - let bb_mat = map ( brownianBridge( num_und, bb_inds, bb_data ), gauss_mat ) in - - let payoffs = map ( fn [real] ([[real]] bb_row) => - let market_params = zip(md_cs, md_vols, md_drifts, md_sts) in - let bd_row = map (fn [[real]] ({[[real]],[[real]],[[real]],[real]} m) => - let {c,vol,drift,st} = m in - blackScholes(c, vol, drift, st, bb_row) - , market_params) - in - let payoff_params = zip(md_discts, md_detvals, bd_row) in - map (fn real ({[real],[real],[[real]]} p) => - let {disct, detval, bd} = p in - genericPayoff(contract_number, disct, detval, bd) - , payoff_params) - , bb_mat) - in - let payoff = reduce ( fn [real] ([real] x, [real] y) => - zipWith(+, x, y) - , replicate(num_models, 0.0) - , payoffs ) - in map (fn real (real price) => price / toFloat(num_mc_it), payoff) - - - -fun [real] main( - int contract_number, - int num_mc_it, - [[int,num_bits]] dir_vs_nosz, - [[[real,num_und],num_und ],num_models] md_cs, - [[[real,num_und],num_dates],num_models] md_vols, - [[[real,num_und],num_dates],num_models] md_drifts, - [[real,num_und],num_models] md_sts, - [[real],num_models] md_detvals, - [[real],num_models] md_discts, - [[int, num_dates],3] bb_inds, - [[real,num_dates],3] bb_data -) = - let sobvctsz = num_dates*num_und in - let dir_vs = reshape( (sobvctsz,num_bits), dir_vs_nosz ) in - let sobol_mat = streamMapMax ( fn [[real,sobvctsz]] (int chunk, [int] ns) => - sobolChunk(dir_vs, ns[0], chunk) - , iota(num_mc_it) ) in - - let gauss_mat = map ( ugaussian, sobol_mat ) in - - let bb_mat = map ( brownianBridge( num_und, bb_inds, bb_data ), gauss_mat ) in - - let payoffs = map ( fn [real] ([[real]] bb_row) => - let market_params = zip(md_cs, md_vols, md_drifts, md_sts) in - let bd_row = map (fn [[real]] ({[[real]],[[real]],[[real]],[real]} m) => - let {c,vol,drift,st} = m in - blackScholes(c, vol, drift, st, bb_row) - , market_params) - in - let payoff_params = zip(md_discts, md_detvals, bd_row) in - map (fn real ({[real],[real],[[real]]} p) => - let {disct, detval, bd} = p in - genericPayoff(contract_number, disct, detval, bd) - , payoff_params) - , bb_mat) - in - let payoff = reduce( fn [real] ([real] x, [real] y) => - zipWith(+, x, y) - , replicate(num_models, 0.0) - , payoffs ) - in map (fn real (real price) => price / toFloat(num_mc_it), payoff) - - ----------------------------------------- --- PAYOFF FUNCTIONS ----------------------------------------- -fun real genericPayoff(int contract, [real] md_disct, [real] md_detval, [[real]] xss) = - if (contract == 1) then payoff1(md_disct, md_detval, xss) - else if (contract == 2) then payoff2(md_disct, xss) - else if (contract == 3) then payoff3(md_disct, xss) - else 0.0 - -fun real payoff1([real] md_disct, [real] md_detval, [[real]] xss) = --- invariant: xss is a 1x1 matrix - let detval = md_detval[0] in - let amount = ( xss[0,0] - 4000.0 ) * detval in - let amount0= if (0.0 < amount) then amount else 0.0 - in trajInner(amount0, 0, md_disct) - -fun real payoff2 ([real] md_disc, [[real]] xss) = --- invariant: xss is a 5x3 matrix - let {date, amount} = - if (1.0 <= fminPayoff(xss[0])) then {0, 1150.0} - else if (1.0 <= fminPayoff(xss[1])) then {1, 1300.0} - else if (1.0 <= fminPayoff(xss[2])) then {2, 1450.0} - else if (1.0 <= fminPayoff(xss[3])) then {3, 1600.0} - else let x50 = fminPayoff(xss[4]) in - let val = if ( 1.0 <= x50 ) then 1750.0 - else if ( 0.75 < x50 ) then 1000.0 - else x50*1000.0 - in {4, val} - in trajInner(amount, date, md_disc) - -fun real payoff3([real] md_disct, [[real]] xss) = --- invariant: xss is a 367x3 matrix - let conds = map (fn bool ([real] x) => (x[0] <= 2630.6349999999998) || - (x[1] <= 8288.0) || - (x[2] <= 840.0) - , xss) in - let cond = reduce (||, False, conds) in - let price1= trajInner(100.0, 0, md_disct) in - let goto40= cond && - ( (xss[366,0] < 3758.05) || - (xss[366,1] < 11840.0) || - (xss[366,2] < 1200.0 ) ) in - let amount= if goto40 - then 1000.0 * fminPayoff(xss[366]) - else 1000.0 in - let price2 = trajInner(amount, 1, md_disct) in - price1 + price2 - -fun real fminPayoff([real] xs) = --- MIN( zipWith(/, xss, {3758.05, 11840.0, 1200.0}) ) - let {a,b,c} = { xs[0]/3758.05, xs[1]/11840.0, xs[2]/1200.0} in - if a < b then if a < c then a else c - else if b < c then b else c - -fun real MIN([real] arr) = - reduce( fn real (real x, real y) => if(x input.data - -cp $FINPAR_IMPLEMENTATION/run . - -futhark-c $FINPAR_IMPLEMENTATION/GenericPricing.fut -o GenericPricing diff --git a/benchmarks/OptionPricing/implementations/futhark/run b/benchmarks/OptionPricing/implementations/futhark/run deleted file mode 100755 index 9aef238..0000000 --- a/benchmarks/OptionPricing/implementations/futhark/run +++ /dev/null @@ -1,5 +0,0 @@ -#!/bin/sh - -set -e - -./GenericPricing -t runtime.txt < input.data > result.json diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs deleted file mode 100644 index 511e316..0000000 --- a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs +++ /dev/null @@ -1,520 +0,0 @@ -module Main where - -import Control.DeepSeq -import Control.Applicative -import Control.Monad -import Data.Maybe -import System.CPUTime - ------------------------------------- ---- Requires the installation of --- ---- Parsec package, i.e., --- ---- cabal install parsec --- ------------------------------------- - -import Text.Parsec hiding (optional, (<|>), token) -import Text.Parsec.String - -import Data.Bits -import Data.List hiding (tail) -import Prelude hiding (tail) - -import Data.Vector.Unboxed(Vector) -- for gaussian approx -import qualified Data.Vector.Unboxed as V - ------------------------------- ---- Parser-related Helpers --- ------------------------------- -signed :: Parser String -> Parser String -signed p = (char '-' >> (('-':) <$> p)) <|> p - -whitespace :: Parser () -whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) - -lexeme :: Parser a -> Parser a -lexeme p = p <* whitespace - -token :: String -> Parser () -token = void . lexeme . string - -readInt :: Parser Int -readInt = lexeme $ read <$> signed (many1 digit) - -readDouble :: Parser Double -readDouble = lexeme $ read <$> signed (s2 <|> s1) - where s1 = do bef <- many1 digit - aft <- fromMaybe "" <$> - optional ((:) <$> char '.' <*> many1 digit) - exp <- fromMaybe "" <$> - optional ((:) <$> char 'e' <*> signed (many1 digit)) - return $ bef ++ aft ++ exp - s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit - -readArray :: Parser a -> Parser [a] -readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") - ---------------------------------------------- ---- Definition of lish-homomorphic reduce --- ---- requires a binary associative op --- ---------------------------------------------- - -reduce :: (a -> a -> a) -> a -> [a] -> a -reduce bop ne lst = foldl bop ne lst - ---zip5 :: [a] -> [b] -> [c] -> [d] -> [e] -> [(a,b,c,d,e)] ---zip5 [] [] [] [] [] = [] ---zip5 (a:as) (b:bs) (c:cs) (d:ds) (e:es) = --- (a,b,c,d,e) :: (zip5 as bs cs ds es) ---zip5 as bs cs ds es = [] - ---------------------------------------------- ---- Chunking Helpers --- ---------------------------------------------- -chunk :: Int -> [a] -> [[a]] -chunk _ [] = [] -chunk n arr = take n arr : chunk n (drop n arr) - ---------------------------------------------- ---- Sobol Quasi-random vector generation --- ---------------------------------------------- -grayCode :: Int -> Int -grayCode x = (x `shiftR` 1) `xor` x - -xorInds :: Int -> Int -> [Int] -> Int -xorInds bits_num n dir_vs = reduce xor 0 $ map (dir_vs!!) is - where bits = [0..bits_num-1] - is = filter (testBit $ grayCode n) bits - -sobolIndI :: Int -> [[Int]] -> Int -> [Int] -sobolIndI bits_num dir_vs n = - map (xorInds bits_num n) dir_vs - -sobolIndR :: Int -> [[Int]] -> Int -> [Double] -sobolIndR bits_num dir_vs n = - map ((/divisor) . fromIntegral) arri - where arri = sobolIndI bits_num dir_vs n - divisor = 2.0 ** fromIntegral bits_num - - -lsb0 :: (Bits a, Num b, Num a) => a -> b -lsb0 n = lsb0_help 0 n - where lsb0_help ell c | (c .&. 1 == 0) = ell - | otherwise = lsb0_help (ell+1) (c `shiftR` 1) - -sobolRecI :: Int -> [[Int]] -> [Int] -> Int -> [Int] -sobolRecI bits_num sob_dir_vs prev n = zipWith xor prev dir_vs - where dir_vs = map ( !! bit ) sob_dir_vs - bit = lsb0 n -- rmt n - -sobolRecMap :: Double -> Int -> [[Int]] -> (Int,Int) -> [[Double]] -sobolRecMap sob_fact bits_num dir_vs (l, u) = - let a = sobolIndI bits_num dir_vs l - norm = ( * sob_fact ) . fromIntegral - in map (map norm) (scanl (sobolRecI bits_num dir_vs) a [l..u-1]) - - ------------------------------------------- ---- To-Gaussian Distribution Transform.--- ------------------------------------------- -polyAppr :: Double -> Double -> Double -> Double -> Double -> Double - -> Double -> Double -> Double -> Double -> Double -> Double - -> Double -> Double -> Double -> Double -> Double -> Double -polyAppr x a0 a1 a2 a3 a4 a5 a6 a7 b0 b1 b2 b3 b4 b5 b6 b7 = - (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0) / - (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) - - --- same functionality as "polyAppr", but using vectors for constants -approx :: Double -> Vector Double -> Vector Double -> Double -approx x as bs = let reduce xs = V.foldr (\b c -> b + x*c) 0 xs - in reduce as / reduce bs - -smallcase q = q * approx (0.180625 - q*q) small_as small_bs -small_as = V.fromList [ 3.387132872796366608 - , 133.14166789178437745 - , 1971.5909503065514427 - , 13731.693765509461125 - , 45921.953931549871457 - , 67265.770927008700853 - , 33430.575583588128105 - , 2509.0809287301226727 ] -small_bs = V.fromList [ 1.0 - , 42.313330701600911252 - , 687.1870074920579083 - , 5394.1960214247511077 - , 21213.794301586595867 - , 39307.89580009271061 - , 28729.085735721942674 - , 5226.495278852854561 ] - -intermediate q = approx (q-1.6) interm_as interm_bs -interm_as = V.fromList [ 1.42343711074968357734 - , 4.6303378461565452959 - , 5.7694972214606914055 - , 3.64784832476320460504 - , 1.27045825245236838258 - , 0.24178072517745061177 - , 0.0227238449892691845833 - , 7.7454501427834140764e-4] -interm_bs = V.fromList [ 1.0 - , 2.05319162663775882187 - , 1.6763848301838038494 - , 0.68976733498510000455 - , 0.14810397642748007459 - , 0.0151986665636164571966 - , 5.475938084995344946e-4 - , 1.05075007164441684324e-9] - -tail q = approx (q - 5.0) tail_as tail_bs -tail_as = V.fromList [ 6.6579046435011037772 - , 5.4637849111641143699 - , 1.7848265399172913358 - , 0.29656057182850489123 - , 0.026532189526576123093 - , 0.0012426609473880784386 - , 2.71155556874348757815e-5 - , 2.01033439929228813265e-7] -tail_bs = V.fromList [ 1.0 - , 0.59983220655588793769 - , 0.13692988092273580531 - , 0.0148753612908506148525 - , 7.868691311456132591e-4 - , 1.8463183175100546818e-5 - , 1.4215117583164458887e-7 - , 2.04426310338993978564e-15] - -{- -smallcase :: Double -> Double -smallcase q = - q * - polyAppr - ( 0.180625 - q * q) - 3.387132872796366608 - 133.14166789178437745 - 1971.5909503065514427 - 13731.693765509461125 - 45921.953931549871457 - 67265.770927008700853 - 33430.575583588128105 - 2509.0809287301226727 - - 1.0 - 42.313330701600911252 - 687.1870074920579083 - 5394.1960214247511077 - 21213.794301586595867 - 39307.89580009271061 - 28729.085735721942674 - 5226.495278852854561 - -intermediate :: Double -> Double -intermediate r = - polyAppr (r - 1.6) - 1.42343711074968357734 - 4.6303378461565452959 - 5.7694972214606914055 - 3.64784832476320460504 - 1.27045825245236838258 - 0.24178072517745061177 - 0.0227238449892691845833 - 7.7454501427834140764e-4 - - 1.0 - 2.05319162663775882187 - 1.6763848301838038494 - 0.68976733498510000455 - 0.14810397642748007459 - 0.0151986665636164571966 - 5.475938084995344946e-4 - 1.05075007164441684324e-9 - -tail :: Double -> Double -tail r = - polyAppr (r - 5.0) - 6.6579046435011037772 - 5.4637849111641143699 - 1.7848265399172913358 - 0.29656057182850489123 - 0.026532189526576123093 - 0.0012426609473880784386 - 2.71155556874348757815e-5 - 2.01033439929228813265e-7 - - 1.0 - 0.59983220655588793769 - 0.13692988092273580531 - 0.0148753612908506148525 - 7.868691311456132591e-4 - 1.8463183175100546818e-5 - 1.4215117583164458887e-7 - 2.04426310338993978564e-5 --} - -ugaussianEl :: Double -> Double -ugaussianEl p = - if ((dp < 0.0) && (0.0 - dp <= 0.425)) || ((0.0 <= dp) && (dp <= 0.425)) - then smallcase dp - else let pp = if dp < 0.0 then dp + 0.5 else 0.5 - dp - r = sqrt $ -log pp - x = if r <= 5.0 then intermediate r else tail r - in if dp < 0.0 then 0.0 - x else x - where dp = p - 0.5 - -ugaussian :: [Double] -> [Double] -ugaussian = map ugaussianEl - ------------------------------------------- ---- Brownian-Bridge Implementation --- ------------------------------------------- -brownianBridgeDates :: Int -> [[Int]] -> [[Double]] -> [Double] -> [Double] -brownianBridgeDates num_dates bb_inds bb_data gauss = - let bbrow = update (replicate num_dates 0.0) - (bi!!0) (sd!!0 * gauss!!0) - bbrow' = foldl f bbrow $ drop 1 $ - zip3 (zip3 bi li ri) (zip3 sd lw rw) gauss - in zipWith (-) bbrow' (0.0:bbrow') - where [bi,li,ri] = map (map $ subtract 1) bb_inds - [sd,lw,rw] = bb_data - f bbrow ((l,j,k),(x,y,z),zi) = - let wk = bbrow !! k - tmp = z * wk + x * zi - in update bbrow l $ if (j + 1) == 0 - then tmp - else tmp + y * (bbrow!!j) - update a i v = take i a ++ [v] ++ drop (i+1) a - -brownianBridge :: Int -> Int -> [[Int]] -> [[Double]] -> [Double] -> [[Double]] -brownianBridge num_paths num_dates bb_inds bb_data gaussian_arr = - transpose $ map (brownianBridgeDates num_dates bb_inds bb_data) gauss2dT - where gauss2d = chunk num_paths gaussian_arr - gauss2dT = transpose gauss2d - ------------------------------------------- ---- Black-Scholes Implementation --- ------------------------------------------- -fftmp :: Int -> [[Double]] -> [Double] -> [Double] -fftmp num_paths md_c zi = map f [0..num_paths-1] - where f j = reduce (+) 0.0 $ zipWith (*) (take (j+1) zi) (take (j+1) $ md_c!!j) - -correlateDeltas :: Int -> [[Double]] -> [[Double]] -> [[Double]] -correlateDeltas num_paths md_c = map $ fftmp num_paths md_c - -combineVs :: [Double] -> [Double] -> [Double] -> [Double] -combineVs n_row vol_row dr_row = - zipWith (+) dr_row $ zipWith (*) n_row vol_row - -mkPrices :: [Double] -> [[Double]] -> [[Double]] -> [[Double]] -> [[Double]] -mkPrices md_starts md_vols md_drifts noises = - drop 1 $ scanl (zipWith (*)) md_starts e_rows - where e_rows = map (map exp) $ zipWith3 combineVs noises md_vols md_drifts - -blackScholes :: Int -> [[Double]] -> [[Double]] -> [[Double]] - -> [Double] -> [[Double]] -> [[Double]] -blackScholes num_paths md_c md_vols md_drifts md_starts bb_arr = - mkPrices md_starts md_vols md_drifts noises - where noises = correlateDeltas num_paths md_c bb_arr - - ------------------------------------------- ---- Payoff functions --- ------------------------------------------- -payoff :: Int -> [Double] -> [Double] -> [[Double]] -> Double -payoff contract md_disc md_detval xss = - if contract == 1 then payoff1 md_disc md_detval xss - else if contract == 2 then payoff2 md_disc xss - else if contract == 3 then payoff3 md_disc xss - else 0.0 - -payoff1 :: [Double] -> [Double] -> [[Double]] -> Double -payoff1 md_disc md_detvals xss = - let detval = head md_detvals - amount = ( (head (head xss)) - 4000.0 ) * detval - amount'= max 0.0 amount - in trajInner amount' 0 md_disc - -payoff2 :: [Double] -> [[Double]] -> Double -payoff2 md_disc xss - | 1.0 <= mins !! 0 = trajInner 1150.0 0 md_disc - | 1.0 <= mins !! 1 = trajInner 1300.0 1 md_disc - | 1.0 <= mins !! 2 = trajInner 1450.0 2 md_disc - | 1.0 <= mins !! 3 = trajInner 1600.0 3 md_disc - | 1.0 <= mins !! 4 = trajInner 1750.0 4 md_disc - | 0.75 < mins !! 4 = trajInner 1000.0 4 md_disc - | otherwise = trajInner (1000 * (mins!!4)) 4 md_disc - where divs = [ 1.0/3758.05, 1.0/11840.0, 1.0/1200.0 ] - xss_div = map (zipWith (*) divs) xss - mins = map minimum xss_div - - -payoff3 :: [Double] -> [[Double]] -> Double -payoff3 md_disc xss = - let underlyings (i,j) = (xss !! i) !! j - --- Test: (underlyings(n,0) <= 2630.6349999999998) || --- (underlyings(n,2) <= 840.0) || --- (underlyings(n,1) <= 8288.0) --- for any n <- [0..366] - x3309 = any (\ [x,y,z] -> or [ x <= 2630.6349999999998 - , y <= 8288.0 - , z <= 840.0]) - xss - - goto_40 = x3309 && - ( (underlyings(366,0) < 3758.05) || - (underlyings(366,2) < 1200.0 ) || - (underlyings(366,1) < 11840.0) ) - - price1 = trajInner 100.0 0 md_disc - - price2 = if goto_40 - then let m1 = min ((underlyings(366,2) / 1200.0 ) - 1.0) - ((underlyings(366,0) / 3758.05) - 1.0) - m2 = min ((underlyings(366,1) / 11840.0) - 1.0) m1 - amount = (1000.0 * (1.0 + m2 ) ) - in trajInner amount 1 md_disc - else trajInner 1000.0 1 md_disc - in price1 + price2 - - - -trajInner :: Double -> Int -> [Double] -> Double -trajInner amount i disc = amount * disc !! i - --------------------------------------------- --------------------------------------------- --------------------------------------------- - - - -------------------------------------------- ---- Main Entry Point: price computation --- -------------------------------------------- - ---- Using only the (not very efficient) Sobol formula! --- -compute :: Int -> Int -> Int -> Int -> Int -> Int -> [[Int]] - -> [[[Double]]] -> [[[Double]]] -> [[[Double]]] - -> [[Double]] -> [[Double]] -> [[Double]] - -> [[Int]] -> [[Double]] - -> [Double] -compute contract num_mc_it num_dates num_under num_models num_bits - dir_vs md_cs md_vols md_drifts md_starts md_detvals - md_discts bb_inds bb_data = - - let num_det_pricers = length $ head md_detvals - num_cash_flows = length $ head md_discts - - sobol_mat = map (sobolIndR num_bits dir_vs) [1..num_mc_it] - gauss_mat = map ugaussian sobol_mat - bb_mat = map (brownianBridge num_under num_dates bb_inds bb_data) gauss_mat - - md_cvdsmat= zip5 md_cs md_vols md_drifts md_starts (replicate num_models bb_mat) - bs_mats = map (\cvdsmat -> let (c, vol, drift, start, bb_mat) = cvdsmat - in map (blackScholes num_under c vol drift start) bb_mat - ) - md_cvdsmat - - md_discmat= zip3 md_discts md_detvals bs_mats - payoffs = map (\disc_bs -> let (disc, detvals, bsmat) = disc_bs - in map (payoff contract disc detvals) bsmat - ) - md_discmat - - sum_prices= map (\payoff -> reduce (+) 0.0 payoff) payoffs - prices = map (\sp -> sp / fromIntegral num_mc_it) sum_prices - in prices - - ---- Chunking the computation and using sobol-independent formula --- ---- for the first element and the more efficient sobol-recurrent --- --- formula for the rest of elements --- -compute_chunk :: Int -> Int -> Int -> Int -> Int -> Int -> [[Int]] - -> [[[Double]]] -> [[[Double]]] -> [[[Double]]] - -> [[Double]] -> [[Double]] -> [[Double]] - -> [[Int ]] -> [[Double]] -> (Int,Int) - -> [Double] -compute_chunk contract num_mc_it num_dates num_under num_models num_bits - dir_vs md_cs md_vols md_drifts md_starts md_detvals - md_discts bb_inds bb_data (lb,ub) = - let num_det_pricers = length $ head md_detvals - num_cash_flows = length $ head md_discts - - sob_factor = 1.0 / (2.0 ** fromIntegral num_bits) - - sobol_mat = sobolRecMap sob_factor num_bits dir_vs (lb,ub) - gauss_mat = map ugaussian sobol_mat - bb_mat = map (brownianBridge num_under num_dates bb_inds bb_data) gauss_mat - - md_cvdsmat= zip5 md_cs md_vols md_drifts md_starts (replicate num_models bb_mat) - bs_mats = map (\cvdsmat -> let (c, vol, drift, start, bb_mat) = cvdsmat - in map (blackScholes num_under c vol drift start) bb_mat - ) - md_cvdsmat - - md_discmat= zip3 md_discts md_detvals bs_mats - payoffs = map (\disc_bs -> let (disc, detvals, bsmat) = disc_bs - in map (payoff contract disc detvals) bsmat - ) - md_discmat - - sum_prices= map (\payoff -> reduce (+) 0.0 payoff) payoffs - prices = map (\sp -> sp / fromIntegral num_mc_it) sum_prices - in prices - -tiledSkeleton :: Int -> Int -> Int -> ((Int,Int) -> [Double]) -> [Double] -tiledSkeleton sob_dim num_mc_its chunk fun = - let divides = num_mc_its `mod` chunk == 0 - extra = if (divides) then [] else [num_mc_its] - iv = zip [1,chunk+1..] ([chunk, 2*chunk .. num_mc_its] ++ extra ) - in (reduce (zipWith (+)) (replicate sob_dim 0.0) . map fun) iv - ------------------------------------------ ---- Entry point for Generic Pricing --- ---- The only place where using Monads,--- ---- e.g., parsing Dataset from StdIn --- ------------------------------------------ -main :: IO () -main = do s <- getContents - case parse run "input" s of - Left e -> error $ show e - Right m -> do - (v,runtime) <- m - writeFile "result.json" $ show v - writeFile "runtime.txt" $ show runtime - where run = do - whitespace - contract <- readInt - num_mc_it <- readInt - num_dates <- readInt - num_under <- readInt - - num_models<- readInt - num_bits <- readInt - sob_dirvs <- readInt2d - md_cs <- readDouble3d - md_vols <- readDouble3d - md_drifts <- readDouble3d - md_starts <- readDouble2d - md_detvals<- readDouble2d - md_discts <- readDouble2d - bb_inds <- readInt2d - bb_data <- readDouble2d - - let tiled_skel = tiledSkeleton (num_under*num_dates) num_mc_it 128 - - return $ do - start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. - let v = tiled_skel $ - compute_chunk - contract num_mc_it num_dates num_under num_models num_bits - sob_dirvs md_cs md_vols md_drifts md_starts md_detvals - md_discts bb_inds bb_data - end <- v `deepseq` getCPUTime - return (v, (end - start) `div` 1000000000) - - readInt2d = readArray $ readArray readInt - readDouble1d = readArray readDouble - readDouble2d = readArray $ readArray readDouble - readDouble3d = readArray $ readArray $ readArray readDouble - --- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs --- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs b/benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs deleted file mode 100644 index 136a27f..0000000 --- a/benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs +++ /dev/null @@ -1,1105 +0,0 @@ -module Payoff3Cond where - -payoff3Cond :: [[Double]] -> Bool -payoff3Cond xss = - let underlyings (i,j) = (xss !! i) !! j - in (underlyings(0,0) <= 2630.6349999999998) || - (underlyings(0,2) <= 840.0) || - (underlyings(0,1) <= 8288.0) || - (underlyings(1,0) <= 2630.6349999999998) || - (underlyings(1,2) <= 840.0) || - (underlyings(1,1) <= 8288.0) || - (underlyings(2,0) <= 2630.6349999999998) || - (underlyings(2,2) <= 840.0) || - (underlyings(2,1) <= 8288.0) || - (underlyings(3,0) <= 2630.6349999999998) || - (underlyings(3,2) <= 840.0) || - (underlyings(3,1) <= 8288.0) || - (underlyings(4,0) <= 2630.6349999999998) || - (underlyings(4,2) <= 840.0) || - (underlyings(4,1) <= 8288.0) || - (underlyings(5,0) <= 2630.6349999999998) || - (underlyings(5,2) <= 840.0) || - (underlyings(5,1) <= 8288.0) || - (underlyings(6,0) <= 2630.6349999999998) || - (underlyings(6,2) <= 840.0) || - (underlyings(6,1) <= 8288.0) || - (underlyings(7,0) <= 2630.6349999999998) || - (underlyings(7,2) <= 840.0) || - (underlyings(7,1) <= 8288.0) || - (underlyings(8,0) <= 2630.6349999999998) || - (underlyings(8,2) <= 840.0) || - (underlyings(8,1) <= 8288.0) || - (underlyings(9,0) <= 2630.6349999999998) || - (underlyings(9,2) <= 840.0) || - (underlyings(9,1) <= 8288.0) || - (underlyings(10,0) <= 2630.6349999999998) || - (underlyings(10,2) <= 840.0) || - (underlyings(10,1) <= 8288.0) || - (underlyings(11,0) <= 2630.6349999999998) || - (underlyings(11,2) <= 840.0) || - (underlyings(11,1) <= 8288.0) || - (underlyings(12,0) <= 2630.6349999999998) || - (underlyings(12,2) <= 840.0) || - (underlyings(12,1) <= 8288.0) || - (underlyings(13,0) <= 2630.6349999999998) || - (underlyings(13,2) <= 840.0) || - (underlyings(13,1) <= 8288.0) || - (underlyings(14,0) <= 2630.6349999999998) || - (underlyings(14,2) <= 840.0) || - (underlyings(14,1) <= 8288.0) || - (underlyings(15,0) <= 2630.6349999999998) || - (underlyings(15,2) <= 840.0) || - (underlyings(15,1) <= 8288.0) || - (underlyings(16,0) <= 2630.6349999999998) || - (underlyings(16,2) <= 840.0) || - (underlyings(16,1) <= 8288.0) || - (underlyings(17,0) <= 2630.6349999999998) || - (underlyings(17,2) <= 840.0) || - (underlyings(17,1) <= 8288.0) || - (underlyings(18,0) <= 2630.6349999999998) || - (underlyings(18,2) <= 840.0) || - (underlyings(18,1) <= 8288.0) || - (underlyings(19,0) <= 2630.6349999999998) || - (underlyings(19,2) <= 840.0) || - (underlyings(19,1) <= 8288.0) || - (underlyings(20,0) <= 2630.6349999999998) || - (underlyings(20,2) <= 840.0) || - (underlyings(20,1) <= 8288.0) || - (underlyings(21,0) <= 2630.6349999999998) || - (underlyings(21,2) <= 840.0) || - (underlyings(21,1) <= 8288.0) || - (underlyings(22,0) <= 2630.6349999999998) || - (underlyings(22,2) <= 840.0) || - (underlyings(22,1) <= 8288.0) || - (underlyings(23,0) <= 2630.6349999999998) || - (underlyings(23,2) <= 840.0) || - (underlyings(23,1) <= 8288.0) || - (underlyings(24,0) <= 2630.6349999999998) || - (underlyings(24,2) <= 840.0) || - (underlyings(24,1) <= 8288.0) || - (underlyings(25,0) <= 2630.6349999999998) || - (underlyings(25,2) <= 840.0) || - (underlyings(25,1) <= 8288.0) || - (underlyings(26,0) <= 2630.6349999999998) || - (underlyings(26,2) <= 840.0) || - (underlyings(26,1) <= 8288.0) || - (underlyings(27,0) <= 2630.6349999999998) || - (underlyings(27,2) <= 840.0) || - (underlyings(27,1) <= 8288.0) || - (underlyings(28,0) <= 2630.6349999999998) || - (underlyings(28,2) <= 840.0) || - (underlyings(28,1) <= 8288.0) || - (underlyings(29,0) <= 2630.6349999999998) || - (underlyings(29,2) <= 840.0) || - (underlyings(29,1) <= 8288.0) || - (underlyings(30,0) <= 2630.6349999999998) || - (underlyings(30,2) <= 840.0) || - (underlyings(30,1) <= 8288.0) || - (underlyings(31,0) <= 2630.6349999999998) || - (underlyings(31,2) <= 840.0) || - (underlyings(31,1) <= 8288.0) || - (underlyings(32,0) <= 2630.6349999999998) || - (underlyings(32,2) <= 840.0) || - (underlyings(32,1) <= 8288.0) || - (underlyings(33,0) <= 2630.6349999999998) || - (underlyings(33,2) <= 840.0) || - (underlyings(33,1) <= 8288.0) || - (underlyings(34,0) <= 2630.6349999999998) || - (underlyings(34,2) <= 840.0) || - (underlyings(34,1) <= 8288.0) || - (underlyings(35,0) <= 2630.6349999999998) || - (underlyings(35,2) <= 840.0) || - (underlyings(35,1) <= 8288.0) || - (underlyings(36,0) <= 2630.6349999999998) || - (underlyings(36,2) <= 840.0) || - (underlyings(36,1) <= 8288.0) || - (underlyings(37,0) <= 2630.6349999999998) || - (underlyings(37,2) <= 840.0) || - (underlyings(37,1) <= 8288.0) || - (underlyings(38,0) <= 2630.6349999999998) || - (underlyings(38,2) <= 840.0) || - (underlyings(38,1) <= 8288.0) || - (underlyings(39,0) <= 2630.6349999999998) || - (underlyings(39,2) <= 840.0) || - (underlyings(39,1) <= 8288.0) || - (underlyings(40,0) <= 2630.6349999999998) || - (underlyings(40,2) <= 840.0) || - (underlyings(40,1) <= 8288.0) || - (underlyings(41,0) <= 2630.6349999999998) || - (underlyings(41,2) <= 840.0) || - (underlyings(41,1) <= 8288.0) || - (underlyings(42,0) <= 2630.6349999999998) || - (underlyings(42,2) <= 840.0) || - (underlyings(42,1) <= 8288.0) || - (underlyings(43,0) <= 2630.6349999999998) || - (underlyings(43,2) <= 840.0) || - (underlyings(43,1) <= 8288.0) || - (underlyings(44,0) <= 2630.6349999999998) || - (underlyings(44,2) <= 840.0) || - (underlyings(44,1) <= 8288.0) || - (underlyings(45,0) <= 2630.6349999999998) || - (underlyings(45,2) <= 840.0) || - (underlyings(45,1) <= 8288.0) || - (underlyings(46,0) <= 2630.6349999999998) || - (underlyings(46,2) <= 840.0) || - (underlyings(46,1) <= 8288.0) || - (underlyings(47,0) <= 2630.6349999999998) || - (underlyings(47,2) <= 840.0) || - (underlyings(47,1) <= 8288.0) || - (underlyings(48,0) <= 2630.6349999999998) || - (underlyings(48,2) <= 840.0) || - (underlyings(48,1) <= 8288.0) || - (underlyings(49,0) <= 2630.6349999999998) || - (underlyings(49,2) <= 840.0) || - (underlyings(49,1) <= 8288.0) || - (underlyings(50,0) <= 2630.6349999999998) || - (underlyings(50,2) <= 840.0) || - (underlyings(50,1) <= 8288.0) || - (underlyings(51,0) <= 2630.6349999999998) || - (underlyings(51,2) <= 840.0) || - (underlyings(51,1) <= 8288.0) || - (underlyings(52,0) <= 2630.6349999999998) || - (underlyings(52,2) <= 840.0) || - (underlyings(52,1) <= 8288.0) || - (underlyings(53,0) <= 2630.6349999999998) || - (underlyings(53,2) <= 840.0) || - (underlyings(53,1) <= 8288.0) || - (underlyings(54,0) <= 2630.6349999999998) || - (underlyings(54,2) <= 840.0) || - (underlyings(54,1) <= 8288.0) || - (underlyings(55,0) <= 2630.6349999999998) || - (underlyings(55,2) <= 840.0) || - (underlyings(55,1) <= 8288.0) || - (underlyings(56,0) <= 2630.6349999999998) || - (underlyings(56,2) <= 840.0) || - (underlyings(56,1) <= 8288.0) || - (underlyings(57,0) <= 2630.6349999999998) || - (underlyings(57,2) <= 840.0) || - (underlyings(57,1) <= 8288.0) || - (underlyings(58,0) <= 2630.6349999999998) || - (underlyings(58,2) <= 840.0) || - (underlyings(58,1) <= 8288.0) || - (underlyings(59,0) <= 2630.6349999999998) || - (underlyings(59,2) <= 840.0) || - (underlyings(59,1) <= 8288.0) || - (underlyings(60,0) <= 2630.6349999999998) || - (underlyings(60,2) <= 840.0) || - (underlyings(60,1) <= 8288.0) || - (underlyings(61,0) <= 2630.6349999999998) || - (underlyings(61,2) <= 840.0) || - (underlyings(61,1) <= 8288.0) || - (underlyings(62,0) <= 2630.6349999999998) || - (underlyings(62,2) <= 840.0) || - (underlyings(62,1) <= 8288.0) || - (underlyings(63,0) <= 2630.6349999999998) || - (underlyings(63,2) <= 840.0) || - (underlyings(63,1) <= 8288.0) || - (underlyings(64,0) <= 2630.6349999999998) || - (underlyings(64,2) <= 840.0) || - (underlyings(64,1) <= 8288.0) || - (underlyings(65,0) <= 2630.6349999999998) || - (underlyings(65,2) <= 840.0) || - (underlyings(65,1) <= 8288.0) || - (underlyings(66,0) <= 2630.6349999999998) || - (underlyings(66,2) <= 840.0) || - (underlyings(66,1) <= 8288.0) || - (underlyings(67,0) <= 2630.6349999999998) || - (underlyings(67,2) <= 840.0) || - (underlyings(67,1) <= 8288.0) || - (underlyings(68,0) <= 2630.6349999999998) || - (underlyings(68,2) <= 840.0) || - (underlyings(68,1) <= 8288.0) || - (underlyings(69,0) <= 2630.6349999999998) || - (underlyings(69,2) <= 840.0) || - (underlyings(69,1) <= 8288.0) || - (underlyings(70,0) <= 2630.6349999999998) || - (underlyings(70,2) <= 840.0) || - (underlyings(70,1) <= 8288.0) || - (underlyings(71,0) <= 2630.6349999999998) || - (underlyings(71,2) <= 840.0) || - (underlyings(71,1) <= 8288.0) || - (underlyings(72,0) <= 2630.6349999999998) || - (underlyings(72,2) <= 840.0) || - (underlyings(72,1) <= 8288.0) || - (underlyings(73,0) <= 2630.6349999999998) || - (underlyings(73,2) <= 840.0) || - (underlyings(73,1) <= 8288.0) || - (underlyings(74,0) <= 2630.6349999999998) || - (underlyings(74,2) <= 840.0) || - (underlyings(74,1) <= 8288.0) || - (underlyings(75,0) <= 2630.6349999999998) || - (underlyings(75,2) <= 840.0) || - (underlyings(75,1) <= 8288.0) || - (underlyings(76,0) <= 2630.6349999999998) || - (underlyings(76,2) <= 840.0) || - (underlyings(76,1) <= 8288.0) || - (underlyings(77,0) <= 2630.6349999999998) || - (underlyings(77,2) <= 840.0) || - (underlyings(77,1) <= 8288.0) || - (underlyings(78,0) <= 2630.6349999999998) || - (underlyings(78,2) <= 840.0) || - (underlyings(78,1) <= 8288.0) || - (underlyings(79,0) <= 2630.6349999999998) || - (underlyings(79,2) <= 840.0) || - (underlyings(79,1) <= 8288.0) || - (underlyings(80,0) <= 2630.6349999999998) || - (underlyings(80,2) <= 840.0) || - (underlyings(80,1) <= 8288.0) || - (underlyings(81,0) <= 2630.6349999999998) || - (underlyings(81,2) <= 840.0) || - (underlyings(81,1) <= 8288.0) || - (underlyings(82,0) <= 2630.6349999999998) || - (underlyings(82,2) <= 840.0) || - (underlyings(82,1) <= 8288.0) || - (underlyings(83,0) <= 2630.6349999999998) || - (underlyings(83,2) <= 840.0) || - (underlyings(83,1) <= 8288.0) || - (underlyings(84,0) <= 2630.6349999999998) || - (underlyings(84,2) <= 840.0) || - (underlyings(84,1) <= 8288.0) || - (underlyings(85,0) <= 2630.6349999999998) || - (underlyings(85,2) <= 840.0) || - (underlyings(85,1) <= 8288.0) || - (underlyings(86,0) <= 2630.6349999999998) || - (underlyings(86,2) <= 840.0) || - (underlyings(86,1) <= 8288.0) || - (underlyings(87,0) <= 2630.6349999999998) || - (underlyings(87,2) <= 840.0) || - (underlyings(87,1) <= 8288.0) || - (underlyings(88,0) <= 2630.6349999999998) || - (underlyings(88,2) <= 840.0) || - (underlyings(88,1) <= 8288.0) || - (underlyings(89,0) <= 2630.6349999999998) || - (underlyings(89,2) <= 840.0) || - (underlyings(89,1) <= 8288.0) || - (underlyings(90,0) <= 2630.6349999999998) || - (underlyings(90,2) <= 840.0) || - (underlyings(90,1) <= 8288.0) || - (underlyings(91,0) <= 2630.6349999999998) || - (underlyings(91,2) <= 840.0) || - (underlyings(91,1) <= 8288.0) || - (underlyings(92,0) <= 2630.6349999999998) || - (underlyings(92,2) <= 840.0) || - (underlyings(92,1) <= 8288.0) || - (underlyings(93,0) <= 2630.6349999999998) || - (underlyings(93,2) <= 840.0) || - (underlyings(93,1) <= 8288.0) || - (underlyings(94,0) <= 2630.6349999999998) || - (underlyings(94,2) <= 840.0) || - (underlyings(94,1) <= 8288.0) || - (underlyings(95,0) <= 2630.6349999999998) || - (underlyings(95,2) <= 840.0) || - (underlyings(95,1) <= 8288.0) || - (underlyings(96,0) <= 2630.6349999999998) || - (underlyings(96,2) <= 840.0) || - (underlyings(96,1) <= 8288.0) || - (underlyings(97,0) <= 2630.6349999999998) || - (underlyings(97,2) <= 840.0) || - (underlyings(97,1) <= 8288.0) || - (underlyings(98,0) <= 2630.6349999999998) || - (underlyings(98,2) <= 840.0) || - (underlyings(98,1) <= 8288.0) || - (underlyings(99,0) <= 2630.6349999999998) || - (underlyings(99,2) <= 840.0) || - (underlyings(99,1) <= 8288.0) || - (underlyings(100,0) <= 2630.6349999999998) || - (underlyings(100,2) <= 840.0) || - (underlyings(100,1) <= 8288.0) || - (underlyings(101,0) <= 2630.6349999999998) || - (underlyings(101,2) <= 840.0) || - (underlyings(101,1) <= 8288.0) || - (underlyings(102,0) <= 2630.6349999999998) || - (underlyings(102,2) <= 840.0) || - (underlyings(102,1) <= 8288.0) || - (underlyings(103,0) <= 2630.6349999999998) || - (underlyings(103,2) <= 840.0) || - (underlyings(103,1) <= 8288.0) || - (underlyings(104,0) <= 2630.6349999999998) || - (underlyings(104,2) <= 840.0) || - (underlyings(104,1) <= 8288.0) || - (underlyings(105,0) <= 2630.6349999999998) || - (underlyings(105,2) <= 840.0) || - (underlyings(105,1) <= 8288.0) || - (underlyings(106,0) <= 2630.6349999999998) || - (underlyings(106,2) <= 840.0) || - (underlyings(106,1) <= 8288.0) || - (underlyings(107,0) <= 2630.6349999999998) || - (underlyings(107,2) <= 840.0) || - (underlyings(107,1) <= 8288.0) || - (underlyings(108,0) <= 2630.6349999999998) || - (underlyings(108,2) <= 840.0) || - (underlyings(108,1) <= 8288.0) || - (underlyings(109,0) <= 2630.6349999999998) || - (underlyings(109,2) <= 840.0) || - (underlyings(109,1) <= 8288.0) || - (underlyings(110,0) <= 2630.6349999999998) || - (underlyings(110,2) <= 840.0) || - (underlyings(110,1) <= 8288.0) || - (underlyings(111,0) <= 2630.6349999999998) || - (underlyings(111,2) <= 840.0) || - (underlyings(111,1) <= 8288.0) || - (underlyings(112,0) <= 2630.6349999999998) || - (underlyings(112,2) <= 840.0) || - (underlyings(112,1) <= 8288.0) || - (underlyings(113,0) <= 2630.6349999999998) || - (underlyings(113,2) <= 840.0) || - (underlyings(113,1) <= 8288.0) || - (underlyings(114,0) <= 2630.6349999999998) || - (underlyings(114,2) <= 840.0) || - (underlyings(114,1) <= 8288.0) || - (underlyings(115,0) <= 2630.6349999999998) || - (underlyings(115,2) <= 840.0) || - (underlyings(115,1) <= 8288.0) || - (underlyings(116,0) <= 2630.6349999999998) || - (underlyings(116,2) <= 840.0) || - (underlyings(116,1) <= 8288.0) || - (underlyings(117,0) <= 2630.6349999999998) || - (underlyings(117,2) <= 840.0) || - (underlyings(117,1) <= 8288.0) || - (underlyings(118,0) <= 2630.6349999999998) || - (underlyings(118,2) <= 840.0) || - (underlyings(118,1) <= 8288.0) || - (underlyings(119,0) <= 2630.6349999999998) || - (underlyings(119,2) <= 840.0) || - (underlyings(119,1) <= 8288.0) || - (underlyings(120,0) <= 2630.6349999999998) || - (underlyings(120,2) <= 840.0) || - (underlyings(120,1) <= 8288.0) || - (underlyings(121,0) <= 2630.6349999999998) || - (underlyings(121,2) <= 840.0) || - (underlyings(121,1) <= 8288.0) || - (underlyings(122,0) <= 2630.6349999999998) || - (underlyings(122,2) <= 840.0) || - (underlyings(122,1) <= 8288.0) || - (underlyings(123,0) <= 2630.6349999999998) || - (underlyings(123,2) <= 840.0) || - (underlyings(123,1) <= 8288.0) || - (underlyings(124,0) <= 2630.6349999999998) || - (underlyings(124,2) <= 840.0) || - (underlyings(124,1) <= 8288.0) || - (underlyings(125,0) <= 2630.6349999999998) || - (underlyings(125,2) <= 840.0) || - (underlyings(125,1) <= 8288.0) || - (underlyings(126,0) <= 2630.6349999999998) || - (underlyings(126,2) <= 840.0) || - (underlyings(126,1) <= 8288.0) || - (underlyings(127,0) <= 2630.6349999999998) || - (underlyings(127,2) <= 840.0) || - (underlyings(127,1) <= 8288.0) || - (underlyings(128,0) <= 2630.6349999999998) || - (underlyings(128,2) <= 840.0) || - (underlyings(128,1) <= 8288.0) || - (underlyings(129,0) <= 2630.6349999999998) || - (underlyings(129,2) <= 840.0) || - (underlyings(129,1) <= 8288.0) || - (underlyings(130,0) <= 2630.6349999999998) || - (underlyings(130,2) <= 840.0) || - (underlyings(130,1) <= 8288.0) || - (underlyings(131,0) <= 2630.6349999999998) || - (underlyings(131,2) <= 840.0) || - (underlyings(131,1) <= 8288.0) || - (underlyings(132,0) <= 2630.6349999999998) || - (underlyings(132,2) <= 840.0) || - (underlyings(132,1) <= 8288.0) || - (underlyings(133,0) <= 2630.6349999999998) || - (underlyings(133,2) <= 840.0) || - (underlyings(133,1) <= 8288.0) || - (underlyings(134,0) <= 2630.6349999999998) || - (underlyings(134,2) <= 840.0) || - (underlyings(134,1) <= 8288.0) || - (underlyings(135,0) <= 2630.6349999999998) || - (underlyings(135,2) <= 840.0) || - (underlyings(135,1) <= 8288.0) || - (underlyings(136,0) <= 2630.6349999999998) || - (underlyings(136,2) <= 840.0) || - (underlyings(136,1) <= 8288.0) || - (underlyings(137,0) <= 2630.6349999999998) || - (underlyings(137,2) <= 840.0) || - (underlyings(137,1) <= 8288.0) || - (underlyings(138,0) <= 2630.6349999999998) || - (underlyings(138,2) <= 840.0) || - (underlyings(138,1) <= 8288.0) || - (underlyings(139,0) <= 2630.6349999999998) || - (underlyings(139,2) <= 840.0) || - (underlyings(139,1) <= 8288.0) || - (underlyings(140,0) <= 2630.6349999999998) || - (underlyings(140,2) <= 840.0) || - (underlyings(140,1) <= 8288.0) || - (underlyings(141,0) <= 2630.6349999999998) || - (underlyings(141,2) <= 840.0) || - (underlyings(141,1) <= 8288.0) || - (underlyings(142,0) <= 2630.6349999999998) || - (underlyings(142,2) <= 840.0) || - (underlyings(142,1) <= 8288.0) || - (underlyings(143,0) <= 2630.6349999999998) || - (underlyings(143,2) <= 840.0) || - (underlyings(143,1) <= 8288.0) || - (underlyings(144,0) <= 2630.6349999999998) || - (underlyings(144,2) <= 840.0) || - (underlyings(144,1) <= 8288.0) || - (underlyings(145,0) <= 2630.6349999999998) || - (underlyings(145,2) <= 840.0) || - (underlyings(145,1) <= 8288.0) || - (underlyings(146,0) <= 2630.6349999999998) || - (underlyings(146,2) <= 840.0) || - (underlyings(146,1) <= 8288.0) || - (underlyings(147,0) <= 2630.6349999999998) || - (underlyings(147,2) <= 840.0) || - (underlyings(147,1) <= 8288.0) || - (underlyings(148,0) <= 2630.6349999999998) || - (underlyings(148,2) <= 840.0) || - (underlyings(148,1) <= 8288.0) || - (underlyings(149,0) <= 2630.6349999999998) || - (underlyings(149,2) <= 840.0) || - (underlyings(149,1) <= 8288.0) || - (underlyings(150,0) <= 2630.6349999999998) || - (underlyings(150,2) <= 840.0) || - (underlyings(150,1) <= 8288.0) || - (underlyings(151,0) <= 2630.6349999999998) || - (underlyings(151,2) <= 840.0) || - (underlyings(151,1) <= 8288.0) || - (underlyings(152,0) <= 2630.6349999999998) || - (underlyings(152,2) <= 840.0) || - (underlyings(152,1) <= 8288.0) || - (underlyings(153,0) <= 2630.6349999999998) || - (underlyings(153,2) <= 840.0) || - (underlyings(153,1) <= 8288.0) || - (underlyings(154,0) <= 2630.6349999999998) || - (underlyings(154,2) <= 840.0) || - (underlyings(154,1) <= 8288.0) || - (underlyings(155,0) <= 2630.6349999999998) || - (underlyings(155,2) <= 840.0) || - (underlyings(155,1) <= 8288.0) || - (underlyings(156,0) <= 2630.6349999999998) || - (underlyings(156,2) <= 840.0) || - (underlyings(156,1) <= 8288.0) || - (underlyings(157,0) <= 2630.6349999999998) || - (underlyings(157,2) <= 840.0) || - (underlyings(157,1) <= 8288.0) || - (underlyings(158,0) <= 2630.6349999999998) || - (underlyings(158,2) <= 840.0) || - (underlyings(158,1) <= 8288.0) || - (underlyings(159,0) <= 2630.6349999999998) || - (underlyings(159,2) <= 840.0) || - (underlyings(159,1) <= 8288.0) || - (underlyings(160,0) <= 2630.6349999999998) || - (underlyings(160,2) <= 840.0) || - (underlyings(160,1) <= 8288.0) || - (underlyings(161,0) <= 2630.6349999999998) || - (underlyings(161,2) <= 840.0) || - (underlyings(161,1) <= 8288.0) || - (underlyings(162,0) <= 2630.6349999999998) || - (underlyings(162,2) <= 840.0) || - (underlyings(162,1) <= 8288.0) || - (underlyings(163,0) <= 2630.6349999999998) || - (underlyings(163,2) <= 840.0) || - (underlyings(163,1) <= 8288.0) || - (underlyings(164,0) <= 2630.6349999999998) || - (underlyings(164,2) <= 840.0) || - (underlyings(164,1) <= 8288.0) || - (underlyings(165,0) <= 2630.6349999999998) || - (underlyings(165,2) <= 840.0) || - (underlyings(165,1) <= 8288.0) || - (underlyings(166,0) <= 2630.6349999999998) || - (underlyings(166,2) <= 840.0) || - (underlyings(166,1) <= 8288.0) || - (underlyings(167,0) <= 2630.6349999999998) || - (underlyings(167,2) <= 840.0) || - (underlyings(167,1) <= 8288.0) || - (underlyings(168,0) <= 2630.6349999999998) || - (underlyings(168,2) <= 840.0) || - (underlyings(168,1) <= 8288.0) || - (underlyings(169,0) <= 2630.6349999999998) || - (underlyings(169,2) <= 840.0) || - (underlyings(169,1) <= 8288.0) || - (underlyings(170,0) <= 2630.6349999999998) || - (underlyings(170,2) <= 840.0) || - (underlyings(170,1) <= 8288.0) || - (underlyings(171,0) <= 2630.6349999999998) || - (underlyings(171,2) <= 840.0) || - (underlyings(171,1) <= 8288.0) || - (underlyings(172,0) <= 2630.6349999999998) || - (underlyings(172,2) <= 840.0) || - (underlyings(172,1) <= 8288.0) || - (underlyings(173,0) <= 2630.6349999999998) || - (underlyings(173,2) <= 840.0) || - (underlyings(173,1) <= 8288.0) || - (underlyings(174,0) <= 2630.6349999999998) || - (underlyings(174,2) <= 840.0) || - (underlyings(174,1) <= 8288.0) || - (underlyings(175,0) <= 2630.6349999999998) || - (underlyings(175,2) <= 840.0) || - (underlyings(175,1) <= 8288.0) || - (underlyings(176,0) <= 2630.6349999999998) || - (underlyings(176,2) <= 840.0) || - (underlyings(176,1) <= 8288.0) || - (underlyings(177,0) <= 2630.6349999999998) || - (underlyings(177,2) <= 840.0) || - (underlyings(177,1) <= 8288.0) || - (underlyings(178,0) <= 2630.6349999999998) || - (underlyings(178,2) <= 840.0) || - (underlyings(178,1) <= 8288.0) || - (underlyings(179,0) <= 2630.6349999999998) || - (underlyings(179,2) <= 840.0) || - (underlyings(179,1) <= 8288.0) || - (underlyings(180,0) <= 2630.6349999999998) || - (underlyings(180,2) <= 840.0) || - (underlyings(180,1) <= 8288.0) || - (underlyings(181,0) <= 2630.6349999999998) || - (underlyings(181,2) <= 840.0) || - (underlyings(181,1) <= 8288.0) || - (underlyings(182,0) <= 2630.6349999999998) || - (underlyings(182,2) <= 840.0) || - (underlyings(182,1) <= 8288.0) || - (underlyings(183,0) <= 2630.6349999999998) || - (underlyings(183,2) <= 840.0) || - (underlyings(183,1) <= 8288.0) || - (underlyings(184,0) <= 2630.6349999999998) || - (underlyings(184,2) <= 840.0) || - (underlyings(184,1) <= 8288.0) || - (underlyings(185,0) <= 2630.6349999999998) || - (underlyings(185,2) <= 840.0) || - (underlyings(185,1) <= 8288.0) || - (underlyings(186,0) <= 2630.6349999999998) || - (underlyings(186,2) <= 840.0) || - (underlyings(186,1) <= 8288.0) || - (underlyings(187,0) <= 2630.6349999999998) || - (underlyings(187,2) <= 840.0) || - (underlyings(187,1) <= 8288.0) || - (underlyings(188,0) <= 2630.6349999999998) || - (underlyings(188,2) <= 840.0) || - (underlyings(188,1) <= 8288.0) || - (underlyings(189,0) <= 2630.6349999999998) || - (underlyings(189,2) <= 840.0) || - (underlyings(189,1) <= 8288.0) || - (underlyings(190,0) <= 2630.6349999999998) || - (underlyings(190,2) <= 840.0) || - (underlyings(190,1) <= 8288.0) || - (underlyings(191,0) <= 2630.6349999999998) || - (underlyings(191,2) <= 840.0) || - (underlyings(191,1) <= 8288.0) || - (underlyings(192,0) <= 2630.6349999999998) || - (underlyings(192,2) <= 840.0) || - (underlyings(192,1) <= 8288.0) || - (underlyings(193,0) <= 2630.6349999999998) || - (underlyings(193,2) <= 840.0) || - (underlyings(193,1) <= 8288.0) || - (underlyings(194,0) <= 2630.6349999999998) || - (underlyings(194,2) <= 840.0) || - (underlyings(194,1) <= 8288.0) || - (underlyings(195,0) <= 2630.6349999999998) || - (underlyings(195,2) <= 840.0) || - (underlyings(195,1) <= 8288.0) || - (underlyings(196,0) <= 2630.6349999999998) || - (underlyings(196,2) <= 840.0) || - (underlyings(196,1) <= 8288.0) || - (underlyings(197,0) <= 2630.6349999999998) || - (underlyings(197,2) <= 840.0) || - (underlyings(197,1) <= 8288.0) || - (underlyings(198,0) <= 2630.6349999999998) || - (underlyings(198,2) <= 840.0) || - (underlyings(198,1) <= 8288.0) || - (underlyings(199,0) <= 2630.6349999999998) || - (underlyings(199,2) <= 840.0) || - (underlyings(199,1) <= 8288.0) || - (underlyings(200,0) <= 2630.6349999999998) || - (underlyings(200,2) <= 840.0) || - (underlyings(200,1) <= 8288.0) || - (underlyings(201,0) <= 2630.6349999999998) || - (underlyings(201,2) <= 840.0) || - (underlyings(201,1) <= 8288.0) || - (underlyings(202,0) <= 2630.6349999999998) || - (underlyings(202,2) <= 840.0) || - (underlyings(202,1) <= 8288.0) || - (underlyings(203,0) <= 2630.6349999999998) || - (underlyings(203,2) <= 840.0) || - (underlyings(203,1) <= 8288.0) || - (underlyings(204,0) <= 2630.6349999999998) || - (underlyings(204,2) <= 840.0) || - (underlyings(204,1) <= 8288.0) || - (underlyings(205,0) <= 2630.6349999999998) || - (underlyings(205,2) <= 840.0) || - (underlyings(205,1) <= 8288.0) || - (underlyings(206,0) <= 2630.6349999999998) || - (underlyings(206,2) <= 840.0) || - (underlyings(206,1) <= 8288.0) || - (underlyings(207,0) <= 2630.6349999999998) || - (underlyings(207,2) <= 840.0) || - (underlyings(207,1) <= 8288.0) || - (underlyings(208,0) <= 2630.6349999999998) || - (underlyings(208,2) <= 840.0) || - (underlyings(208,1) <= 8288.0) || - (underlyings(209,0) <= 2630.6349999999998) || - (underlyings(209,2) <= 840.0) || - (underlyings(209,1) <= 8288.0) || - (underlyings(210,0) <= 2630.6349999999998) || - (underlyings(210,2) <= 840.0) || - (underlyings(210,1) <= 8288.0) || - (underlyings(211,0) <= 2630.6349999999998) || - (underlyings(211,2) <= 840.0) || - (underlyings(211,1) <= 8288.0) || - (underlyings(212,0) <= 2630.6349999999998) || - (underlyings(212,2) <= 840.0) || - (underlyings(212,1) <= 8288.0) || - (underlyings(213,0) <= 2630.6349999999998) || - (underlyings(213,2) <= 840.0) || - (underlyings(213,1) <= 8288.0) || - (underlyings(214,0) <= 2630.6349999999998) || - (underlyings(214,2) <= 840.0) || - (underlyings(214,1) <= 8288.0) || - (underlyings(215,0) <= 2630.6349999999998) || - (underlyings(215,2) <= 840.0) || - (underlyings(215,1) <= 8288.0) || - (underlyings(216,0) <= 2630.6349999999998) || - (underlyings(216,2) <= 840.0) || - (underlyings(216,1) <= 8288.0) || - (underlyings(217,0) <= 2630.6349999999998) || - (underlyings(217,2) <= 840.0) || - (underlyings(217,1) <= 8288.0) || - (underlyings(218,0) <= 2630.6349999999998) || - (underlyings(218,2) <= 840.0) || - (underlyings(218,1) <= 8288.0) || - (underlyings(219,0) <= 2630.6349999999998) || - (underlyings(219,2) <= 840.0) || - (underlyings(219,1) <= 8288.0) || - (underlyings(220,0) <= 2630.6349999999998) || - (underlyings(220,2) <= 840.0) || - (underlyings(220,1) <= 8288.0) || - (underlyings(221,0) <= 2630.6349999999998) || - (underlyings(221,2) <= 840.0) || - (underlyings(221,1) <= 8288.0) || - (underlyings(222,0) <= 2630.6349999999998) || - (underlyings(222,2) <= 840.0) || - (underlyings(222,1) <= 8288.0) || - (underlyings(223,0) <= 2630.6349999999998) || - (underlyings(223,2) <= 840.0) || - (underlyings(223,1) <= 8288.0) || - (underlyings(224,0) <= 2630.6349999999998) || - (underlyings(224,2) <= 840.0) || - (underlyings(224,1) <= 8288.0) || - (underlyings(225,0) <= 2630.6349999999998) || - (underlyings(225,2) <= 840.0) || - (underlyings(225,1) <= 8288.0) || - (underlyings(226,0) <= 2630.6349999999998) || - (underlyings(226,2) <= 840.0) || - (underlyings(226,1) <= 8288.0) || - (underlyings(227,0) <= 2630.6349999999998) || - (underlyings(227,2) <= 840.0) || - (underlyings(227,1) <= 8288.0) || - (underlyings(228,0) <= 2630.6349999999998) || - (underlyings(228,2) <= 840.0) || - (underlyings(228,1) <= 8288.0) || - (underlyings(229,0) <= 2630.6349999999998) || - (underlyings(229,2) <= 840.0) || - (underlyings(229,1) <= 8288.0) || - (underlyings(230,0) <= 2630.6349999999998) || - (underlyings(230,2) <= 840.0) || - (underlyings(230,1) <= 8288.0) || - (underlyings(231,0) <= 2630.6349999999998) || - (underlyings(231,2) <= 840.0) || - (underlyings(231,1) <= 8288.0) || - (underlyings(232,0) <= 2630.6349999999998) || - (underlyings(232,2) <= 840.0) || - (underlyings(232,1) <= 8288.0) || - (underlyings(233,0) <= 2630.6349999999998) || - (underlyings(233,2) <= 840.0) || - (underlyings(233,1) <= 8288.0) || - (underlyings(234,0) <= 2630.6349999999998) || - (underlyings(234,2) <= 840.0) || - (underlyings(234,1) <= 8288.0) || - (underlyings(235,0) <= 2630.6349999999998) || - (underlyings(235,2) <= 840.0) || - (underlyings(235,1) <= 8288.0) || - (underlyings(236,0) <= 2630.6349999999998) || - (underlyings(236,2) <= 840.0) || - (underlyings(236,1) <= 8288.0) || - (underlyings(237,0) <= 2630.6349999999998) || - (underlyings(237,2) <= 840.0) || - (underlyings(237,1) <= 8288.0) || - (underlyings(238,0) <= 2630.6349999999998) || - (underlyings(238,2) <= 840.0) || - (underlyings(238,1) <= 8288.0) || - (underlyings(239,0) <= 2630.6349999999998) || - (underlyings(239,2) <= 840.0) || - (underlyings(239,1) <= 8288.0) || - (underlyings(240,0) <= 2630.6349999999998) || - (underlyings(240,2) <= 840.0) || - (underlyings(240,1) <= 8288.0) || - (underlyings(241,0) <= 2630.6349999999998) || - (underlyings(241,2) <= 840.0) || - (underlyings(241,1) <= 8288.0) || - (underlyings(242,0) <= 2630.6349999999998) || - (underlyings(242,2) <= 840.0) || - (underlyings(242,1) <= 8288.0) || - (underlyings(243,0) <= 2630.6349999999998) || - (underlyings(243,2) <= 840.0) || - (underlyings(243,1) <= 8288.0) || - (underlyings(244,0) <= 2630.6349999999998) || - (underlyings(244,2) <= 840.0) || - (underlyings(244,1) <= 8288.0) || - (underlyings(245,0) <= 2630.6349999999998) || - (underlyings(245,2) <= 840.0) || - (underlyings(245,1) <= 8288.0) || - (underlyings(246,0) <= 2630.6349999999998) || - (underlyings(246,2) <= 840.0) || - (underlyings(246,1) <= 8288.0) || - (underlyings(247,0) <= 2630.6349999999998) || - (underlyings(247,2) <= 840.0) || - (underlyings(247,1) <= 8288.0) || - (underlyings(248,0) <= 2630.6349999999998) || - (underlyings(248,2) <= 840.0) || - (underlyings(248,1) <= 8288.0) || - (underlyings(249,0) <= 2630.6349999999998) || - (underlyings(249,2) <= 840.0) || - (underlyings(249,1) <= 8288.0) || - (underlyings(250,0) <= 2630.6349999999998) || - (underlyings(250,2) <= 840.0) || - (underlyings(250,1) <= 8288.0) || - (underlyings(251,0) <= 2630.6349999999998) || - (underlyings(251,2) <= 840.0) || - (underlyings(251,1) <= 8288.0) || - (underlyings(252,0) <= 2630.6349999999998) || - (underlyings(252,2) <= 840.0) || - (underlyings(252,1) <= 8288.0) || - (underlyings(253,0) <= 2630.6349999999998) || - (underlyings(253,2) <= 840.0) || - (underlyings(253,1) <= 8288.0) || - (underlyings(254,0) <= 2630.6349999999998) || - (underlyings(254,2) <= 840.0) || - (underlyings(254,1) <= 8288.0) || - (underlyings(255,0) <= 2630.6349999999998) || - (underlyings(255,2) <= 840.0) || - (underlyings(255,1) <= 8288.0) || - (underlyings(256,0) <= 2630.6349999999998) || - (underlyings(256,2) <= 840.0) || - (underlyings(256,1) <= 8288.0) || - (underlyings(257,0) <= 2630.6349999999998) || - (underlyings(257,2) <= 840.0) || - (underlyings(257,1) <= 8288.0) || - (underlyings(258,0) <= 2630.6349999999998) || - (underlyings(258,2) <= 840.0) || - (underlyings(258,1) <= 8288.0) || - (underlyings(259,0) <= 2630.6349999999998) || - (underlyings(259,2) <= 840.0) || - (underlyings(259,1) <= 8288.0) || - (underlyings(260,0) <= 2630.6349999999998) || - (underlyings(260,2) <= 840.0) || - (underlyings(260,1) <= 8288.0) || - (underlyings(261,0) <= 2630.6349999999998) || - (underlyings(261,2) <= 840.0) || - (underlyings(261,1) <= 8288.0) || - (underlyings(262,0) <= 2630.6349999999998) || - (underlyings(262,2) <= 840.0) || - (underlyings(262,1) <= 8288.0) || - (underlyings(263,0) <= 2630.6349999999998) || - (underlyings(263,2) <= 840.0) || - (underlyings(263,1) <= 8288.0) || - (underlyings(264,0) <= 2630.6349999999998) || - (underlyings(264,2) <= 840.0) || - (underlyings(264,1) <= 8288.0) || - (underlyings(265,0) <= 2630.6349999999998) || - (underlyings(265,2) <= 840.0) || - (underlyings(265,1) <= 8288.0) || - (underlyings(266,0) <= 2630.6349999999998) || - (underlyings(266,2) <= 840.0) || - (underlyings(266,1) <= 8288.0) || - (underlyings(267,0) <= 2630.6349999999998) || - (underlyings(267,2) <= 840.0) || - (underlyings(267,1) <= 8288.0) || - (underlyings(268,0) <= 2630.6349999999998) || - (underlyings(268,2) <= 840.0) || - (underlyings(268,1) <= 8288.0) || - (underlyings(269,0) <= 2630.6349999999998) || - (underlyings(269,2) <= 840.0) || - (underlyings(269,1) <= 8288.0) || - (underlyings(270,0) <= 2630.6349999999998) || - (underlyings(270,2) <= 840.0) || - (underlyings(270,1) <= 8288.0) || - (underlyings(271,0) <= 2630.6349999999998) || - (underlyings(271,2) <= 840.0) || - (underlyings(271,1) <= 8288.0) || - (underlyings(272,0) <= 2630.6349999999998) || - (underlyings(272,2) <= 840.0) || - (underlyings(272,1) <= 8288.0) || - (underlyings(273,0) <= 2630.6349999999998) || - (underlyings(273,2) <= 840.0) || - (underlyings(273,1) <= 8288.0) || - (underlyings(274,0) <= 2630.6349999999998) || - (underlyings(274,2) <= 840.0) || - (underlyings(274,1) <= 8288.0) || - (underlyings(275,0) <= 2630.6349999999998) || - (underlyings(275,2) <= 840.0) || - (underlyings(275,1) <= 8288.0) || - (underlyings(276,0) <= 2630.6349999999998) || - (underlyings(276,2) <= 840.0) || - (underlyings(276,1) <= 8288.0) || - (underlyings(277,0) <= 2630.6349999999998) || - (underlyings(277,2) <= 840.0) || - (underlyings(277,1) <= 8288.0) || - (underlyings(278,0) <= 2630.6349999999998) || - (underlyings(278,2) <= 840.0) || - (underlyings(278,1) <= 8288.0) || - (underlyings(279,0) <= 2630.6349999999998) || - (underlyings(279,2) <= 840.0) || - (underlyings(279,1) <= 8288.0) || - (underlyings(280,0) <= 2630.6349999999998) || - (underlyings(280,2) <= 840.0) || - (underlyings(280,1) <= 8288.0) || - (underlyings(281,0) <= 2630.6349999999998) || - (underlyings(281,2) <= 840.0) || - (underlyings(281,1) <= 8288.0) || - (underlyings(282,0) <= 2630.6349999999998) || - (underlyings(282,2) <= 840.0) || - (underlyings(282,1) <= 8288.0) || - (underlyings(283,0) <= 2630.6349999999998) || - (underlyings(283,2) <= 840.0) || - (underlyings(283,1) <= 8288.0) || - (underlyings(284,0) <= 2630.6349999999998) || - (underlyings(284,2) <= 840.0) || - (underlyings(284,1) <= 8288.0) || - (underlyings(285,0) <= 2630.6349999999998) || - (underlyings(285,2) <= 840.0) || - (underlyings(285,1) <= 8288.0) || - (underlyings(286,0) <= 2630.6349999999998) || - (underlyings(286,2) <= 840.0) || - (underlyings(286,1) <= 8288.0) || - (underlyings(287,0) <= 2630.6349999999998) || - (underlyings(287,2) <= 840.0) || - (underlyings(287,1) <= 8288.0) || - (underlyings(288,0) <= 2630.6349999999998) || - (underlyings(288,2) <= 840.0) || - (underlyings(288,1) <= 8288.0) || - (underlyings(289,0) <= 2630.6349999999998) || - (underlyings(289,2) <= 840.0) || - (underlyings(289,1) <= 8288.0) || - (underlyings(290,0) <= 2630.6349999999998) || - (underlyings(290,2) <= 840.0) || - (underlyings(290,1) <= 8288.0) || - (underlyings(291,0) <= 2630.6349999999998) || - (underlyings(291,2) <= 840.0) || - (underlyings(291,1) <= 8288.0) || - (underlyings(292,0) <= 2630.6349999999998) || - (underlyings(292,2) <= 840.0) || - (underlyings(292,1) <= 8288.0) || - (underlyings(293,0) <= 2630.6349999999998) || - (underlyings(293,2) <= 840.0) || - (underlyings(293,1) <= 8288.0) || - (underlyings(294,0) <= 2630.6349999999998) || - (underlyings(294,2) <= 840.0) || - (underlyings(294,1) <= 8288.0) || - (underlyings(295,0) <= 2630.6349999999998) || - (underlyings(295,2) <= 840.0) || - (underlyings(295,1) <= 8288.0) || - (underlyings(296,0) <= 2630.6349999999998) || - (underlyings(296,2) <= 840.0) || - (underlyings(296,1) <= 8288.0) || - (underlyings(297,0) <= 2630.6349999999998) || - (underlyings(297,2) <= 840.0) || - (underlyings(297,1) <= 8288.0) || - (underlyings(298,0) <= 2630.6349999999998) || - (underlyings(298,2) <= 840.0) || - (underlyings(298,1) <= 8288.0) || - (underlyings(299,0) <= 2630.6349999999998) || - (underlyings(299,2) <= 840.0) || - (underlyings(299,1) <= 8288.0) || - (underlyings(300,0) <= 2630.6349999999998) || - (underlyings(300,2) <= 840.0) || - (underlyings(300,1) <= 8288.0) || - (underlyings(301,0) <= 2630.6349999999998) || - (underlyings(301,2) <= 840.0) || - (underlyings(301,1) <= 8288.0) || - (underlyings(302,0) <= 2630.6349999999998) || - (underlyings(302,2) <= 840.0) || - (underlyings(302,1) <= 8288.0) || - (underlyings(303,0) <= 2630.6349999999998) || - (underlyings(303,2) <= 840.0) || - (underlyings(303,1) <= 8288.0) || - (underlyings(304,0) <= 2630.6349999999998) || - (underlyings(304,2) <= 840.0) || - (underlyings(304,1) <= 8288.0) || - (underlyings(305,0) <= 2630.6349999999998) || - (underlyings(305,2) <= 840.0) || - (underlyings(305,1) <= 8288.0) || - (underlyings(306,0) <= 2630.6349999999998) || - (underlyings(306,2) <= 840.0) || - (underlyings(306,1) <= 8288.0) || - (underlyings(307,0) <= 2630.6349999999998) || - (underlyings(307,2) <= 840.0) || - (underlyings(307,1) <= 8288.0) || - (underlyings(308,0) <= 2630.6349999999998) || - (underlyings(308,2) <= 840.0) || - (underlyings(308,1) <= 8288.0) || - (underlyings(309,0) <= 2630.6349999999998) || - (underlyings(309,2) <= 840.0) || - (underlyings(309,1) <= 8288.0) || - (underlyings(310,0) <= 2630.6349999999998) || - (underlyings(310,2) <= 840.0) || - (underlyings(310,1) <= 8288.0) || - (underlyings(311,0) <= 2630.6349999999998) || - (underlyings(311,2) <= 840.0) || - (underlyings(311,1) <= 8288.0) || - (underlyings(312,0) <= 2630.6349999999998) || - (underlyings(312,2) <= 840.0) || - (underlyings(312,1) <= 8288.0) || - (underlyings(313,0) <= 2630.6349999999998) || - (underlyings(313,2) <= 840.0) || - (underlyings(313,1) <= 8288.0) || - (underlyings(314,0) <= 2630.6349999999998) || - (underlyings(314,2) <= 840.0) || - (underlyings(314,1) <= 8288.0) || - (underlyings(315,0) <= 2630.6349999999998) || - (underlyings(315,2) <= 840.0) || - (underlyings(315,1) <= 8288.0) || - (underlyings(316,0) <= 2630.6349999999998) || - (underlyings(316,2) <= 840.0) || - (underlyings(316,1) <= 8288.0) || - (underlyings(317,0) <= 2630.6349999999998) || - (underlyings(317,2) <= 840.0) || - (underlyings(317,1) <= 8288.0) || - (underlyings(318,0) <= 2630.6349999999998) || - (underlyings(318,2) <= 840.0) || - (underlyings(318,1) <= 8288.0) || - (underlyings(319,0) <= 2630.6349999999998) || - (underlyings(319,2) <= 840.0) || - (underlyings(319,1) <= 8288.0) || - (underlyings(320,0) <= 2630.6349999999998) || - (underlyings(320,2) <= 840.0) || - (underlyings(320,1) <= 8288.0) || - (underlyings(321,0) <= 2630.6349999999998) || - (underlyings(321,2) <= 840.0) || - (underlyings(321,1) <= 8288.0) || - (underlyings(322,0) <= 2630.6349999999998) || - (underlyings(322,2) <= 840.0) || - (underlyings(322,1) <= 8288.0) || - (underlyings(323,0) <= 2630.6349999999998) || - (underlyings(323,2) <= 840.0) || - (underlyings(323,1) <= 8288.0) || - (underlyings(324,0) <= 2630.6349999999998) || - (underlyings(324,2) <= 840.0) || - (underlyings(324,1) <= 8288.0) || - (underlyings(325,0) <= 2630.6349999999998) || - (underlyings(325,2) <= 840.0) || - (underlyings(325,1) <= 8288.0) || - (underlyings(326,0) <= 2630.6349999999998) || - (underlyings(326,2) <= 840.0) || - (underlyings(326,1) <= 8288.0) || - (underlyings(327,0) <= 2630.6349999999998) || - (underlyings(327,2) <= 840.0) || - (underlyings(327,1) <= 8288.0) || - (underlyings(328,0) <= 2630.6349999999998) || - (underlyings(328,2) <= 840.0) || - (underlyings(328,1) <= 8288.0) || - (underlyings(329,0) <= 2630.6349999999998) || - (underlyings(329,2) <= 840.0) || - (underlyings(329,1) <= 8288.0) || - (underlyings(330,0) <= 2630.6349999999998) || - (underlyings(330,2) <= 840.0) || - (underlyings(330,1) <= 8288.0) || - (underlyings(331,0) <= 2630.6349999999998) || - (underlyings(331,2) <= 840.0) || - (underlyings(331,1) <= 8288.0) || - (underlyings(332,0) <= 2630.6349999999998) || - (underlyings(332,2) <= 840.0) || - (underlyings(332,1) <= 8288.0) || - (underlyings(333,0) <= 2630.6349999999998) || - (underlyings(333,2) <= 840.0) || - (underlyings(333,1) <= 8288.0) || - (underlyings(334,0) <= 2630.6349999999998) || - (underlyings(334,2) <= 840.0) || - (underlyings(334,1) <= 8288.0) || - (underlyings(335,0) <= 2630.6349999999998) || - (underlyings(335,2) <= 840.0) || - (underlyings(335,1) <= 8288.0) || - (underlyings(336,0) <= 2630.6349999999998) || - (underlyings(336,2) <= 840.0) || - (underlyings(336,1) <= 8288.0) || - (underlyings(337,0) <= 2630.6349999999998) || - (underlyings(337,2) <= 840.0) || - (underlyings(337,1) <= 8288.0) || - (underlyings(338,0) <= 2630.6349999999998) || - (underlyings(338,2) <= 840.0) || - (underlyings(338,1) <= 8288.0) || - (underlyings(339,0) <= 2630.6349999999998) || - (underlyings(339,2) <= 840.0) || - (underlyings(339,1) <= 8288.0) || - (underlyings(340,0) <= 2630.6349999999998) || - (underlyings(340,2) <= 840.0) || - (underlyings(340,1) <= 8288.0) || - (underlyings(341,0) <= 2630.6349999999998) || - (underlyings(341,2) <= 840.0) || - (underlyings(341,1) <= 8288.0) || - (underlyings(342,0) <= 2630.6349999999998) || - (underlyings(342,2) <= 840.0) || - (underlyings(342,1) <= 8288.0) || - (underlyings(343,0) <= 2630.6349999999998) || - (underlyings(343,2) <= 840.0) || - (underlyings(343,1) <= 8288.0) || - (underlyings(344,0) <= 2630.6349999999998) || - (underlyings(344,2) <= 840.0) || - (underlyings(344,1) <= 8288.0) || - (underlyings(345,0) <= 2630.6349999999998) || - (underlyings(345,2) <= 840.0) || - (underlyings(345,1) <= 8288.0) || - (underlyings(346,0) <= 2630.6349999999998) || - (underlyings(346,2) <= 840.0) || - (underlyings(346,1) <= 8288.0) || - (underlyings(347,0) <= 2630.6349999999998) || - (underlyings(347,2) <= 840.0) || - (underlyings(347,1) <= 8288.0) || - (underlyings(348,0) <= 2630.6349999999998) || - (underlyings(348,2) <= 840.0) || - (underlyings(348,1) <= 8288.0) || - (underlyings(349,0) <= 2630.6349999999998) || - (underlyings(349,2) <= 840.0) || - (underlyings(349,1) <= 8288.0) || - (underlyings(350,0) <= 2630.6349999999998) || - (underlyings(350,2) <= 840.0) || - (underlyings(350,1) <= 8288.0) || - (underlyings(351,0) <= 2630.6349999999998) || - (underlyings(351,2) <= 840.0) || - (underlyings(351,1) <= 8288.0) || - (underlyings(352,0) <= 2630.6349999999998) || - (underlyings(352,2) <= 840.0) || - (underlyings(352,1) <= 8288.0) || - (underlyings(353,0) <= 2630.6349999999998) || - (underlyings(353,2) <= 840.0) || - (underlyings(353,1) <= 8288.0) || - (underlyings(354,0) <= 2630.6349999999998) || - (underlyings(354,2) <= 840.0) || - (underlyings(354,1) <= 8288.0) || - (underlyings(355,0) <= 2630.6349999999998) || - (underlyings(355,2) <= 840.0) || - (underlyings(355,1) <= 8288.0) || - (underlyings(356,0) <= 2630.6349999999998) || - (underlyings(356,2) <= 840.0) || - (underlyings(356,1) <= 8288.0) || - (underlyings(357,0) <= 2630.6349999999998) || - (underlyings(357,2) <= 840.0) || - (underlyings(357,1) <= 8288.0) || - (underlyings(358,0) <= 2630.6349999999998) || - (underlyings(358,2) <= 840.0) || - (underlyings(358,1) <= 8288.0) || - (underlyings(359,0) <= 2630.6349999999998) || - (underlyings(359,2) <= 840.0) || - (underlyings(359,1) <= 8288.0) || - (underlyings(360,0) <= 2630.6349999999998) || - (underlyings(360,2) <= 840.0) || - (underlyings(360,1) <= 8288.0) || - (underlyings(361,0) <= 2630.6349999999998) || - (underlyings(361,2) <= 840.0) || - (underlyings(361,1) <= 8288.0) || - (underlyings(362,0) <= 2630.6349999999998) || - (underlyings(362,2) <= 840.0) || - (underlyings(362,1) <= 8288.0) || - (underlyings(363,0) <= 2630.6349999999998) || - (underlyings(363,2) <= 840.0) || - (underlyings(363,1) <= 8288.0) || - (underlyings(364,0) <= 2630.6349999999998) || - (underlyings(364,2) <= 840.0) || - (underlyings(364,1) <= 8288.0) || - (underlyings(365,0) <= 2630.6349999999998) || - (underlyings(365,2) <= 840.0) || - (underlyings(365,1) <= 8288.0) || - (underlyings(366,0) <= 2630.6349999999998) || - (underlyings(366,2) <= 840.0) diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/instantiate b/benchmarks/OptionPricing/implementations/haskell_lh/instantiate deleted file mode 100755 index e17fc9a..0000000 --- a/benchmarks/OptionPricing/implementations/haskell_lh/instantiate +++ /dev/null @@ -1,13 +0,0 @@ -#!/bin/sh - -set -e # Die on error. - -impl_dir=$FINPAR_IMPLEMENTATION -input=$FINPAR_INPUT - -cp $impl_dir/*hs . -cp $impl_dir/run . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data - -ghc -Wall -O2 -msse2 -rtsopts GenPricing.hs -o GenPricing diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/run b/benchmarks/OptionPricing/implementations/haskell_lh/run deleted file mode 100755 index eb51132..0000000 --- a/benchmarks/OptionPricing/implementations/haskell_lh/run +++ /dev/null @@ -1,5 +0,0 @@ -#!/bin/sh - -set -e - -./GenPricing +RTS -K128m -RTS < input.data From 896a231516210619c451807735cbe0b2269f8b08 Mon Sep 17 00:00:00 2001 From: Thor Date: Mon, 10 Aug 2015 18:55:49 +0200 Subject: [PATCH 036/122] finpar OptionPricing cpp_openmp now works with hipermark --- benchmarks/OptionPricing/implementations/cpp_openmp/run | 3 +++ 1 file changed, 3 insertions(+) create mode 100755 benchmarks/OptionPricing/implementations/cpp_openmp/run diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/run b/benchmarks/OptionPricing/implementations/cpp_openmp/run new file mode 100755 index 0000000..22d7e81 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/run @@ -0,0 +1,3 @@ +#!/bin/sh +#export OMP_NUM_THREADS=$NCORES +cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./GenPricing \ No newline at end of file From ee34175aca1229d3d720536df73a168e48001b5a Mon Sep 17 00:00:00 2001 From: Thor Date: Tue, 11 Aug 2015 17:48:19 +0200 Subject: [PATCH 037/122] including script to run hipermark --- hipermark_op | 9 +++++++++ 1 file changed, 9 insertions(+) create mode 100755 hipermark_op diff --git a/hipermark_op b/hipermark_op new file mode 100755 index 0000000..036fb83 --- /dev/null +++ b/hipermark_op @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/OptionPricing/ +echo Running hipermark OptionPricing cpp_openmp small dataset, 20 times. +echo Storing all results in instantiations/ + +rm -rf instantiations/OptionPricing/ +../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_openmp small,medium \ No newline at end of file From 821e9838027325ce6c20d6bbb5338888aba86682 Mon Sep 17 00:00:00 2001 From: Thor Date: Thu, 13 Aug 2015 15:45:55 +0200 Subject: [PATCH 038/122] Finpar now only has two implementations of InterestCalib -- This is done for testing of hipermark. --- .../cpp_opencl_all/FindBestKer.h | 160 ------ .../cpp_opencl_all/GenAlgFlat.h | 349 ------------- .../cpp_opencl_all/GenAlgKers.h | 297 ----------- .../implementations/cpp_opencl_all/MainKer.h | 223 -------- .../implementations/cpp_opencl_all/Makefile | 45 -- .../cpp_opencl_all/SrcCL/BestIndValRedKer.cl | 109 ---- .../cpp_opencl_all/SrcCL/CalibKers.cl | 477 ------------------ .../cpp_opencl_all/SrcCL/Date.cl | 147 ------ .../cpp_opencl_all/SrcCL/ExactYhat.cl | 314 ------------ .../cpp_opencl_all/SrcCL/G2ppUtil.cl | 231 --------- .../cpp_opencl_all/SrcCL/GenAlg.cl | 313 ------------ .../cpp_opencl_all/SrcCL/Reductions.cl | 380 -------------- .../cpp_opencl_all/SwapCalib.cpp | 52 -- .../cpp_opencl_all/UtilGPGPU.h | 285 ----------- .../cpp_opencl_all/instantiate | 24 - .../cpp_openmp_outer/GenAlgFlat.h | 266 ---------- .../implementations/cpp_openmp_outer/Makefile | 40 -- .../cpp_openmp_outer/SwapCalib | Bin 80848 -> 0 bytes .../cpp_openmp_outer/SwapCalib.cpp | 73 --- .../cpp_openmp_outer/UtilCPU.h | 102 ---- .../cpp_openmp_outer/instantiate | 36 -- .../cpp_sequential/EvalGenomeOrig.h | 155 ------ .../implementations/cpp_sequential/G2PPorig.h | 176 ------- .../cpp_sequential/GenAlgFlat.h | 281 ----------- .../implementations/cpp_sequential/Genome.h | 238 --------- .../implementations/cpp_sequential/Makefile | 40 -- .../cpp_sequential/SwapCalib.cpp | 61 --- .../implementations/cpp_sequential/UtilCPU.h | 48 -- .../cpp_sequential/instantiate | 39 -- .../implementations/haskell_lh/Constants.hs | 103 ---- .../implementations/haskell_lh/Date.hs | 155 ------ .../implementations/haskell_lh/EvalGenome.hs | 214 -------- .../implementations/haskell_lh/Genome.hs | 128 ----- .../implementations/haskell_lh/MathMod.hs | 390 -------------- .../implementations/haskell_lh/SwapCalib.hs | 308 ----------- .../implementations/haskell_lh/instantiate | 13 - .../implementations/haskell_lh/run | 5 - 37 files changed, 6277 deletions(-) delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/FindBestKer.h delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgFlat.h delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgKers.h delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/MainKer.h delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/Makefile delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/BestIndValRedKer.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/CalibKers.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Date.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/ExactYhat.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/G2ppUtil.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/GenAlg.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Reductions.cl delete mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl_all/SwapCalib.cpp delete mode 100644 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100755 benchmarks/InterestCalib/implementations/haskell_lh/run diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/FindBestKer.h b/benchmarks/InterestCalib/implementations/cpp_opencl_all/FindBestKer.h deleted file mode 100644 index 084157d..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/FindBestKer.h +++ /dev/null @@ -1,160 +0,0 @@ -#ifndef FIND_BEST_KERNEL -#define FIND_BEST_KERNEL - -#include "SDK_stub.h" -#include "Constants.h" - -class FindBestKer { - // Assumptions: - // 1. the input array, `arr' has `size(arr) >= N', - // 2. the result arrays, has `size(r_ind)=size(r_val) >= LWG' - // - // Computation is split in two stages: - // - one that compute at most LWG elements (denoting partial reduces) - // - a second one that reduces the resulting LWG elements in one local workgroup. - private: - const size_t LWG; - size_t GWG; - uint UNROLL; - - // inputs, i.e., resources not owned by this kernel! - const cl_mem arr; // of size `N', and `offset' into it! - const uint N; - const uint offset; - - - OclObjects ocl; - - // res_ind and res_val have at least size LWG_FB - const cl_mem res_ind; - const cl_mem res_val; - - - // resources owned by this kernel - cl_kernel ker1; - cl_kernel ker2; - - public: - FindBestKer ( const uint sz, - const uint off, - const cl_mem& a, - const cl_mem& r_ind, - const cl_mem& r_val, - const OclObjects& o, - const int& lwg - ) : N(sz), offset(off), LWG(lwg), - arr(a), res_ind(r_ind), res_val(r_val), ocl(o) - { - UNROLL = mkUnrollFactor(); - GWG = mkGlobalWork (); - ker1 = mkKernel1 (); - ker2 = mkKernel2 (); - - bool sanity = is_pow2(lwg) && lwg <= LWG_FB; - assert( sanity && "In FindBestKer: Workgroup size not a pow of two or too large!" ); - } - - virtual ~FindBestKer() { - clReleaseKernel(ker1); - clReleaseKernel(ker2); - } - - void run ( int& best_ind, REAL& best_val ) { - cl_int ciErr1; - - //printf("Before run kernel 1 (LWG,GWG,UNROLL): (%ld,%ld,%d)\n", LWG, GWG, UNROLL); - - // run the reduction for each local group - ciErr1 = clEnqueueNDRangeKernel ( - ocl.getCommandQueue(), - ker1, 1, NULL, & GWG, & LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - - if( GWG > LWG ) { - // run the reduction for the resulted local group - ciErr1 = clEnqueueNDRangeKernel ( - ocl.getCommandQueue(), - ker2, 1, NULL, & LWG, & LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - } - - { // Finally, read-back the histogram result! - ciErr1 |= clEnqueueReadBuffer ( - ocl.getCommandQueue(), res_val, CL_TRUE, 0, - sizeof(REAL), &best_val, 0, NULL, NULL - ); - ciErr1 |= clEnqueueReadBuffer ( - ocl.getCommandQueue(), res_ind, CL_TRUE, 0, - sizeof(uint), &best_ind, 0, NULL, NULL - ); - } - oclCheckError(ciErr1, CL_SUCCESS); -// printf("After enqueue Best (Ind,Val): (%d,%f)\n\n", best_ind, best_val); - } - - private: - int mkUnrollFactor() { - const int sqLWG = LWG * LWG; - const bool exact1 = (N % sqLWG) == 0; - const int unroll = ( exact1 ) ? ( N / sqLWG ) : ( (N / sqLWG) + 1 ); - return unroll; - } - - int mkGlobalWork() { - const int urolLWG= UNROLL * LWG; - const bool exact2 = (N % urolLWG) == 0; - const int numGWG = ( exact2 ) ? (N / urolLWG) : ( (N / urolLWG) + 1 ); - return numGWG * LWG; - } - - cl_kernel mkKernel1( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl.program, "redbest_ker1", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->arr ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_ind ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_val ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &this->offset ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &this->N ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &this->UNROLL ); - - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkKernel2( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl.program, "redbest_ker2", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - uint newN = GWG / LWG; - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_ind ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_val ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &newN ); - - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - -}; - -#endif // FIND_BEST_KERNEL - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgFlat.h deleted file mode 100644 index 79b0b35..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgFlat.h +++ /dev/null @@ -1,349 +0,0 @@ -#ifndef GEN_ALG_FLAT -#define GEN_ALG_FLAT - -#include "Constants.h" -#include "GenAlgUtil.h" -#include "Candidate.h" - -#include "IrregShape.h" -#include "UtilGPGPU.h" -#include "EvalGenomeInl.h" - -#include "FindBestKer.h" -#include "MainKer.h" -#include "GenAlgKers.h" - -/** - * Printing Swaption / Calibrated Price / Black Price / RMS - * The result is an array REAL[NUM_SWAP_QUOTES, 3] recording - * for each swaption the calibrated price, the black price - * and the percentagewise difference between the two. - */ -REAL* makeSummary(uint winner, CpuArrays& arrs) { - REAL* res = (REAL*) malloc( 3*NUM_SWAP_QUOTES*sizeof(REAL) ); - - REAL rms = 0.0; - - fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); - fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", - arrs.get_a() [winner], arrs.get_b() [winner], arrs.get_sigma ()[winner], - arrs.get_nu()[winner], arrs.get_rho()[winner], arrs.get_logLik()[winner] ); - fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); - - for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { - REAL black_price = arrs.get_quote(winner)[i]; - REAL calib_price = arrs.get_price(winner)[i]; - REAL err_ratio = (calib_price - black_price) / black_price; - - res[3*i + 0] = 10000.0*calib_price; - res[3*i + 1] = 10000.0*black_price; - res[3*i + 2] = 100.0*fabs(err_ratio); - - rms += err_ratio * err_ratio; - - fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", - i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], - res[3*i + 0], res[3*i + 1], res[3*i + 2] ); - } - - rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); - fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); - - return res; -} - - -/** - * Utility function: find the genome with the best likelihood: - * scans the logLik array and fill in the index and likelihood - * of the best genome. - */ -void find_best(const REAL* logLik, int& best_ind, REAL& best_lik) { - bool sanity = true; - - best_lik = -INFINITY; - best_ind = 0; - - // this is in fact a reduction, but POP_SIZE is - // not big enough to warrant a parallel execution. - for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX - REAL val = logLik[i]; - - sanity = !( isnan(val) || isinf(val) ); - assert( sanity && "val is NaN in find_best" ); - - if( val > best_lik ) { best_ind = i; best_lik = val; } - } -} - -void find_best_GPU( - FindBestKer& bestker, OclObjects& ocl_objs, - OclBuffers& ocl_arrs, const REAL* logLik, - int& best_ind, REAL& best_lik -) { - bool sanity = true; - - bestker.run(best_ind, best_lik); - - sanity = ! ( isnan(best_lik) || isinf(best_lik) ); - assert( sanity && "val is NaN in find_best" ); -} - -Move_Type selectMoveType(REAL move_selected) { - Move_Type move_type = NONE; - - REAL prob; - Move_Type type; - UINT k = 0; - do { - prob = mcmc_moves_selection_cumdensfct[k].fst; - type = mcmc_moves_selection_cumdensfct[k].snd; - - if( move_selected <= prob ) { - move_type = type; - } - k ++; - } while ( move_selected > prob && k < CUMDENSFCT_CARD ); - - assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); - - return move_type; -} - -/** - * Main Entry Point for Swaption Calibration - * The (out) arguments are in fact the resulted - * winning genome result & its likelihood. - * The array result has size 3*NUM_SWAP_QUOTES - * and records for each swaption the calibrated - * price, the black price and the percentage - * difference between the two. - */ -REAL* mainKernelGPU(REAL& wg_a, - REAL& wg_b, - REAL& wg_sigma, - REAL& wg_nu, - REAL& wg_rho, - REAL& wg_logLik -) { - uint FLAT_SZ; - short* shape = getIregShapeAdjusted( LWG_EG, FLAT_SZ ); - int * start_inds = getStartInd( FLAT_SZ, shape, NUM_SWAP_QUOTES ); - - CpuArrays cpu_arrs(FLAT_SZ, shape); - REAL *g_a, *g_b, *g_rho, *g_nu, *g_sigma, *logLik, *bf_rat; - { // getting the cpu arrays - g_a = cpu_arrs.get_a (); - g_b = cpu_arrs.get_b (); - g_rho = cpu_arrs.get_rho (); - g_nu = cpu_arrs.get_nu (); - g_sigma = cpu_arrs.get_sigma (); - logLik = cpu_arrs.get_logLik(); - bf_rat = cpu_arrs.get_bf_rat(); - } - - OclObjects ocl_objs; OclBuffers ocl_arrs; - { // Initialization of the GPU resources: - initGPUresources ( cpu_arrs, ocl_objs, ocl_arrs ); - } - - FindBestKer bestker ( POP_SIZE, 10*POP_SIZE, ocl_arrs.genomes, - ocl_arrs.best_ind, ocl_arrs.best_val, ocl_objs, 128 ); - MainKer mainker ( cpu_arrs, ocl_arrs, ocl_objs ); - GenAlgKers genalgker( cpu_arrs, ocl_arrs, ocl_objs ); - - srand ( SEED ); - srand48 ( SEED ); - - // initialized the genomes with random numbers inside - // their acceptable bounds => requires 5*POP_SIZE randoms -#if (GPU_VERSION == 2) - genalgker.run_init( ); -#else - - for( int i = 0; i < POP_SIZE; i++ ) { - REAL r01, tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; - g_a [i ] = tmp; - g_a [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; - g_b [i ] = tmp; - g_b [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; - g_rho [i ] = tmp; - g_rho [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; - g_nu [i ] = tmp; - g_nu [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; - g_sigma [i ] = tmp; - g_sigma [i + POP_SIZE] = tmp; - - bf_rat [i ] = 1.0; - } -#endif - - // Initial evaluation of the genomes! -#if (GPU_VERSION == 2) - mainker.run (); - genalgker.run_cpLik(); - -#elif (GPU_VERSION == 1) - mainker.run(); - for( int i = 0; i < POP_SIZE; i++ ) { - logLik[i] = logLik[i+POP_SIZE]; - } -#else - fprintf(stderr, "This is GPU only, GPU_VERSION should be set to 1 or 2 in KerConsts.h!"); - exit(1); -#endif - - // sequential loop that runs the genetic algorithms - // (takes a population and returns a population) - for( int j = 0; j < MCMC_LOOPS; j++ ) { - - // select which move to perform: BEGIN - // Note: this block can also be a loop (in fixed order) - // over the various move types - REAL move_selected = getRandUnifNorm(); - Move_Type move_type = selectMoveType(move_selected); - -#if ( GPU_VERSION == 2 && WITH_SOBOL == 0 ) - sobol_offset ++; -#endif - - if ( move_type == DIMS_ALL ) { -#if (GPU_VERSION == 2) - genalgker.run_mutate( 33 ); -#else - for( int i = 0; i < POP_SIZE; i++ ) { - mutate_dims_all( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); // default ampl_ratio - } -#endif - - } else if ( move_type == DIMS_ONE ) { - - UINT dim_j = getRandIntNorm(GENOME_DIM); - -#if (GPU_VERSION == 2) - #if (WITH_SOBOL == 0) - sobol_offset++; - #endif - genalgker.run_mutate( dim_j ); -#else - for( int i = 0; i < POP_SIZE; i++ ) { - mutate_dims_one( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i, dim_j ); // default ampl_ratio - } -#endif - } else /* if ( move_type == DEMCMC ) */ { -#if (GPU_VERSION == 2) - genalgker.run_McMcDc( ); -#else - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums - mcmc_DE( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); - } -#endif - } - - // evaluate the proposal -#if (GPU_VERSION == 2 || GPU_VERSION == 1) - mainker.run(); -#else - fprintf(stderr, "This is GPU only, GPU_VERSION should be set to 1 or 2 in KerConsts.h!"); - exit(1); -#endif - - // mcmc_acceptance_rejection(); - // Deciding whether to accept or reject the proposal, - // obtained by mutating/crossover of the individual. -#if (GPU_VERSION == 2) - genalgker.run_accept_cond( ); - genalgker.run_accept_prop( ); -#else - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel - // Metropolis: get a random U[0,1) for each candidate - // rand=N.random.uniform() - REAL rand = getRandUnifNorm(); - - // selection: dimensions considered independent - // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) - REAL acceptance = std::min( 1.0, exp( logLik[i+POP_SIZE] - logLik[i] ) * bf_rat[i] ); - - // if acceptance criterion is met then p->p' else does nothing - if ( rand < acceptance ) accept( i, g_a, g_b, g_rho, g_nu, g_sigma, logLik ); - } -#endif - - // print best candidate for the current iteration: -#if (GPU_VERSION == 2) - if ( (j % 16) == 0 ) { - int best_ind; REAL best_lik; - find_best_GPU( bestker, ocl_objs, ocl_arrs, logLik, best_ind, best_lik ); - fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", - j, best_lik, best_ind ); - } -#else - if ( (j % 16) == 0 ){ - int best_ind; REAL best_lik; - find_best(logLik, best_ind, best_lik); - fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", - j, best_lik, best_ind ); - } -#endif - } - -#if (GPU_VERSION == 2) - { // copy back genomes - uint cur_size = 12 * POP_SIZE * sizeof(REAL); - uint ciErr; - cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); - ciErr = clEnqueueReadBuffer(cmd_queue, ocl_arrs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); - oclCheckError( ciErr, CL_SUCCESS ); - } -#endif - - REAL* result; - { // print best candidate for the current iteration: - int best_ind; REAL best_lik; - find_best(logLik, best_ind, best_lik); - - // recompute the calibrated price and the black price sequentially! - logLik[best_ind] = - eval_genome( g_a[best_ind], g_b[best_ind], g_rho[best_ind], g_nu[best_ind], - g_sigma[best_ind], cpu_arrs.get_quote(best_ind), - cpu_arrs.get_price(best_ind), FLAT_SZ, shape, start_inds ); - - // Finally, make/print the result! - wg_a = cpu_arrs.get_a() [best_ind]; - wg_b = cpu_arrs.get_b() [best_ind]; - wg_sigma = cpu_arrs.get_sigma ()[best_ind]; - wg_nu = cpu_arrs.get_nu() [best_ind]; - wg_rho = cpu_arrs.get_rho() [best_ind]; - wg_logLik = cpu_arrs.get_logLik()[best_ind]; - - result = makeSummary( best_ind, cpu_arrs ); - } - - delete[] start_inds; - - // Releasing the GPU resources: - releaseGPUresources ( ocl_objs, ocl_arrs ); - - // Releasing the CPU resources: - cpu_arrs.releaseResources(); - - return result; -} - -#endif // end ifndef - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgKers.h b/benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgKers.h deleted file mode 100644 index 545297e..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/GenAlgKers.h +++ /dev/null @@ -1,297 +0,0 @@ -#ifndef GEN_ALG_KERNELS -#define GEN_ALG_KERNELS - -#include "SDK_stub.h" -#include "Constants.h" - -class GenAlgKers { - private: - size_t LWG[3]; - size_t GWG[3]; - - const uint lwg; -// uint sobol_offset; - - CpuArrays cpu_arrs; - OclBuffers gpu_buffs; - OclObjects ocl_objs; - - // resources owned by this kernel - cl_kernel init_ker; - cl_kernel cplik_ker; - cl_kernel accnd_ker; - cl_kernel acprp_ker; - cl_kernel mutat_ker; - cl_kernel mcde_ker; - - public: - GenAlgKers( const CpuArrays & arrs, - const OclBuffers& buffs, - const OclObjects& objs - ) : cpu_arrs(arrs), gpu_buffs(buffs), ocl_objs(objs), lwg( mkLWG(POP_SIZE) ) - { - //sobol_offset = 1; - - bool valid = (POP_SIZE >= 32) && (POP_SIZE <= 512); - assert( valid && "Population size NOT in range [32, 512]!" ); - init_ker = mkInitKernel (); - cplik_ker = mkCpLiKernel (); - accnd_ker = mkAcceptCondKernel (); - acprp_ker = mkAcceptPropKernel (); - mutat_ker = mkMutateDimKernel (); - mcde_ker = mkMcMcDcKernel (); - } - - virtual ~GenAlgKers() { - clReleaseKernel( init_ker); - clReleaseKernel(cplik_ker); - clReleaseKernel(accnd_ker); - clReleaseKernel(acprp_ker); - clReleaseKernel(mutat_ker); - clReleaseKernel( mcde_ker); - } - - void run_init( ) { - cl_int ciErr1; - - LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; - GWG[0] = lwg; GWG[1] = 6; GWG[2] = 1; - - // set the index of the next random number! - ciErr1 |= clSetKernelArg( init_ker, 3, sizeof(uint), &sobol_offset ); - oclCheckError(ciErr1, CL_SUCCESS); - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - init_ker, 2, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - oclCheckError(ciErr1, CL_SUCCESS); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - sobol_offset += (5 * POP_SIZE); - } - - void run_cpLik( ) { - cl_int ciErr1; - - LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; - GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - cplik_ker, 1, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - } - - void run_accept_cond( ) { - cl_int ciErr1; - - LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; - GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; - - // set the index of the next random number! - ciErr1 |= clSetKernelArg( accnd_ker, 3, sizeof(uint), &sobol_offset); - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - accnd_ker, 1, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - - sobol_offset += (1 * POP_SIZE); - } - - void run_accept_prop( ) { - cl_int ciErr1; - - LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; - GWG[0] = lwg; GWG[1] = 6; GWG[2] = 1; - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - acprp_ker, 2, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - } - - // IF dim_j > 4 then is a mutate_all! - void run_mutate( const uint dim_j ) { - cl_int ciErr1; - - LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; - GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; - - // set the index of the next random number! - ciErr1 |= clSetKernelArg( mutat_ker, 3, sizeof(uint), &sobol_offset); - ciErr1 |= clSetKernelArg( mutat_ker, 4, sizeof(uint), &dim_j); - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - mutat_ker, 1, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - - sobol_offset += (5 * POP_SIZE); - } - - void run_McMcDc( ) { - cl_int ciErr1; - - LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; - GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; - - // set the index of the next random number! - ciErr1 |= clSetKernelArg( mcde_ker, 3, sizeof(uint), &sobol_offset); - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - mcde_ker, 1, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - - sobol_offset += (8 * POP_SIZE); - } - - - private: - - uint mkLWG( const uint Npop ) { - if( (Npop % WARP) == 0 ) return Npop; - else return (Npop / WARP + 1) * WARP; - } - - cl_kernel mkInitKernel ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "init_genome", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gene_ranges ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkCpLiKernel ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "copyLogLik", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkAcceptCondKernel ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "accept_cond", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accept_cond ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkAcceptPropKernel ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "accept_prop", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accept_cond ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkMutateDimKernel ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - uint dim_j = 7; - - - kernel = clCreateKernel( ocl_objs.program, "mutate_dims", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gene_ranges ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &dim_j ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(REAL), &MOVES_UNIF_AMPL_RATIO ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkMcMcDcKernel ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM); - const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO; - - - kernel = clCreateKernel( ocl_objs.program, "mcmc_DE", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gene_ranges ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(REAL), &gamma_avg ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(REAL), &l_ratio ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } -}; - -#endif diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/MainKer.h b/benchmarks/InterestCalib/implementations/cpp_opencl_all/MainKer.h deleted file mode 100644 index c607f33..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/MainKer.h +++ /dev/null @@ -1,223 +0,0 @@ -#ifndef MAIN_KERNEL -#define MAIN_KERNEL - -#include "SDK_stub.h" -#include "Constants.h" - -class MainKer { - private: - size_t LWG[3]; - size_t GWG[3]; - - CpuArrays cpu_arrs; - OclBuffers gpu_buffs; - OclObjects ocl_objs; - - - // resources owned by this kernel - cl_kernel ker; - cl_kernel ker_red1; - cl_kernel ker_red2; - - public: - MainKer ( const CpuArrays & arrs, - const OclBuffers& buffs, - const OclObjects& objs - ) : cpu_arrs(arrs), gpu_buffs(buffs), ocl_objs(objs) - { -// LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; -// GWG[0] = arrs.SS; GWG[1] = POP_SIZE; GWG[2] = 1; - - ker = mkKernel1 (); - ker_red1 = mkKernel2 (); - ker_red2 = mkKernel3 (); - } - - virtual ~MainKer() { - clReleaseKernel(ker); - clReleaseKernel(ker_red1); - clReleaseKernel(ker_red2); - } - - void run ( ) { - cl_int ciErr1; - - //printf("Before run kernel 1 (LWG,GWG,UNROLL): (%ld,%ld,%d)\n", LWG, GWG, UNROLL); -#if (GPU_VERSION == 1) - copy_in_buffers1(); -#endif - { // run the main, big kernel with local segmented reduction for each local group - LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; - GWG[0] = cpu_arrs.SS; GWG[1] = POP_SIZE; GWG[2] = 1; - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - ker, 3, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - } - - { // run the second segmented reduction kernel - LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; - GWG[0] = cpu_arrs.SS; GWG[1] = NUM_HERMITE; GWG[2] = POP_SIZE; - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - ker_red1, 3, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - } - - { // run the third regular reduction kernel - LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; - GWG[0] = LWG_EG; GWG[1] = POP_SIZE; GWG[2] = 1; - - ciErr1 = clEnqueueNDRangeKernel ( - ocl_objs.getCommandQueue(), - ker_red2, 3, NULL, this->GWG, this->LWG, - 0, NULL, NULL - ); - ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); - oclCheckError(ciErr1, CL_SUCCESS); - } - -#if (GPU_VERSION == 1) -// copy_out_buffers1(); -// copy_out_buffers2(); - copy_out_buffers3(); -#endif - } - - private: - cl_kernel mkKernel1 ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "eval_genome_main", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.shape ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.swap_quotes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.ci_t1cs_scale ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.new_quote_price); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.scalars ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_SWAP_QUOTES ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &cpu_arrs.SS ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkKernel2 ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "eval_genome_red1", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.shape ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gauss_coefs ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gauss_weights ); - - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.ci_t1cs_scale ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.scalars ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accum0 ); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_SWAP_QUOTES ); -// ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &cpu_arrs.SS ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - cl_kernel mkKernel3 ( ) { - cl_kernel kernel; - UINT counter = 0; - cl_int ciErr1; - - kernel = clCreateKernel( ocl_objs.program, "eval_genome_red2", &ciErr1 ); - oclCheckError( ciErr1, CL_SUCCESS ); - - counter = 0; - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.scalars ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accum0 ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.new_quote_price); - - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_SWAP_QUOTES ); - ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_HERMITE ); - oclCheckError( ciErr1, CL_SUCCESS ); - - return kernel; - } - - - void copy_in_buffers1() { - cl_int ciErr; - size_t cur_size; - cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); - - cur_size = 13 * POP_SIZE * sizeof(REAL); - ciErr |= clEnqueueWriteBuffer(cmd_queue, gpu_buffs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); - - oclCheckError(ciErr, CL_SUCCESS); - } - - void copy_out_buffers1() { - cl_int ciErr; - size_t cur_size; - cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); - - cur_size = 4 * cpu_arrs.SS * POP_SIZE * sizeof(REAL); - ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.ci_t1cs_scale, CL_TRUE, 0, cur_size, cpu_arrs.ci_t1cs_scale, 0, NULL, NULL); - - cur_size = NUM_SWAP_QUOTES * POP_SIZE * sizeof(REAL); // need only to write back the quotes (not the prices) - ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.new_quote_price, CL_TRUE, 0, cur_size, cpu_arrs.new_quote_price, 0, NULL, NULL); - - cur_size = 8 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(REAL); - ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.scalars, CL_TRUE, 0, cur_size, cpu_arrs.scalars, 0, NULL, NULL); - } - - void copy_out_buffers2() { - cl_int ciErr; - size_t cur_size; - cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); - - cur_size = NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE * sizeof(REAL); - ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.accum0, CL_TRUE, 0, cur_size, cpu_arrs.accum0, 0, NULL, NULL); - } - - void copy_out_buffers3() { - cl_int ciErr; - size_t cur_size, offset; - cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); - - cur_size = POP_SIZE * sizeof(REAL); - offset = 11 * POP_SIZE * sizeof(REAL); - ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.genomes, CL_TRUE, offset, cur_size, cpu_arrs.get_logLik() + POP_SIZE, 0, NULL, NULL); - -// cur_size = 13 * POP_SIZE * sizeof(REAL); -// ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); - -// cur_size = 2 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(REAL); // need only to write back the quotes (not the prices) -// ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.new_quote_price, CL_TRUE, 0, cur_size, cpu_arrs.new_quote_price, 0, NULL, NULL); - } -}; - -#endif // MAIN_KERNEL - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/Makefile b/benchmarks/InterestCalib/implementations/cpp_opencl_all/Makefile deleted file mode 100644 index 024a527..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/Makefile +++ /dev/null @@ -1,45 +0,0 @@ -include ../../setup.mk - -ifndef ($(HAVE_GPU)) -include ../../platform.mk -endif - -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ - -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ - -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ - -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) - -SOURCES_CPP =SwapCalib.cpp -HELPERS =../includeC/ParseInput.h -OBJECTS =SwapCalib.o -EXECUTABLE =SwapCalib - - -default: gpu - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -# The GPU version is in: ../CppAndGPU. This folder is CPU only! -gpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) - -cpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) - - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - -clean: - rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx SrcCL/*.ptx ./Debug.txt - @# clean nVidia compiler cache - rm -rf $(HOME)/.nv/ComputeCache/* - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/BestIndValRedKer.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/BestIndValRedKer.cl deleted file mode 100644 index 5be7b32..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/BestIndValRedKer.cl +++ /dev/null @@ -1,109 +0,0 @@ -/******************************************************/ -/********* FIND_BEST KERNEL and HELPERS ***************/ -/******************************************************/ - -inline REAL2 OP_BEST(REAL2 iv1, REAL2 iv2) { - return ( ( iv1.y > iv2.y ) ? iv1 : iv2 ); -} - -inline REAL2 reduce_best_warp( __local volatile REAL2* sh_data ) { - const uint th_id = get_local_id(0) & (WARP-1); - - if( th_id >= 1 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-1 ] ); - if( th_id >= 2 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-2 ] ); - if( th_id >= 4 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-4 ] ); - if( th_id >= 8 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-8 ] ); -#if (WARP == 32) - if( th_id >= 16 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-16] ); -#endif - return sh_data[th_id]; -} - -inline void reduce_best_local ( __local volatile REAL2* sh_data ) { - // perform scan at warp level - REAL2 res = reduce_best_warp( sh_data + WARP_FST ); - barrier( CLK_LOCAL_MEM_FENCE ); - - // gather per-warp results in the first WARP elements - if ( TH_ID == WARP_LST ) { - sh_data[ WARP_ID ] = res; - } - barrier(CLK_LOCAL_MEM_FENCE); - - if( TH_ID < WARP ) { - reduce_best_warp( sh_data ); - } - barrier(CLK_LOCAL_MEM_FENCE); -} - - -__kernel void -redbest_ker1 ( - __global REAL *arr, - __global uint *res_ind, - __global REAL *res_val, - uint offset, - uint N, - uint U -) { - __local REAL2 locred[ LWG_FB ]; - - arr += offset; - - REAL2 seqbest = (REAL2) ( 0.0, -INFTY ); - - uint i = get_group_id(0) * (U * get_local_size(0)) + get_local_id(0); - - - //uint B = min( i + (U * get_local_size(0)), N ); - uint B = i + (U * get_local_size(0)); - if( B > N ) { B = N; } - - for( ; i < B; i += get_local_size(0) ) { - REAL2 cur = (REAL2) ( (REAL)i, arr[i] ); - seqbest = OP_BEST(seqbest, cur); - } - - locred[ get_local_id(0) ] = seqbest; - barrier(CLK_LOCAL_MEM_FENCE); - - reduce_best_local ( locred ); - - if ( get_local_id(0) == get_local_size(0) - 1 ) { - REAL2 res = locred[WARP-1]; - res_ind[ get_group_id(0) ] = (uint) res.x; - res_val[ get_group_id(0) ] = res.y; - } -} - -/** - * Assumes we have to reduce exactly one local workgroup. - */ -__kernel void -redbest_ker2 ( - __global uint *arr_ind, - __global REAL *arr_val, - uint N -) { - __local REAL2 locred[ LWG_FB ]; - - uint th_id = get_local_id(0); - - if ( th_id >= N ) { - REAL2 tmp = (REAL2) ( 0.0, -INFTY ); - locred[ th_id ] = tmp; - } else { - REAL2 tmp = (REAL2) ( (REAL)arr_ind[th_id], arr_val[th_id] ); - locred[ th_id ] = tmp; - } - - barrier(CLK_LOCAL_MEM_FENCE); - reduce_best_local( locred ); - - if ( th_id == get_local_size(0) - 1 ) { - REAL2 res = locred[ WARP-1 ]; - arr_ind[ 0 ] = (uint) res.x; - arr_val[ 0 ] = res.y; - } -} - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/CalibKers.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/CalibKers.cl deleted file mode 100644 index cd35060..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/CalibKers.cl +++ /dev/null @@ -1,477 +0,0 @@ -// BOP is a generic binary associative operator, -// e.g., +, *, AND, OR -//#define BOP(a,b) ( (a)+(b) ) - - -#include "KerConsts.h" - -#define TH_ID (get_local_id(0)) -#define WARP_ID (TH_ID >> lgWARP) -#define WARP_FST (WARP_ID << lgWARP) -#define WARP_LST (WARP_FST + (WARP-1)) - - -#if WITH_FLOAT - typedef float2 REAL2; - typedef float4 REAL4; -#else - typedef double2 REAL2; - typedef double4 REAL4; -#endif - -inline REAL minR(REAL a, REAL b) { return ( (a <= b) ? a : b ); } -inline REAL maxR(REAL a, REAL b) { return ( (a <= b) ? b : a ); } - -#include "GenAlg.cl" -#include "BestIndValRedKer.cl" - -/******************************************************/ -/********* EVAL_GENOME KERNELS and HELPERS ************/ -/******************************************************/ - -/** Assumes global shape has the following layout: - * 1. flags, i.e., 1 if start of segment, -1 if iddle thread, and 0 otherwise - * 2. iota(n_schedi) - * 3. the swaption index - * 4. the size of the current segment - * Local shape has the following structure: - * 1. flags as uchar, where 1 denote the start of a segment, - * 2. cond as uchar, where 0 denotes thread is active, - * 3. index as short in iota(n_schedi), - * 4. swaption's global index as short - * 5. size fo the current segment as short - */ -inline -bool fillShapeMeta(__global short* shape, - __local short* sh_mem, - uint Nshp -) { - bool iddle = false; - uint loc_ind = TH_ID, glb_ind = get_global_id(0); // ignore global dimension 1 - short tmp = shape[ glb_ind ]; - - { // fill the boolean part! - __local uchar* shape_meta = (__local uchar*) sh_mem; - - shape_meta[ loc_ind ] = ( tmp != 0 ) ? (uchar) 1 : (uchar) 0; - loc_ind += get_local_size(0); - shape_meta[ loc_ind ] = (uchar) 0; - } - - glb_ind += Nshp; - sh_mem[ loc_ind ] = shape[ glb_ind ]; // setting iota(n_schedi) - - loc_ind += get_local_size(0); - glb_ind += Nshp; - sh_mem[ loc_ind ] = shape[ glb_ind ]; // setting the swaption index - - loc_ind += get_local_size(0); - glb_ind += Nshp; - tmp = shape[ glb_ind ]; - if( tmp < 0 ) { iddle = true; tmp = -tmp; } - sh_mem[loc_ind] = tmp; - - barrier(CLK_LOCAL_MEM_FENCE); - return iddle; -} - -inline -short getIotaInd (__local short* shape) { - return shape[ TH_ID + get_local_size(0) ]; -} -inline -short getSwapGlbInd(__local short* shape) { - return shape[ (get_local_size(0) << 1) + TH_ID ]; -} -inline -short getSwapLocInd(__local short* shape) { - short res = getSwapGlbInd(shape) - shape[ get_local_size(0) << 1 ]; - return res; -} -inline -short getSgmSize (__local short* shape ) { - return shape[ (get_local_size(0) << 1) + get_local_size(0) + TH_ID ]; -} - -#include "Date.cl" -#include "G2ppUtil.cl" -#include "Reductions.cl" -#include "ExactYhat.cl" - - -/** - * Two-dimensional kernel: - * 1. the outer dimension is POP_SIZE, - * 2. the inner dimension is Nshp, i.e., an approximation - * (with idde threads) of the flattened parallelism - * of the loop of count `NUM_SWAP_QUOTES'. - */ - -__kernel __attribute__((reqd_work_group_size(LWG_EG, 1, 1))) -void eval_genome_main ( - __global short *glb_shape, - __global REAL *SwaptionQuotes, - __global REAL *genomes, - __global REAL *glb_arrs, // ci ++ t1_cs ++ scale ++ bbi - __global REAL *new_quote_price, // [POP_SIZE * NUM_SWAP_QUOTES * 2] - __global REAL *interm_scalars, // [POP_SIZE * NUM_SWAP_QUOTES * 8] - // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, - // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } - uint Nswap, - uint Npop, - uint Nshp -) { - REAL4 tmp4; - - __local short shape_meta [ (LWG_EG << 2) ]; - __local REAL4 sh_mem4 [ LWG_EG + (LWG_EG >> 1) ]; - - bool iddle = fillShapeMeta( glb_shape, shape_meta, Nshp ); - - REAL swap_freq = 1.0, maturity = 1.0, tmat0 = 1.0; uint n_schedi; - if( !iddle ) { - int ttt = getSwapGlbInd(shape_meta); - swap_freq = SwaptionQuotes[ (ttt<<2) + 1 ]; - maturity = add_years( TODAY, SwaptionQuotes[ (ttt<<2) ] ); - n_schedi = (uint) (12.0 * SwaptionQuotes[ (ttt<<2) + 2 ] / swap_freq); - tmat0 = date_act_365( maturity, TODAY ); - } - - REAL strike, beg_date, end_date; - { // BLACK PRICE COMPUTATION. - __local uchar* flags = (__local uchar*) shape_meta; - - tmp4 = (REAL4) (0.0, MAX_DATE, MIN_DATE, 1.0); - if(!iddle) { - tmp4.w = (REAL) getIotaInd(shape_meta); // i - tmp4.y = add_months( maturity, swap_freq*tmp4.w ); // t0 - tmp4.z = add_months( tmp4.y, swap_freq ); // tn - tmp4.x = zc(tmp4.z) * date_act_365(tmp4.z,tmp4.y); // lvl - } - beg_date = tmp4.y; end_date = tmp4.z; - - sh_mem4[ TH_ID ] = tmp4; - barrier(CLK_LOCAL_MEM_FENCE); - segm_reduce_plusminmax( sh_mem4, flags ); // ToDo 2 - - int last_ind = TH_ID - getIotaInd( shape_meta ); - if(!iddle) last_ind += n_schedi - 1; - tmp4 = sh_mem4[last_ind]; // the reduction result! - barrier(CLK_LOCAL_MEM_FENCE); - - strike = ( zc(tmp4.y) - zc(tmp4.z) ) / tmp4.x; - if( flags[TH_ID] && (!iddle) ) { - // if thread is the start of a segment - // write new_quote to global memory! - int ttt = getSwapGlbInd(shape_meta); - tmp4.y = 0.5 * SwaptionQuotes[ (ttt<<2) + 3 ] * tmat0; - // was get_group_id(1) - new_quote_price[ get_global_id(1)*Nswap + ttt ] = - tmp4.x * strike * ( uGaussian_P(tmp4.y) - uGaussian_P(-tmp4.y) ); - } - } // END BLACK PRICE. - - { // PRICER OF SWAPTION COMPUTATION - - REAL y0, y1, eps, eps_contrib, mux, t4, t1_cs_first; - { - REAL a, b, rho, nu, sigma; - { - uint tmp_ind = get_global_id(1) + Npop; - uint Npop2 = (Npop << 1); - a = genomes[ tmp_ind ]; tmp_ind += Npop2; - b = genomes[ tmp_ind ]; tmp_ind += Npop2; - rho = genomes[ tmp_ind ]; tmp_ind += Npop2; - nu = genomes[ tmp_ind ]; tmp_ind += Npop2; - sigma = genomes[ tmp_ind ]; tmp_ind += Npop2; - } -// - { - REAL v0_mat, v0_end, vt_end, baii, bbii, tmp; - tmp4 = bigv( a, b, rho, nu, sigma, tmat0 ); - v0_mat = tmp4.x; -// - tmp = date_act_365(end_date, TODAY); - tmp4 = bigv( a, b, rho, nu, sigma, tmp ); - v0_end = tmp4.x; -// - tmp = date_act_365(end_date, maturity); - tmp4 = bigv( a, b, rho, nu, sigma, tmp ); - vt_end = tmp4.x; - //baii = tmp4.y; - //bbii = tmp4.z; - tmp4.w = 0.5 * ( vt_end - v0_end + v0_mat ); // expo_aici - tmp4.x = date_act_365( end_date, beg_date ) * strike; // res - } -// - { - //bool is_first = ((__local uchar*)shape_meta)[TH_ID] && (!iddle); - bool is_first = (!iddle) && ( (TH_ID == get_local_size(0)-1) || (((__local uchar*)shape_meta)[TH_ID+1]==1) ); // actually is_last! - REAL muy, rhoxy, sigmax, sigmay, rhoxyc, rhoxycs, zc_mat, tmp1, tmp2; - uint gind = get_global_id(1)*Nswap + getSwapGlbInd(shape_meta), offset = Npop*Nswap; // was get_group_id(1) -// - mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); - if(is_first) interm_scalars[ gind ] = mux; gind += offset; -// - muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); - if(is_first) interm_scalars[ gind ] = muy; gind += offset; -// - tmp1 = sqrt( b_fun(2.0*a, tmat0) ); // sqrt_bfun_a - sigmax = sigma * tmp1; - if(is_first) interm_scalars[ gind ] = sqrt(2.0) * sigmax; gind += offset; -// - tmp2 = sqrt( b_fun(2.0*b, tmat0) ); // sqrt_bfun_b - sigmay = nu * tmp2; - rhoxy = rho * b_fun(a+b, tmat0) / (tmp1 * tmp2); - t4 = (rhoxy * sigmay) / sigmax; -// - rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel - rhoxycs = sqrt( rhoxyc ); // used in reduction kernel - if(is_first) interm_scalars[ gind ] = rhoxy / (sigmax*rhoxycs); gind += offset; - if(is_first) interm_scalars[ gind ] = sigmay * rhoxycs; gind += offset; -// - zc_mat = zc(maturity); - if(is_first) tmp4.x += 1.0; //cii - tmp4.x *= zc(end_date) / zc_mat; // fact_aici - if(is_first) interm_scalars[ gind ] = zc_mat; gind += offset; -// - t1_cs_first = tmp4.z * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*tmp4.z) ); - eps = 0.5 * sigmax; - eps_contrib = sigmay * (rhoxy * eps / sigmax); - y0 = sigmay * KKK * rhoxycs; - y1 = muy - y0; - y0 += muy - ( rhoxyc / b ); - } - } - - { - { // save to global arrays, ci, t1_cs, scale, bbi, and - // store (aici, baii, bbii, log_aici) in tmp4! - uint gind = get_global_id(1) * Nshp + get_global_id(0), offset = Nshp * Npop; - REAL fact_aici = tmp4.x; - - if( !iddle ) glb_arrs[gind] = fact_aici; gind += offset; // ci [i] - if( !iddle ) glb_arrs[gind] = t1_cs_first + tmp4.w; gind += offset; // t1_cs[i] - if( !iddle ) glb_arrs[gind] = - ( tmp4.y + tmp4.z * t4 ); gind += offset; // scale[i] - if( !iddle ) glb_arrs[gind] = tmp4.z; // bbi [i] - - tmp4.x *= exp(tmp4.w); // aici - tmp4.w += log(fact_aici); // log_aici - - sh_mem4[ TH_ID ] = tmp4; - barrier(CLK_LOCAL_MEM_FENCE); - } - - { // finally call `exactYhat', and store `f' and `df' to global memory. - REAL f, g, h, df; - uint gind = getSwapGlbInd(shape_meta); - __local uchar* flags = (__local uchar*)shape_meta; - //uint n_schedi = (iddle) ? 1 : (uint)(12.0 * SwaptionQuotes[ (gind<<2) + 2 ] / swap_freq); - - f = exactYhat( iddle, flags, n_schedi, y0, y1, sh_mem4, mux ); - - if( flags[TH_ID] && (!iddle) ) { // start of segment - uint offset = Npop*Nswap; - gind += get_global_id(1)*Nswap + 6*offset; // was get_group_id(1) - interm_scalars[ gind ] = f; - gind += offset; - } - - y0 += eps_contrib; - y1 += eps_contrib; - mux+= eps; - g = exactYhat( iddle, flags, n_schedi, y0, y1, sh_mem4, mux ); - - y0 -= 2.0*eps_contrib; - y1 -= 2.0*eps_contrib; - mux-= 2.0*eps; - h = exactYhat( iddle, flags, n_schedi, y0, y1, sh_mem4, mux ); - - if( flags[TH_ID] && (!iddle) ) { // start of segment - interm_scalars[ gind ] = 0.5 * ( g - h ) / eps; // i.e., df - } - } - } - } -} - -/********************************************************/ -/*************** Main Reduction kernel 1 ****************/ -/********************************************************/ -/** - * Two-dimensional kernel: - * 1. the outermost dimension is POP_SIZE, - * 2. the middle dimension is Gauss_DIM - * 2. the inner dimension is Nshp, i.e., an approximation - * (with idde threads) of the flattened parallelism - * of the loop of count `NUM_SWAP_QUOTES'. - */ - -__kernel __attribute__((reqd_work_group_size(LWG_EG, 1, 1))) -void eval_genome_red1 ( - __global short *glb_shape, - __constant REAL *gauss_coefs, // [Gauss_DIM] - __constant REAL *gauss_weights, // [Gauss_DIM] - - __global REAL *glb_arrs, // ci ++ t1_cs ++ scale ++ bbi - __global REAL *interm_scalars, // [POP_SIZE * NUM_SWAP_QUOTES * 8] - // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, - // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } - - __global REAL *accum0, // [ POP_SIZE * NUM_SWAP_QUOTES * Gauss_DIM ] - - uint Nswap, - uint Nshp -) { - __local short shape_meta [ LWG_EG << 2 ]; - __local REAL sh_mem [ LWG_EG ]; - - bool iddle; - { - iddle = fillShapeMeta( glb_shape, shape_meta, Nshp ); - } - - REAL x_quad = gauss_coefs [get_global_id(1)]; - - REAL sigmay_rhoxycs, x, h1; - if(!iddle){ - REAL mux, muy, sqrt2sigmax, t2, f, df, yhat_x; // Npop == POP_SIZE = get_global_size(2) - uint gind = get_global_id(2) * Nswap + getSwapGlbInd(shape_meta), offset = get_global_size(2) * Nswap; - - mux = interm_scalars[ gind ]; gind += offset; - muy = interm_scalars[ gind ]; gind += offset; - - // x = sqrt2sigmax * x_quad + mux; - sqrt2sigmax = interm_scalars[ gind ]; gind += offset; // - x = sqrt2sigmax * x_quad + mux; - - t2 = interm_scalars[ gind ]; gind += offset; - - sigmay_rhoxycs = interm_scalars[ gind ]; gind += offset + offset; - f = interm_scalars[ gind ]; gind += offset; - df = interm_scalars[ gind ]; - - yhat_x = f + df*(x - mux); - h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); - } - - if(!iddle){ - uint gind = get_global_id(2) * Nshp + get_global_id(0), offset = Nshp * get_global_size(2); - gind += 3 * offset; - REAL bbi = glb_arrs[gind]; gind -= offset; - REAL h2 = h1 + bbi * sigmay_rhoxycs; - - REAL scale = glb_arrs[gind]; gind -= offset; - REAL t1_cs = glb_arrs[gind]; gind -= offset; - REAL expo_aici = t1_cs + scale*x; - - REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); - - x = glb_arrs[gind] * expo_part; - } - - { // segmented reduce with operator plus the x's - - __local uchar* flags = (__local uchar*) shape_meta; - bool is_last = (!iddle) && ( (TH_ID == get_local_size(0)-1) || ( flags[TH_ID+1] == 1) ); - - sh_mem[TH_ID] = (iddle) ? 0.0 : x; - barrier(CLK_LOCAL_MEM_FENCE); - - segm_reduce_plus( sh_mem, flags ); - - if( is_last ) { - REAL accum = sh_mem[TH_ID]; - REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; - tmp = exp( - 0.5 * tmp * tmp ); - - REAL w_quad = gauss_weights[get_global_id(1)]; - - REAL res = w_quad * tmp * ( uGaussian_P(-h1) - accum ); - - //uint GaussDIM = get_global_size(1); -#if 0 - uint gind = get_global_id(2) * get_global_size(1) * Nswap + - getSwapGlbInd(shape_meta) * get_global_size(1) + get_global_id(1) ; - accum0[gind] = res; -#else - // accum0 is put it in transposed form, i.e., - // accum0[ j * Nswap + ttt ] and is used in - // this way by the next kernel - uint gind = get_global_id(2) * get_global_size(1) * Nswap + - get_global_id(1) * Nswap + getSwapGlbInd(shape_meta); - accum0[gind] = res; -#endif - } - } -} - - - -/********************************************************/ -/*************** Main Reduction kernel 2 ****************/ -/********************************************************/ -inline REAL cauchy_pdf( REAL z, REAL mu, REAL gamma ) { - REAL x = (z-mu) / gamma; - return 1.0 / ( PI * gamma * (1.0+x*x) ); -} -inline REAL logLikelihood_cauchy( REAL y_ref, REAL y ) { - REAL LLHOOD_CAUCHY_OFFS = 5.0; - REAL gamma = ( fabs(y_ref) / 50.0 ) * LLHOOD_CAUCHY_OFFS + 0.01; - REAL pdfs = cauchy_pdf( y, y_ref, gamma ); - pdfs += 1.0e-20; // avoid NaNs - return log(pdfs); -} - -/** - * Two-dimensional kernel: - * 1. the outermost global dimension is POP_SIZE, - * 2. the innermost global dimension is equal to the local - * dimension, i.e., LWG_EG, which is an overapproximation - * of NUM_SWAP_QUOTES. - * Each local groups process exactly NUM_SWAP_QUOTES elements, - * and the rest of the htreads are iddle. - * This is taking a shortcut to implement reduce in a regular fashion. - */ - -__kernel __attribute__((reqd_work_group_size(LWG_EG, 1, 1))) -void eval_genome_red2 ( - __global REAL *genomes, - __global REAL *interm_scalars, // [POP_SIZE * NUM_SWAP_QUOTES * 8] - // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, - // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } - __global REAL *accum0, // [ POP_SIZE * NUM_SWAP_QUOTES * Gauss_DIM ] - __global REAL *new_quote_price, // [POP_SIZE * NUM_SWAP_QUOTES * 2] - - uint Nswap, - uint GaussDIM -) { - __local REAL sh_mem [ LWG_EG ]; - - bool iddle = ( TH_ID >= Nswap ); - - REAL lik = 0.0; - if (!iddle) { - REAL accum = 0.0; - uint gid = get_global_id(1) * GaussDIM * Nswap + get_global_id(0); - for( uint j = 0; j < GaussDIM; j++, gid += Nswap ) { - accum += accum0[ gid ]; - } - - gid = get_global_id(1) * Nswap + TH_ID; - REAL zc_mat = interm_scalars[ gid + (5 * get_global_size(1) * Nswap) ]; - - REAL nprice = zc_mat * ( accum / sqrt( PI ) ); - new_quote_price[ gid + get_global_size(1)*Nswap ] = nprice; - - lik = logLikelihood_cauchy( new_quote_price[gid], nprice ); - } - - sh_mem[ TH_ID ] = lik; - barrier(CLK_LOCAL_MEM_FENCE); - - REAL rms = reduce_reg_plus( sh_mem ); - - if(TH_ID == 0) genomes[ 11*get_global_size(1) + get_global_id(1) ] = rms; -} - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Date.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Date.cl deleted file mode 100644 index 680f5bf..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Date.cl +++ /dev/null @@ -1,147 +0,0 @@ -////////////////////////////////////////////////////// -//// Date: Gregorian calendar -////////////////////////////////////////////////////// -#ifndef GREG_CALEND -#define GREG_CALEND - -#define MINUTES_IN_DAY 1440 // hours_in_day * 60; -#define MINUTES_TO_NOON 720 // (hours_in_day / 2) * 60; - -typedef struct DDD{ - int year; - int month; - int day; - int hour; - int min; -} Date; - -Date mkDate(int y, int mo, int d, int h, int mn) { - Date date; - date.year = y; - date.month = mo; - date.day = d; - date.hour = h; - date.min = mn; - return date; -} - -inline -int MOD(int x, int y) { - return ( x - (x/y)*y ); -} - -inline -int date_of_gregorian( Date date ) { - int ym; - if(date.month == 1 || date.month == 2) { - ym = ( 1461 * ( date.year + 4800 - 1 ) ) / 4 + - ( 367 * ( date.month + 10 ) ) / 12 - - ( 3 * ( ( date.year + 4900 - 1 ) / 100 ) ) / 4; - } else { - ym = ( 1461 * ( date.year + 4800 ) ) / 4 + - ( 367 * ( date.month - 2 ) ) / 12 - - ( 3 * ( ( date.year + 4900 ) / 100 ) ) / 4; - } - - int tmp = ym + date.day - 32075 - 2444238; - - return tmp * MINUTES_IN_DAY + date.hour * 60 + date.min; -} - -inline -Date gregorian_of_date ( int minutes_since_epoch ) { - int jul, l, n, i, j, d, m, y, daytime; - - jul = minutes_since_epoch / MINUTES_IN_DAY; - l = jul + 68569 + 2444238; - n = ( 4 * l ) / 146097; - l = l - ( 146097 * n + 3 ) / 4; - i = ( 4000 * ( l + 1 ) ) / 1461001; - - l = l - ( 1461 * i ) / 4 + 31; - j = ( 80 * l ) / 2447; - d = l - ( 2447 * j ) / 80; - l = j / 11; - - m = j + 2 - ( 12 * l ); - y = 100 * ( n - 49 ) + i + l; - - daytime = MOD( minutes_since_epoch, MINUTES_IN_DAY ); - -// if ( daytime == MINUTES_TO_NOON ) return Date(y,m,d,12,0); -// else return Date(y,m,d, daytime / 60, MOD(daytime, 60)); - - return mkDate(y,m,d, daytime / 60, MOD(daytime, 60)); -} - -inline -bool check_date(int year, int month, int day) { - bool tmp1, tmp2, tmp3; - - tmp1 = ( 1 <= day && 1 <= month && month <= 12 && 1980 <= year && year <= 2299 ); - tmp2 = ( day <= 28 ); - - if ( month == 2 ) { - tmp3 = ( day == 29 && MOD(year, 4) == 0 && ( year == 2000 || (not (MOD(year, 100) == 0)) ) ); - } else if ( month == 4 || month == 6 || month == 9 || month == 11 ) { - tmp3 = ( day <= 30 ); - } else { - tmp3 = ( day <= 31 ); - } - - return tmp1 && (tmp2 || tmp3); -} - -inline -REAL days_between(REAL t1, REAL t2) { - return ( (t1 - t2) / MINUTES_IN_DAY ); -} - -inline -REAL date_act_365(REAL t1, REAL t2) { - return ( days_between(t1, t2) / 365.0 ); -} - -inline -bool leap(int y) { - return ( MOD(y,4) == 0 && ( ( MOD(y,100)!=0 ) || (MOD(y,400)==0) ) ); -} - -inline -int end_of_month( int year, int month ) { - bool leap_year = leap(year); - if ( month == 2 && leap_year ) return 29; - else if ( month == 2 ) return 28; - else if ( month == 4 || month == 6 || month == 9 || month == 11 ) return 30; - else return 31; -} - -inline -REAL add_months ( REAL time, REAL rnbmonths ) { - int nbmonths = convert_int(rnbmonths); //(int) rnbmonths; - Date date = gregorian_of_date( convert_int( time ) ); - - date.month += nbmonths; - date.year += (date.month-1) / 12; - date.month = MOD( date.month-1, 12 ) + 1; - - if ( date.month <= 0 ) { date.year -= 1; date.month += 12; } - - { // date.day = min( date.day, end_of_month(date.year, date.month) ); - int tmp = end_of_month(date.year, date.month); - if(date.day > tmp) date.day = tmp; - } - - date.hour = 12; - date.min = 0; - - return (REAL) ( date_of_gregorian( date ) ); -} - -inline -REAL add_years( REAL date, REAL nbyears ) { - return add_months( date, nbyears * 12.0 ); -} - -#endif // ifndef GREG_CALEND - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/ExactYhat.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/ExactYhat.cl deleted file mode 100644 index d66d7dd..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/ExactYhat.cl +++ /dev/null @@ -1,314 +0,0 @@ -// reduction with + -REAL to_solve( bool iddle, - uint n_schedi, - __local uchar* flags, - __local REAL * sh_mem, - - REAL scale, - REAL bbi, - REAL yhat -) { - REAL accum; - sh_mem[TH_ID] = (iddle) ? 0.0 : scale * exp( - bbi * yhat ); - barrier(CLK_LOCAL_MEM_FENCE); - - segm_reduce_plus( sh_mem, flags ); // ToDo 2 - - int last_ind = TH_ID - getIotaInd( (__local short*)flags ); - if(!iddle) last_ind += n_schedi - 1; - - accum = sh_mem[last_ind]; - barrier(CLK_LOCAL_MEM_FENCE); - - return accum - 1.0; -} - - -/** - * root finding by Brent's method. - */ -//REAL2 tmp2 = rootFinding_Brent(iddle, shape, sh_mem4, scales, uplo.y, uplo.x, 1.0e-4, 1000); -//rootFinding_Brent(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); -inline -REAL2 rootFinding_Brent( bool iddle, - uint n_schedi, - __local uchar* flags, - __local REAL * sh_mem, - REAL bbi, //sh_mem4[TH_ID].z; - REAL scale, - REAL a, //lb, - REAL b, //ub, - REAL tol, - uint iter_max - // (root, fb) : (REAL, REAL) -) { - REAL2 res; - - REAL fa = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, a); - REAL fb = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, b); - - if( (!iddle) && fa*fb >= 0.0 ) { - res.x = 0.0; - res.y = ( a >= 0.0 ) ? INFTY : -INFTY; - iddle = true; - } - - if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } - - REAL c = a, fc = fa; - bool mflag = true; - REAL d = 0.0; - - uchar ok = 0; int i = 0; - do { - { // reduce with && global termination - ok = ( fb == 0.0 || fabs(b-a) < tol || i >= iter_max ); - - if( ok ) { - if( !iddle ) { - res.x = b; - res.y = fb; - } - iddle = true; - } - - flags[TH_ID+get_local_size(0)] = iddle; - barrier(CLK_LOCAL_MEM_FENCE); - ok = reduce_reg_and( flags + get_local_size(0) ); - //barrier(CLK_LOCAL_MEM_FENCE); - } - i ++; - - // the loop's body - if( !ok ) { - REAL s; - if( !iddle ) { - if( fa == fc || fb == fc ) { - s = b - fb * (b - a) / (fb - fa); - } else { - REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); - REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); - REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); - s = s1 + s2 + s3; - } - - bool big_cond = - ( (3.0 * a + b) /4.0 > s || s > b) || - ( mflag && fabs(b-c)/2.0 <= fabs(s-b) ) || - ( !mflag && fabs(c-d)/2.0 <= fabs(s-b) ) || - ( mflag && fabs(b-c) <= fabs(tol) ) || - ( !mflag && fabs(c-d) <= fabs(tol) ) ; - - if ( big_cond ) { - mflag = true; - s = (a + b) / 2.0; - } else { - mflag = false; - } - } - REAL fs = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, s); - - if( !iddle ) { - // d is assigned for the first time here: - // it's not used above because mflag is set - d = c; - c = b; fc = fb; - - if( fa*fs < 0.0 ) { b = s; fb = fs; } - else { a = s; fa = fs; } - - if( fabs(fa) < fabs(fb) ) { - REAL tmp; - tmp = a; a = b; b = tmp; - tmp = fa; fa = fb; fb = tmp; - } - } - } - } while (!ok); - - return res; -} - - -/*********************************************/ -/*********************************************/ - -inline -REAL2 rootBisection( bool iddle, - uint n_schedi, - __local uchar* flags, - __local REAL * sh_mem, - REAL bbi, //sh_mem4[TH_ID].z; - REAL scale, - REAL a, //lb, - REAL b, //ub, - REAL tol, - uint iter_max - // (root, fb) : (REAL, REAL) -) { - REAL2 res; - - REAL fa = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, a); - REAL fb = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, b); - - if( (!iddle) && fa*fb >= 0.0 ) { - res.x = 0.0; - res.y = ( a >= 0.0 ) ? INFTY : -INFTY; - iddle = true; - } - - REAL x = b, fx = fb; - - uchar ok = 0; int i = 0; - do { - { // reduce with && global termination - ok = ( fx == 0.0 || fabs(b-a) < tol || i >= iter_max ); - - if( ok ) { - if( !iddle ) { - res.x = x; - res.y = fx; - } - iddle = true; - } - - flags[TH_ID+get_local_size(0)] = iddle; - barrier(CLK_LOCAL_MEM_FENCE); - ok = reduce_reg_and( flags + get_local_size(0) ); - //barrier(CLK_LOCAL_MEM_FENCE); - } - i ++; - - // the loop's body - if( !ok ) { - REAL s; - - x=(a+b)/2.0; - - REAL fx = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, x); - - if( !iddle ) { - if ( fa*fx > 0.0 ) { a = x; fa = fx; } - else { b = x; } - } - } - } while (!ok); - - return res; -} - - -/********************************************/ -/********************************************/ - - -/** - * Computes Yhat - */ -REAL exactYhat( bool iddle, - __local uchar* flags, - uint n_schedi, - REAL y0, - REAL y1, - __local REAL4* sh_mem4, - REAL x -) { - REAL res = 0.0, scales; - REAL2 uplo; - - { // the first reduction (+,max) - bool is_last; short lind; - __local REAL2* sh_mem2 = (__local REAL2*) (sh_mem4 + LWG_EG); - - if( iddle ) { - uplo = (REAL2) ( 0.0, -INFTY ); - } else { - REAL4 tmp4 = sh_mem4[ TH_ID ]; - REAL baix = tmp4.y * x; - - uplo.x = tmp4.x * exp( -baix ); - uplo.y = ( tmp4.w - baix ) / tmp4.z; - } - scales = uplo.x; - - barrier(CLK_LOCAL_MEM_FENCE); - sh_mem2[ TH_ID ] = uplo; - barrier(CLK_LOCAL_MEM_FENCE); - - segm_reduce_plusmax( sh_mem2, flags ); // ToDo: Fix this please! - - int last_ind = TH_ID - getIotaInd( (__local short*) flags ); - if(!iddle) last_ind += n_schedi - 1; - uplo = sh_mem2[last_ind]; // the reduction result! - barrier(CLK_LOCAL_MEM_FENCE); - } - -// CHECKING uplo - - if ( n_schedi == 1 ) { - res = uplo.y; - iddle = true; - } - - if(!iddle) { // adjust `up' - int lfind = TH_ID - getIotaInd( (__local short*)flags ) + n_schedi - 1; - REAL log_s = log(uplo.x); - REAL tmp = log_s / sh_mem4[ lfind ].z; //bbi[n_schedi-1]; - lfind += 1 - n_schedi; - - if ( tmp <= 0.0 ) { - uplo.x = tmp; - } else { - tmp = log_s / sh_mem4[lfind].z; // bbi[0]; - if ( 0.0 <= tmp ) uplo.x = tmp; - else uplo.x = - INFTY; - } - } - -// const REAL yl = lo - EPS; -// const REAL yu = up + EPS; - if ( (!iddle) && (y1 <= uplo.y - EPS) ) { - // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS - - res = y1 + 1.0; - iddle = true; - } else if ( (!iddle) && (uplo.x + EPS <= y0) ) { - // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) - - res = y0 - 1.0; - iddle = true; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - { - uplo.x = minR( uplo.x + EPS, y1 ); - uplo.y = maxR( uplo.y - EPS, y0 ); - // tmp2 = (root, error); //UINT iter; - -#if 1 - REAL2 tmp2 = rootFinding_Brent( - iddle, n_schedi, flags, (__local REAL*) (sh_mem4+LWG_EG), - sh_mem4[TH_ID].z, scales, uplo.y, uplo.x, 1.0e-4, 1000 - ); -#else - - REAL2 tmp2 = rootBisection( - iddle, n_schedi, flags, (__local REAL*) (sh_mem4+LWG_EG), - sh_mem4[TH_ID].z, scales, uplo.y, uplo.x, 1.0e-4, 1000 - ); - - -#endif - - if( !iddle ) { - res = ( tmp2.y == -INFTY ) ? - y0 - 1.0 : - ( tmp2.y == INFTY ) ? y1 + 1.0 : tmp2.x; - } - } - - return res; -} - - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/G2ppUtil.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/G2ppUtil.cl deleted file mode 100644 index b3544d8..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/G2ppUtil.cl +++ /dev/null @@ -1,231 +0,0 @@ -//////////////////////////////////////////////////////////////////// -///// Trivial (w.r.t. parallelism) Helper Functions for G2PP -//////////////////////////////////////////////////////////////////// - -#ifndef G2PP_UTIL -#define G2PP_UTIL - -//////////////////////////////////// -/// MATH RELATED -//////////////////////////////////// - -//------------------------------------------------------------------------- -// polynomial expansion of the erf() function, with error<=1.5e-7 -// formula 7.1.26 (page 300), Handbook of Mathematical Functions, Abramowitz and Stegun -// http://people.math.sfu.ca/~cbm/aands/frameindex.htm - -inline -REAL erff1( REAL x ) { - REAL poly = 0.0, t, t2; - - t = 1.0 / (1.0 + 0.3275911*x); - poly += 0.254829592 * t; - - t2 = t * t; - poly += (-0.284496736) * t2; - poly += 1.421413741 * t * t2; - - t2 = t2 * t2; - poly += (-1.453152027) * t2; - poly += 1.061405429 * t * t2; - - return ( 1.0 - poly * exp(-(x*x)) ); - -// REAL p = 0.3275911; -// REAL a1 = 0.254829592, a2 = -0.284496736, a3 = 1.421413741, a4 = -1.453152027, a5 = 1.061405429; -// -// REAL t = 1.0/(1.0+p*x); -// REAL t2 = t * t; -// REAL t3 = t * t2; -// REAL t4 = t2 * t2; -// REAL t5 = t2 * t3; -// return ( 1.0 - (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5) * exp(-(x*x)) ); - -} - -//------------------------------------------------------------------------- -// Cumulative Distribution Function for a standard normal distribution - -inline -REAL uGaussian_P( REAL x ) { - REAL u = x / sqrt(2.0); - REAL e = ( u < 0.0 ) ? -erff1(-u) : erff1(u); - - return ( 0.5 * (1.0 + e) ); -} - -inline -REAL erff_poly_only( REAL x ) { - REAL poly = 0.0, t, t2; - - t = 1.0 / (1.0 + 0.3275911*x); - poly += 0.254829592 * t; - - t2 = t * t; - poly += (-0.284496736) * t2; - poly += 1.421413741 * t * t2; - - t2 = t2 * t2; - poly += (-1.453152027) * t2; - poly += 1.061405429 * t * t2; - - return poly; -} - -inline -REAL uGaussian_P_withExpFactor( REAL x, REAL exp_factor ) { - REAL u = fabs( x / sqrt(2.0) ); - REAL e = erff_poly_only(u); - - REAL res = 0.5 * e * exp(exp_factor-u*u); - - if( x >= 0.0 ) { - res = exp(exp_factor) - res; - } - - return res; -} - -///////////////////////// -//// G2PP Utilities -///////////////////////// - -inline -REAL zc( REAL t ) { - return exp( - R * date_act_365( t, TODAY ) ); -} - -inline -REAL b_fun( REAL z0, REAL tau ) { - return ( 1.0 - exp(-z0*tau) ) / z0; -} - -inline -REAL t_fun( REAL sigma, REAL x0, REAL tau ) { - REAL expxtau = exp( -x0*tau ) ; - REAL exp2xtau = expxtau*expxtau; - - return sigma*sigma/(x0*x0) * ( tau + 2.0/x0*expxtau-1.0/(2.0*x0)*exp2xtau-3.0/(2.0*x0) ); -} - - -/////////////////////////////////////////////////////////////////// -// the first parameter `genome' is the five-genes genome used in -// the genetic algorithms that models the interest rate -// the second parameter is the time -// the result is V in Brigo and Mercurio's book page 148. -// \var(\int_t^T [x(u)+y(u)]du) -/////////////////////////////////////////////////////////////////// -//res = (v, bai, bbi, _) -inline -REAL4 bigv( REAL g_a, - REAL g_b, - REAL g_rho, - REAL g_nu, - REAL g_sig, - REAL tau -) { - REAL4 res4; - - res4.w = g_sig; //(g_sig == 0.0) ? 1.0e-10 : g_sig; // g_sigma - res4.y = b_fun(g_a, tau); - res4.z = b_fun(g_b, tau); - res4.x = t_fun(res4.w, g_a,tau); - res4.x+= t_fun(g_nu, g_b,tau); - res4.x+= 2.0 * g_rho * g_nu * res4.w / (g_a * g_b) * - ( tau - res4.y - res4.z + b_fun(g_a+g_b, tau) ); - - return res4; -} - - -/////////////////////////////////////////////////////////////////// -// the first parameter `genome' is the five-genes genome used in -// the genetic algorithms that models the interest rate -// the other parameter are times: today, maturity, and the -// lower and upper bound of the considered time interval -// -// the result is: x drift term in tmat-forward measure -/////////////////////////////////////////////////////////////////// -inline -REAL bigmx( REAL a, - REAL b, - REAL rho, - REAL nu, - REAL sigma, // ends genome - REAL today, - REAL tmat, - REAL s, - REAL t -) { - REAL ts = date_act_365(t, s) ; - REAL tmatt = date_act_365(tmat, t) ; - - REAL tmat0 = date_act_365(tmat, today); - REAL tmats = date_act_365(tmat, s) ; - REAL t0 = date_act_365(t, today); - REAL s0 = date_act_365(s, today); - - REAL tmp, res = 0.0; - - tmp = (sigma*sigma)/(a*a)+(sigma*rho*nu)/(a*b); - tmp *= ( 1.0 - exp(- a * ts) ); - res += tmp; - - tmp = sigma * sigma / (2.0 * a * a); - tmp *= exp(- a * tmatt) - exp(- a * (tmats + ts)); - res -= tmp; - - tmp = rho * sigma * nu / (b * (a + b)); - tmp *= exp(-b * tmatt) - exp(-b*tmat0 - a*t0 + (a+b)*s0); - res -= tmp; - - return res; -} - - -/////////////////////////////////////////////////////////////////// -// the first parameter `genome' is the five-genes genome used in -// the genetic algorithms that models the interest rate -// the other parameter are times: today, maturity, and the -// lower and upper bound of the considered time interval -// -// the result is: y drift term in tmat-forward measure -/////////////////////////////////////////////////////////////////// -inline -REAL bigmy( REAL a, - REAL b, - REAL rho, - REAL nu, - REAL sigma, // ends genome - REAL today, - REAL tmat, - REAL s, - REAL t -) { - REAL ts = date_act_365(t, s ); - REAL tmatt = date_act_365(tmat, t ); - REAL tmat0 = date_act_365(tmat, today); - REAL tmats = date_act_365(tmat, s ); - REAL t0 = date_act_365(t, today); - REAL s0 = date_act_365(s, today); - - REAL tmp, res = 0.0; - - tmp = nu*nu/(b*b)+sigma*rho*nu/(a*b); - tmp *= 1.0 - exp(-b * ts); - res += tmp; - - tmp = nu * nu / (2.0 * b * b); - tmp *= exp(-b * tmatt) - exp(-b * (tmats + ts)); - res -= tmp; - - tmp = sigma * rho * nu / (a * (a + b)); - tmp *= exp(-a * tmatt) - exp(-a*tmat0 - b*t0 + (a+b)*s0); - res -= tmp; - - return res; -} - -#endif // ifndef G2PP_UTIL - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/GenAlg.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/GenAlg.cl deleted file mode 100644 index 381a92e..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/GenAlg.cl +++ /dev/null @@ -1,313 +0,0 @@ -// Various Kinds of Regular and Segmented Reduction -#ifndef GEN_ALG_KERNELS -#define GEN_ALG_KERNELS - -REAL getSobolNum( uint n, __constant int* SOBOL_DIR_VCT ) { - int n_gray = (n >> 1) ^ n; - int res = 0; - for( int i=0; i < SOBOL_BITS_NUM; i++ ) { - int t = (1 << i); - bool cond = ( (n_gray & t) == t ); - if ( cond ) { - res = res ^ SOBOL_DIR_VCT[i]; - } - } - REAL rres = ((REAL)res) / ( (1< 0.0 ) ? (backward_range / forward_range) : 1.0; - - // assign p' - REAL diff = amplitude * r01 - semiamplitude; - return (REAL2) (gene + diff, bf_fact); -} - -inline -REAL constrain_gene( REAL gene, REAL lb, REAL ub ) { - return maxR( lb, minR( ub, gene ) ); -} - -/*******************************************/ -/********** MUTATE DIMs KERNEL ***********/ -/*******************************************/ - -/** - * One-Dimensional Kernel: - * Dimension is POP_SIZE (LWG = GWG) - */ -__kernel void -mutate_dims ( __global REAL* genomes, //[13, POP_SIZE] - __constant REAL* lub, //[2, 5]. i.e., [lower,upper] gene range - __constant int * SOBOL_DIR_VCT, //[SOBOL_BITS_NUM == 30] - uint sob_offset, - uint dim_j, - REAL amplitude_ratio, // = MOVES_UNIF_AMPL_RATIO - uint Npop // POP_SIZE -) { - uint gid = get_global_id(0); -#if (SOBOL_TRANSP == 1) - uint gidr = gid*5 + sob_offset; -#else - uint gidr = gid + sob_offset; -#endif - uint offset = ( Npop << 1 ); - REAL fb_rat = 1.0; - REAL2 tmp; - - if( gid < Npop ) { - gid += Npop; - for(int i=0; i < 5; i++) { - REAL lb = lub[i], ub = lub[i+5]; - REAL r01 = getSobolNum(gidr, SOBOL_DIR_VCT); - - REAL ampl = (dim_j > 4 || dim_j == i) ? amplitude_ratio : 0.0; - tmp = mutate_helper( genomes[gid-Npop], genomes[gid], - lb, ub, r01, ampl ); - - REAL val = constrain_gene(tmp.x, lb, ub); - genomes[gid] = val; //(i == 2 && val == 0.0) ? EPS0 : val; - - fb_rat *= tmp.y; - gid += offset; -#if (SOBOL_TRANSP == 1) - gidr += 1; -#else - gidr += Npop; -#endif - } - gid += Npop; - genomes[gid] = fb_rat; - } -} - - -/**********************************************/ -/************* Crossover MCMC_DE **************/ -/**********************************************/ - -inline REAL getRandUnifNorm(REAL r) { - return r; -} -//Returns a (pseudo) random integer in [0, ub) -inline uint getRandIntNorm(uint ub, REAL r01) { - return (uint) (r01 * ub); -} - -inline -REAL perturbation( REAL gene, - REAL gene_k, - REAL gene_l, - REAL r01, - REAL lb, - REAL ub, - REAL gamma1, - REAL amplitude_ratio //= MOVES_UNIF_AMPL_RATIO -) { - REAL amplitude = fabs( (ub - lb) * amplitude_ratio ); - REAL semiamplitude = amplitude / 2.0; - REAL perturb = ( amplitude * r01 - semiamplitude ); - return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); -} - -/** - * Crossover - * One-Dimensional of size POP_SIZE = LWG = GWG - */ -__kernel void -mcmc_DE( __global REAL *genomes, - __constant REAL *lub, // [2, 5]. i.e., [lower,upper] gene range - __constant int *SOBOL_DIR_VCT, // [SOBOL_BITS_NUM == 30] - uint sob_offset, - REAL gamma_avg, // 2.38 / sqrt(2.0*GENOME_DIM), - REAL ampl_ratio, // 0.1 * MOVES_UNIF_AMPL_RATIO - uint Npop -) { - REAL r01; - uint gid = get_global_id(0); - -#if (SOBOL_TRANSP == 1) - uint gidr = gid*8 + sob_offset; - uint rinc = 1; -#else - uint gidr = gid + sob_offset; - uint rinc = Npop; -#endif - - uint offset = ( Npop << 1 ); - - if( gid < Npop ) { - uint cand_UB = Npop - 1; - r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); gidr += rinc; - uint k = getRandIntNorm( cand_UB, r01 ); - if ( k == gid ) { - k = cand_UB; - cand_UB -= 1; - } - - r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); gidr += rinc; - uint l = getRandIntNorm( cand_UB, r01 ); - if ( l == gid || l == k ) { - l = cand_UB; - } - - // proposal - // gamma: integrated out from the adviced Multivariate Gaussian with Gaussian target (Braak, 2006) - // random.uniform: is it supposed to be Sobol or such ? Does C++ rand() works? - // gamma = N.random.uniform( gamma_avg-0.5, gamma_avg+0.5 ) - r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); gidr += rinc; - REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm( r01 ); - - for( int j = 0; j < 5; j ++ ) { - REAL lb = lub[j], ub = lub[j+5]; - - r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); - REAL val = perturbation ( genomes[gid], genomes[k], genomes[l], r01, lb, ub, gamma1, ampl_ratio ); - val = constrain_gene( val, lb, ub ); - - genomes[ gid + Npop ] = val; //( j == 2 && val == 0.0 ) ? EPS0 : val; - - gidr += rinc; - gid += offset; - k += offset; - l += offset; - } - - gid += offset; - genomes[gid] = 1.0; // TODO: fix - } -} - - -#endif // GEN_ALG_KERNELS - diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Reductions.cl b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Reductions.cl deleted file mode 100644 index 200c5ef..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SrcCL/Reductions.cl +++ /dev/null @@ -1,380 +0,0 @@ -// Various Kinds of Regular and Segmented Reduction -#ifndef REDUCTION_KERNELS -#define REDUCTION_KERNELS - -/*************************************************/ -/*** Regular Total Reduction With Operator AND ***/ -/*************************************************/ - -inline -uchar reduce_reg_and_warp( - __local volatile uchar* sh_data -) { - const uint th_id = get_local_id(0) & (WARP-1); - - if( th_id >= 1 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-1 ]; - if( th_id >= 2 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-2 ]; - if( th_id >= 4 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-4 ]; - if( th_id >= 8 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-8 ]; -#if (WARP == 32) - if( th_id >= 16) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-16]; -#endif - return sh_data[th_id]; -} - -inline -uchar reduce_reg_and ( __local volatile uchar* sh_data ) { - // perform scan at warp level - uchar res = reduce_reg_and_warp( sh_data + WARP_FST ); - barrier( CLK_LOCAL_MEM_FENCE ); - - // gather per-warp results in the first WARP elements - if ( TH_ID == WARP_LST ) { - sh_data[ WARP_ID ] = res; - } - barrier(CLK_LOCAL_MEM_FENCE); - - if( TH_ID < WARP ) { - reduce_reg_and_warp( sh_data ); - } - barrier(CLK_LOCAL_MEM_FENCE); -#if 0 - if( WARP_ID != 0 ) { - res = res && sh_data[ WARP_ID-1 ]; - } - barrier(CLK_LOCAL_MEM_FENCE); - - sh_data[TH_ID] = res; - - barrier(CLK_LOCAL_MEM_FENCE); - - res = sh_data[ get_local_size(0) - 1 ]; - barrier(CLK_LOCAL_MEM_FENCE); - return res; -#else - res = sh_data[ (get_local_size(0) >> lgWARP) - 1 ]; //sh_data[WARP-1]; - barrier(CLK_LOCAL_MEM_FENCE); - return res; -#endif -} - -/*************************************************/ -/*** Regular Total Reduction With Operator PLUS***/ -/*************************************************/ - -inline -REAL reduce_reg_plus_warp( - __local volatile REAL* sh_data -) { - const uint th_id = get_local_id(0) & (WARP-1); - - if( th_id >= 1 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-1 ]; - if( th_id >= 2 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-2 ]; - if( th_id >= 4 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-4 ]; - if( th_id >= 8 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-8 ]; -#if (WARP == 32) - if( th_id >= 16) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-16]; -#endif - return sh_data[th_id]; -} - -inline -REAL reduce_reg_plus ( __local volatile REAL* sh_data ) { - // perform scan at warp level - REAL res = reduce_reg_plus_warp( sh_data + WARP_FST ); - barrier( CLK_LOCAL_MEM_FENCE ); - - // gather per-warp results in the first WARP elements - if ( TH_ID == WARP_LST ) { - sh_data[ WARP_ID ] = res; - } - barrier(CLK_LOCAL_MEM_FENCE); - - if( TH_ID < WARP ) { - reduce_reg_plus_warp( sh_data ); - } - barrier(CLK_LOCAL_MEM_FENCE); - - if( WARP_ID != 0 ) { - res = res + sh_data[ WARP_ID-1 ]; - } - barrier(CLK_LOCAL_MEM_FENCE); - - sh_data[TH_ID] = res; - barrier(CLK_LOCAL_MEM_FENCE); - -// res = sh_data[ get_local_size(0) - 1 ]; -// barrier(CLK_LOCAL_MEM_FENCE); -// return res; - - return sh_data[ get_local_size(0) - 1 ]; -} - -/*************************************************/ -/*** Irregular, Segmented Reduction With Op. + ***/ -/*************************************************/ - -inline REAL segm_reduce_plus_warp( - __local volatile REAL* ptr, - __local volatile uchar* hd ) { - const uint th_id = TH_ID & (WARP-1); - - if( th_id >= 1 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-1] + ptr[th_id]; - hd [th_id] = hd[th_id - 1] | hd[th_id]; - } - if( th_id >= 2 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-2] + ptr[th_id]; - hd [th_id] = hd[th_id - 2] | hd[th_id]; - } - if( th_id >= 4 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-4] + ptr[th_id]; - hd [th_id] = hd[th_id - 4] | hd[th_id]; - } - if( th_id >= 8 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-8] + ptr[th_id]; - hd [th_id] = hd[th_id - 8] | hd[th_id]; - } -#if (WARP == 32) - if( th_id >= 16 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-16]+ ptr[th_id]; - hd [th_id] = hd[th_id - 16] | hd[th_id]; - } -#endif - return ptr[th_id]; -} - -inline void segm_reduce_plus( - __local volatile REAL *ptr, - __local volatile uchar *hd -) { - // 1a: record whether this warp begins - // with an ``open'' segment. - uchar th_flag = hd[ TH_ID ]; - bool warp_is_open = ( hd[WARP_FST] == 0 ); - barrier(CLK_LOCAL_MEM_FENCE); - - // 1b: intra-warp segmented scan for each warp - REAL val = segm_reduce_plus_warp( ptr + WARP_FST, hd + WARP_FST ); - - // 2a: the last value is the correct partial result - REAL warp_total = ptr[WARP_LST]; - - // 2b: warp_flag is the OR-reduction of the flags - // in a warp, and is computed indirectly from - // the mindex in hd[] - bool warp_flag = hd[WARP_LST]!=0 || !warp_is_open; - bool will_accum= warp_is_open && (hd[TH_ID] == 0); - - barrier(CLK_LOCAL_MEM_FENCE); - - // 2c: the last thread in a warp writes partial results - if( TH_ID == WARP_LST ) { - ptr[WARP_ID] = warp_total; - hd [WARP_ID] = warp_flag; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // 3: one warp scans the per-warp results - if( WARP_ID == 0 ) { - segm_reduce_plus_warp( ptr + WARP_FST, hd + WARP_FST ); - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // 4: accumulate results from step 3: - if ( WARP_ID != 0 && will_accum ) { - val = val + ptr[ WARP_ID-1 ]; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - ptr[TH_ID] = val; - hd [TH_ID] = th_flag; - - barrier(CLK_LOCAL_MEM_FENCE); -} - -/****************************************************/ -/*** Irregular, Segmented Reduce With Op. (+,max) ***/ -/****************************************************/ - -inline REAL2 OP_PLUS_MAX(REAL2 a, REAL2 b) { - return (REAL2) ( a.x + b.x, maxR(a.y, b.y) ); -} - -inline REAL2 segm_reduce_plusmax_warp( - __local volatile REAL2* ptr, - __local volatile uchar* hd ) { - const uint th_id = TH_ID & (WARP-1); - - if( th_id >= 1 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-1], ptr[th_id]); - hd [th_id] = hd[th_id - 1] | hd[th_id]; - } - if( th_id >= 2 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-2], ptr[th_id]); - hd [th_id] = hd[th_id - 2] | hd[th_id]; - } - if( th_id >= 4 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-4], ptr[th_id]); - hd [th_id] = hd[th_id - 4] | hd[th_id]; - } - if( th_id >= 8 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-8], ptr[th_id]); - hd [th_id] = hd[th_id - 8] | hd[th_id]; - } -#if (WARP == 32) - if( th_id >= 16 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-16], ptr[th_id]); - hd [th_id] = hd[th_id - 16] | hd[th_id]; - } -#endif - return ptr[th_id]; -} - -inline void segm_reduce_plusmax( - __local volatile REAL2 *ptr, - __local volatile uchar *hd -) { - // 1a: record whether this warp begins - // with an ``open'' segment. - uchar th_flag = hd[ TH_ID ]; - bool warp_is_open = ( hd[WARP_FST] == 0 ); - barrier(CLK_LOCAL_MEM_FENCE); - - // 1b: intra-warp segmented scan for each warp - REAL2 val = segm_reduce_plusmax_warp( ptr + WARP_FST, hd + WARP_FST ); - - // 2a: the last value is the correct partial result - REAL2 warp_total = ptr[WARP_LST]; - - // 2b: warp_flag is the OR-reduction of the flags - // in a warp, and is computed indirectly from - // the mindex in hd[] - bool warp_flag = hd[WARP_LST]!=0 || !warp_is_open; - bool will_accum= warp_is_open && (hd[TH_ID] == 0); - - barrier(CLK_LOCAL_MEM_FENCE); - - // 2c: the last thread in a warp writes partial results - if( TH_ID == WARP_LST ) { - ptr[WARP_ID] = warp_total; - hd [WARP_ID] = warp_flag; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // 3: one warp scans the per-warp results - if( WARP_ID == 0 ) { - segm_reduce_plusmax_warp( ptr + WARP_FST, hd + WARP_FST ); - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // 4: accumulate results from step 3: - if ( WARP_ID != 0 && will_accum ) { - val = OP_PLUS_MAX( val, ptr[ WARP_ID-1 ] ); - } - - barrier(CLK_LOCAL_MEM_FENCE); - - ptr[TH_ID] = val; - hd [TH_ID] = th_flag; - - barrier(CLK_LOCAL_MEM_FENCE); -} - - -/****************************************************/ -/*** Irregular, Segmented Reduce With Op. (+,max) ***/ -/****************************************************/ - -inline REAL4 OP_PLUS_MIN_MAX( REAL4 a, REAL4 b ) { - return ( REAL4 ) ( a.x + b.x, minR(a.y, b.y), maxR(a.z, b.z), 1.0 ); -} - -inline REAL4 segm_reduce_plusminmax_warp( - __local volatile REAL4* ptr, - __local volatile uchar* hd ) { - const uint th_id = TH_ID & (WARP-1); - - if( th_id >= 1 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-1], ptr[th_id]); - hd [th_id] = hd[th_id - 1] | hd[th_id]; - } - if( th_id >= 2 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-2], ptr[th_id]); - hd [th_id] = hd[th_id - 2] | hd[th_id]; - } - if( th_id >= 4 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-4], ptr[th_id]); - hd [th_id] = hd[th_id - 4] | hd[th_id]; - } - if( th_id >= 8 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-8], ptr[th_id]); - hd [th_id] = hd[th_id - 8] | hd[th_id]; - } -#if (WARP == 32) - if( th_id >= 16 ) { - ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-16], ptr[th_id]); - hd [th_id] = hd[th_id - 16] | hd[th_id]; - } -#endif - return ptr[th_id]; -} - -inline void segm_reduce_plusminmax( - __local volatile REAL4 *ptr, - __local volatile uchar *hd -) { - // 1a: record whether this warp begins - // with an ``open'' segment. - uchar th_flag = hd[ TH_ID ]; - bool warp_is_open = ( hd[WARP_FST] == 0 ); - barrier(CLK_LOCAL_MEM_FENCE); - - // 1b: intra-warp segmented scan for each warp - REAL4 val = segm_reduce_plusminmax_warp( ptr + WARP_FST, hd + WARP_FST ); - - // 2a: the last value is the correct partial result - REAL4 warp_total = ptr[WARP_LST]; - - // 2b: warp_flag is the OR-reduction of the flags - // in a warp, and is computed indirectly from - // the mindex in hd[] - bool warp_flag = hd[WARP_LST]!=0 || !warp_is_open; - bool will_accum= warp_is_open && (hd[TH_ID] == 0); - - barrier(CLK_LOCAL_MEM_FENCE); - - // 2c: the last thread in a warp writes partial results - if( TH_ID == WARP_LST ) { - ptr[WARP_ID] = warp_total; - hd [WARP_ID] = warp_flag; - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // 3: one warp scans the per-warp results - if( WARP_ID == 0 ) { - segm_reduce_plusminmax_warp( ptr + WARP_FST, hd + WARP_FST ); - } - - barrier(CLK_LOCAL_MEM_FENCE); - - // 4: accumulate results from step 3: - if ( WARP_ID != 0 && will_accum ) { - val = OP_PLUS_MIN_MAX( val, ptr[ WARP_ID-1 ] ); - } - - barrier(CLK_LOCAL_MEM_FENCE); - - ptr[TH_ID] = val; - hd [TH_ID] = th_flag; - - barrier(CLK_LOCAL_MEM_FENCE); -} - -#endif // REDUCTION_KERNELS diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_opencl_all/SwapCalib.cpp deleted file mode 100644 index 98ab15a..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/SwapCalib.cpp +++ /dev/null @@ -1,52 +0,0 @@ -/****************************************/ -/*** Translated to C++ & parallelized ***/ -/*** in OpenCL by Cosmin E. Oancea ***/ -/*** from an original OCaml code ***/ -/*** (sequential) by LexiFi ***/ -/*** and a sequential Python implem ***/ -/*** using a different genetic alg.***/ -/*** by Christian Andreetta ***/ -/****************************************/ - - -#include "Util.h" -#include "Constants.h" -#include "ParseInput.h" -#include "GenAlgFlat.h" - - -int main() -{ - REAL wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, - wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; - REAL* calib_arr = NULL; - - printf("\n// Running GPU-Parallel Swaption-Calibration Benchmark\n"); - - readDataSet( POP_SIZE, MCMC_LOOPS, - NUM_SWAP_QUOTES, SwaptionQuotes, - NUM_HERMITE, HermiteCoeffs, HermiteWeights, - NUM_SOBOL_BITS, SobolDirVct - ); - - unsigned long int elapsed = 0; - { // Main Computational Kernel - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - calib_arr = mainKernelGPU(wg_a, wg_b, wg_sigma, wg_nu, wg_rho, wg_logLik); - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; - } - - { // validation and writeback of the result - bool is_valid = validate( wg_logLik, calib_arr, NUM_SWAP_QUOTES ); - writeStatsAndResult( is_valid, wg_a, wg_b, wg_sigma, wg_nu, wg_rho, - wg_logLik, calib_arr, NUM_SWAP_QUOTES, - true, GPU_CORES, elapsed ); - } - - return 1; -} diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/UtilGPGPU.h b/benchmarks/InterestCalib/implementations/cpp_opencl_all/UtilGPGPU.h deleted file mode 100644 index bb18d8e..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/UtilGPGPU.h +++ /dev/null @@ -1,285 +0,0 @@ -#ifndef GPGPU_UTILITIES -#define GPGPU_UTILITIES - -#include "SDK_stub.h" - -/************************/ -/*** Helper Functions ***/ -/************************/ -bool is_pow2(uint n) { - uint c = 1; - while(c < n) { - c = c << 1; - } - return (c == n); -} - - -struct CpuArrays { - // size of the shape array - const uint SS; - - // shape of the irregular arrays for one genome - short* shape; - - // [13 * POP_SIZE] = - // { a, a_p, b, b_p, rho, rho_p, nu, nu_p, - // sigma, sigma_p, logLik, logLik_p, bf_rat } - REAL* genomes; - - // [ 4 * SS * POP_SIZE ] - REAL* ci_t1cs_scale; - - // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] - REAL* new_quote_price; - - // [ NUM_SWAP_QUOTES*NUM_HERMITE ] - REAL* accum0; - - // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] - // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, - // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } - REAL* scalars; - - REAL gene_ranges[10]; - - CpuArrays (const uint n, short* shp) : SS(n) { - shape = shp; - - genomes = new REAL[ 13 * POP_SIZE ]; - ci_t1cs_scale = new REAL[ 4 * SS * POP_SIZE ]; - scalars = new REAL[ 8 * NUM_SWAP_QUOTES * POP_SIZE ]; - - new_quote_price = new REAL [ 2 * NUM_SWAP_QUOTES * POP_SIZE ]; - accum0 = new REAL [ NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE ]; - - for(int i=0; i<5; i++) { gene_ranges[i] = g_mins[i]; } - for(int i=0; i<5; i++) { gene_ranges[i+5] = g_maxs[i]; } - } - - void releaseResources() { - delete[] shape; - delete[] genomes; - delete[] ci_t1cs_scale; - delete[] scalars; - delete[] new_quote_price; - delete[] accum0; - } - - // genome helpers - REAL* get_a () { return genomes; } - REAL* get_b () { return genomes + POP_SIZE*2; } - REAL* get_rho () { return genomes + POP_SIZE*4; } - REAL* get_nu () { return genomes + POP_SIZE*6; } - REAL* get_sigma () { return genomes + POP_SIZE*8; } - REAL* get_logLik() { return genomes + POP_SIZE*10;} - REAL* get_bf_rat() { return genomes + POP_SIZE*12;} - - // get the shape of the irregular array (for one genome) - short* get_shape (){ return shape; } - - // get the start iterator into arrays ci, t1cs, scale for genome i - REAL* get_ci (int i) { return ci_t1cs_scale + SS*i; } - REAL* get_t1cs (int i) { return ci_t1cs_scale + SS*i + SS*POP_SIZE; } - REAL* get_scale (int i) { return ci_t1cs_scale + SS*i + 2*SS*POP_SIZE; } - REAL* get_bbi (int i) { return ci_t1cs_scale + SS*i + 3*SS*POP_SIZE; } - - // get the start iterator into array-expanded scalars for genome i - REAL* get_mux (int i) { return scalars + i * NUM_SWAP_QUOTES ; } - REAL* get_muy (int i) { return scalars + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_sqsigx(int i) { return scalars + i * NUM_SWAP_QUOTES + 2 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_t2 (int i) { return scalars + i * NUM_SWAP_QUOTES + 3 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_sigrho(int i) { return scalars + i * NUM_SWAP_QUOTES + 4 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_zcmat (int i) { return scalars + i * NUM_SWAP_QUOTES + 5 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_f (int i) { return scalars + i * NUM_SWAP_QUOTES + 6 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_df (int i) { return scalars + i * NUM_SWAP_QUOTES + 7 * NUM_SWAP_QUOTES * POP_SIZE; } - - // get the quotes prices for genome i - REAL* get_quote (int i) { return new_quote_price + i * NUM_SWAP_QUOTES; } - REAL* get_price (int i) { return new_quote_price + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } - - // get the accumulator for the irregular array for genome i - REAL* get_accum (int i) { return accum0 + i * NUM_SWAP_QUOTES * NUM_HERMITE; } -}; - -/**************************************/ -/*** OpenCL related Data Structures ***/ -/**************************************/ -struct OclBuffers { - // Used for BestFit reduction (size LWG_FB) - cl_mem best_ind; - cl_mem best_val; - - cl_mem shape; // [ SS * 4 ] - cl_mem swap_quotes; // [ NUM_SWAP_QUOTES * 4 ] - cl_mem genomes; // [13 * POP_SIZE] - cl_mem ci_t1cs_scale; // [ 4 * SS * POP_SIZE ] - cl_mem new_quote_price; // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] - cl_mem accum0; // [ NUM_SWAP_QUOTES * NUM_HERMITE ] - cl_mem scalars; // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] - - cl_mem gauss_coefs; - cl_mem gauss_weights; - - cl_mem gene_ranges; - cl_mem sobol_dir_vct; - - cl_mem accept_cond; - - - void releaseResources ( ) { - shrLog(stdlog, "Release oclBuffers ... "); - - clReleaseMemObject( best_ind ); - clReleaseMemObject( best_val ); - - clReleaseMemObject( shape ); - clReleaseMemObject( swap_quotes ); - - clReleaseMemObject( genomes ); - clReleaseMemObject( ci_t1cs_scale ); - clReleaseMemObject( new_quote_price ); - clReleaseMemObject( accum0 ); - clReleaseMemObject( scalars ); - - clReleaseMemObject( gauss_coefs ); - clReleaseMemObject( gauss_weights ); - - clReleaseMemObject( gene_ranges ); - clReleaseMemObject( sobol_dir_vct ); - - clReleaseMemObject( accept_cond ); - } -}; - -struct OclObjects { - UINT dev_id; - - cl_command_queue cmdQueue[16]; // OpenCL command queue - cl_context context; // OpenCL context - cl_device_id* devices; // OpenCL device list - cl_program program; // OpenCL program - - cl_command_queue& getCommandQueue() { - return cmdQueue[dev_id]; - } - void releaseResources ( ) { - shrLog(stdlog, "Release OpenCL objects ..."); - clReleaseProgram ( program ); - clReleaseCommandQueue( getCommandQueue() ); - free(devices); - clReleaseContext( context ); - } -}; - - -/******************************************/ -/*** Filling the OpenCL data structures ***/ -/******************************************/ -void compileGPUprog( OclObjects& objs ) { - char compile_option[512]; - -#ifdef MAC - // Build the program with 'mad' Optimization option - char flags[] = "-cl-mad-enable -DMAC "; -#else - char flags[] = ""; -#endif - - //sprintf( compile_option, "-I. -I SrcCL -D TODAY=%10f -D LWG_FB=%d -D INFTY=%f", TODAY, LWG_FB, INFTY ); - sprintf( compile_option, "%s -I. -I SrcCL -I../includeC -D lgWARP=%d -D TODAY=%10f -D LWG_FB=%d -D INFTY=%f -D MAX_DATE=%f -D MIN_DATE=%f -D SOBOL_BITS_NUM=%d", - flags, lgWARP, TODAY, LWG_FB, INFTY, MAX_DATE, MIN_DATE, NUM_SOBOL_BITS ); - - objs.dev_id = 0; - cl_uint nDevice; - build_for_GPU( - objs.context, - objs.cmdQueue, - nDevice, - objs.devices, - objs.program, - objs.dev_id, - compile_option, - "", - "SrcCL/CalibKers" - ); -} - -void makeOclBuffers ( CpuArrays& cpu_arrs, OclObjects& ocl_objs, OclBuffers& ocl_arrs ) { - cl_int ciErr, ciErr2; - size_t cur_size; - cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); - - cur_size = LWG_FB * sizeof(REAL); - ocl_arrs.best_val = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2); ciErr |= ciErr2; - - cur_size = LWG_FB * sizeof(uint); - ocl_arrs.best_ind = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2); ciErr |= ciErr2; - - // for the main kernel(s) - cur_size = 4 * cpu_arrs.SS * sizeof(short); - ocl_arrs.shape = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.shape, CL_TRUE, 0, cur_size, cpu_arrs.shape, 0, NULL, NULL); - - // swaption quotes - cur_size = 4 * NUM_SWAP_QUOTES * sizeof(REAL); - ocl_arrs.swap_quotes = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.swap_quotes, CL_TRUE, 0, cur_size, SwaptionQuotes, 0, NULL, NULL); - - // gene ranges - cur_size = 10 * sizeof(REAL); - ocl_arrs.gene_ranges = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.gene_ranges, CL_TRUE, 0, cur_size, cpu_arrs.gene_ranges, 0, NULL, NULL); - - // sobol direction vector - cur_size = 30 * sizeof(REAL); - ocl_arrs.sobol_dir_vct = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.sobol_dir_vct, CL_TRUE, 0, cur_size, SobolDirVct, 0, NULL, NULL); - - // acceptance condition - cur_size = POP_SIZE * sizeof(unsigned char); - ocl_arrs.accept_cond = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - - // GaussHermite coefficients and weights! - cur_size = NUM_HERMITE * sizeof(REAL); - ocl_arrs.gauss_coefs = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.gauss_coefs, CL_TRUE, 0, cur_size, HermiteCoeffs, 0, NULL, NULL); - ocl_arrs.gauss_weights = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; - ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.gauss_weights, CL_TRUE, 0, cur_size, HermiteWeights, 0, NULL, NULL); - - cur_size = 13 * POP_SIZE * sizeof(REAL); - ocl_arrs.genomes = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; -// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); - - cur_size = 4 * cpu_arrs.SS * POP_SIZE * sizeof(REAL); - ocl_arrs.ci_t1cs_scale = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; -// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.ci_t1cs_scale, CL_TRUE, 0, cur_size, cpu_arrs.ci_t1cs_scale, 0, NULL, NULL); - - cur_size = 2 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(REAL); - ocl_arrs.new_quote_price = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; -// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.new_quote_price, CL_TRUE, 0, cur_size, cpu_arrs.new_quote_price, 0, NULL, NULL); - - cur_size = 8 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(REAL); - ocl_arrs.scalars = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; -// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.scalars, CL_TRUE, 0, cur_size, cpu_arrs.scalars, 0, NULL, NULL); - - cur_size = NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE * sizeof(REAL); - ocl_arrs.accum0 = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; -// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.accum0, CL_TRUE, 0, cur_size, cpu_arrs.accum0, 0, NULL, NULL); - - oclCheckError(ciErr, CL_SUCCESS); -} - -void initGPUresources ( CpuArrays& cpu_arrs, OclObjects& ocl_objs, OclBuffers& ocl_arrs ) { - compileGPUprog ( ocl_objs ); - makeOclBuffers ( cpu_arrs, ocl_objs, ocl_arrs ); -} - -void releaseGPUresources( OclObjects& ocl_objs, OclBuffers& ocl_arrs ) { - fprintf(stderr, "Releasing GPU Resources ... "); - ocl_arrs.releaseResources(); - ocl_objs.releaseResources(); - fprintf(stderr, "OK!\n"); -} - -#endif // GPGPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl_all/instantiate b/benchmarks/InterestCalib/implementations/cpp_opencl_all/instantiate deleted file mode 100755 index 5b32e00..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_opencl_all/instantiate +++ /dev/null @@ -1,24 +0,0 @@ -#!/bin/sh - -set -e - -cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/include/ParserC.h . -cp $FINPAR_LIB_DIR/include/Util.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT outer num_x num_y num_t > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run < best_lik ) { best_ind = i; best_lik = val; } - } -} - -Move_Type selectMoveType(REAL move_selected) { - Move_Type move_type = NONE; - - REAL prob; - Move_Type type; - UINT k = 0; - do { - prob = mcmc_moves_selection_cumdensfct[k].fst; - type = mcmc_moves_selection_cumdensfct[k].snd; - - if( move_selected <= prob ) { - move_type = type; - } - k ++; - } while ( move_selected > prob && k < CUMDENSFCT_CARD ); - - assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); - - return move_type; -} - -/** - * Main Entry Point for Swaption Calibration - * The (out) arguments are in fact the resulted - * winning genome result & its likelihood. - * The array result has size 3*NUM_SWAP_QUOTES - * and records for each swaption the calibrated - * price, the black price and the percentage - * difference between the two. - */ -REAL* mainKernelCPU(REAL& wg_a, - REAL& wg_b, - REAL& wg_sigma, - REAL& wg_nu, - REAL& wg_rho, - REAL& wg_logLik -) { - uint FLAT_SZ; - short* shape = getIregShapeAdjusted( LWG_EG, FLAT_SZ ); - int * start_inds = getStartInd( FLAT_SZ, shape, NUM_SWAP_QUOTES ); - - CpuArrays cpu_arrs(FLAT_SZ, shape); - REAL *g_a, *g_b, *g_rho, *g_nu, *g_sigma, *logLik, *bf_rat; - { // getting the cpu arrays - g_a = cpu_arrs.get_a (); - g_b = cpu_arrs.get_b (); - g_rho = cpu_arrs.get_rho (); - g_nu = cpu_arrs.get_nu (); - g_sigma = cpu_arrs.get_sigma (); - logLik = cpu_arrs.get_logLik(); - bf_rat = cpu_arrs.get_bf_rat(); - } - - srand ( SEED ); - srand48 ( SEED ); - - // initialized the genomes with random numbers inside - // their acceptable bounds => requires 5*POP_SIZE randoms - for( int i = 0; i < POP_SIZE; i++ ) { - REAL r01, tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; - g_a [i ] = tmp; - g_a [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; - g_b [i ] = tmp; - g_b [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; - g_rho [i ] = tmp; - g_rho [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; - g_nu [i ] = tmp; - g_nu [i + POP_SIZE] = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; - g_sigma [i ] = tmp; - g_sigma [i + POP_SIZE] = tmp; - - bf_rat [i ] = 1.0; - } - - // Initial evaluation of the genomes! -#pragma omp parallel for default(shared) schedule(dynamic) if(POP_SIZE>3) - for( int i = 0; i < POP_SIZE; i++ ) { - logLik[i] = eval_genome( g_a[i], g_b[i], g_rho[i], g_nu[i], g_sigma[i], - cpu_arrs.get_quote(i), cpu_arrs.get_price(i), - FLAT_SZ, shape, start_inds - ); - } - - // convergence loop that runs the genetic algorithms - // (takes a population and returns a population) - for( int j = 0; j < MCMC_LOOPS; j++ ) { - - // select which move to perform. - // Note: this block can also be a loop (in fixed order) - // over the various move types - REAL move_selected = getRandUnifNorm(); - Move_Type move_type = selectMoveType(move_selected); - - if ( move_type == DIMS_ALL ) { - for( int i = 0; i < POP_SIZE; i++ ) { - mutate_dims_all( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); - } - - } else if ( move_type == DIMS_ONE ) { - - UINT dim_j = getRandIntNorm(GENOME_DIM); - - for( int i = 0; i < POP_SIZE; i++ ) { - mutate_dims_one( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i, dim_j ); - } - } else /* if ( move_type == DEMCMC ) */ { - - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums - mcmc_DE( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); - } - } - - // evaluate the proposal -#pragma omp parallel for default(shared) schedule(dynamic) if(POP_SIZE>3) - for( int i = 0; i < POP_SIZE; i++ ) { - logLik[i+POP_SIZE] = - eval_genome( g_a [i+POP_SIZE], g_b [i+POP_SIZE], g_rho[i+POP_SIZE], - g_nu[i+POP_SIZE], g_sigma[i+POP_SIZE], - cpu_arrs.get_quote(i), cpu_arrs.get_price(i), - FLAT_SZ, shape, start_inds ); - } - - // mcmc_acceptance_rejection(); - // Deciding whether to accept or reject the proposal, - // obtained by mutating/crossover of the individual. - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel - // Metropolis: get a random U[0,1) for each candidate - REAL rand = getRandUnifNorm(); - - // selection: dimensions considered independent - // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) - REAL acceptance = std::min( 1.0, exp( logLik[i+POP_SIZE] - logLik[i] ) * bf_rat[i] ); - - // if acceptance criterion is met then p->p' else does nothing - if ( rand < acceptance ) accept( i, g_a, g_b, g_rho, g_nu, g_sigma, logLik ); - } - - // print best candidate for the current iteration: - if ( (j % 16) == 0 ){ - int best_ind; REAL best_lik; - find_best(logLik, best_ind, best_lik); - fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", - j, best_lik, best_ind ); - } - } - - REAL* result; - { // print best candidate for the current iteration: - int best_ind; REAL best_lik; - find_best(logLik, best_ind, best_lik); - - // recompute the calibrated price and the black price! - logLik[best_ind] = - eval_genome( g_a[best_ind], g_b[best_ind], g_rho[best_ind], g_nu[best_ind], - g_sigma[best_ind], cpu_arrs.get_quote(best_ind), - cpu_arrs.get_price(best_ind), FLAT_SZ, shape, start_inds ); - - // Finally, make/print the result! - wg_a = cpu_arrs.get_a() [best_ind]; - wg_b = cpu_arrs.get_b() [best_ind]; - wg_sigma = cpu_arrs.get_sigma ()[best_ind]; - wg_nu = cpu_arrs.get_nu() [best_ind]; - wg_rho = cpu_arrs.get_rho() [best_ind]; - wg_logLik = cpu_arrs.get_logLik()[best_ind]; - - result = makeSummary( best_ind, cpu_arrs ); - } - - delete[] start_inds; - // Releasing the CPU resources: - cpu_arrs.releaseResources(); - - return result; -} - -#endif // end ifndef - diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/Makefile b/benchmarks/InterestCalib/implementations/cpp_openmp_outer/Makefile deleted file mode 100644 index 8817c4f..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/Makefile +++ /dev/null @@ -1,40 +0,0 @@ -include setup.mk - -ifndef ($(HAVE_GPU)) -include platform.mk -endif - -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -#-fno-unsafe-math-optimizations -fno-finite-math-only -#-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans - -SOURCES_CPP =SwapCalib.cpp -OBJECTS =SwapCalib.o -EXECUTABLE =SwapCalib - - -default: cpu - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -# The GPU version is in: ../CppAndGPU. 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zI`b;*!OL#^QT`hLwf$LrGX0k62#k7cQSbD+2Y=D&wS8Qv=R`!>e-iz~^Y2LnMyJ>I zdmSAUsis~MojOu~8gv*h(do5)VJ}S~==k^o%0c||B7Ui=q?m;FkB!Lm@%+~0Ps8v> zykIIcoL<{!c4mV7`SKqE7FqeYU#uK)~1S*s*?Yjd~5k@GF2KSRP9^~C4@{{Upb74rZ9 diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_openmp_outer/SwapCalib.cpp deleted file mode 100644 index 280d767..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/SwapCalib.cpp +++ /dev/null @@ -1,73 +0,0 @@ -/****************************************/ -/*** Translated to C++ & parallelized ***/ -/*** in OpenCL by Cosmin E. Oancea ***/ -/*** from an original OCaml code ***/ -/*** (sequential) by LexiFi ***/ -/*** and a sequential Python implem ***/ -/*** using a different genetic alg.***/ -/*** by Christian Andreetta ***/ -/****************************************/ - -#include "Util.h" -#include "Constants.h" -#include "ParseInput.h" -#include "GenAlgFlat.h" -#include "WriteResult.h" - -int main() -{ - REAL wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, - wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; - REAL* calib_arr = NULL; - - printf("\n// Running Original (CPU Parallel) Swaption-Calibration Benchmark\n"); - - readDataSet( POP_SIZE, MCMC_LOOPS, - NUM_SWAP_QUOTES, SwaptionQuotes, - NUM_HERMITE, HermiteCoeffs, HermiteWeights, - NUM_SOBOL_BITS, SobolDirVct - ); - - unsigned long int elapsed_usec = 0; - { // Main Computational Kernel - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - calib_arr = mainKernelCPU(wg_a, wg_b, wg_sigma, wg_nu, wg_rho, wg_logLik); - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; - } - - { // validation and writeback of the result - FILE* runtime = fopen("runtime.txt", "w"); - FILE* result = fopen("result.json", "w"); - const int Ps = get_CPU_num_threads(); - fprintf(runtime, "%d\n", elapsed_usec / 1000); - fclose(runtime); - - writeResult(result, - wg_a, - wg_b, - wg_sigma, - wg_nu, - wg_rho, - wg_logLik, - calib_arr); - - fclose(result); - } - - return 0; -} - - -#if 0 -void test_all() { - test_dates (); - test_math (); - test_g2ppUtil (); - test_pricer_of_swaption(); -} -#endif diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/UtilCPU.h b/benchmarks/InterestCalib/implementations/cpp_openmp_outer/UtilCPU.h deleted file mode 100644 index 4ed4ec9..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/UtilCPU.h +++ /dev/null @@ -1,102 +0,0 @@ -#ifndef CPU_UTILITIES -#define CPU_UTILITIES - -/************************/ -/*** Helper Functions ***/ -/************************/ -bool is_pow2(uint n) { - uint c = 1; - while(c < n) { - c = c << 1; - } - return (c == n); -} - - -struct CpuArrays { - // size of the shape array - const uint SS; - - // shape of the irregular arrays for one genome - short* shape; - - // [13 * POP_SIZE] = - // { a, a_p, b, b_p, rho, rho_p, nu, nu_p, - // sigma, sigma_p, logLik, logLik_p, bf_rat } - REAL* genomes; - - // [ 4 * SS * POP_SIZE ] - REAL* ci_t1cs_scale; - - // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] - REAL* new_quote_price; - - // [ NUM_SWAP_QUOTES*NUM_HERMITE ] - REAL* accum0; - - // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] - // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, - // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } - REAL* scalars; - - REAL gene_ranges[10]; - - CpuArrays (const uint n, short* shp) : SS(n) { - shape = shp; - - genomes = new REAL[ 13 * POP_SIZE ]; - ci_t1cs_scale = new REAL[ 4 * SS * POP_SIZE ]; - scalars = new REAL[ 8 * NUM_SWAP_QUOTES * POP_SIZE ]; - - new_quote_price = new REAL [ 2 * NUM_SWAP_QUOTES * POP_SIZE ]; - accum0 = new REAL [ NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE ]; - - for(int i=0; i<5; i++) { gene_ranges[i] = g_mins[i]; } - for(int i=0; i<5; i++) { gene_ranges[i+5] = g_maxs[i]; } - } - - void releaseResources() { - delete[] shape; - delete[] genomes; - delete[] ci_t1cs_scale; - delete[] scalars; - delete[] new_quote_price; - delete[] accum0; - } - - // genome helpers - REAL* get_a () { return genomes; } - REAL* get_b () { return genomes + POP_SIZE*2; } - REAL* get_rho () { return genomes + POP_SIZE*4; } - REAL* get_nu () { return genomes + POP_SIZE*6; } - REAL* get_sigma () { return genomes + POP_SIZE*8; } - REAL* get_logLik() { return genomes + POP_SIZE*10;} - REAL* get_bf_rat() { return genomes + POP_SIZE*12;} - - // get the shape of the irregular array (for one genome) - short* get_shape (){ return shape; } - - // get the start iterator into arrays ci, t1cs, scale for genome i - REAL* get_ci (int i) { return ci_t1cs_scale + SS*i; } - REAL* get_t1cs (int i) { return ci_t1cs_scale + SS*i + SS*POP_SIZE; } - REAL* get_scale (int i) { return ci_t1cs_scale + SS*i + 2*SS*POP_SIZE; } - REAL* get_bbi (int i) { return ci_t1cs_scale + SS*i + 3*SS*POP_SIZE; } - - // get the start iterator into array-expanded scalars for genome i - REAL* get_mux (int i) { return scalars + i * NUM_SWAP_QUOTES ; } - REAL* get_muy (int i) { return scalars + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_sqsigx(int i) { return scalars + i * NUM_SWAP_QUOTES + 2 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_t2 (int i) { return scalars + i * NUM_SWAP_QUOTES + 3 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_sigrho(int i) { return scalars + i * NUM_SWAP_QUOTES + 4 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_zcmat (int i) { return scalars + i * NUM_SWAP_QUOTES + 5 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_f (int i) { return scalars + i * NUM_SWAP_QUOTES + 6 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_df (int i) { return scalars + i * NUM_SWAP_QUOTES + 7 * NUM_SWAP_QUOTES * POP_SIZE; } - - // get the quotes prices for genome i - REAL* get_quote (int i) { return new_quote_price + i * NUM_SWAP_QUOTES; } - REAL* get_price (int i) { return new_quote_price + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } - - // get the accumulator for the irregular array for genome i - REAL* get_accum (int i) { return accum0 + i * NUM_SWAP_QUOTES * NUM_HERMITE; } -}; -#endif // CPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/instantiate b/benchmarks/InterestCalib/implementations/cpp_openmp_outer/instantiate deleted file mode 100755 index 38705e6..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_openmp_outer/instantiate +++ /dev/null @@ -1,36 +0,0 @@ -#!/bin/sh - -set -e - -cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/include/ParserC.h . -cp $FINPAR_LIB_DIR/include/Util.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/KerConsts.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Date.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/GenAlgUtil.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Candidate.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/IrregShape.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/EvalGenomeInl.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/G2PP.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/G2ppUtil.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/MathModule.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/WriteResult.h . -cp $FINPAR_IMPLEMENTATION/GenAlgFlat.h . -cp $FINPAR_IMPLEMENTATION/UtilCPU.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run <(12.0 * swaption[2] / swap_freq); - const REAL tmat0 = date_act_365( maturity, TODAY ); - - REAL strike; - { // BLACK PRICE computation - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; - - for(UINT i = 0; i < n_schedi; i++) { // reduce o map - // Map computes a1 and a2 (depends on i) - const REAL a1 = add_months( maturity, swap_freq*i ); - const REAL a2 = add_months( a1, swap_freq ); - - // Reduction( lvl: +, t0 : min, tn : max ) - lvl += zc(a2) * date_act_365(a2, a1); - t0 = std::min(t0, a1); - tn = std::max(tn, a2); - } - - strike = ( zc(t0) - zc(tn) ) / lvl; - const REAL d1 = 0.5 * swaption[3] * tmat0; - new_quote = lvl * strike * ( uGaussian_P(d1) - uGaussian_P(-d1) ); - } // END BLACK PRICE - - { // PRICER OF SWAPTION COMPUTATION - REAL v0_mat, dummy1, dummy2; - bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); -// - const REAL mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); - const REAL muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); -// - const REAL zc_mat = zc(maturity); -// - const REAL sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); - const REAL sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); - const REAL rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); - const REAL sigmax = sigma * sqrt_bfun_a; - const REAL sigmay = nu * sqrt_bfun_b; - - const REAL rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel - const REAL rhoxycs = sqrt( rhoxyc ); // used in reduction kernel - const REAL sigmay_rhoxycs = sigmay * rhoxycs; - const REAL t4 = (rhoxy * sigmay) / sigmax; - - for( UINT i = 0; i < n_schedi; i++ ) { - const REAL beg_date = add_months( maturity, swap_freq*i ); //scheduleix[i]; - const REAL end_date = add_months( beg_date, swap_freq ); //scheduleiy[i]; - const REAL res = date_act_365( end_date, beg_date ) * strike; - - const REAL cii = ( i == n_schedi-1 ) ? 1.0 + res : res; - - REAL v0_end, vt_end, baii, bbii, date_tod1, date_tod2; - date_tod1 = date_act_365(end_date, TODAY); - bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); - date_tod2 = date_act_365(end_date, maturity); - bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); - - const REAL expo_aici = 0.5 * (vt_end - v0_end + v0_mat); - const REAL fact_aici = cii * zc(end_date) / zc_mat; - tmp_arrs[i].ci = fact_aici; // reuse the space to hold the factor of t1_cs - tmp_arrs[i].t1_cs = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; - // hold only the exponent of the original t1_cs; - - tmp_arrs[i].bai = baii; - tmp_arrs[i].bbi = bbii; - tmp_arrs[i].aici = fact_aici * exp( expo_aici ); - tmp_arrs[i].log_aici = log( fact_aici ) + expo_aici; - tmp_arrs[i].scale = - ( baii + bbii * t4 ); - - sanity = ! ( isinf(tmp_arrs[i].aici) || isnan(tmp_arrs[i].aici) ); - assert(sanity && "Nan aici in pricer of swaption. Exiting!\n"); - } - - const REAL eps = 0.5 * sigmax; - - const REAL f = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, - mux, muy, tmp_arrs, mux ); - - const REAL g = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, - mux, muy, tmp_arrs, mux + eps ); - - const REAL h = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, - mux, muy, tmp_arrs, mux - eps ); - - const REAL df = 0.5 * ( g - h ) / eps; - - const REAL sqrt2sigmax = sqrt(2.0) * sigmax;; - const REAL t2 = rhoxy / (sigmax*rhoxycs);; - - REAL accum = 0.0; - - for( UINT j = 0; j < NUM_HERMITE; j++ ) { - const REAL x_quad = HermiteCoeffs [j]; - const REAL w_quad = HermiteWeights[j]; - - const REAL x = sqrt2sigmax * x_quad + mux; - const REAL yhat_x = f + df*(x - mux); - const REAL h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); - - REAL accum1 = 0.0; - for( UINT i = 0; i < n_schedi; i++ ) { - const REAL h2 = h1 + tmp_arrs[i].bbi * sigmay_rhoxycs; - - const REAL expo_aici = tmp_arrs[i].t1_cs + tmp_arrs[i].scale*x; - const REAL fact_aici = tmp_arrs[i].ci; - const REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); - accum1 += fact_aici * expo_part; - } - - sanity = ! ( isnan(accum1) || isinf(accum1) ); - assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); - - REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; - const REAL t1 = exp( - 0.5 * tmp * tmp ); - - accum += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); - } - - sanity = ! ( isnan(accum) || isinf(accum) ); - assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); - - new_price = zc_mat * ( accum / sqrt( PI ) ); - } -} - - - -#endif // end ifndef EVAL_GENOME_INLINED - diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h b/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h deleted file mode 100644 index 5f324a4..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h +++ /dev/null @@ -1,176 +0,0 @@ -#ifndef G2PPORIG -#define G2PPORIG - -#include "Constants.h" -#include "Date.h" -#include "MathModule.h" -#include "G2ppUtil.h" - -#include "GenAlgUtil.h" - -REAL to_solve_orig( const UINT& N, - const IntermElem* tmp_arrs, - const REAL& yhat ) { - REAL accum = 0.0; - for( UINT i = 0; i < N; i++ ) { - accum += tmp_arrs[i].hat_scale * exp( - tmp_arrs[i].bbi * yhat ); - } - return accum - 1.0; -} - -////////////////////////// -// Root finder -////////////////////////// - -void rootFinding_Brent_orig ( - const UINT& N, - IntermElem* tmp_arrs, - const REAL& lb, - const REAL& ub, - const REAL& toll, - const UINT& it_mx, - REAL& root, // result - UINT& it, - REAL& fb -) { - const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; - const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; - - REAL a = lb, b = ub; - - REAL fa = to_solve_orig(N, tmp_arrs, a); - fb = to_solve_orig(N, tmp_arrs, b); - - if( fa*fb >= 0.0 ) { - root = 0.0; it = 0; - if ( a >= 0.0 ) fb = INFTY; - else fb = -INFTY; - return; - } - - if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } - - REAL c = a, fc = fa; - bool mflag = true; - REAL d = 0.0; - it = 0; - - for( UINT i = 0; i < iter_max; i++ ) { - if ( fb != 0.0 && fabs(b-a) >= tol ) { - REAL s; - if( fa == fc || fb == fc ) { - s = b - fb * (b - a) / (fb - fa); - } else { - REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); - REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); - REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); - s = s1 + s2 + s3; - } - - if ( ( (3.0 * a + b) /4.0 > s || s > b) || - ( mflag && fabs(b-c)/2.0 <= fabs(s-b) ) || - ( !mflag && fabs(c-d)/2.0 <= fabs(s-b) ) || - ( mflag && fabs(b-c) <= fabs(tol) ) || - ( !mflag && fabs(c-d) <= fabs(tol) ) ) { - mflag = true; - s = (a + b) / 2.0; - } else { - mflag = false; - } - - REAL fs = to_solve_orig(N, tmp_arrs, s); - - // d is assigned for the first time here: - // it's not used above because mflag is set - d = c; - c = b; fc = fb; - - if( fa*fs < 0.0 ) { b = s; fb = fs; } - else { a = s; fa = fs; } - - if( fabs(fa) < fabs(fb) ) { - REAL tmp; - tmp = a; a = b; b = tmp; - tmp = fa; fa = fb; fb = tmp; - } - - // reporting non-convergence! - if(i == iter_max-1) { - printf("# ERROR: Brent method not converged, error: %f %f %d\n\n", b, fb, i); - } - - it = i; - } - } - - root = b; - - //return BrentRes(b, it, fb); -} - -REAL exactYhatOrig( - const UINT& n_schedi, - - const REAL& b, // scals begins - const REAL& sigmax, - const REAL& sigmay, - const REAL& rhoxy, - const REAL& rhoxyc, - const REAL& rhoxycs, - const REAL& mux, - const REAL& muy, // scals ends - IntermElem* tmp_arrs, - - const REAL& x // output -) { - // ugaussian_Pinv(k)=1.0e~4 - const REAL k = - 3.71901648545568; - - REAL up = 0.0, lo = -INFTY; - for( UINT i = 0; i < n_schedi; i++ ) { - REAL baix = tmp_arrs[i].bai * x; - - REAL up_term = tmp_arrs[i].aici * exp( -baix ); - tmp_arrs[i].hat_scale = up_term; - up += up_term; - lo = std::max( lo, ( tmp_arrs[i].log_aici - baix ) / tmp_arrs[i].bbi ); - } - -// CHECKING uplo!!!! - - const REAL log_s = log(up); - REAL tmp = log_s / tmp_arrs[n_schedi-1].bbi; - - if ( tmp <= 0.0 ) { - up = tmp; - } else { - tmp = log_s / tmp_arrs[0].bbi; - if ( 0.0 <= tmp ) up = tmp; - else up = - INFTY; - } - - const REAL yl = lo - EPS; - const REAL yu = up + EPS; - - const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; - const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; - - REAL res; - if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS - else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) - else { - const REAL root_lb = std::max( yl, y0 ); - const REAL root_ub = std::min( yu, y1 ); - - REAL root, error; UINT iter; - rootFinding_Brent_orig(n_schedi, tmp_arrs, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); - //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); - - res = ( error == -INFTY ) ? y0 - 1.0 : ( error == INFTY ) ? y1 + 1.0 : root; - } - - return res; -} - - -#endif // ifndef G2PP diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h deleted file mode 100644 index 3643bc3..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h +++ /dev/null @@ -1,281 +0,0 @@ -#ifndef GEN_ALG_FLAT -#define GEN_ALG_FLAT - -using namespace std; - -#include "Constants.h" -#include "GenAlgUtil.h" -#include "Genome.h" -#include "UtilCPU.h" -#include "EvalGenomeOrig.h" - - -/** - * Printing Swaption / Calibrated Price / Black Price / RMS - * The result is an array REAL[NUM_SWAP_QUOTES, 3] recording - * for each swaption the calibrated price, the black price - * and the percentagewise difference between the two. - */ -void makeSummary( const int winner, - const Genome& wgene, - const REAL* new_quote, - const REAL* new_price, - REAL* result // output -) { - REAL rms = 0.0; - - fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); - fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", - wgene.a, wgene.b, wgene.sigma, wgene.nu, wgene.rho, wgene.logLik ); - fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); - - for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { - REAL black_price = new_quote[i]; - REAL calib_price = new_price[i]; - REAL err_ratio = (calib_price - black_price) / black_price; - - result[3*i + 0] = 10000.0*calib_price; - result[3*i + 1] = 10000.0*black_price; - result[3*i + 2] = 100.0*fabs(err_ratio); - - rms += err_ratio * err_ratio; - - fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", - i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], - result[3*i + 0], result[3*i + 1], result[3*i + 2] ); - } - - rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); - fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); -} - - -/** - * Utility function: find the genome with the best likelihood: - * scans the logLik array and fill in the index and likelihood - * of the best genome. - */ -void find_best(const Genome* genomes, int& best_ind, REAL& best_lik) { - bool sanity = true; - - best_lik = -INFINITY; - best_ind = 0; - - // this is in fact a reduction, but POP_SIZE is - // not big enough to warrant a parallel execution. - for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX - REAL val = genomes[i].logLik; - - sanity = !( isnan(val) || isinf(val) ); - assert( sanity && "val is NaN in find_best" ); - - if( val > best_lik ) { best_ind = i; best_lik = val; } - } -} - -Move_Type selectMoveType(REAL move_selected) { - Move_Type move_type = NONE; - - REAL prob; - Move_Type type; - UINT k = 0; - do { - prob = mcmc_moves_selection_cumdensfct[k].fst; - type = mcmc_moves_selection_cumdensfct[k].snd; - - if( move_selected <= prob ) { - move_type = type; - } - k ++; - } while ( move_selected > prob && k < CUMDENSFCT_CARD ); - - assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); - - return move_type; -} - -/** - * Main Entry Point for Swaption Calibration - * The (out) arguments are in fact the resulted - * winning genome result & its likelihood. - * The array result has size 3*NUM_SWAP_QUOTES - * and records for each swaption the calibrated - * price, the black price and the percentage - * difference between the two. - */ -REAL* mainKernelSeqCPU( Genome& winner ) { - - UINT n_schedi_max = 0; - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - const UINT n_schedi = static_cast(12.0 * SwaptionQuotes[4*ttt+2] / SwaptionQuotes[4*ttt+1]); - n_schedi_max = max(n_schedi_max, n_schedi); - } - - SeqArrays cpu_arrs(n_schedi_max); - Genome* genomes = cpu_arrs.genomes; - - srand ( SEED ); - srand48 ( SEED ); - - // initialized the genomes with random numbers inside - // their acceptable bounds => requires 5*POP_SIZE randoms - for( int i = 0; i < POP_SIZE; i++ ) { - REAL r01, tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; - genomes[i].a = genomes[i+POP_SIZE].a = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; - genomes[i].b = genomes[i+POP_SIZE].b = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; - genomes[i].rho = genomes[i+POP_SIZE].rho = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; - genomes[i].nu = genomes[i+POP_SIZE].nu = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; - genomes[i].sigma = genomes[i+POP_SIZE].sigma = tmp; - -// genomes[i].fbRat = genomes[i+POP_SIZE].fbRat = 1.0; - } - - // Initial evaluation of the genomes! - REAL quote, price; - for( int i = 0; i < POP_SIZE; i++ ) { - Genome& gene = genomes[i]; - REAL rms = 0.0; - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - eval_genome_new ( - gene.a, gene.b, gene.rho, gene.nu, gene.sigma, - SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price - ); - rms += logLikelihood( quote, price ); - } - gene.logLik = rms; - } - - // convergence loop that runs the genetic algorithms - // (takes a population and returns a population) - for( int j = 0; j < MCMC_LOOPS; j++ ) { - - // select which move to perform. - // Note: this block can also be a loop (in fixed order) - // over the various move types - REAL move_selected = getRandUnifNorm(); - Move_Type move_type = selectMoveType(move_selected); - - if ( move_type == DIMS_ALL ) { - for( int i = 0; i < POP_SIZE; i++ ) { - genomes[i+POP_SIZE].mutate_dims_all( genomes[i] ); - } - - } else if ( move_type == DIMS_ONE ) { - - UINT dim_j = getRandIntNorm(GENOME_DIM); - - for( int i = 0; i < POP_SIZE; i++ ) { - genomes[i+POP_SIZE].mutate_dims_one( genomes[i], dim_j ); - } - } else /* if ( move_type == DEMCMC ) */ { - - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums - // compute the k^th and the l^th genes - UINT cand_UB = POP_SIZE - 1; - UINT k = getRandIntNorm(cand_UB); // random in [0,pop_size-1) - if ( k == i ) { - k = cand_UB; - cand_UB -= 1; - } - UINT l = getRandIntNorm(cand_UB); - if ( l == i || l == k ) { - l = cand_UB; - } - - // do DEMCMC base on k^th and l^th genomes - genomes[i+POP_SIZE].mcmc_DE( genomes[i], genomes[k], genomes[l] ); - } - } - - // evaluate the proposals - for( int i = 0; i < POP_SIZE; i++ ) { - Genome& gene = genomes[i+POP_SIZE]; - - REAL rms = 0.0; - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - eval_genome_new ( - gene.a, gene.b, gene.rho, gene.nu, gene.sigma, - SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price - ); - rms += logLikelihood( quote, price ); - } - gene.logLik = rms; - } - - // mcmc_acceptance_rejection(); - // Deciding whether to accept or reject the proposal, - // obtained by mutating/crossover of the individual. - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel - // Metropolis: get a random U[0,1) for each candidate - REAL rand = getRandUnifNorm(); - - Genome& orig = genomes[i]; - Genome& muta = genomes[i+POP_SIZE]; - // selection: dimensions considered independent - // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) - REAL acceptance = std::min( 1.0, exp( muta.logLik - orig.logLik ) * muta.fbRat ); - - // if acceptance criterion is met then p->p' else does nothing - if ( rand < acceptance ) - orig = muta; - } - - // print best candidate for the current iteration: - if ( (j % 16) == 0 ){ - int best_ind; REAL best_lik; - find_best(genomes, best_ind, best_lik); - fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", - j, best_lik, best_ind ); - } - } - - REAL* result = new REAL[3*NUM_SWAP_QUOTES]; - { // print best candidate for the current iteration: - int best_ind; REAL best_lik; - find_best(genomes, best_ind, best_lik); - //winner = genomes[best_ind]; - winner.a = genomes[best_ind].a; winner.b = genomes[best_ind].b; - winner.rho = genomes[best_ind].rho; winner.nu = genomes[best_ind].nu; - winner.sigma = genomes[best_ind].sigma; winner.logLik = genomes[best_ind].logLik; - - // recompute the calibrated price and the black price! - REAL* quotes = cpu_arrs.get_quote(); - REAL* prices = cpu_arrs.get_price(); - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - eval_genome_new ( - winner.a, winner.b, winner.rho, winner.nu, winner.sigma, - SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price - ); - quotes[ttt] = quote; - prices[ttt] = price; - } - - - - // write summary - makeSummary( best_ind, winner, quotes, prices, result ); - } - - // Releasing the CPU resources: - cpu_arrs.releaseResources(); - - return result; -} - -#endif // end ifndef GEN_ALG_FLAT - diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h b/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h deleted file mode 100644 index a99d977..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h +++ /dev/null @@ -1,238 +0,0 @@ -#ifndef CANDIDATE_CLASS -#define CANDIDATE_CLASS - -#include "Constants.h" -#include "GenAlgUtil.h" - - -//========================================================================= -/** - * Candidate: - * - identified by parameters (target, and nuisance) - * - holds one proposal, to be accepted or rejected - * - holds fitness results - * - holds MCMC selection regions - * Population: - * - container of candidates - * - container of proposals - * - caller of mutation functions - * - select if to keep/update candidates and proposals - * MCMC: moves: - * - TODO: Gibbs sampling: single dimension update - * - all dimensions update - * - crossover - */ -//========================================================================= - -/** - * Genome min/max ranges and proposed initial values (not used) - * { g_a, g_b, g_rho, g_nu, g_sigma } - */ -const REAL g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; -const REAL g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; -const REAL g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; -//const REAL Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; - - -/** - * perturbing a genome; requires one random uniform number in [0,1) - */ -inline -REAL perturbation( - const REAL gene, - const REAL gene_k, - const REAL gene_l, - const UINT i, - const REAL gamma1, - const REAL amplitude_ratio -) { - REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - REAL semiamplitude = amplitude / 2.0; - REAL r01 = getRandRandNorm(); - REAL perturb = ( amplitude * r01 - semiamplitude ); - - return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); -} - -/* - * contraining gene i to be within accepted bounds! - */ -inline -REAL constrain_dim1( const int i, const REAL gene ) { - return std::max( g_mins[i], std::min( g_maxs[i], gene ) ); -} - - -/** - * Helper mutate function: requires one uniform random number - */ -Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int i, const REAL amplitude_ratio ) { - REAL forward_range, backward_range; - REAL tmp_min_max, tmp_max_min; - - const REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - const REAL semiamplitude = amplitude / 2.0; - - tmp_min_max = std::min( g_maxs[i], gene + semiamplitude ); - tmp_max_min = std::max( g_mins[i], gene - semiamplitude ); - forward_range = tmp_min_max - tmp_max_min; - - tmp_min_max = std::min( g_maxs[i], gene_prop + semiamplitude ); - tmp_max_min = std::max( g_mins[i], gene_prop - semiamplitude ); - backward_range = tmp_min_max - tmp_max_min; - - const REAL bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; - - // assign p' - REAL r01 = getRandRandNorm(); - REAL diff = amplitude * r01 - semiamplitude; - return Tuple(gene + diff, bf_fact); -} - - -struct Genome { - REAL a; - REAL b; - REAL rho; - REAL nu; - REAL sigma; - REAL logLik; - REAL fbRat; - REAL padding; - - Genome() { - this->a = 0.0; this->b = 0.0; this->rho = 0.0; - this->nu = 0.0; this->sigma = 0.0; this->logLik = 0.0; - this->fbRat = 0.0; - } - Genome( const REAL a, const REAL b, const REAL rho, const REAL nu, - const REAL sigma, const REAL logLik, const REAL fbRat) { - this->a = a; this->b = b; this->rho = rho; - this->nu = nu; this->sigma = sigma; this->logLik = logLik; - this->fbRat = fbRat; - } - Genome(const Genome& gene) { - this->a = gene.a; this->b = gene.b; this->rho = gene.rho; - this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; - this->fbRat = gene.fbRat; - } - Genome& operator=(const Genome& gene) { - this->a = gene.a; this->b = gene.b; this->rho = gene.rho; - this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; - this->fbRat = gene.fbRat; - return (*this); - } - - - /** - * mutate all dimensions. martingale with uniform prior. - * requires 5 * POP_SIZE uniform random numbers! - * I took out the evaluation of the proposal, since it should be - * done for all types of crossover/mutation/etc - */ - void mutate_dims_all( const Genome& orig, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { - REAL fb_rat = 1.0; - Tuple tmp(EPS0, 1.0); - - tmp = mutate_helper( orig.a, this->a, 0, amplitude_ratio ); - this->a = constrain_dim1(0, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.b, this->b, 1, amplitude_ratio ); - this->b = constrain_dim1(1, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.rho, this->rho, 2, amplitude_ratio ); - this->rho = constrain_dim1(2, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.nu, this->nu, 3, amplitude_ratio ); - this->nu = constrain_dim1(3, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.sigma, this->sigma, 4, amplitude_ratio ); - this->sigma = constrain_dim1(4, tmp.fst); - fb_rat *= tmp.snd; - - this->fbRat = fb_rat; - } - - /** - * mutate ONE dimension (Gibbs sampling). martingale with uniform prior - * dimension to be changed is given as input: has to be the same for - * all population. Memory coalescence? - * Requires POP_SIZE random uniform numbers! - */ - void mutate_dims_one( const Genome& orig, - const int dim_j, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO - ) { - REAL fb_rat = 1.0; - - Tuple tmp(EPS0, 1.0); - tmp = mutate_helper( orig.a, this->a, 0, (dim_j == 0) ? amplitude_ratio : 0.0 ); - this->a = constrain_dim1(0, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.b, this->b, 1, (dim_j == 1) ? amplitude_ratio : 0.0 ); - this->b = constrain_dim1(1, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.rho, this->rho, 2, (dim_j == 2) ? amplitude_ratio : 0.0 ); - this->rho = constrain_dim1(2, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.nu, this->nu, 3, (dim_j == 3) ? amplitude_ratio : 0.0 ); - this->nu = constrain_dim1(3, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.sigma, this->sigma, 4, (dim_j == 4) ? amplitude_ratio : 0.0 ); - this->sigma = constrain_dim1(4, tmp.fst); - fb_rat *= tmp.snd; - - this->fbRat = fb_rat; - } - - /** - * Crossover - */ - void mcmc_DE( const Genome& orig, - const Genome& gene_k, - const Genome& gene_l, - const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), - const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO - ) { - // proposal - // gamma: integrated out from the adviced - // Multivariate Gaussian with Gaussian target (Braak, 2006) - REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); - - this->a = constrain_dim1( 0, perturbation( orig.a, gene_k.a, gene_l.a, 0, gamma1, ampl_ratio ) ); - this->b = constrain_dim1( 1, perturbation( orig.b, gene_k.b, gene_l.b, 1, gamma1, ampl_ratio ) ); - this->rho = constrain_dim1( 2, perturbation( orig.rho, gene_k.rho, gene_l.rho, 2, gamma1, ampl_ratio ) ); - this->nu = constrain_dim1( 3, perturbation( orig.nu, gene_k.nu, gene_l.nu, 3, gamma1, ampl_ratio ) ); - this->sigma = constrain_dim1( 4, perturbation( orig.sigma, gene_k.sigma, gene_l.sigma, 4, gamma1, ampl_ratio ) ); - - this->fbRat = 1.0; // TODO: fix - } - - /** - * accepting the proposal - */ - void accept( const Genome& mutated ) { - this->a = mutated.a; - this->b = mutated.b; - this->rho = mutated.rho; - this->nu = mutated.nu; - this->sigma = mutated.sigma; - this->logLik = mutated.logLik; - this->fbRat = mutated.fbRat; - } -}; - -#endif // #ifndef CANDIDATE_CLASS - - - - diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile deleted file mode 100644 index 8817c4f..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile +++ /dev/null @@ -1,40 +0,0 @@ -include setup.mk - -ifndef ($(HAVE_GPU)) -include platform.mk -endif - -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -#-fno-unsafe-math-optimizations -fno-finite-math-only -#-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans - -SOURCES_CPP =SwapCalib.cpp -OBJECTS =SwapCalib.o -EXECUTABLE =SwapCalib - - -default: cpu - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -# The GPU version is in: ../CppAndGPU. This folder is CPU only! -gpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - -cpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - -clean: - rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) - diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp deleted file mode 100644 index 2f88021..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp +++ /dev/null @@ -1,61 +0,0 @@ -/****************************************/ -/*** Translated to C++ Cosmin Oancea ***/ -/*** from an original OCaml code ***/ -/*** (sequential) by LexiFi ***/ -/*** and a sequential Python implem ***/ -/*** using a different genetic alg.***/ -/*** by Christian Andreetta ***/ -/****************************************/ - -#include "Util.h" -#include "Constants.h" -#include "ParseInput.h" -#include "GenAlgFlat.h" -#include "WriteResult.h" - -int main() -{ - Genome gene; - REAL* calib_arr = NULL; - - printf("\n// Running Original Sequential Swaption-Calibration Benchmark\n"); - - readDataSet( POP_SIZE, MCMC_LOOPS, - NUM_SWAP_QUOTES, SwaptionQuotes, - NUM_HERMITE, HermiteCoeffs, HermiteWeights, - NUM_SOBOL_BITS, SobolDirVct - ); - - unsigned long int elapsed_usec = 0; - { // Main Computational Kernel - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); - - calib_arr = mainKernelSeqCPU(gene); - - gettimeofday(&t_end, NULL); - timeval_subtract(&t_diff, &t_end, &t_start); - elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; - } - - { // validation and writeback of the result - FILE* runtime = fopen("runtime.txt", "w"); - FILE* result = fopen("result.json", "w"); - const int Ps = get_CPU_num_threads(); - fprintf(runtime, "%d\n", elapsed_usec / 1000); - fclose(runtime); - - writeResult(result, - gene.a, - gene.b, - gene.sigma, - gene.nu, - gene.rho, - gene.logLik, - calib_arr); - - fclose(result); - } - - return 1; -} diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h b/benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h deleted file mode 100644 index c7d4640..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h +++ /dev/null @@ -1,48 +0,0 @@ -#ifndef CPU_UTILITIES -#define CPU_UTILITIES - -struct IntermElem { - REAL ci; - REAL t1_cs; - REAL bai; - REAL bbi; - REAL aici; - REAL log_aici; - REAL scale; - REAL hat_scale; - - IntermElem() { } -}; - -struct SeqArrays { - - // max size of temp arrays - const uint MaxSzTmpArrs; - - // [ MaxSzTmpArrs ] - IntermElem* tmp_arrs; - - // [ 2 * POP_SIZE ] - Genome* genomes; - - // [ 2 * NUM_SWAP_QUOTES ] - REAL* new_quote_price; - - SeqArrays (const uint m) : MaxSzTmpArrs(m) { - genomes = new Genome[ 2 * POP_SIZE ]; - tmp_arrs = new IntermElem[MaxSzTmpArrs]; - - new_quote_price = new REAL [ 2 * NUM_SWAP_QUOTES ]; - } - - void releaseResources() { - delete[] genomes; - delete[] tmp_arrs; - delete[] new_quote_price; - } - - // get the quotes prices for genome i - REAL* get_quote () { return new_quote_price; } - REAL* get_price () { return new_quote_price + NUM_SWAP_QUOTES; } -}; -#endif // CPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/instantiate b/benchmarks/InterestCalib/implementations/cpp_sequential/instantiate deleted file mode 100755 index 52e44cb..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/instantiate +++ /dev/null @@ -1,39 +0,0 @@ -#!/bin/sh - -set -e - -cp $FINPAR_LIB_DIR/setup.mk . -cp $FINPAR_LIB_DIR/include/ParserC.h . -cp $FINPAR_LIB_DIR/include/Util.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Constants.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/KerConsts.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Date.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/GenAlgUtil.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/Candidate.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/IrregShape.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/EvalGenomeInl.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/G2PP.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/G2ppUtil.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/MathModule.h . -cp $FINPAR_BENCHMARK_LIB_DIR/include/WriteResult.h . -cp $FINPAR_IMPLEMENTATION/GenAlgFlat.h . -cp $FINPAR_IMPLEMENTATION/UtilCPU.h . -cp $FINPAR_IMPLEMENTATION/Genome.h . -cp $FINPAR_IMPLEMENTATION/EvalGenomeOrig.h . -cp $FINPAR_IMPLEMENTATION/G2PPorig.h . -cp $FINPAR_IMPLEMENTATION/*cpp $FINPAR_IMPLEMENTATION/Makefile . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > input.data -$FINPAR_LIB_DIR/generate_platform_mk.py $FINPAR_PLATFORM > platform.mk -NCORES=$($FINPAR_LIB_DIR/json_get.py $FINPAR_PLATFORM num_cores) - -cat > run < Double -> Bool -equalEps x1 x2 = abs (x1 - x2) <= 1.0e-8 - -selectMoveType :: Double -> MOVE_TYPE -selectMoveType move_selected = - if move_selected <= 0.2 then DIMS_ALL - else if move_selected <= 0.5 then DIMS_ONE - else {- move_selected <= 1.0 -} DEMCMC - - -eps0 :: Double -eps0 = 1.0e-3 - -eps :: Double -eps = 1.0e-5 - -infty :: Double -infty = 1.0e49 - ---pop_size :: Int ---pop_size = 128 --- ---num_mcmc_its :: Int ---num_mcmc_its = truncate $ (2.0 + (log (fromIntegral genome_dim))) * --- (1.0 + (log genome_scale)) * 100.0 - -genome_scale :: Double -genome_scale = 1.0 - -genome_dim :: Int -genome_dim = 5 - ---------------------------------------------- ---- Definition of lish-homomorphic reduce --- ---- requires a binary associative op --- ---------------------------------------------- - -reduce :: (a -> a -> a) -> a -> [a] -> a -reduce bop ne lst = foldl bop ne lst - ---------------------------------- ---- Sobol Numbers Computation --- ---------------------------------- - -num_sobol_bits :: Int -num_sobol_bits = 30 - -sobol_norm :: Double -sobol_norm = 1.0 / (1.0 + (2.0 ** (fromIntegral num_sobol_bits))) - -grayCode :: Int -> Int -grayCode x = (x `shiftR` 1) `xor` x - -sobolNum :: Vector Int -> Int -> Double -sobolNum dir_vct n = - let n_gray = grayCode n - ires = V.ifoldl (\res i dir -> - if testBit n_gray i - then res `xor` dir - else res - ) 0 dir_vct - rres = sobol_norm * (fromIntegral ires) - in rres -- trace ("Sobol Num "++show n++" is: "++show rres) rres - ---sobolNums :: Vector int -> Int -> Int -> Vector Double ---sobolNums dir_vct beg_offs end_offs = - - --- ifoldl :: Unbox b => (a -> Int -> b -> a) -> a -> Vector b -> a diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Date.hs b/benchmarks/InterestCalib/implementations/haskell_lh/Date.hs deleted file mode 100644 index fe3be36..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/Date.hs +++ /dev/null @@ -1,155 +0,0 @@ -module Date ( - today - , max_date - , min_date - , dateAct365 - , addMonths - , addYears - , test_dates - ) where - -import Constants -import Debug.Trace - -type GregDate = (Int,Int,Int,Int,Int) -- (year,month,day,hour,min) - -today :: Double -today = fromIntegral $ date_of_gregorian (2012, 1, 1, 12, 0) - ---"2299-12-31T23:59:59" -max_date :: Double -max_date = 168307199.0 - ---"1980-01-01T12:00:00" -min_date :: Double -min_date = 3600.0 - -hours_in_day :: Int -hours_in_day = 24 -minutes_in_day = hours_in_day * 60 -minutes_to_noon = (hours_in_day `div` 2) * 60 - - -date_of_gregorian :: GregDate -> Int -date_of_gregorian (year,month,day,hour,min) = - let ym = if month == 1 || month == 2 - then ( 1461 * ( year + 4800 - 1 ) ) `div` 4 + - ( 367 * ( month + 10 ) ) `div` 12 - - ( 3 * ( ( year + 4900 - 1 ) `div` 100 ) ) `div` 4 - - else ( 1461 * ( year + 4800 ) ) `div` 4 + - ( 367 * ( month - 2 ) ) `div` 12 - - ( 3 * ( ( year + 4900 ) `div` 100 ) ) `div` 4 - - tmp = ym + day - 32075 - 2444238 - - in tmp * minutes_in_day + hour * 60 + min - - -gregorian_of_date :: Int -> GregDate -gregorian_of_date minutes_since_epoch = - let jul = minutes_since_epoch `div` minutes_in_day - l1 = jul + 68569 + 2444238 - n = ( 4 * l1 ) `div` 146097 - l2 = l1 - ( 146097 * n + 3 ) `div` 4 - i = ( 4000 * ( l2 + 1 ) ) `div` 1461001 - - l3 = l2 - ( 1461 * i ) `div` 4 + 31 - j = ( 80 * l3 ) `div` 2447 - d = l3 - ( 2447 * j ) `div` 80 - l = j `div` 11 - - m = j + 2 - ( 12 * l ) - y = 100 * ( n - 49 ) + i + l - - daytime = mod minutes_since_epoch minutes_in_day - - in if ( daytime == minutes_to_noon ) - then (y, m, d, 12, 0) - else (y, m, d, daytime `div` 60, mod daytime 60) - -check_date :: Int -> Int -> Int -> Bool -check_date year month day = - let tmp1 = (1 <= day) && (1 <= month) && (month <= 12) && (1980 <= year) && (year <= 2299) - tmp2 = (day <= 28) - tmp3 = if (month == 2) - then (day == 29) && ((mod year 4) == 0) && ( year == 2000 || (not ((mod year 100) == 0)) ) - else if ( month == 4 || month == 6 || month == 9 || month == 11 ) - then ( day <= 30 ) - else ( day <= 31 ) - in tmp1 && (tmp2 || tmp3) - - -days_between :: Double -> Double -> Double -days_between t1 t2 = (t1 - t2) / (fromIntegral minutes_in_day) - -dateAct365 :: Double -> Double -> Double -dateAct365 t1 t2 = (days_between t1 t2) / 365.0 - -leap :: Int -> Bool -leap y = ( (mod y 4) == 0 ) && ( not ( (mod y 100) == 0 ) || ( (mod y 400) == 0 ) ) - -end_of_month :: Int -> Int -> Int -end_of_month year month = - let leap_year = leap year - in if ( month == 2 && leap_year ) then 29 - else if ( month == 2 ) then 28 - else if ( month == 4 || month == 6 || month == 9 || month == 11 ) then 30 - else 31 - -addMonths :: Double -> Double -> Double -addMonths time rnbmonths = - let nbmonths = truncate rnbmonths - (year,month,day,hour,min) = gregorian_of_date (truncate time) - - month1 = month + nbmonths - year'' = year + (month1 - 1) `div` 12 - month'' = (mod (month1 - 1) 12) + 1 - - (year''', month''') = if (month'' <= 0) - then (year''-1, month'' + 12) - else (year'', month'') - month_end = end_of_month year''' month''' - day''' = if ( day < month_end ) - then day - else month_end - in fromIntegral $ date_of_gregorian (year''', month''', day''', 12, 0) - - -addYears :: Double -> Double -> Double -addYears date nbyears = addMonths date (nbyears * 12.0) - -test_dates :: Int -> Int -test_dates arg = - let tmp1 = trace ("addMonths(min_date,1)==48240 : ") $ addMonths min_date 1.0 - arg1 = if equalEps tmp1 48240.0 - then trace ("... SUCCESS !") arg - else trace ("... FAILS !") arg - - tmp2 = trace ("addMonths(min_date,2)==90000 : ") $ addMonths min_date 2.0 - arg2 = if equalEps tmp2 90000.0 - then trace ("... SUCCESS !") arg1 - else trace ("... FAILS !") arg1 - - tmp3 = trace ("addYears(min_date,1)==530640 : ") $ addYears min_date 1.0 - arg3 = if equalEps tmp3 530640.0 - then trace ("... SUCCESS !") arg2 - else trace ("... FAILS !") arg2 - - tmp4 = trace ("addYears(min_date,5)==2634480 : ") $ addYears min_date 5.0 - arg4 = if equalEps tmp4 2634480.0 - then trace ("... SUCCESS !") arg3 - else trace ("... FAILS !") arg3 - - tmp5 = trace ("days_between(max_date(),min_date()) == 116877.499306 : ") $ days_between max_date min_date - arg5 = if equalEps tmp5 116877.499305555 - then trace ("... SUCCESS !") arg4 - else trace ("... FAILS !") arg4 - - tmp6 = trace ("act_365(max_date,min_date) == 320.212327 : ") $ dateAct365 max_date min_date - arg6 = if equalEps tmp6 320.2123268645 - then trace ("... SUCCESS !") arg5 - else trace ("... FAILS !") arg5 - - in arg6 - diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs b/benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs deleted file mode 100644 index 847b008..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs +++ /dev/null @@ -1,214 +0,0 @@ -module EvalGenome - ( - evalGenome - , testSwaptionPricer - ) where - -import Data.List -import Data.Vector.Unboxed(Vector) -import qualified Data.Vector.Unboxed as V -import Control.DeepSeq - -import Constants -import Date -import MathMod - -import Debug.Trace - - - ----------------------------------- ---- Main Export of this Module --- ----------------------------------- -evalGenome :: [Double] -> [Double] -> [Swaption] -> Vector Double - -> ( Double, Vector Double, Vector Double ) -- (logLik,calib_prices, black_prices) [NUM_SWAP_QUOTES] -evalGenome hermite_coeffs hermite_weights swaption_quotes genome = - let genome_tup = -- (a, b, rho, nu, sigma) = - (genome V.! 0, genome V.! 1, genome V.! 2, genome V.! 3, genome V.! 4) - - (black_prices, swap_prices, swap_logLiks) = unzip3 $ - map (pricerOfSwaption hermite_coeffs hermite_weights genome_tup) swaption_quotes - - swap_logLik = reduce (+) 0.0 swap_logLiks - swap_price_vct = V.fromList swap_prices - black_price_vct= V.fromList black_prices - - in swap_logLik `deepseq` swap_price_vct `deepseq` black_price_vct `deepseq` - ( swap_logLik, swap_price_vct, black_price_vct ) - -- ( swap_logLik, V.fromList swap_prices, V.fromList black_prices ) - - -pricerOfSwaption :: [Double] -> [Double] -> Genome -> Swaption - -> (Double, Double, Double) -- (Black Price, Swapt Price, LogLikelihood) -pricerOfSwaption hermite_coeffs hermite_weights -- Hermite coefficients & weights - genome (sw_mat, sw_freq, sw_ty, sw_quote) = -- swaption - - let (a, b, rho, nu, sigma) = genome - maturity = addYears today sw_mat - n_schedi = truncate $ 12.0 * sw_ty / sw_freq - tmat0 = dateAct365 maturity today - - -- 1. compute quote, i.e., black price inlined - (lvl,t0,tn) = swapSchedule n_schedi maturity sw_freq - strike = ( (zc t0) - (zc tn) ) / lvl - d1 = 0.5 * sw_quote * tmat0 - d2 = 0.0 - d1 - black_price = ( lvl * ( strike * (uGaussianP d1) - strike * (uGaussianP d2) ) ) - - -- 2. estimate the swaption price for this particular genome, - -- and also compute its likelihood - (v0_mat,_,_) = bigV genome tmat0 - mux = 0.0 - (bigmX genome today maturity today maturity) - muy = 0.0 - (bigmY genome today maturity today maturity) - zc_mat = zc maturity - sqrt_bfun_a = sqrt $ bFun (2.0*a) tmat0 - sqrt_bfun_b = sqrt $ bFun (2.0*b) tmat0 - rhoxy = rho * (bFun (a+b) tmat0) / (sqrt_bfun_a * sqrt_bfun_b) - sigmax = sigma * sqrt_bfun_a - sigmay = nu * sqrt_bfun_b - rhoxyc = 1.0 - rhoxy * rhoxy - rhoxycs = sqrt rhoxyc - sigmay_rhoxycs = sigmay * rhoxycs - t4 = (rhoxy * sigmay) / sigmax - - (cs, t1_cs, bas, bbs, aics, log_aics, scales) = unzip7 $ - map (\ i -> - let beg_date = addMonths maturity (sw_freq*(fromIntegral i)) - end_date = addMonths beg_date sw_freq - res = (dateAct365 end_date beg_date) * strike - - cii = if i == n_schedi-1 then 1.0 + res else res - - date_tod1 = dateAct365 end_date today - (v0_end,_,_) = bigV genome date_tod1 - - date_tod2 = dateAct365 end_date maturity - (vt_end,bai,bbi) = bigV genome date_tod2 - - expo_aici = 0.5 * (vt_end - v0_end + v0_mat) - fact_aici = cii * zc(end_date) / zc_mat - - t1_c = bbi * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbi) ) + expo_aici - -- sanity = ! ( isinf(aici[i]) || isnan(aici[i]) ); - in ( fact_aici, t1_c, bai, bbi, fact_aici * (exp expo_aici), - expo_aici + (log fact_aici), 0.0 - (bai + bbi * t4) ) - ) [0..n_schedi-1] - - exactYhatSpec = exactYhat n_schedi b sigmax sigmay - rhoxy rhoxyc rhoxycs mux muy - bas bbs aics log_aics - eps = 0.5 * sigmax; - f = exactYhatSpec mux - g = exactYhatSpec (mux + eps) - h = exactYhatSpec (mux - eps) - df = 0.5 * ( g - h ) / eps; - - sqrt2sigmax = (sqrt 2.0) * sigmax - t2 = rhoxy / (sigmax*rhoxycs) - - accums = - zipWith (\x_quad w_quad -> - let x = sqrt2sigmax * x_quad + mux - yhat_x = f + df*(x - mux) - h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ) - - accs1= zipWith4 (\bbi t1_csi ci scalei -> - let h2 = h1 + bbi * sigmay_rhoxycs - expo_aici = t1_csi + scalei*x - fact_aici = ci - --fact_aici * (exp expo_aici) * (uGaussianP (-h2)) - expo_part = uGaussianPwithExpFactor (-h2) expo_aici - in fact_aici * expo_part - ) bbs t1_cs cs scales - accum= reduce (+) 0.0 accs1 - - tmp = (sqrt 2.0) * x_quad; --(x - mux) / sigmax; - t1 = exp $ 0.0 - 0.5*tmp*tmp - - in w_quad * t1 * ( (uGaussianP (-h1)) - accum ) - - ) hermite_coeffs hermite_weights - - accum = reduce (+) 0.0 accums - - swap_price = zc_mat * ( accum / (sqrt pi) ) - logLik = logLikelihood black_price swap_price - in (black_price, swap_price, logLik) --- tmp = (swap_price - black_price) / black_price --- in (black_price, swap_price, tmp * tmp) - - ---kkk :: Double ---kkk = -3.71901648545568 - -exactYhat :: Int -> Double -> Double -> Double -> Double - -> Double -> Double -> Double -> Double - -> [Double] -> [Double] -> [Double] -> [Double] - -> Double -> Double -exactYhat n_schedi b sigmax sigmay rhoxy rhoxyc rhoxycs mux muy - bai bbi aici log_aici x = - let kkk = -3.71901648545568 - (scales, los) = unzip $ zipWith4 - (\ baii bbii aicii log_aicii -> - let baix = baii * x - up_term = aicii * (exp (-baix)) - lo_term = ( log_aicii - baix ) / bbii - in (up_term, lo_term) - ) bai bbi aici log_aici - (up0,lo) = reduce (\(u,l) (cu,cl) -> (u+cu, max l cl) ) - (0.0, -infty) (zip scales los) - - in if n_schedi == 1 then lo - else - let log_s = log up0 - tmp = log_s / (last bbi) -- [n_schedi-1]; - up = if tmp <= 0.0 - then tmp - else let tmp2 = log_s / (head bbi) - in if 0.0 <= tmp2 - then tmp2 - else (-infty) - yl = lo - eps - yu = up + eps - - y0 = sigmay * ( rhoxy * (x-mux) / sigmax + kkk * rhoxycs ) - rhoxyc/b + muy - y1 = sigmay * ( rhoxy * (x-mux) / sigmax - kkk * rhoxycs ) + muy - in if ( y1 <= yl ) then y1 + 1.0 - else if ( yu <= y0 ) then y0 - 1.0 - else let root_lb = max yl y0 - root_ub = min yu y1 - (root,_,err) = rootFindBrent scales bbi root_lb root_ub 1.0e-4 - in if err == (-infty) then y0 - 1.0 - else if err == infty then y1 + 1.0 - else root - - -testSwaptionPricer :: [Double] -> [Double] -> Int -> Int -testSwaptionPricer hermite_coeffs hermite_weights arg0 = - let genome = (0.02453, 0.98376, -0.82400, 0.11830, 0.02398) - - swaption1 = (10.0, 6.0, 4.0, 0.2454) - (_,price1,_) = pricerOfSwaption hermite_coeffs hermite_weights genome swaption1 - price1' = trace ("# Pricer_of_swaption test I = 657.8215929143189 => ") $ - 1.0e4 * price1 - arg1 = if equalEps price1' 657.8215929143189 -- 657.82158867845 - then trace ("... SUCCESS !") arg0 - else trace ("... FAILS !"++show price1') arg0 - - swaption2 = (30.0, 6.0, 30.0, 0.16355) - (_,price2,_) = pricerOfSwaption hermite_coeffs hermite_weights genome swaption2 - price2' = trace ("# Pricer_of_swaption test II = 1902.97628191498 => ") $ - 1.0e4 * price2 - arg2 = if equalEps price2' 1902.97628191498 - then trace ("... SUCCESS !") arg1 - else trace ("... FAILS !") arg1 - - swaption3 = (30.0, 6.0, 25.0, 0.1686) - (_,price3,_) = pricerOfSwaption hermite_coeffs hermite_weights genome swaption3 - price3' = trace ("# Pricer_of_swaption test III = 1840.859126408099 => ") $ - 1.0e4 * price3 - arg3 = if equalEps price3' 1840.859126408099 - then trace ("... SUCCESS !") arg2 - else trace ("... FAILS !") arg2 - in arg3 - diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs b/benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs deleted file mode 100644 index ee5d8fd..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs +++ /dev/null @@ -1,128 +0,0 @@ -module Genome ( - g_mins - , g_maxs - , mutateDimsALL - , mutateDimsONE - , mcmcDE - ) where - -import Constants - -import Data.Vector.Unboxed(Vector) -import qualified Data.Vector.Unboxed as V - -import Debug.Trace - -g_mins :: Vector Double -g_mins = V.fromList [ eps0, eps0, -1.0+eps0, eps0, eps0 ] - -g_maxs :: Vector Double -g_maxs = V.fromList [ 1.0-eps0, 1.0-eps0, 1.0-eps0, 0.2, 0.2 ] - -g_inis :: Vector Double -g_inis = V.fromList [ 0.02, 0.02, 0.0, 0.01, 0.04 ] --- [ g_a, g_b, g_rho, g_nu, g_sigma ] - -unif_ampl_ratio :: Double -unif_ampl_ratio = 0.005 / genome_scale - - - --- rand_vct[5], i.e., needs 5 random numbers -mutateDimsALL :: Vector Double -> Vector Double -> Vector Double - -> (Vector Double, Double) -mutateDimsALL genome genome_prop rand_vct = -- 5 rand nums - let (genome_res, bf_facts) = V.unzip $ - V.zipWith5 (mutateHelper unif_ampl_ratio) - rand_vct g_mins g_maxs genome genome_prop - bf_res = V.foldl (*) 1.0 bf_facts - in (genome_res, bf_res) - - --- needs one random number -mutateDimsONE :: Int -> Vector Double -> Vector Double -> Vector Double - -> (Vector Double, Double) -mutateDimsONE dim_j genome genome_prop rand_vct = -- r01 1 rand num - let (gene, gene_prop) = (genome V.! dim_j, genome_prop V.! dim_j) - (gene_min, gene_max) = (g_mins V.! dim_j, g_maxs V.! dim_j) - r01 = rand_vct V.! dim_j - - (gene_new, bf_res) = mutateHelper unif_ampl_ratio r01 - gene_min gene_max gene gene_prop - genome_res = V.imap (\i g -> if i == dim_j then gene_new else g) genome - in (genome_res, bf_res) - - --- rand_vct[8], i.e., needs 8 random numbers -mcmcDE :: Int -> [Vector Double] -> Vector Double -> Int - -> (Vector Double, Double) -mcmcDE pop_size genomes rand_vct j = -- 8 rand nums - let gamma_avg = 2.38 / (sqrt (2.0*(fromIntegral genome_dim))) - ampl_ratio = 0.1 * unif_ampl_ratio - - k0 = truncate $ (fromIntegral (pop_size-1))*(rand_vct V.! 0) - (k, cand_UB) = if ( k0 == j ) - then (pop_size - 1, pop_size - 2) - else (k0, pop_size - 1) - - l0 = truncate $ (fromIntegral cand_UB)*(rand_vct V.! 1) - l = -- trace ("(k,j,l0,cand_UB) is: "++show k++" "++show j++" "++show l0++" "++show cand_UB) $ - if l0 == j || l0 == k - then cand_UB - else l0 - - -- proposal gamma: integrated out from the adviced - -- Multivariate Gaussian with Gaussian target (Braak, 2006) - gamma1 = gamma_avg - 0.5 + (rand_vct V.! 2) -- * instead of + ? - - gene_rands = V.drop 3 rand_vct - (genome_j, genome_k, genome_l) = (genomes !! j, genomes !! k, genomes !! l) - -- g_a [j + POP_SIZE] = constrain_dim1( 0, perturbation( g_a [j], g_a [k], g_a [l], 0, gamma1, ampl_ratio ) ); - genome_res = V.zipWith6 (perturbation gamma1 ampl_ratio) - gene_rands g_mins g_maxs genome_j genome_k genome_l - in (genome_res, 1.0) - ---perturbation gamma1 amplitude_ratio r01 gene_min gene_max gene gene_k gene_l - ----------------------------------------- ----------------------------------------- ----------- Helper Functions ------------ ----------------------------------------- ----------------------------------------- - -mutateHelper :: Double -> Double -> Double -> Double -> Double -> Double - -> (Double, Double) -mutateHelper amplitude_ratio r01 gene_min gene_max gene gene_prop = - let amplitude = abs $ (gene_max - gene_min) * amplitude_ratio - semiamplitude = amplitude / 2.0 - - tmp_min_max_f = min gene_max (gene + semiamplitude) - tmp_max_min_f = max gene_min (gene - semiamplitude) - forward_range = tmp_min_max_f - tmp_max_min_f - - bf_fact = if forward_range > 0.0 && amplitude > 0.0 - then let tmp_min_max_b = min gene_max (gene_prop + semiamplitude) - tmp_max_min_b = max gene_min (gene_prop - semiamplitude) - backward_range = tmp_min_max_b - tmp_max_min_b - in backward_range / forward_range - else 1.0 - diff = amplitude * r01 - semiamplitude - new_gene = constrainDim gene_min gene_max (gene+diff) - in (new_gene, bf_fact) - -constrainDim :: Double -> Double -> Double -> Double -constrainDim gene_min gene_max gene = - max gene_min $ min gene_max gene - - -perturbation :: Double -> Double -> Double -> Double - -> Double -> Double -> Double -> Double - -> Double -perturbation gamma1 amplitude_ratio r01 gene_min gene_max gene gene_k gene_l = - let amplitude = abs $ (gene_max - gene_min) * amplitude_ratio - semiamplitude = amplitude / 2.0 - perturb = amplitude * r01 - semiamplitude - new_gene = constrainDim gene_min gene_max $ - gene + perturb + gamma1 * ( gene_k - gene_l ) - in new_gene - diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs b/benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs deleted file mode 100644 index bc90ded..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs +++ /dev/null @@ -1,390 +0,0 @@ -module MathMod - ( - uGaussianP - , uGaussianPwithExpFactor - , zc - , bigV - , bigmX - , bigmY - , bFun - , rootFindBrent - , swapSchedule - , blackPrice - , logLikelihood - , testMathMod - , testG2ppUtil - ) where - -import Constants -import Date - -import Debug.Trace - ---let (p, a1, a2, a3, a4, a5) = --- (0.3275911, 0.254829592, -0.284496736, 1.421413741, -1.453152027, 1.061405429) - ---------------------------------------------------------------------------- ---- polynomial expansion of the erf() function, with error<=1.5e-7 ---- formula 7.1.26 (page 300), Handbook of Mathematical Functions, Abramowitz and Stegun ---- http://people.math.sfu.ca/~cbm/aands/frameindex.htm ---------------------------------------------------------------------------- -erffPolyOnly :: Double -> Double -erffPolyOnly x = - let (p, a1, a2, a3, a4, a5) = - (0.3275911, 0.254829592, -0.284496736, 1.421413741, -1.453152027, 1.061405429) - t = 1.0/(1.0+p*x) - t2 = t * t - t3 = t * t2 - t4 = t2 * t2 - t5 = t2 * t3 - in (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5) - -erff1 :: Double -> Double -erff1 x = - let poly = erffPolyOnly x - in ( 1.0 - poly * exp(0.0-(x*x)) ) - --- Cumulative Distribution Function for a standard normal distribution -uGaussianP :: Double -> Double -uGaussianP x = - let u = x / sqrt(2.0) - e = if u < 0.0 - then 0.0 - (erff1 (0.0-u)) - else erff1 u - in ( 0.5 * (1.0 + e) ) - -uGaussianPwithExpFactor :: Double -> Double -> Double -uGaussianPwithExpFactor x exp_factor = - let u = abs ( x / (sqrt 2.0) ) - e = erffPolyOnly u - res = 0.5 * e * ( exp (exp_factor - u*u) ) - in if x >= 0.0 - then (exp exp_factor) - res - else res - ---------------------------------------------------------------------------- --- THE FUNction-PARAMeter to rootFinding_Brent --- if fid = 33 then for testing to_solve(real x) = (x+3.0)*(x-1.0)*(x-1.0) --- Otherwise follows the real implementation --- N is the size of scales (bbi) ---------------------------------------------------------------------------- -toSolve :: [Double] -> [Double] -> Double -> Double -toSolve scales bbs yhat = - let res_map = zipWith ( \scale bb -> scale * (exp (0.0 - bb * yhat)) ) scales bbs - res_red = reduce (+) 0.0 res_map - in res_red - 1.0 - -toSolveTest :: [Double] -> [Double] -> Double -> Double -toSolveTest _ _ yhat = - (yhat+3.0)*(yhat-1.0)*(yhat-1.0) - -max_num_brent_iters :: Int -max_num_brent_iters = 10000 - -rootFindBrentGen :: ([Double] -> [Double] -> Double -> Double) -- toSolve function - -> [Double] -> [Double] -> Double -> Double -> Double -- scales bbs lb ub tolerance - -> (Double, Int, Double) -- Result: (root, # needed iter, fb) -rootFindBrentGen toSolveFun scales bbs lb ub toll = - let tol = if toll <= 0.0 then 1.0e-9 else toll - (a, b) = (lb, ub) - fa = toSolveFun scales bbs a - fb = toSolveFun scales bbs b - - in if fa*fb >= 0.0 - then (0.0, 0, if a >= 0.0 then infty else 0.0-infty) - else - let (a', fa', b', fb') = if (abs fa) < (abs fb) - then (b, fb, a, fa) - else (a, fa, b, fb) - in brentWhileLoop (toSolveFun scales bbs) - tol 0 True 0.0 a' fa' b' fb' a' fa' - -rootFindBrent :: [Double] -> [Double] -- scales bbs - -> Double -> Double -> Double -- lb ub tolerance - -> (Double, Int, Double) -rootFindBrent = rootFindBrentGen toSolve - -brentWhileLoop :: (Double -> Double) -- toSolve function - -> Double -> Int -> Bool -> Double - -> Double -> Double -> Double -> Double -> Double -> Double - -> (Double, Int, Double) -brentWhileLoop toSolveFun tol i mflag d a fa b fb c fc = - if (fb == 0.0) || (abs (b-a)) < tol || i >= max_num_brent_iters - then (b, i, fb) - else let s = if (fa == fc) || (fb == fc) - then b - fb * (b - a) / (fb - fa) - else let s1 = ( a*fb*fc ) / ( (fa-fb)*(fa-fc) ) - s2 = ( b*fa*fc ) / ( (fb-fa)*(fb-fc) ) - s3 = ( c*fa*fb ) / ( (fc-fa)*(fc-fb) ) - in s1 + s2 + s3 - cond = ( (3.0 * a + b) / 4.0 > s || s > b ) || - ( mflag && (abs (b-c)) / 2.0 <= (abs (s-b)) ) || - ( not mflag && (abs (c-d)) / 2.0 <= (abs (s-b)) ) || - ( mflag && (abs (b-c)) <= (abs tol) ) || - ( not mflag && (abs (c-d)) <= (abs tol) ) - (mflag', s') = if cond - then ( True , (a+b)/2.0 ) - else ( False, s ) - - fs' = toSolveFun s' - - (d', c', fc') = (c, b, fb) - (a', fa', b', fb') = if fa*fs' < 0.0 - then (a, fa, s', fs') - else (s', fs', b, fb) - (a'', fa'', b'', fb'') = - if (abs fa') < (abs fb') - then (b', fb', a', fa') - else (a', fa', b', fb') - - in brentWhileLoop toSolveFun tol (i+1) mflag' d' a'' fa'' b'' fb'' c' fc' - -testMathMod :: Int -> Int -testMathMod arg0 = - let (scales, bbs) = ([ 0.0 ], [ 0.0 ]) - - -- Rootfinder.brent (fun x -> (x+.3.)*.(x-.1.)**2.) (-4.) (4./.3.) 1e-4 == -3 - (tmp1,_,_) = trace ("# Brent test: -3.0 => ") $ - rootFindBrentGen toSolveTest scales bbs (0.0-4.0) (4.0/3.0) 0.0 - arg1 = if equalEps tmp1 (0.0 - 3.0) - then trace ("... SUCCESS !") arg0 - else trace ("... FAILS !") arg0 - - -- erff 0. == 0. ;; 100. *. erff (1./.sqrt 2.) - tmp2 = trace ("# Erf test => ") $ - 100.0 * ( erff1 (1.0 / (sqrt 2.0)) ) - arg2 = if (equalEps (erff1 0.0) 0.0) && (equalEps tmp2 68.26894723352726) - then trace ("... SUCCESS !") arg1 - else trace ("... FAILS !") arg1 - - -- ugaussian_P 0. ;; ugaussian_P 1. +. ugaussian_P (-1.) - tmp3 = trace ("# Gaussian test => ") $ - (uGaussianP (0.0-1.0)) + (uGaussianP 1.0) - arg3 = if (equalEps (uGaussianP 0.0) 0.5) && (equalEps tmp3 1.0) - then trace ("... SUCCESS !") arg2 - else trace ("... FAILS !") arg3 - in arg3 - --------------------------------------- --------------------------------------- -rrr :: Double -rrr = 0.03 - -zc :: Double -> Double -zc t = exp (0.0 - rrr * (dateAct365 t today) ) - -bFun :: Double -> Double -> Double -bFun z0 tau = ( 1.0 - (exp (0.0 - z0*tau)) ) / z0 - -tFun :: Double -> Double -> Double -> Double -tFun sigma x0 tau = - let expxtau = exp ( 0.0 - x0*tau ) - exp2xtau = expxtau*expxtau - in sigma*sigma/(x0*x0) * ( tau + 2.0/x0*expxtau-1.0/(2.0*x0)*exp2xtau-3.0/(2.0*x0) ) - --- the first parameter `genome' is the five-genes genome used in --- the genetic algorithms that models the interest rate --- the second parameter is the time --- the result is V in Brigo and Mercurio's book page 148. --- \var(\int_t^T [x(u)+y(u)]du) -bigV :: Genome -> Double - -> (Double,Double,Double) -bigV (a,b,rho,nu,sigma) tau = - let bai = bFun a tau - bbi = bFun b tau - v = tFun sigma a tau - o1 = tFun nu b tau - o2 = 2.0 * rho * nu * sigma / (a * b)* - ( tau - bai - bbi + (bFun (a+b) tau) ) - in (v + o1 + o2, bai, bbi) - - --- the first parameter `genome' is the five-genes genome used in --- the genetic algorithms that models the interest rate --- the other parameter are times: today, maturity, and the --- lower and upper bound of the considered time interval --- --- the result is: x drift term in tmat-forward measure - -bigmX :: Genome -> Double -> Double -> Double -> Double - -> Double -bigmX (a,b,rho,nu,sigma) iday tmat s t = - let ts = dateAct365 t s - tmatt = dateAct365 tmat t - - tmat0 = dateAct365 tmat iday - tmats = dateAct365 tmat s - - t0 = dateAct365 t iday - s0 = dateAct365 s iday - - tmp0 = (sigma*sigma)/(a*a)+(sigma*rho*nu)/(a*b) - tmp1 = 1.0 - (exp (0.0 - a*ts)) - - tmp2 = sigma * sigma / (2.0 * a * a) - tmp3 = (exp (0.0 - a*tmatt)) - (exp (0.0 - a*(tmats+ts))) - - tmp4 = rho * sigma * nu / (b * (a + b)) - tmp5 = (exp (0.0 - b*tmatt)) - (exp (0.0 -b*tmat0 - a*t0 + (a+b)*s0)) - - in tmp0*tmp1 - tmp2*tmp3 - tmp4*tmp5 - - --- the first parameter `genome' is the five-genes genome used in --- the genetic algorithms that models the interest rate --- the other parameter are times: today, maturity, and the --- lower and upper bound of the considered time interval --- --- the result is: y drift term in tmat-forward measure -bigmY :: Genome -> Double -> Double -> Double -> Double - -> Double -bigmY (a,b,rho,nu,sigma) iday tmat s t = - let ts = dateAct365 t s - tmatt = dateAct365 tmat t - tmat0 = dateAct365 tmat iday - tmats = dateAct365 tmat s - t0 = dateAct365 t iday - s0 = dateAct365 s iday - - tmp0 = nu*nu/(b*b)+sigma*rho*nu/(a*b) - tmp1 = 1.0 - (exp (0.0 - b*ts)) - - tmp2 = nu * nu / (2.0 * b * b) - tmp3 = (exp (0.0 -b*tmatt)) - (exp (0.0 - b*(tmats + ts))) - - tmp4 = sigma * rho * nu / (a * (a + b)) - tmp5 = (exp (0.0 - a*tmatt)) - (exp (0.0 - a*tmat0 - b*t0 + (a+b)*s0)) - - in tmp0*tmp1 - tmp2*tmp3 - tmp4*tmp5 - - - -swapSchedule :: Int -> Double -> Double - -> (Double, Double, Double) -swapSchedule nschedule maturity freq = - let lvlt0tns = - map (\j -> let i = fromIntegral j - a1 = addMonths maturity (freq*i) - a2 = addMonths a1 freq - lvl = (zc a2) * (dateAct365 a2 a1) - in (lvl, a1, a2) - ) [0..nschedule-1] - -- Reduction( lvl: +, t0 : min, tn : max ) - in reduce (\ (l,ti,tf) (lvl,tini, tfin) -> - (l+lvl, min ti tini, max tf tfin) - ) (0.0, max_date, min_date) lvlt0tns - - -blackPrice :: Double -> Swaption -> Double -blackPrice iday (sw_mat, sw_freq, sw_ty, sw_vol) = - let maturity = addYears iday sw_mat - sqrtt = dateAct365 maturity iday - n_schedule = truncate $ 12.0 * sw_ty / sw_freq - (lvl,t0,tn) = swapSchedule n_schedule maturity sw_freq - - strike = ( (zc t0) - (zc tn) ) / lvl - d1 = 0.5 * sw_vol * sqrtt - d2 = 0.0 - d1 - in ( lvl * ( strike * (uGaussianP d1) - strike * (uGaussianP d2) ) ) - - -testG2ppUtil :: Int -> Int -testG2ppUtil arg0 = - let (iday, tmat, s, t) = (9000.0, 18000.0, 400000.0, 9000000.0) - - res_b_fun = trace ("# bFun test = 0.30490117 => ") $ - bFun 3.24 1.362 - arg1 = if equalEps res_b_fun 0.30490117 - then trace ("... SUCCESS !") arg0 - else trace ("... FAILS !") arg0 - - res_bigmX = trace ("# bigmX test = -0.2356067470979 => ") $ - bigmX (0.02, 0.02, 0.0, 0.01, 0.04) iday tmat s t - arg2 = if equalEps res_bigmX (-0.2356067470979) - then trace ("... SUCCESS !") arg1 - else trace ("... FAILS !") arg1 - - res_bigmY = trace ("# bigmY test = -0.01472542169362 => ") $ - bigmY (0.02, 0.02, 0.0, 0.01, 0.04) iday tmat s t - arg3 = if equalEps res_bigmY (-0.01472542169362) - then trace ("... SUCCESS !") arg2 - else trace ("... FAILS !") arg2 - - (res_bigv1, res_bigv2, res_bigv3) = - trace ("# bigv test = { 7.8288965347e-4, 1.107549139, 1.107549139 } => ") $ - bigV (0.02, 0.02, 0.0, 0.01, 0.04) 1.12 - arg4 = if (equalEps res_bigv1 7.8288965347e-4) && - (equalEps res_bigv2 1.107549139) && - (equalEps res_bigv3 1.107549139) - then trace ("... SUCCESS !") arg3 - else trace ("... FAILS !") arg3 - - (sw_mat,freq,sw_ty) = (10.0, 6.0, 4.0) - - (maturity, strike) = (22094640.0, 0.030226283149239714) - swap_schedule1 = [ 22094640.0, 22355280.0, 22620240.0, 22880880.0, - 23145840.0, 23407920.0, 23672880.0, 23933520.0 ] - swap_schedule2 = [ 22355280.0, 22620240.0, 22880880.0, 23145840.0, - 23407920.0, 23672880.0, 23933520.0, 24198480.0 ] - - vol = 0.2454 - black_price_res = - trace ("# Testing Black Price = 654.1429648454 => ") $ - (blackPrice today (sw_mat, freq, sw_ty, vol)) * 10000.0 - arg5 = if (equalEps black_price_res 654.1429648454) - then trace ("... SUCCESS !") arg4 - else trace ("... FAILS !") arg4 - in arg5 - - --------------------------------------- -------- Likelihood Measures ---------- --------------------------------------- - -sqrtTwoPi :: Double -sqrtTwoPi = sqrt (2*pi) - -data Likelihood_Type = CAUCHY | NORMAL - -llhood_type :: Likelihood_Type -llhood_type = CAUCHY -- NORMAL; - -llhood_cauchy_offs :: Double -llhood_cauchy_offs = 5.0 - -llhood_normal_offs :: Double -llhood_normal_offs = 1.0 - - - -normalPdf :: Double -> Double -> Double -> Double -normalPdf z mu sigma = - let sigmap = abs sigma - res = 1.0 / (sigmap * sqrtTwoPi) - ecf = (z - mu) * (z - mu) / (2.0 * sigmap * sigmap) - in res * (exp (0.0 - ecf)) - -cauchyPdf :: Double -> Double -> Double -> Double -cauchyPdf z mu gamma = - let x = (z - mu) / gamma - in 1.0 / ( pi * gamma * ( 1.0 + x*x ) ) - -logLikelihoodNormal :: Double -> Double -> Double -logLikelihoodNormal y_ref y = - let sigma = (y_ref / 50.0) * llhood_normal_offs - pdfs = normalPdf y y_ref sigma - in log (1.0e-20 + pdfs) - -logLikelihoodCauchy :: Double -> Double -> Double -logLikelihoodCauchy y_ref y = - let gamma = ( (abs y_ref) / 50.0 ) * llhood_cauchy_offs + 0.01 - pdfs = cauchyPdf y y_ref gamma - in log (1.0e-20 + pdfs) - - -logLikelihood :: Double -> Double -> Double -logLikelihood y_ref y = - case llhood_type of - NORMAL -> logLikelihoodNormal y_ref y - CAUCHY -> logLikelihoodCauchy y_ref y - diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs b/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs deleted file mode 100644 index 4a40bbe..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs +++ /dev/null @@ -1,308 +0,0 @@ -module Main where - -import Control.DeepSeq -import Control.Applicative -import Control.Monad -import Data.Maybe -import System.CPUTime - ------------------------------------- ---- Requires the installation of --- ---- Parsec package, i.e., --- ---- cabal install parsec --- ------------------------------------- - -import Text.Parsec hiding (optional, (<|>), token) -import Text.Parsec.String - -import Data.Bits -import Data.List -import Prelude - -import Control.DeepSeq -import Data.Vector.Unboxed(Vector) -import qualified Data.Vector.Unboxed as V - -import Constants -import Date -import Genome -import EvalGenome -import MathMod - -import Debug.Trace - ------------------------------- ---- Parser-related Helpers --- ------------------------------- -signed :: Parser String -> Parser String -signed p = (char '-' >> (('-':) <$> p)) <|> p - -whitespace :: Parser () -whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) - -lexeme :: Parser a -> Parser a -lexeme p = p <* whitespace - -token :: String -> Parser () -token = void . lexeme . string - -readInt :: Parser Int -readInt = lexeme $ read <$> signed (many1 digit) - -readDouble :: Parser Double -readDouble = lexeme $ read <$> signed (s2 <|> s1) - where s1 = do bef <- many1 digit - aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) - return $ bef ++ aft - s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit - -readArray :: Parser a -> Parser [a] -readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") - ---------------------------------------------- ---------------------------------------------- - -findBestLik :: Int -> [Double] -> (Int, Double) -findBestLik pop_size log_liks = - reduce (\ (best_ind, best_logLik) (ind, logLik) -> - if (logLik > best_logLik) - then (ind, logLik) - else (best_ind, best_logLik) - ) (0, -100000000.0) (zip [0..pop_size-1] log_liks) - -makeSummary :: Vector Double -> Double -> Vector Double -> Vector Double - -> (Genome, Double, [[Double]]) -makeSummary win_genome win_logLik calib_prices black_prices = - let res_genome = ( win_genome V.! 0, win_genome V.! 1, win_genome V.! 2, - win_genome V.! 3, win_genome V.! 4 ) - res_summary= zipWith (\ price quote -> - let err_ratio = abs $ 100.0 * (price - quote) / quote - in [10000.0*price, 10000.0*quote, err_ratio] - ) (V.toList calib_prices) (V.toList black_prices) - in (res_genome, win_logLik, res_summary) - ---------------------------------------------- ----- The Monte-Carlo Convergence Loop ------- ---------------------------------------------- - -mcmcConvergenceLoop :: Int -> Int -> [Swaption] -> Vector Int -> [Double] -> [Double] -- loop read-only args - -> [Vector Double] -> [Vector Double] -> [Double] -> Int -> Int -- loop variant args - -> ( [Vector Double], [Vector Double], [Double], Int ) -mcmcConvergenceLoop pop_size num_mcmc_its swaption_quotes sobol_dir_vct hermite_coeffs hermite_weights - genomes_old genomes_new logLiks_old j sob_offs0 = - if j == num_mcmc_its - then (genomes_old, genomes_new, logLiks_old, sob_offs0) - else - -- select the way in which genomes are perturbed - let move_selected = sobolNum sobol_dir_vct sob_offs0 - sob_offs1 = sob_offs0 + 1 - move_type = selectMoveType move_selected - - -- perturb the genome population based on the selection - (sob_offs2, genomes_new', bf_rats') = - case move_type of - DIMS_ALL -> let sob_offs_new = sob_offs1 + pop_size*5 - rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) - [5*i+sob_offs1..5*i+sob_offs1+4] - ) [0..pop_size-1] - (g, bfrat) = unzip $ zipWith3 mutateDimsALL - genomes_old genomes_new rand_vcts - in sob_offs_new `deepseq` g `deepseq` bfrat `deepseq` - (sob_offs_new, g, bfrat) - - DIMS_ONE -> let sob_offs_new = sob_offs1 + pop_size*5 + 1 -- *1 - dim_j = truncate $ (fromIntegral genome_dim) * (sobolNum sobol_dir_vct sob_offs1) --- rand_nums = map (sobolNum sobol_dir_vct) --- [sob_offs1+1..sob_offs1+pop_size] - rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) - [5*i+sob_offs1+1..5*i+sob_offs1+5] - ) [0..pop_size-1] - -- create sobol numbers - (g, bfrat) = unzip $ zipWith3 (mutateDimsONE dim_j) - genomes_old genomes_new rand_vcts -- rand_nums - in sob_offs_new `deepseq` g `deepseq` bfrat `deepseq` - (sob_offs_new, g, bfrat) - - DEMCMC -> let sob_offs_new = sob_offs1 + pop_size*8 - rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) - [8*i+sob_offs1..8*i+sob_offs1+7] - ) [0..pop_size-1] - (g, bfrat) = unzip $ zipWith (mcmcDE pop_size genomes_old) - rand_vcts [0..pop_size-1] - - in sob_offs_new `deepseq` g `deepseq` bfrat `deepseq` - (sob_offs_new, g, bfrat) - - -- evaluate the new genome population - --(logLiks_new', _, _) = unzip3 $ map (evalGenome hermite_coeffs hermite_weights swaption_quotes) genomes_new' - (logLiks_new_th, sw_pr_th, bl_pr_th) = - unzip3 $ map (evalGenome hermite_coeffs hermite_weights swaption_quotes) genomes_new' - logLiks_new' = logLiks_new_th `deepseq` sw_pr_th `deepseq` bl_pr_th `deepseq` - logLiks_new_th - - -- decide which genomes to ACCEPT/update - rand_nums = map (sobolNum sobol_dir_vct) [sob_offs2..sob_offs2+pop_size-1] - sob_offs3 = sob_offs2 + pop_size - (genomes_old', logLiks_old') = unzip $ - zipWith6 (\ genome_old genome_new logLik_old logLik_new bf_rat r01 -> - let exp_term = logLik_new - logLik_old - acceptance = min 1.0 $ (exp exp_term) * bf_rat - in if r01 < acceptance - then (genome_new, logLik_new) - else (genome_old, logLik_old) - ) genomes_old genomes_new' logLiks_old logLiks_new' bf_rats' rand_nums -{- - sob_offs3' = if (j `mod` 16) == 0 - then let (w_ind, w_lik) = findBestLik pop_size logLiks_old' - in trace ("It: "++show j++" Best Lik: "++show w_lik++" Genome Index: "++show w_ind) - sob_offs3 - else sob_offs3 --} - in sob_offs3 `deepseq` genomes_old' `deepseq` genomes_new' `deepseq` logLiks_old' `deepseq` - mcmcConvergenceLoop pop_size num_mcmc_its swaption_quotes sobol_dir_vct hermite_coeffs hermite_weights - genomes_old' genomes_new' logLiks_old' (j+1) sob_offs3 - - ------------------------------------------------- ---- Main Entry Point: volatility calibration --- ------------------------------------------------- --- genome == { g_a, g_b, g_rho, g_nu, g_sigma } -compute :: Int -> Int -> [Swaption] -> [Double] -> [Double] -> Vector Int - -> (Genome,Double,[[Double]]) -compute pop_size num_mcmc_its swaption_quotes - hermite_coeffs hermite_weights sobol_dir_vct = - - let ---------------------------------------------------- - -- initialization stage: compute POP_SIZE genomes -- - ---------------------------------------------------- - sobol_off0= 1 - -- compute 5*POP_SIZE random numbers! - rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) - [5*i+sobol_off0..5*i+sobol_off0+4] - ) [0..pop_size-1] - -- initalize the genomes! - genomes = map (\ r01_vct5 -> - V.zipWith3 (\ g_max g_min r01 -> (g_max - g_min)*r01 + g_min ) - g_maxs g_mins r01_vct5 - ) rand_vcts - sobol_off1= sobol_off0 + pop_size*5 - - -- evaluate the just initalized genomes! - (logLiks_th,sw_pth,bl_pth)= unzip3 $ map (evalGenome hermite_coeffs hermite_weights swaption_quotes) genomes - (logLiks,_,_)= deepseq (logLiks_th,sw_pth,bl_pth) (logLiks_th,sw_pth,bl_pth) - - -- run the MCMC Convergence Loop - (genomes', genomes_prop', logLiks', sobol_off2) = - mcmcConvergenceLoop pop_size num_mcmc_its - swaption_quotes sobol_dir_vct - hermite_coeffs hermite_weights - genomes genomes logLiks 0 sobol_off1 - - -- find the best genome and recompute - -- the calibrated and reference price for it - (win_ind, win_logLik) = findBestLik pop_size logLiks' - win_genome = genomes' !! win_ind - (_, calib_prices, black_prices) = - evalGenome hermite_coeffs hermite_weights swaption_quotes win_genome - - -- format the result for printing - (res_genome, res_logLik, res_swap_arr) = makeSummary win_genome win_logLik calib_prices black_prices - - in (res_genome, res_logLik, res_swap_arr) - - - - ----------------------------------------------- ---- Formatting the Output of the Benchmark --- ----------------------------------------------- -validate :: (Genome,Double,[[Double]]) -> - (Genome,Double,[[Double]]) -> - (Int,Int,Int) -> [String] -validate ref_res win_res (pop_size, num_mcmc_its, num_of_swaptions) = - let ((ref_a, ref_b, ref_rho, ref_nu, ref_sigma), ref_logLik, ref_swap_arr) = ref_res - ((win_a, win_b, win_rho, win_nu, win_sigma), win_logLik, win_swap_arr) = win_res - - (is_valid, err_msg) = - if (abs (ref_logLik - win_logLik)) > 1.0 - then (False, "Difference in logLikelihood > 1.0: result logLik " - ++ show win_logLik ++", reference logLik = " ++ show ref_logLik ++ "!") - else if (win_logLik < ref_logLik) && (abs (ref_logLik - win_logLik)) > 0.4 - then (False, "Result likelihood is worse than reference with more than 0.3: result logLik " - ++ show win_logLik ++ ", reference logLik = " ++ show ref_logLik ++ "!") - else foldl (\ (acc,err_msg) (ref_row, win_row, i) -> - if not acc then (acc, err_msg) - else let ref_logLik = logLikelihood (ref_row!!1) (ref_row!!0) - cur_logLik = logLikelihood (win_row!!1) (win_row!!0) - dif_logLik = if cur_logLik > ref_logLik - then 0.0 else ref_logLik - cur_logLik - in if dif_logLik > 1.1 - then (False, "Error[" ++ show i ++ "] = " ++ - show dif_logLik ++ ", Acceptable <= 1.1!") - else (True, err_msg) - ) - (True, "") (zip3 ref_swap_arr win_swap_arr [0..num_of_swaptions]) - - in ["// Swaption-Calibration Haskell Benchmark (List-Homomorphism Style):", - "// Dataset with Population "++show pop_size++", Convergence-Loop Count: " - ++show num_mcmc_its++", Number of Swaption Quotes = " ++ show num_of_swaptions ++ ".", - ( if is_valid - then "1\t\t// VALID Result," - else "0\t\t// INVALID Result," ++ err_msg ), - "0\t\t// Runtime in microseconds,", - "1\t\t// CPU Threads,", - show win_a ++ "\t// a-field of the winning genome", - show win_b ++ "\t// b-field of the winning genome", - show win_sigma ++ "\t// sigma-field of the winning genome", - show win_nu ++ "\t// nu-field of the winning genome", - show win_rho ++ "\t// rho-field of the winning genome", - show win_logLik ++ "\t// logLik-field of the winning genome", - show win_swap_arr ++ "\t//Reference Swaption Calibration Result: foreach swaption [CalibPrice,BlackPrice,PercentDiff]" ] - - ------------------------------------------ ---- Entry point for Generic Pricing --- ---- The only place where using Monads,--- ---- e.g., parsing Dataset from StdIn --- ------------------------------------------ -main :: IO () -main = do s <- getContents - case parse run "input" s of - Left e -> error $ show e - Right m -> do - (v, runtime) <- m - writeFile "result.json" $ show v - writeFile "runtime.txt" $ show runtime - where run = do whitespace - pop_size <- readInt - num_mcmc_its <- readInt - num_swap_quotes <- readInt - swaption_quotes <- readDouble2d - num_hermite <- readInt - hermite_coeffs <- readDouble1d - hermite_weights <- readDouble1d - num_sobol_bits <- readInt - sobol_dir_vct <- readInt1d - --- let num_swap_quotes = testSwaptionPricer hermite_coeffs hermite_weights $ --- testG2ppUtil $ testMathMod $ test_dates num_swap_quotes0 - - let swaption_quotes'= map (\x -> (x!!0, x!!1, x!!2, x!!3)) swaption_quotes - - let (win_genome, win_logLik, win_swap_arr) = - compute pop_size num_mcmc_its swaption_quotes' - hermite_coeffs hermite_weights (V.fromList sobol_dir_vct) - - return $ do - start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. - let v = ((win_genome, win_logLik, win_swap_arr), - (pop_size, num_mcmc_its, num_swap_quotes)) - end <- v `deepseq` getCPUTime - return (v, (end - start) `div` 1000000000) - - readInt1d = readArray readInt - readDouble1d = readArray readDouble - readDouble2d = readArray $ readArray readDouble - --- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs --- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/instantiate b/benchmarks/InterestCalib/implementations/haskell_lh/instantiate deleted file mode 100755 index 764b7de..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/instantiate +++ /dev/null @@ -1,13 +0,0 @@ -#!/bin/sh - -set -e # Die on error. - -impl_dir=$FINPAR_IMPLEMENTATION -input=$FINPAR_INPUT - -cp $impl_dir/*hs . -cp $impl_dir/run . - -$FINPAR_LIB_DIR/linearise_data.py $FINPAR_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > input.data - -ghc -Wall -O2 -msse2 -rtsopts SwapCalib.hs -o SwapCalib diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/run b/benchmarks/InterestCalib/implementations/haskell_lh/run deleted file mode 100755 index fab10ee..0000000 --- a/benchmarks/InterestCalib/implementations/haskell_lh/run +++ /dev/null @@ -1,5 +0,0 @@ -#!/bin/sh - -set -e - -./SwapCalib +RTS -K128m -RTS < input.data From 471abff678e2ff5951834c49d12492659e99596f Mon Sep 17 00:00:00 2001 From: Thor Date: Thu, 13 Aug 2015 15:46:40 +0200 Subject: [PATCH 039/122] removed old finpar program --- finpar_old | 355 ----------------------------------------------------- 1 file changed, 355 deletions(-) delete mode 100755 finpar_old diff --git a/finpar_old b/finpar_old deleted file mode 100755 index 80264f9..0000000 --- a/finpar_old +++ /dev/null @@ -1,355 +0,0 @@ -#!/usr/bin/env python - -import os -import subprocess -import json -import sys - -def executable(fpath): - return os.path.isfile(fpath) and os.access(fpath, os.X_OK) - -class Implementation: - def __init__(self, finpar_lib_dir, benchmark_lib_dir, name, directory): - if os.path.isdir(directory): - self.directory = directory - else: - if os.path.isfile(directory): - raise Exception("File %s exists, but should be an implementation directory" % directory) - else: - raise Exception("Implementation directory %s does not exist " % directory) - - self.directory = directory - self.name = name - self.finpar_lib_dir = finpar_lib_dir - self.benchmark_lib_dir = benchmark_lib_dir - - instantiatefile = os.path.join(self.directory, "instantiate") - if not executable(instantiatefile): - raise Exception("%s is not an executable file" % instantiatefile) - self.instantiatefile = instantiatefile - - def instantiate(self, where, input_data, platform_file): - if not os.path.isdir(where): - os.mkdir(where) - - # We use the current environment as a template, and then - # extend it with some new variables. - instantiate_env = os.environ.copy() - instantiate_env["FINPAR_LIB_DIR"] = self.finpar_lib_dir - instantiate_env["FINPAR_BENCHMARK_LIB_DIR"] = self.benchmark_lib_dir - instantiate_env["FINPAR_IMPLEMENTATION"] = self.directory - instantiate_env["FINPAR_INPUT"] = input_data - instantiate_env["FINPAR_PLATFORM"] = platform_file - - # Here we are running the "instantiate" program with appropriate vars. "instantiate" should be replaced by a call to make. - proc = subprocess.Popen(self.instantiatefile, - env=instantiate_env, - stdout=subprocess.PIPE, - stderr=subprocess.PIPE, - stdin=subprocess.PIPE, - close_fds=True, - cwd=where) - (stdoutdata, stderrdata) = proc.communicate(input=None) - # returncode = 0 upon success. If retcode = 0, then stdout & stderr are empty. - return (proc.returncode, stdoutdata, stderrdata) - -class Benchmark: - # In the constructor, we do some basic sanity-checking. The - # primary purpose here is to provide better error messages than if - # we fail to read files later down the line. - def __init__(self, finpardir, name, directory): - self.finpardir = finpardir - self.name = name - - if os.path.isdir(directory): - self.directory = directory - else: - raise Exception("Benchmark directory %s does not exist" % directory) - dircontents = os.listdir(self.directory) - - # The lib directories do not have to exist. - self.benchmark_lib_dir = os.path.join(self.directory, "lib") - self.finpar_lib_dir = os.path.join(self.finpardir, "lib") - - if "implementations" in dircontents: - self.__gather_implementations() - else: - raise Exception("No implementation directory in %s" % directory) - - if "datasets" in dircontents: - self.datasets = os.path.join(self.directory, "datasets") - self.__gather_datasets() - else: - raise Exception("No datasets directory in %s" % directory) - - def __gather_implementations(self): - self.implementations = [] - for impl in os.listdir(os.path.join(self.directory, "implementations")): - implpath = os.path.join(self.directory, "implementations", impl) - if os.path.isdir(implpath): - self.implementations.append(Implementation(self.finpar_lib_dir, - self.benchmark_lib_dir, - impl, - os.path.join(self.directory, "implementations", impl))) - - def __gather_datasets(self): - self.datasets = {} - for dataset in os.listdir(os.path.join(self.directory, "datasets")): - datasetpath = os.path.join(self.directory, "datasets", dataset) - if os.path.isdir(datasetpath): - inputfile = os.path.join(self.directory, "datasets", dataset, "input.json") - outputfile = os.path.join(self.directory, "datasets", dataset, "output.json") - if not os.path.isfile(inputfile): - raise Exception("File %s missing or not a file." % inputfile) - if not os.path.isfile(outputfile): - raise Exception("File %s missing or not a file." % outputfile) - - self.datasets[dataset] = { 'input_file' : inputfile, - 'expected_output' : read_json_file(outputfile) - } - -def desc_triple(benchmark, implementation, dataset): - return "Benchmark %s, implementation %s, dataset %s" % (benchmark, implementation, dataset) - -def note_result(results, benchmark, implementation, dataset, runtime): - results[(benchmark,implementation,dataset)] = runtime - -def run_some_benchmark_implementations(finpar_dir, - workdir, - benchmarkdir, - platform, - run_implementation_fn, - use_dataset_fn): - b = Benchmark(finpar_dir, os.path.basename(benchmarkdir), benchmarkdir) - insts = [] - failed_insts = [] - results = {} - - for impl in b.implementations: - if not run_implementation_fn(impl): - continue - for dataset in b.datasets: - if not use_dataset_fn(dataset): - continue - instdir = os.path.join(workdir, - "%s-%s-%s" % (b.name, impl.name, dataset)) - print("Instantiating in %s" % instdir) - (retcode, stdout, stderr) = impl.instantiate(instdir, b.datasets[dataset]['input_file'], platform) - if retcode != 0: - failed_insts.append({ 'benchmark' : b.name, - 'implementation' : impl.name, - 'dataset' : dataset, - 'instantiation_directory' : instdir, - 'retcode' : retcode, - 'stdout' : stdout, - 'stderr' : stderr}) - print("Spoiler: failed") - else: - insts.append({ 'benchmark' : b.name, - 'implementation' : impl.name, - 'dataset' : dataset, - 'instantiation_directory' : instdir, - 'expected_output' : b.datasets[dataset]['expected_output'] - }) - - for inst in insts: - instdir = inst['instantiation_directory'] - print("\nRunning %s" % instdir) - stdoutpath = os.path.join(instdir, "stdout.log") - stderrpath = os.path.join(instdir, "stderr.log") - with open(stdoutpath, "w") as stdout: - with open(stderrpath, "w") as stderr: - print("Output can be found in %s and %s" % (stdoutpath, stderrpath)) - try: - proc = subprocess.Popen(os.path.join(instdir, "run"), - stdout=stdout, - stderr=stderr, - stdin=subprocess.PIPE, - close_fds=True, - cwd=instdir) - proc.stdin.close() # Make sure stdin EOFs. - proc.wait() - except: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "could not run") - continue - - if proc.returncode != 0: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "non-zero exit code") - continue - - try: - runtime = read_runtime(instdir) - except IOError: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "no runtime measurement") - continue - except ValueError: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "non-integer runtime measurement") - continue - - try: - result = read_json_file(os.path.join(instdir, "result.json")) - expected = inst['expected_output'] - if compare_json(result, expected): - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - runtime) - else: - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "invalid result") - except (IOError, ValueError): - note_result(results, - inst['benchmark'], - inst['implementation'], - inst['dataset'], - "cannot read result") - return (results, failed_insts) - -def read_runtime(instdir): - with open(os.path.join(instdir, "runtime.txt"), "r") as file: - return int(file.read()) - -def read_json_file(filename): - with open(filename, "r") as file: - return json.loads(file.read()) - -epsilon = 0.001 - -# Generic comparison function using epsilon for comparing floats. -def compare_json(json1, json2): - if type(json1) != type(json2): - return False - - if type(json1) is float: - return abs(json1-json2) < epsilon - - if type(json1) is list: - if len(json1) != len(json2): - return False - for x,y in zip(json1, json2): - if not compare_json(x,y): - return False - return True - - if type(json1) is dict: - keys1 = json1.keys() - keys2 = json2.keys() - keys1.sort() - keys2.sort() - if keys1 == keys2: - for key in keys1: - if not compare_json(json1[key], json2[key]): - return False - return True - else: - return False - - return json1 == json2 - -def what_to_run(): - if len(sys.argv) == 1: - return ("benchmarks/CalibVolDiff", None, None) - elif len(sys.argv) == 2: - return (sys.argv[1], None, None) - elif len(sys.argv) == 3: - return (sys.argv[1], sys.argv[2].split(','), None) - elif len(sys.argv) == 4: - return (sys.argv[1], sys.argv[2].split(','), sys.argv[3].split(',')) - else: - exit("Usage: %s [benchmark] [implementation1,implementation2,...] [dataset1,dataset2,...]" % - sys.argv[0]) - -if __name__ == '__main__': - (benchmark, implementations, datasets) = what_to_run() - instantiations_dir = "instantiations" - platform_file = "config/platform_example.json" - - print("Assuming I am being run from main finpar directory.") - print("Will run benchmark %s." % benchmark) - - if implementations is None: - print("Will run all implementations.") - else: - print("Will run these implementations: %s" % implementations) - - if datasets is None: - print("Will use all datasets.") - else: - print("Will use these datasets: %s" % datasets) - - print("Will instantiate in %s." % instantiations_dir) - print("Will use platform configuration %s." % platform_file) - finpar_dir = os.getcwd() - - def run_implementation_fn(impl): - if implementations is None: - return True - else: - return impl.name in implementations - - def use_dataset_fn(dataset): - if datasets is None: - return True - else: - return dataset in datasets - - (results, failed_to_instantiate) = ( - run_some_benchmark_implementations(finpar_dir, - os.path.join(finpar_dir, instantiations_dir), - os.path.join(finpar_dir, benchmark), - os.path.join(finpar_dir, platform_file), - run_implementation_fn, - use_dataset_fn) - ) - - for failed in failed_to_instantiate: - print("Failed to instantiate implementation %s with dataset %s; exit code %d." % - (failed['implementation'], failed['dataset'], failed['retcode'])) - print("Stdout\n") - print(failed['stdout']) - print("Stderr\n") - print(failed['stderr']) - print("") - - successful = {} - failed = {} - - for result in results: - if type(results[result]) is int: - successful[result] = results[result] - else: - failed[result] = results[result] - - print "\nFailed:" - for f in failed: - (benchmark, implementation, dataset) = f - print("%s: %s" % - (desc_triple(benchmark, implementation, dataset), - failed[f])) - - print "\nSucceeded:" - for s in successful: - (benchmark, implementation, dataset) = s - print("%s: %s" % - (desc_triple(benchmark, implementation, dataset), - successful[s])) From 0558ff563bc8a286d5bb9f43d4f4c162514e8f0a Mon Sep 17 00:00:00 2001 From: Thor Date: Thu, 13 Aug 2015 16:01:04 +0200 Subject: [PATCH 040/122] library functions for InterestCalib have been copied from the master branch. So has the two included InterestCalib implementations. --- .../InterestCalib/lib/include/ParseInput.h | 97 +++++++++++++++++++ .../InterestCalib/lib/include/WriteResult.h | 37 ------- 2 files changed, 97 insertions(+), 37 deletions(-) delete mode 100644 benchmarks/InterestCalib/lib/include/WriteResult.h diff --git a/benchmarks/InterestCalib/lib/include/ParseInput.h b/benchmarks/InterestCalib/lib/include/ParseInput.h index efddda2..042725c 100644 --- a/benchmarks/InterestCalib/lib/include/ParseInput.h +++ b/benchmarks/InterestCalib/lib/include/ParseInput.h @@ -98,5 +98,102 @@ void readDataSet( UINT& pop_size, } } +REAL* readOutput( const int& N, REAL& ref_logLik ) { + REAL* result; + int64_t shape[3]; + + REAL ref_a, ref_b, ref_sigma, ref_nu, ref_rho; + + // reading the reference genome! + if( read_real( &ref_a ) || read_real( &ref_b ) || + read_real( &ref_sigma ) || read_real( &ref_nu ) || + read_real( &ref_rho ) || read_real( &ref_logLik ) ) { + fprintf(stderr, "Syntax error when reading the reference genome or its likelihood.\n"); + exit(1); + } + + // reading the standard output + if ( read_array(sizeof(REAL), read_real, (void**)&result, shape, 2) ) { + fprintf(stderr, "Syntax error when reading the output.\n"); + exit(1); + } + bool ok = ( shape[0] == N ) && ( shape[1] == 3 ); + assert(ok && "Incorrect shape of the reference array result!"); + + return result; +} + +bool validate( const REAL& logLik, const REAL* res, const int& N ) { + bool is_valid = true; + + REAL ref_logLik; + REAL* ref_res = readOutput( N, ref_logLik ); + + if( fabs(ref_logLik - logLik) > 1.0 ) { + is_valid = false; + fprintf(stderr, "Difference in logLikelihood > 1.0: result logLik %f, reference logLik = %f!\n", + logLik, ref_logLik ); + return is_valid; + } else if ( logLik < ref_logLik && fabs(ref_logLik - logLik) > 0.5 ) { + is_valid = false; + fprintf(stderr, "Result likelihood is worse than reference with more than 0.5: result logLik %f, reference logLik = %f!\n", + logLik, ref_logLik ); + return is_valid; + } + + for ( int i = 0; i < N; i ++ ) { + REAL lgLik_cur = logLikelihood( res[3*i+1], res[3*i]); + REAL lgLik_ref = logLikelihood(ref_res[3*i+1],ref_res[3*i]); + REAL diff_curr_lgLik = (lgLik_cur > lgLik_ref) ? + 0.0 : lgLik_ref - lgLik_cur ; + + if (diff_curr_lgLik > 0.7) { + is_valid = false; + fprintf(stderr, "Error[%d] = %f, Acceptable = 1.1!\n", + i, diff_curr_lgLik ); + break; + } + } + + return is_valid; +} + +void writeStatsAndResult( const bool& valid, + const REAL& wg_a, + const REAL& wg_b, + const REAL& wg_sigma, + const REAL& wg_nu, + const REAL& wg_rho, + const REAL& wg_logLik, + const REAL* calib_arr, + const int & NUM_SWAP_QUOTES, + const bool& is_gpu, + const int & P, + const unsigned long int& elapsed +) { + // print stats to stdout + fprintf(stdout, "// Dataset with Number of Swaption Quotes = %d.\n", + NUM_SWAP_QUOTES ); + + if(valid) { fprintf(stdout, "1\t\t// VALID Result,\n"); } + else { fprintf(stdout, "0\t\t// INVALID Result,\n"); } + + fprintf(stdout, "%ld\t\t// Runtime in microseconds,\n", elapsed); + if(is_gpu) fprintf(stdout, "%d\t\t// GPU Threads,\n\n", P); + else fprintf(stdout, "%d\t\t// CPU Threads,\n\n", P); + + // write the genome + write_scal(&wg_a, "a-field of the winning genome"); + write_scal(&wg_b, "b-field of the winning genome"); + write_scal(&wg_sigma, "sigma-field of the winning genome"); + write_scal(&wg_nu, "nu-field of the winning genome"); + write_scal(&wg_rho, "rho-field of the winning genome"); + write_scal(&wg_logLik,"LgLikelihood of the winning genome"); + + // write the result + write_2Darr( calib_arr, static_cast(NUM_SWAP_QUOTES), 3, + "Swaption Calibration Result: foreach swaption [CalibPrice,BlackPrice,PercentDiff]" ); +} + #endif // PARSE_INPUT diff --git a/benchmarks/InterestCalib/lib/include/WriteResult.h b/benchmarks/InterestCalib/lib/include/WriteResult.h deleted file mode 100644 index a263cdc..0000000 --- a/benchmarks/InterestCalib/lib/include/WriteResult.h +++ /dev/null @@ -1,37 +0,0 @@ -#ifndef WRITERESULT_H -#define WRITERESULT_H - -#include - -/* Writes trailing comma and newline. */ -void writeRealField(FILE *stream, const char* field, REAL x) -{ - fprintf(stream, "\"%s\": %f,\n", field, x); -} - -void writeResult(FILE *stream, - REAL a, - REAL b, - REAL sigma, - REAL nu, - REAL rho, - REAL logLik, - REAL* calib_arr) -{ - /* Hackily manually generate JSON. It would be nice with some - proper library support. */ - fprintf(stream, "{\n"); - - writeRealField(stream, "a_field", a); - writeRealField(stream, "b_field", b); - writeRealField(stream, "sigma_field", sigma); - writeRealField(stream, "nu_field", nu); - writeRealField(stream, "rho_field", rho); - writeRealField(stream, "lg_likelyhood", logLik); - - fprintf(stream, "\"swaption_calibration_result\":\n"); - write_2Darr(stream, calib_arr, static_cast(NUM_SWAP_QUOTES), 3); - fprintf(stream, "}\n"); -} - -#endif From 93449e3f9ea759cc612d1bafbe7f9420e05815b2 Mon Sep 17 00:00:00 2001 From: Thor Date: Thu, 13 Aug 2015 16:07:30 +0200 Subject: [PATCH 041/122] library functions for InterestCalib have been copied from the master branch. So has the two included InterestCalib implementations. --- .../implementations/CppOpenMP/GenAlgFlat.h | 266 +++++++++++++++++ .../implementations/CppOpenMP/Makefile | 42 +++ .../implementations/CppOpenMP/SwapCalib | Bin 0 -> 85584 bytes .../implementations/CppOpenMP/SwapCalib.cpp | 62 ++++ .../implementations/CppOpenMP/UtilCPU.h | 102 +++++++ .../implementations/OrigCpp/EvalGenomeOrig.h | 155 ++++++++++ .../implementations/OrigCpp/G2PPorig.h | 176 +++++++++++ .../implementations/OrigCpp/GenAlgFlat.h | 281 ++++++++++++++++++ .../implementations/OrigCpp/Genome.h | 238 +++++++++++++++ .../implementations/OrigCpp/Makefile | 42 +++ .../implementations/OrigCpp/SwapCalib | Bin 0 -> 76488 bytes .../implementations/OrigCpp/SwapCalib.cpp | 49 +++ .../implementations/OrigCpp/UtilCPU.h | 48 +++ 13 files changed, 1461 insertions(+) create mode 100644 benchmarks/InterestCalib/implementations/CppOpenMP/GenAlgFlat.h create mode 100644 benchmarks/InterestCalib/implementations/CppOpenMP/Makefile create mode 100755 benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib create mode 100644 benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp create mode 100644 benchmarks/InterestCalib/implementations/CppOpenMP/UtilCPU.h create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/Genome.h create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/Makefile create mode 100755 benchmarks/InterestCalib/implementations/OrigCpp/SwapCalib create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/SwapCalib.cpp create mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/UtilCPU.h diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/CppOpenMP/GenAlgFlat.h new file mode 100644 index 0000000..4dac1f3 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/GenAlgFlat.h @@ -0,0 +1,266 @@ +#ifndef GEN_ALG_FLAT +#define GEN_ALG_FLAT + +#include "Constants.h" +#include "GenAlgUtil.h" +#include "Candidate.h" + +#include "IrregShape.h" +#include "EvalGenomeInl.h" +#include "UtilCPU.h" + +/** + * Printing Swaption / Calibrated Price / Black Price / RMS + * The result is an array REAL[NUM_SWAP_QUOTES, 3] recording + * for each swaption the calibrated price, the black price + * and the percentagewise difference between the two. + */ +REAL* makeSummary(uint winner, CpuArrays& arrs) { + REAL* res = (REAL*) malloc( 3*NUM_SWAP_QUOTES*sizeof(REAL) ); + + REAL rms = 0.0; + + fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); + fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", + arrs.get_a() [winner], arrs.get_b() [winner], arrs.get_sigma ()[winner], + arrs.get_nu()[winner], arrs.get_rho()[winner], arrs.get_logLik()[winner] ); + fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); + + for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { + REAL black_price = arrs.get_quote(winner)[i]; + REAL calib_price = arrs.get_price(winner)[i]; + REAL err_ratio = (calib_price - black_price) / black_price; + + res[3*i + 0] = 10000.0*calib_price; + res[3*i + 1] = 10000.0*black_price; + res[3*i + 2] = 100.0*fabs(err_ratio); + + rms += err_ratio * err_ratio; + + fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", + i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], + res[3*i + 0], res[3*i + 1], res[3*i + 2] ); + } + + rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); + fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); + + return res; +} + + +/** + * Utility function: find the genome with the best likelihood: + * scans the logLik array and fill in the index and likelihood + * of the best genome. + */ +void find_best(const REAL* logLik, int& best_ind, REAL& best_lik) { + bool sanity = true; + + best_lik = -INFINITY; + best_ind = 0; + + // this is in fact a reduction, but POP_SIZE is + // not big enough to warrant a parallel execution. + for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX + REAL val = logLik[i]; + + sanity = !( isnan(val) || isinf(val) ); + assert( sanity && "val is NaN in find_best" ); + + if( val > best_lik ) { best_ind = i; best_lik = val; } + } +} + +Move_Type selectMoveType(REAL move_selected) { + Move_Type move_type = NONE; + + REAL prob; + Move_Type type; + UINT k = 0; + do { + prob = mcmc_moves_selection_cumdensfct[k].fst; + type = mcmc_moves_selection_cumdensfct[k].snd; + + if( move_selected <= prob ) { + move_type = type; + } + k ++; + } while ( move_selected > prob && k < CUMDENSFCT_CARD ); + + assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); + + return move_type; +} + +/** + * Main Entry Point for Swaption Calibration + * The (out) arguments are in fact the resulted + * winning genome result & its likelihood. + * The array result has size 3*NUM_SWAP_QUOTES + * and records for each swaption the calibrated + * price, the black price and the percentage + * difference between the two. + */ +REAL* mainKernelCPU(REAL& wg_a, + REAL& wg_b, + REAL& wg_sigma, + REAL& wg_nu, + REAL& wg_rho, + REAL& wg_logLik +) { + uint FLAT_SZ; + short* shape = getIregShapeAdjusted( LWG_EG, FLAT_SZ ); + int * start_inds = getStartInd( FLAT_SZ, shape, NUM_SWAP_QUOTES ); + + CpuArrays cpu_arrs(FLAT_SZ, shape); + REAL *g_a, *g_b, *g_rho, *g_nu, *g_sigma, *logLik, *bf_rat; + { // getting the cpu arrays + g_a = cpu_arrs.get_a (); + g_b = cpu_arrs.get_b (); + g_rho = cpu_arrs.get_rho (); + g_nu = cpu_arrs.get_nu (); + g_sigma = cpu_arrs.get_sigma (); + logLik = cpu_arrs.get_logLik(); + bf_rat = cpu_arrs.get_bf_rat(); + } + + srand ( SEED ); + srand48 ( SEED ); + + // initialized the genomes with random numbers inside + // their acceptable bounds => requires 5*POP_SIZE randoms + for( int i = 0; i < POP_SIZE; i++ ) { + REAL r01, tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; + g_a [i ] = tmp; + g_a [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; + g_b [i ] = tmp; + g_b [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; + g_rho [i ] = tmp; + g_rho [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; + g_nu [i ] = tmp; + g_nu [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; + g_sigma [i ] = tmp; + g_sigma [i + POP_SIZE] = tmp; + + bf_rat [i ] = 1.0; + } + + // Initial evaluation of the genomes! +#pragma omp parallel for default(shared) schedule(dynamic) if(POP_SIZE>3) + for( int i = 0; i < POP_SIZE; i++ ) { + logLik[i] = eval_genome( g_a[i], g_b[i], g_rho[i], g_nu[i], g_sigma[i], + cpu_arrs.get_quote(i), cpu_arrs.get_price(i), + FLAT_SZ, shape, start_inds + ); + } + + // convergence loop that runs the genetic algorithms + // (takes a population and returns a population) + for( int j = 0; j < MCMC_LOOPS; j++ ) { + + // select which move to perform. + // Note: this block can also be a loop (in fixed order) + // over the various move types + REAL move_selected = getRandUnifNorm(); + Move_Type move_type = selectMoveType(move_selected); + + if ( move_type == DIMS_ALL ) { + for( int i = 0; i < POP_SIZE; i++ ) { + mutate_dims_all( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); + } + + } else if ( move_type == DIMS_ONE ) { + + UINT dim_j = getRandIntNorm(GENOME_DIM); + + for( int i = 0; i < POP_SIZE; i++ ) { + mutate_dims_one( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i, dim_j ); + } + } else /* if ( move_type == DEMCMC ) */ { + + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums + mcmc_DE( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); + } + } + + // evaluate the proposal +#pragma omp parallel for default(shared) schedule(dynamic) if(POP_SIZE>3) + for( int i = 0; i < POP_SIZE; i++ ) { + logLik[i+POP_SIZE] = + eval_genome( g_a [i+POP_SIZE], g_b [i+POP_SIZE], g_rho[i+POP_SIZE], + g_nu[i+POP_SIZE], g_sigma[i+POP_SIZE], + cpu_arrs.get_quote(i), cpu_arrs.get_price(i), + FLAT_SZ, shape, start_inds ); + } + + // mcmc_acceptance_rejection(); + // Deciding whether to accept or reject the proposal, + // obtained by mutating/crossover of the individual. + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel + // Metropolis: get a random U[0,1) for each candidate + REAL rand = getRandUnifNorm(); + + // selection: dimensions considered independent + // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) + REAL acceptance = std::min( 1.0, exp( logLik[i+POP_SIZE] - logLik[i] ) * bf_rat[i] ); + + // if acceptance criterion is met then p->p' else does nothing + if ( rand < acceptance ) accept( i, g_a, g_b, g_rho, g_nu, g_sigma, logLik ); + } + + // print best candidate for the current iteration: + if ( (j % 16) == 0 ){ + int best_ind; REAL best_lik; + find_best(logLik, best_ind, best_lik); + fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", + j, best_lik, best_ind ); + } + } + + REAL* result; + { // print best candidate for the current iteration: + int best_ind; REAL best_lik; + find_best(logLik, best_ind, best_lik); + + // recompute the calibrated price and the black price! + logLik[best_ind] = + eval_genome( g_a[best_ind], g_b[best_ind], g_rho[best_ind], g_nu[best_ind], + g_sigma[best_ind], cpu_arrs.get_quote(best_ind), + cpu_arrs.get_price(best_ind), FLAT_SZ, shape, start_inds ); + + // Finally, make/print the result! + wg_a = cpu_arrs.get_a() [best_ind]; + wg_b = cpu_arrs.get_b() [best_ind]; + wg_sigma = cpu_arrs.get_sigma ()[best_ind]; + wg_nu = cpu_arrs.get_nu() [best_ind]; + wg_rho = cpu_arrs.get_rho() [best_ind]; + wg_logLik = cpu_arrs.get_logLik()[best_ind]; + + result = makeSummary( best_ind, cpu_arrs ); + } + + delete[] start_inds; + // Releasing the CPU resources: + cpu_arrs.releaseResources(); + + return result; +} + +#endif // end ifndef + diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile new file mode 100644 index 0000000..0cac6e1 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile @@ -0,0 +1,42 @@ +include ../../setup.mk + +ifndef ($(HAVE_GPU)) +include ../../platform.mk +endif + +INCLUDES += -I../includeC +GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) +#-fno-unsafe-math-optimizations -fno-finite-math-only +#-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans + +SOURCES_CPP =SwapCalib.cpp +HELPERS =../includeC/ParseInput.h +OBJECTS =SwapCalib.o +EXECUTABLE =SwapCalib + + +default: cpu + +.cpp.o: $(SOURCES_CPP) $(HELPERS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< + +# The GPU version is in: ../CppAndGPU. 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Oancea ***/ +/*** from an original OCaml code ***/ +/*** (sequential) by LexiFi ***/ +/*** and a sequential Python implem ***/ +/*** using a different genetic alg.***/ +/*** by Christian Andreetta ***/ +/****************************************/ + +#include "Util.h" +#include "Constants.h" +#include "ParseInput.h" +#include "GenAlgFlat.h" + +int main() +{ + REAL wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, + wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; + REAL* calib_arr = NULL; + + printf("\n// Running Original (CPU Parallel) Swaption-Calibration Benchmark\n"); + + readDataSet( POP_SIZE, MCMC_LOOPS, + NUM_SWAP_QUOTES, SwaptionQuotes, + NUM_HERMITE, HermiteCoeffs, HermiteWeights, + NUM_SOBOL_BITS, SobolDirVct + ); + + unsigned long int elapsed = 0; + { // Main Computational Kernel + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + calib_arr = mainKernelCPU(wg_a, wg_b, wg_sigma, wg_nu, wg_rho, wg_logLik); + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + } + + { // validation and writeback of the result + const int Ps = get_CPU_num_threads(); + bool is_valid = validate( wg_logLik, calib_arr, NUM_SWAP_QUOTES ); + writeStatsAndResult( is_valid, wg_a, wg_b, wg_sigma, wg_nu, wg_rho, + wg_logLik, calib_arr, NUM_SWAP_QUOTES, + false, Ps, elapsed ); + } + + return 1; +} + + +#if 0 +void test_all() { + test_dates (); + test_math (); + test_g2ppUtil (); + test_pricer_of_swaption(); +} +#endif + diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/UtilCPU.h b/benchmarks/InterestCalib/implementations/CppOpenMP/UtilCPU.h new file mode 100644 index 0000000..4ed4ec9 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/UtilCPU.h @@ -0,0 +1,102 @@ +#ifndef CPU_UTILITIES +#define CPU_UTILITIES + +/************************/ +/*** Helper Functions ***/ +/************************/ +bool is_pow2(uint n) { + uint c = 1; + while(c < n) { + c = c << 1; + } + return (c == n); +} + + +struct CpuArrays { + // size of the shape array + const uint SS; + + // shape of the irregular arrays for one genome + short* shape; + + // [13 * POP_SIZE] = + // { a, a_p, b, b_p, rho, rho_p, nu, nu_p, + // sigma, sigma_p, logLik, logLik_p, bf_rat } + REAL* genomes; + + // [ 4 * SS * POP_SIZE ] + REAL* ci_t1cs_scale; + + // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] + REAL* new_quote_price; + + // [ NUM_SWAP_QUOTES*NUM_HERMITE ] + REAL* accum0; + + // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] + // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, + // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } + REAL* scalars; + + REAL gene_ranges[10]; + + CpuArrays (const uint n, short* shp) : SS(n) { + shape = shp; + + genomes = new REAL[ 13 * POP_SIZE ]; + ci_t1cs_scale = new REAL[ 4 * SS * POP_SIZE ]; + scalars = new REAL[ 8 * NUM_SWAP_QUOTES * POP_SIZE ]; + + new_quote_price = new REAL [ 2 * NUM_SWAP_QUOTES * POP_SIZE ]; + accum0 = new REAL [ NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE ]; + + for(int i=0; i<5; i++) { gene_ranges[i] = g_mins[i]; } + for(int i=0; i<5; i++) { gene_ranges[i+5] = g_maxs[i]; } + } + + void releaseResources() { + delete[] shape; + delete[] genomes; + delete[] ci_t1cs_scale; + delete[] scalars; + delete[] new_quote_price; + delete[] accum0; + } + + // genome helpers + REAL* get_a () { return genomes; } + REAL* get_b () { return genomes + POP_SIZE*2; } + REAL* get_rho () { return genomes + POP_SIZE*4; } + REAL* get_nu () { return genomes + POP_SIZE*6; } + REAL* get_sigma () { return genomes + POP_SIZE*8; } + REAL* get_logLik() { return genomes + POP_SIZE*10;} + REAL* get_bf_rat() { return genomes + POP_SIZE*12;} + + // get the shape of the irregular array (for one genome) + short* get_shape (){ return shape; } + + // get the start iterator into arrays ci, t1cs, scale for genome i + REAL* get_ci (int i) { return ci_t1cs_scale + SS*i; } + REAL* get_t1cs (int i) { return ci_t1cs_scale + SS*i + SS*POP_SIZE; } + REAL* get_scale (int i) { return ci_t1cs_scale + SS*i + 2*SS*POP_SIZE; } + REAL* get_bbi (int i) { return ci_t1cs_scale + SS*i + 3*SS*POP_SIZE; } + + // get the start iterator into array-expanded scalars for genome i + REAL* get_mux (int i) { return scalars + i * NUM_SWAP_QUOTES ; } + REAL* get_muy (int i) { return scalars + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } + REAL* get_sqsigx(int i) { return scalars + i * NUM_SWAP_QUOTES + 2 * NUM_SWAP_QUOTES * POP_SIZE; } + REAL* get_t2 (int i) { return scalars + i * NUM_SWAP_QUOTES + 3 * NUM_SWAP_QUOTES * POP_SIZE; } + REAL* get_sigrho(int i) { return scalars + i * NUM_SWAP_QUOTES + 4 * NUM_SWAP_QUOTES * POP_SIZE; } + REAL* get_zcmat (int i) { return scalars + i * NUM_SWAP_QUOTES + 5 * NUM_SWAP_QUOTES * POP_SIZE; } + REAL* get_f (int i) { return scalars + i * NUM_SWAP_QUOTES + 6 * NUM_SWAP_QUOTES * POP_SIZE; } + REAL* get_df (int i) { return scalars + i * NUM_SWAP_QUOTES + 7 * NUM_SWAP_QUOTES * POP_SIZE; } + + // get the quotes prices for genome i + REAL* get_quote (int i) { return new_quote_price + i * NUM_SWAP_QUOTES; } + REAL* get_price (int i) { return new_quote_price + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } + + // get the accumulator for the irregular array for genome i + REAL* get_accum (int i) { return accum0 + i * NUM_SWAP_QUOTES * NUM_HERMITE; } +}; +#endif // CPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h b/benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h new file mode 100644 index 0000000..efea067 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h @@ -0,0 +1,155 @@ +#ifndef EVAL_GENOME_INLINED +#define EVAL_GENOME_INLINED + +#include "Constants.h" +#include "GenAlgUtil.h" +#include "G2PP.h" +#include "G2PPorig.h" + + +/** + * MOST IMPORTANTLY: GENOME EVALUATION By Pricer of Swaption & BLACK PRICE + */ +void eval_genome_new ( + const REAL& a, + const REAL& b, + const REAL& rho, + const REAL& nu, + const REAL& sigma, + const REAL* swaption, + IntermElem* tmp_arrs, + REAL& new_quote, // output + REAL& new_price // output +) { + bool sanity = true; + + const REAL swap_freq = swaption[1]; + const REAL maturity = add_years( TODAY, swaption[0] ); + const UINT n_schedi = static_cast(12.0 * swaption[2] / swap_freq); + const REAL tmat0 = date_act_365( maturity, TODAY ); + + REAL strike; + { // BLACK PRICE computation + REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; + + for(UINT i = 0; i < n_schedi; i++) { // reduce o map + // Map computes a1 and a2 (depends on i) + const REAL a1 = add_months( maturity, swap_freq*i ); + const REAL a2 = add_months( a1, swap_freq ); + + // Reduction( lvl: +, t0 : min, tn : max ) + lvl += zc(a2) * date_act_365(a2, a1); + t0 = std::min(t0, a1); + tn = std::max(tn, a2); + } + + strike = ( zc(t0) - zc(tn) ) / lvl; + const REAL d1 = 0.5 * swaption[3] * tmat0; + new_quote = lvl * strike * ( uGaussian_P(d1) - uGaussian_P(-d1) ); + } // END BLACK PRICE + + { // PRICER OF SWAPTION COMPUTATION + REAL v0_mat, dummy1, dummy2; + bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); +// + const REAL mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); + const REAL muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); +// + const REAL zc_mat = zc(maturity); +// + const REAL sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); + const REAL sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); + const REAL rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); + const REAL sigmax = sigma * sqrt_bfun_a; + const REAL sigmay = nu * sqrt_bfun_b; + + const REAL rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel + const REAL rhoxycs = sqrt( rhoxyc ); // used in reduction kernel + const REAL sigmay_rhoxycs = sigmay * rhoxycs; + const REAL t4 = (rhoxy * sigmay) / sigmax; + + for( UINT i = 0; i < n_schedi; i++ ) { + const REAL beg_date = add_months( maturity, swap_freq*i ); //scheduleix[i]; + const REAL end_date = add_months( beg_date, swap_freq ); //scheduleiy[i]; + const REAL res = date_act_365( end_date, beg_date ) * strike; + + const REAL cii = ( i == n_schedi-1 ) ? 1.0 + res : res; + + REAL v0_end, vt_end, baii, bbii, date_tod1, date_tod2; + date_tod1 = date_act_365(end_date, TODAY); + bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); + date_tod2 = date_act_365(end_date, maturity); + bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); + + const REAL expo_aici = 0.5 * (vt_end - v0_end + v0_mat); + const REAL fact_aici = cii * zc(end_date) / zc_mat; + tmp_arrs[i].ci = fact_aici; // reuse the space to hold the factor of t1_cs + tmp_arrs[i].t1_cs = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; + // hold only the exponent of the original t1_cs; + + tmp_arrs[i].bai = baii; + tmp_arrs[i].bbi = bbii; + tmp_arrs[i].aici = fact_aici * exp( expo_aici ); + tmp_arrs[i].log_aici = log( fact_aici ) + expo_aici; + tmp_arrs[i].scale = - ( baii + bbii * t4 ); + + sanity = ! ( isinf(tmp_arrs[i].aici) || isnan(tmp_arrs[i].aici) ); + assert(sanity && "Nan aici in pricer of swaption. Exiting!\n"); + } + + const REAL eps = 0.5 * sigmax; + + const REAL f = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + mux, muy, tmp_arrs, mux ); + + const REAL g = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + mux, muy, tmp_arrs, mux + eps ); + + const REAL h = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + mux, muy, tmp_arrs, mux - eps ); + + const REAL df = 0.5 * ( g - h ) / eps; + + const REAL sqrt2sigmax = sqrt(2.0) * sigmax;; + const REAL t2 = rhoxy / (sigmax*rhoxycs);; + + REAL accum = 0.0; + + for( UINT j = 0; j < NUM_HERMITE; j++ ) { + const REAL x_quad = HermiteCoeffs [j]; + const REAL w_quad = HermiteWeights[j]; + + const REAL x = sqrt2sigmax * x_quad + mux; + const REAL yhat_x = f + df*(x - mux); + const REAL h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); + + REAL accum1 = 0.0; + for( UINT i = 0; i < n_schedi; i++ ) { + const REAL h2 = h1 + tmp_arrs[i].bbi * sigmay_rhoxycs; + + const REAL expo_aici = tmp_arrs[i].t1_cs + tmp_arrs[i].scale*x; + const REAL fact_aici = tmp_arrs[i].ci; + const REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); + accum1 += fact_aici * expo_part; + } + + sanity = ! ( isnan(accum1) || isinf(accum1) ); + assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); + + REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; + const REAL t1 = exp( - 0.5 * tmp * tmp ); + + accum += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); + } + + sanity = ! ( isnan(accum) || isinf(accum) ); + assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); + + new_price = zc_mat * ( accum / sqrt( PI ) ); + } +} + + + +#endif // end ifndef EVAL_GENOME_INLINED + diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h b/benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h new file mode 100644 index 0000000..5f324a4 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h @@ -0,0 +1,176 @@ +#ifndef G2PPORIG +#define G2PPORIG + +#include "Constants.h" +#include "Date.h" +#include "MathModule.h" +#include "G2ppUtil.h" + +#include "GenAlgUtil.h" + +REAL to_solve_orig( const UINT& N, + const IntermElem* tmp_arrs, + const REAL& yhat ) { + REAL accum = 0.0; + for( UINT i = 0; i < N; i++ ) { + accum += tmp_arrs[i].hat_scale * exp( - tmp_arrs[i].bbi * yhat ); + } + return accum - 1.0; +} + +////////////////////////// +// Root finder +////////////////////////// + +void rootFinding_Brent_orig ( + const UINT& N, + IntermElem* tmp_arrs, + const REAL& lb, + const REAL& ub, + const REAL& toll, + const UINT& it_mx, + REAL& root, // result + UINT& it, + REAL& fb +) { + const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; + const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; + + REAL a = lb, b = ub; + + REAL fa = to_solve_orig(N, tmp_arrs, a); + fb = to_solve_orig(N, tmp_arrs, b); + + if( fa*fb >= 0.0 ) { + root = 0.0; it = 0; + if ( a >= 0.0 ) fb = INFTY; + else fb = -INFTY; + return; + } + + if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } + + REAL c = a, fc = fa; + bool mflag = true; + REAL d = 0.0; + it = 0; + + for( UINT i = 0; i < iter_max; i++ ) { + if ( fb != 0.0 && fabs(b-a) >= tol ) { + REAL s; + if( fa == fc || fb == fc ) { + s = b - fb * (b - a) / (fb - fa); + } else { + REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); + REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); + REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); + s = s1 + s2 + s3; + } + + if ( ( (3.0 * a + b) /4.0 > s || s > b) || + ( mflag && fabs(b-c)/2.0 <= fabs(s-b) ) || + ( !mflag && fabs(c-d)/2.0 <= fabs(s-b) ) || + ( mflag && fabs(b-c) <= fabs(tol) ) || + ( !mflag && fabs(c-d) <= fabs(tol) ) ) { + mflag = true; + s = (a + b) / 2.0; + } else { + mflag = false; + } + + REAL fs = to_solve_orig(N, tmp_arrs, s); + + // d is assigned for the first time here: + // it's not used above because mflag is set + d = c; + c = b; fc = fb; + + if( fa*fs < 0.0 ) { b = s; fb = fs; } + else { a = s; fa = fs; } + + if( fabs(fa) < fabs(fb) ) { + REAL tmp; + tmp = a; a = b; b = tmp; + tmp = fa; fa = fb; fb = tmp; + } + + // reporting non-convergence! + if(i == iter_max-1) { + printf("# ERROR: Brent method not converged, error: %f %f %d\n\n", b, fb, i); + } + + it = i; + } + } + + root = b; + + //return BrentRes(b, it, fb); +} + +REAL exactYhatOrig( + const UINT& n_schedi, + + const REAL& b, // scals begins + const REAL& sigmax, + const REAL& sigmay, + const REAL& rhoxy, + const REAL& rhoxyc, + const REAL& rhoxycs, + const REAL& mux, + const REAL& muy, // scals ends + IntermElem* tmp_arrs, + + const REAL& x // output +) { + // ugaussian_Pinv(k)=1.0e~4 + const REAL k = - 3.71901648545568; + + REAL up = 0.0, lo = -INFTY; + for( UINT i = 0; i < n_schedi; i++ ) { + REAL baix = tmp_arrs[i].bai * x; + + REAL up_term = tmp_arrs[i].aici * exp( -baix ); + tmp_arrs[i].hat_scale = up_term; + up += up_term; + lo = std::max( lo, ( tmp_arrs[i].log_aici - baix ) / tmp_arrs[i].bbi ); + } + +// CHECKING uplo!!!! + + const REAL log_s = log(up); + REAL tmp = log_s / tmp_arrs[n_schedi-1].bbi; + + if ( tmp <= 0.0 ) { + up = tmp; + } else { + tmp = log_s / tmp_arrs[0].bbi; + if ( 0.0 <= tmp ) up = tmp; + else up = - INFTY; + } + + const REAL yl = lo - EPS; + const REAL yu = up + EPS; + + const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; + const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; + + REAL res; + if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS + else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) + else { + const REAL root_lb = std::max( yl, y0 ); + const REAL root_ub = std::min( yu, y1 ); + + REAL root, error; UINT iter; + rootFinding_Brent_orig(n_schedi, tmp_arrs, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); + //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); + + res = ( error == -INFTY ) ? y0 - 1.0 : ( error == INFTY ) ? y1 + 1.0 : root; + } + + return res; +} + + +#endif // ifndef G2PP diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h new file mode 100644 index 0000000..3643bc3 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h @@ -0,0 +1,281 @@ +#ifndef GEN_ALG_FLAT +#define GEN_ALG_FLAT + +using namespace std; + +#include "Constants.h" +#include "GenAlgUtil.h" +#include "Genome.h" +#include "UtilCPU.h" +#include "EvalGenomeOrig.h" + + +/** + * Printing Swaption / Calibrated Price / Black Price / RMS + * The result is an array REAL[NUM_SWAP_QUOTES, 3] recording + * for each swaption the calibrated price, the black price + * and the percentagewise difference between the two. + */ +void makeSummary( const int winner, + const Genome& wgene, + const REAL* new_quote, + const REAL* new_price, + REAL* result // output +) { + REAL rms = 0.0; + + fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); + fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", + wgene.a, wgene.b, wgene.sigma, wgene.nu, wgene.rho, wgene.logLik ); + fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); + + for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { + REAL black_price = new_quote[i]; + REAL calib_price = new_price[i]; + REAL err_ratio = (calib_price - black_price) / black_price; + + result[3*i + 0] = 10000.0*calib_price; + result[3*i + 1] = 10000.0*black_price; + result[3*i + 2] = 100.0*fabs(err_ratio); + + rms += err_ratio * err_ratio; + + fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", + i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], + result[3*i + 0], result[3*i + 1], result[3*i + 2] ); + } + + rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); + fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); +} + + +/** + * Utility function: find the genome with the best likelihood: + * scans the logLik array and fill in the index and likelihood + * of the best genome. + */ +void find_best(const Genome* genomes, int& best_ind, REAL& best_lik) { + bool sanity = true; + + best_lik = -INFINITY; + best_ind = 0; + + // this is in fact a reduction, but POP_SIZE is + // not big enough to warrant a parallel execution. + for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX + REAL val = genomes[i].logLik; + + sanity = !( isnan(val) || isinf(val) ); + assert( sanity && "val is NaN in find_best" ); + + if( val > best_lik ) { best_ind = i; best_lik = val; } + } +} + +Move_Type selectMoveType(REAL move_selected) { + Move_Type move_type = NONE; + + REAL prob; + Move_Type type; + UINT k = 0; + do { + prob = mcmc_moves_selection_cumdensfct[k].fst; + type = mcmc_moves_selection_cumdensfct[k].snd; + + if( move_selected <= prob ) { + move_type = type; + } + k ++; + } while ( move_selected > prob && k < CUMDENSFCT_CARD ); + + assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); + + return move_type; +} + +/** + * Main Entry Point for Swaption Calibration + * The (out) arguments are in fact the resulted + * winning genome result & its likelihood. + * The array result has size 3*NUM_SWAP_QUOTES + * and records for each swaption the calibrated + * price, the black price and the percentage + * difference between the two. + */ +REAL* mainKernelSeqCPU( Genome& winner ) { + + UINT n_schedi_max = 0; + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + const UINT n_schedi = static_cast(12.0 * SwaptionQuotes[4*ttt+2] / SwaptionQuotes[4*ttt+1]); + n_schedi_max = max(n_schedi_max, n_schedi); + } + + SeqArrays cpu_arrs(n_schedi_max); + Genome* genomes = cpu_arrs.genomes; + + srand ( SEED ); + srand48 ( SEED ); + + // initialized the genomes with random numbers inside + // their acceptable bounds => requires 5*POP_SIZE randoms + for( int i = 0; i < POP_SIZE; i++ ) { + REAL r01, tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; + genomes[i].a = genomes[i+POP_SIZE].a = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; + genomes[i].b = genomes[i+POP_SIZE].b = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; + genomes[i].rho = genomes[i+POP_SIZE].rho = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; + genomes[i].nu = genomes[i+POP_SIZE].nu = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; + genomes[i].sigma = genomes[i+POP_SIZE].sigma = tmp; + +// genomes[i].fbRat = genomes[i+POP_SIZE].fbRat = 1.0; + } + + // Initial evaluation of the genomes! + REAL quote, price; + for( int i = 0; i < POP_SIZE; i++ ) { + Genome& gene = genomes[i]; + REAL rms = 0.0; + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + eval_genome_new ( + gene.a, gene.b, gene.rho, gene.nu, gene.sigma, + SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price + ); + rms += logLikelihood( quote, price ); + } + gene.logLik = rms; + } + + // convergence loop that runs the genetic algorithms + // (takes a population and returns a population) + for( int j = 0; j < MCMC_LOOPS; j++ ) { + + // select which move to perform. + // Note: this block can also be a loop (in fixed order) + // over the various move types + REAL move_selected = getRandUnifNorm(); + Move_Type move_type = selectMoveType(move_selected); + + if ( move_type == DIMS_ALL ) { + for( int i = 0; i < POP_SIZE; i++ ) { + genomes[i+POP_SIZE].mutate_dims_all( genomes[i] ); + } + + } else if ( move_type == DIMS_ONE ) { + + UINT dim_j = getRandIntNorm(GENOME_DIM); + + for( int i = 0; i < POP_SIZE; i++ ) { + genomes[i+POP_SIZE].mutate_dims_one( genomes[i], dim_j ); + } + } else /* if ( move_type == DEMCMC ) */ { + + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums + // compute the k^th and the l^th genes + UINT cand_UB = POP_SIZE - 1; + UINT k = getRandIntNorm(cand_UB); // random in [0,pop_size-1) + if ( k == i ) { + k = cand_UB; + cand_UB -= 1; + } + UINT l = getRandIntNorm(cand_UB); + if ( l == i || l == k ) { + l = cand_UB; + } + + // do DEMCMC base on k^th and l^th genomes + genomes[i+POP_SIZE].mcmc_DE( genomes[i], genomes[k], genomes[l] ); + } + } + + // evaluate the proposals + for( int i = 0; i < POP_SIZE; i++ ) { + Genome& gene = genomes[i+POP_SIZE]; + + REAL rms = 0.0; + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + eval_genome_new ( + gene.a, gene.b, gene.rho, gene.nu, gene.sigma, + SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price + ); + rms += logLikelihood( quote, price ); + } + gene.logLik = rms; + } + + // mcmc_acceptance_rejection(); + // Deciding whether to accept or reject the proposal, + // obtained by mutating/crossover of the individual. + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel + // Metropolis: get a random U[0,1) for each candidate + REAL rand = getRandUnifNorm(); + + Genome& orig = genomes[i]; + Genome& muta = genomes[i+POP_SIZE]; + // selection: dimensions considered independent + // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) + REAL acceptance = std::min( 1.0, exp( muta.logLik - orig.logLik ) * muta.fbRat ); + + // if acceptance criterion is met then p->p' else does nothing + if ( rand < acceptance ) + orig = muta; + } + + // print best candidate for the current iteration: + if ( (j % 16) == 0 ){ + int best_ind; REAL best_lik; + find_best(genomes, best_ind, best_lik); + fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", + j, best_lik, best_ind ); + } + } + + REAL* result = new REAL[3*NUM_SWAP_QUOTES]; + { // print best candidate for the current iteration: + int best_ind; REAL best_lik; + find_best(genomes, best_ind, best_lik); + //winner = genomes[best_ind]; + winner.a = genomes[best_ind].a; winner.b = genomes[best_ind].b; + winner.rho = genomes[best_ind].rho; winner.nu = genomes[best_ind].nu; + winner.sigma = genomes[best_ind].sigma; winner.logLik = genomes[best_ind].logLik; + + // recompute the calibrated price and the black price! + REAL* quotes = cpu_arrs.get_quote(); + REAL* prices = cpu_arrs.get_price(); + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + eval_genome_new ( + winner.a, winner.b, winner.rho, winner.nu, winner.sigma, + SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price + ); + quotes[ttt] = quote; + prices[ttt] = price; + } + + + + // write summary + makeSummary( best_ind, winner, quotes, prices, result ); + } + + // Releasing the CPU resources: + cpu_arrs.releaseResources(); + + return result; +} + +#endif // end ifndef GEN_ALG_FLAT + diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/Genome.h b/benchmarks/InterestCalib/implementations/OrigCpp/Genome.h new file mode 100644 index 0000000..a99d977 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/OrigCpp/Genome.h @@ -0,0 +1,238 @@ +#ifndef CANDIDATE_CLASS +#define CANDIDATE_CLASS + +#include "Constants.h" +#include "GenAlgUtil.h" + + +//========================================================================= +/** + * Candidate: + * - identified by parameters (target, and nuisance) + * - holds one proposal, to be accepted or rejected + * - holds fitness results + * - holds MCMC selection regions + * Population: + * - container of candidates + * - container of proposals + * - caller of mutation functions + * - select if to keep/update candidates and proposals + * MCMC: moves: + * - TODO: Gibbs sampling: single dimension update + * - all dimensions update + * - crossover + */ +//========================================================================= + +/** + * Genome min/max ranges and proposed initial values (not used) + * { g_a, g_b, g_rho, g_nu, g_sigma } + */ +const REAL g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; +const REAL g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; +const REAL g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; +//const REAL Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; + + +/** + * perturbing a genome; requires one random uniform number in [0,1) + */ +inline +REAL perturbation( + const REAL gene, + const REAL gene_k, + const REAL gene_l, + const UINT i, + const REAL gamma1, + const REAL amplitude_ratio +) { + REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + REAL semiamplitude = amplitude / 2.0; + REAL r01 = getRandRandNorm(); + REAL perturb = ( amplitude * r01 - semiamplitude ); + + return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); +} + +/* + * contraining gene i to be within accepted bounds! + */ +inline +REAL constrain_dim1( const int i, const REAL gene ) { + return std::max( g_mins[i], std::min( g_maxs[i], gene ) ); +} + + +/** + * Helper mutate function: requires one uniform random number + */ +Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int i, const REAL amplitude_ratio ) { + REAL forward_range, backward_range; + REAL tmp_min_max, tmp_max_min; + + const REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + const REAL semiamplitude = amplitude / 2.0; + + tmp_min_max = std::min( g_maxs[i], gene + semiamplitude ); + tmp_max_min = std::max( g_mins[i], gene - semiamplitude ); + forward_range = tmp_min_max - tmp_max_min; + + tmp_min_max = std::min( g_maxs[i], gene_prop + semiamplitude ); + tmp_max_min = std::max( g_mins[i], gene_prop - semiamplitude ); + backward_range = tmp_min_max - tmp_max_min; + + const REAL bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; + + // assign p' + REAL r01 = getRandRandNorm(); + REAL diff = amplitude * r01 - semiamplitude; + return Tuple(gene + diff, bf_fact); +} + + +struct Genome { + REAL a; + REAL b; + REAL rho; + REAL nu; + REAL sigma; + REAL logLik; + REAL fbRat; + REAL padding; + + Genome() { + this->a = 0.0; this->b = 0.0; this->rho = 0.0; + this->nu = 0.0; this->sigma = 0.0; this->logLik = 0.0; + this->fbRat = 0.0; + } + Genome( const REAL a, const REAL b, const REAL rho, const REAL nu, + const REAL sigma, const REAL logLik, const REAL fbRat) { + this->a = a; this->b = b; this->rho = rho; + this->nu = nu; this->sigma = sigma; this->logLik = logLik; + this->fbRat = fbRat; + } + Genome(const Genome& gene) { + this->a = gene.a; this->b = gene.b; this->rho = gene.rho; + this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; + this->fbRat = gene.fbRat; + } + Genome& operator=(const Genome& gene) { + this->a = gene.a; this->b = gene.b; this->rho = gene.rho; + this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; + this->fbRat = gene.fbRat; + return (*this); + } + + + /** + * mutate all dimensions. martingale with uniform prior. + * requires 5 * POP_SIZE uniform random numbers! + * I took out the evaluation of the proposal, since it should be + * done for all types of crossover/mutation/etc + */ + void mutate_dims_all( const Genome& orig, + const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { + REAL fb_rat = 1.0; + Tuple tmp(EPS0, 1.0); + + tmp = mutate_helper( orig.a, this->a, 0, amplitude_ratio ); + this->a = constrain_dim1(0, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.b, this->b, 1, amplitude_ratio ); + this->b = constrain_dim1(1, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.rho, this->rho, 2, amplitude_ratio ); + this->rho = constrain_dim1(2, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.nu, this->nu, 3, amplitude_ratio ); + this->nu = constrain_dim1(3, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.sigma, this->sigma, 4, amplitude_ratio ); + this->sigma = constrain_dim1(4, tmp.fst); + fb_rat *= tmp.snd; + + this->fbRat = fb_rat; + } + + /** + * mutate ONE dimension (Gibbs sampling). martingale with uniform prior + * dimension to be changed is given as input: has to be the same for + * all population. Memory coalescence? + * Requires POP_SIZE random uniform numbers! + */ + void mutate_dims_one( const Genome& orig, + const int dim_j, + const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO + ) { + REAL fb_rat = 1.0; + + Tuple tmp(EPS0, 1.0); + tmp = mutate_helper( orig.a, this->a, 0, (dim_j == 0) ? amplitude_ratio : 0.0 ); + this->a = constrain_dim1(0, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.b, this->b, 1, (dim_j == 1) ? amplitude_ratio : 0.0 ); + this->b = constrain_dim1(1, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.rho, this->rho, 2, (dim_j == 2) ? amplitude_ratio : 0.0 ); + this->rho = constrain_dim1(2, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.nu, this->nu, 3, (dim_j == 3) ? amplitude_ratio : 0.0 ); + this->nu = constrain_dim1(3, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.sigma, this->sigma, 4, (dim_j == 4) ? amplitude_ratio : 0.0 ); + this->sigma = constrain_dim1(4, tmp.fst); + fb_rat *= tmp.snd; + + this->fbRat = fb_rat; + } + + /** + * Crossover + */ + void mcmc_DE( const Genome& orig, + const Genome& gene_k, + const Genome& gene_l, + const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), + const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO + ) { + // proposal + // gamma: integrated out from the adviced + // Multivariate Gaussian with Gaussian target (Braak, 2006) + REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); + + this->a = constrain_dim1( 0, perturbation( orig.a, gene_k.a, gene_l.a, 0, gamma1, ampl_ratio ) ); + this->b = constrain_dim1( 1, perturbation( orig.b, gene_k.b, gene_l.b, 1, gamma1, ampl_ratio ) ); + this->rho = constrain_dim1( 2, perturbation( orig.rho, gene_k.rho, gene_l.rho, 2, gamma1, ampl_ratio ) ); + this->nu = constrain_dim1( 3, perturbation( orig.nu, gene_k.nu, gene_l.nu, 3, gamma1, ampl_ratio ) ); + this->sigma = constrain_dim1( 4, perturbation( orig.sigma, gene_k.sigma, gene_l.sigma, 4, gamma1, ampl_ratio ) ); + + this->fbRat = 1.0; // TODO: fix + } + + /** + * accepting the proposal + */ + void accept( const Genome& mutated ) { + this->a = mutated.a; + this->b = mutated.b; + this->rho = mutated.rho; + this->nu = mutated.nu; + this->sigma = mutated.sigma; + this->logLik = mutated.logLik; + this->fbRat = mutated.fbRat; + } +}; + +#endif // #ifndef CANDIDATE_CLASS + + + + diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/Makefile b/benchmarks/InterestCalib/implementations/OrigCpp/Makefile new file mode 100644 index 0000000..0cac6e1 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/OrigCpp/Makefile @@ -0,0 +1,42 @@ +include ../../setup.mk + +ifndef ($(HAVE_GPU)) +include ../../platform.mk +endif + +INCLUDES += -I../includeC +GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) +#-fno-unsafe-math-optimizations -fno-finite-math-only +#-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans + +SOURCES_CPP =SwapCalib.cpp +HELPERS =../includeC/ParseInput.h +OBJECTS =SwapCalib.o +EXECUTABLE =SwapCalib + + +default: cpu + +.cpp.o: $(SOURCES_CPP) $(HELPERS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< + +# The GPU version is in: ../CppAndGPU. 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zIK(XrXkMH4WU0y2eI6@BK@B1?mXFw_rc=Y)0Hr-%>a)5ZWT(hK#IrH_iFYdf0xaE* z8-lC()qNwKn5U*|CHsFa|J3?#Ks@EI66w_aB?m=*bzd9NkEymq`D*_A03(?a>`LrI z*+q$QUCx8Ve=19R#qglbukKelEb=ERCNi1Q!Uxjx8*D7aVayxRr8~ew^}m{5eg0S6 zXvHK>fk=p#~zMH-iJXiZ9ZSG|Isn8+Z5UYfmB=+aL`FEZoonPtlcL>R_>X*o` z?#mn&`P0*ID9mao?9!?g0%{X=Ks zh`^<$=TFIJ6+VgxE&a)T83e`LF%Q^1{ZsR);c39M`AuTJ)Re_DrrU2dpNjBr0;gJk zb$zZ- Date: Thu, 13 Aug 2015 21:33:26 +0200 Subject: [PATCH 042/122] working on Makefiles, instantiate files etc. --- .../implementations/CppOpenMP/Makefile | 19 ++----------------- .../implementations/CppOpenMP/instantiate | 4 ++++ 2 files changed, 6 insertions(+), 17 deletions(-) create mode 100644 benchmarks/InterestCalib/implementations/CppOpenMP/instantiate diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile index 0cac6e1..d58dbf9 100644 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile @@ -1,7 +1,7 @@ -include ../../setup.mk +include setup.mk ifndef ($(HAVE_GPU)) -include ../../platform.mk +include platform.mk endif INCLUDES += -I../includeC @@ -14,29 +14,14 @@ HELPERS =../includeC/ParseInput.h OBJECTS =SwapCalib.o EXECUTABLE =SwapCalib - default: cpu .cpp.o: $(SOURCES_CPP) $(HELPERS) $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< # The GPU version is in: ../CppAndGPU. This folder is CPU only! -gpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - cpu: $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - - -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate new file mode 100644 index 0000000..81dd8a6 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate @@ -0,0 +1,4 @@ +#!/bin/sh + +set -r + From 9571daa59fa95c3249b68bf1377fb1c72cd5f16d Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Thu, 13 Aug 2015 22:44:03 +0200 Subject: [PATCH 043/122] Working on the compilation of InterestCalib/CppOpenMp --- .../implementations/CppOpenMP/Makefile | 2 +- .../implementations/CppOpenMP/instantiate | 22 +- .../CppOpenMP/instantiate_data | 8 + .../implementations/CppOpenMP/run | 3 + .../implementations/OrigCpp/EvalGenomeOrig.h | 155 ---------- .../implementations/OrigCpp/G2PPorig.h | 176 ----------- .../implementations/OrigCpp/GenAlgFlat.h | 281 ------------------ .../implementations/OrigCpp/Genome.h | 238 --------------- .../implementations/OrigCpp/Makefile | 42 --- .../implementations/OrigCpp/SwapCalib | Bin 76488 -> 0 bytes .../implementations/OrigCpp/SwapCalib.cpp | 49 --- .../implementations/OrigCpp/UtilCPU.h | 48 --- 12 files changed, 33 insertions(+), 991 deletions(-) mode change 100644 => 100755 benchmarks/InterestCalib/implementations/CppOpenMP/instantiate create mode 100755 benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data create mode 100755 benchmarks/InterestCalib/implementations/CppOpenMP/run delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/Genome.h delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/Makefile delete mode 100755 benchmarks/InterestCalib/implementations/OrigCpp/SwapCalib delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/SwapCalib.cpp delete mode 100644 benchmarks/InterestCalib/implementations/OrigCpp/UtilCPU.h diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile index d58dbf9..4224d4d 100644 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile @@ -10,7 +10,7 @@ GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) #-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans SOURCES_CPP =SwapCalib.cpp -HELPERS =../includeC/ParseInput.h +HELPERS =ParseInput.h #Can this be correct?? OBJECTS =SwapCalib.o EXECUTABLE =SwapCalib diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate old mode 100644 new mode 100755 index 81dd8a6..857c549 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate @@ -1,4 +1,24 @@ #!/bin/sh -set -r +set -e +cp $HIPERMARK_LIB_DIR/setup.mk . +cp $HIPERMARK_LIB_DIR/include/ParserC.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Constants.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/KerConsts.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/GenAlgUtil.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Date.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Candidate.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/IrregShape.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/EvalGenomeInl.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/G2PP.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/G2ppUtil.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/MathModule.h . +cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . +cp $HIPERMARK_IMPLEMENTATION/run . +cp $HIPERMARK_LIB_DIR/include/Util.h . + + + +$HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data new file mode 100755 index 0000000..be356dd --- /dev/null +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data @@ -0,0 +1,8 @@ +#!/bin/sh + +set -e + +mkdir -p datasets/$HIPERMARK_INPUT_NAME + +# the linearisation might not be needed!! +cp $HIPERMARK_INPUT datasets/$HIPERMARK_INPUT_NAME/input.data \ No newline at end of file diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/run b/benchmarks/InterestCalib/implementations/CppOpenMP/run new file mode 100755 index 0000000..ff0deb0 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/run @@ -0,0 +1,3 @@ +#!/bin/sh +#export OMP_NUM_THREADS=$NCORES +cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./SwapCalib diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h b/benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h deleted file mode 100644 index efea067..0000000 --- a/benchmarks/InterestCalib/implementations/OrigCpp/EvalGenomeOrig.h +++ /dev/null @@ -1,155 +0,0 @@ -#ifndef EVAL_GENOME_INLINED -#define EVAL_GENOME_INLINED - -#include "Constants.h" -#include "GenAlgUtil.h" -#include "G2PP.h" -#include "G2PPorig.h" - - -/** - * MOST IMPORTANTLY: GENOME EVALUATION By Pricer of Swaption & BLACK PRICE - */ -void eval_genome_new ( - const REAL& a, - const REAL& b, - const REAL& rho, - const REAL& nu, - const REAL& sigma, - const REAL* swaption, - IntermElem* tmp_arrs, - REAL& new_quote, // output - REAL& new_price // output -) { - bool sanity = true; - - const REAL swap_freq = swaption[1]; - const REAL maturity = add_years( TODAY, swaption[0] ); - const UINT n_schedi = static_cast(12.0 * swaption[2] / swap_freq); - const REAL tmat0 = date_act_365( maturity, TODAY ); - - REAL strike; - { // BLACK PRICE computation - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; - - for(UINT i = 0; i < n_schedi; i++) { // reduce o map - // Map computes a1 and a2 (depends on i) - const REAL a1 = add_months( maturity, swap_freq*i ); - const REAL a2 = add_months( a1, swap_freq ); - - // Reduction( lvl: +, t0 : min, tn : max ) - lvl += zc(a2) * date_act_365(a2, a1); - t0 = std::min(t0, a1); - tn = std::max(tn, a2); - } - - strike = ( zc(t0) - zc(tn) ) / lvl; - const REAL d1 = 0.5 * swaption[3] * tmat0; - new_quote = lvl * strike * ( uGaussian_P(d1) - uGaussian_P(-d1) ); - } // END BLACK PRICE - - { // PRICER OF SWAPTION COMPUTATION - REAL v0_mat, dummy1, dummy2; - bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); -// - const REAL mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); - const REAL muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); -// - const REAL zc_mat = zc(maturity); -// - const REAL sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); - const REAL sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); - const REAL rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); - const REAL sigmax = sigma * sqrt_bfun_a; - const REAL sigmay = nu * sqrt_bfun_b; - - const REAL rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel - const REAL rhoxycs = sqrt( rhoxyc ); // used in reduction kernel - const REAL sigmay_rhoxycs = sigmay * rhoxycs; - const REAL t4 = (rhoxy * sigmay) / sigmax; - - for( UINT i = 0; i < n_schedi; i++ ) { - const REAL beg_date = add_months( maturity, swap_freq*i ); //scheduleix[i]; - const REAL end_date = add_months( beg_date, swap_freq ); //scheduleiy[i]; - const REAL res = date_act_365( end_date, beg_date ) * strike; - - const REAL cii = ( i == n_schedi-1 ) ? 1.0 + res : res; - - REAL v0_end, vt_end, baii, bbii, date_tod1, date_tod2; - date_tod1 = date_act_365(end_date, TODAY); - bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); - date_tod2 = date_act_365(end_date, maturity); - bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); - - const REAL expo_aici = 0.5 * (vt_end - v0_end + v0_mat); - const REAL fact_aici = cii * zc(end_date) / zc_mat; - tmp_arrs[i].ci = fact_aici; // reuse the space to hold the factor of t1_cs - tmp_arrs[i].t1_cs = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; - // hold only the exponent of the original t1_cs; - - tmp_arrs[i].bai = baii; - tmp_arrs[i].bbi = bbii; - tmp_arrs[i].aici = fact_aici * exp( expo_aici ); - tmp_arrs[i].log_aici = log( fact_aici ) + expo_aici; - tmp_arrs[i].scale = - ( baii + bbii * t4 ); - - sanity = ! ( isinf(tmp_arrs[i].aici) || isnan(tmp_arrs[i].aici) ); - assert(sanity && "Nan aici in pricer of swaption. Exiting!\n"); - } - - const REAL eps = 0.5 * sigmax; - - const REAL f = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, - mux, muy, tmp_arrs, mux ); - - const REAL g = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, - mux, muy, tmp_arrs, mux + eps ); - - const REAL h = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, - mux, muy, tmp_arrs, mux - eps ); - - const REAL df = 0.5 * ( g - h ) / eps; - - const REAL sqrt2sigmax = sqrt(2.0) * sigmax;; - const REAL t2 = rhoxy / (sigmax*rhoxycs);; - - REAL accum = 0.0; - - for( UINT j = 0; j < NUM_HERMITE; j++ ) { - const REAL x_quad = HermiteCoeffs [j]; - const REAL w_quad = HermiteWeights[j]; - - const REAL x = sqrt2sigmax * x_quad + mux; - const REAL yhat_x = f + df*(x - mux); - const REAL h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); - - REAL accum1 = 0.0; - for( UINT i = 0; i < n_schedi; i++ ) { - const REAL h2 = h1 + tmp_arrs[i].bbi * sigmay_rhoxycs; - - const REAL expo_aici = tmp_arrs[i].t1_cs + tmp_arrs[i].scale*x; - const REAL fact_aici = tmp_arrs[i].ci; - const REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); - accum1 += fact_aici * expo_part; - } - - sanity = ! ( isnan(accum1) || isinf(accum1) ); - assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); - - REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; - const REAL t1 = exp( - 0.5 * tmp * tmp ); - - accum += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); - } - - sanity = ! ( isnan(accum) || isinf(accum) ); - assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); - - new_price = zc_mat * ( accum / sqrt( PI ) ); - } -} - - - -#endif // end ifndef EVAL_GENOME_INLINED - diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h b/benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h deleted file mode 100644 index 5f324a4..0000000 --- a/benchmarks/InterestCalib/implementations/OrigCpp/G2PPorig.h +++ /dev/null @@ -1,176 +0,0 @@ -#ifndef G2PPORIG -#define G2PPORIG - -#include "Constants.h" -#include "Date.h" -#include "MathModule.h" -#include "G2ppUtil.h" - -#include "GenAlgUtil.h" - -REAL to_solve_orig( const UINT& N, - const IntermElem* tmp_arrs, - const REAL& yhat ) { - REAL accum = 0.0; - for( UINT i = 0; i < N; i++ ) { - accum += tmp_arrs[i].hat_scale * exp( - tmp_arrs[i].bbi * yhat ); - } - return accum - 1.0; -} - -////////////////////////// -// Root finder -////////////////////////// - -void rootFinding_Brent_orig ( - const UINT& N, - IntermElem* tmp_arrs, - const REAL& lb, - const REAL& ub, - const REAL& toll, - const UINT& it_mx, - REAL& root, // result - UINT& it, - REAL& fb -) { - const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; - const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; - - REAL a = lb, b = ub; - - REAL fa = to_solve_orig(N, tmp_arrs, a); - fb = to_solve_orig(N, tmp_arrs, b); - - if( fa*fb >= 0.0 ) { - root = 0.0; it = 0; - if ( a >= 0.0 ) fb = INFTY; - else fb = -INFTY; - return; - } - - if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } - - REAL c = a, fc = fa; - bool mflag = true; - REAL d = 0.0; - it = 0; - - for( UINT i = 0; i < iter_max; i++ ) { - if ( fb != 0.0 && fabs(b-a) >= tol ) { - REAL s; - if( fa == fc || fb == fc ) { - s = b - fb * (b - a) / (fb - fa); - } else { - REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); - REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); - REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); - s = s1 + s2 + s3; - } - - if ( ( (3.0 * a + b) /4.0 > s || s > b) || - ( mflag && fabs(b-c)/2.0 <= fabs(s-b) ) || - ( !mflag && fabs(c-d)/2.0 <= fabs(s-b) ) || - ( mflag && fabs(b-c) <= fabs(tol) ) || - ( !mflag && fabs(c-d) <= fabs(tol) ) ) { - mflag = true; - s = (a + b) / 2.0; - } else { - mflag = false; - } - - REAL fs = to_solve_orig(N, tmp_arrs, s); - - // d is assigned for the first time here: - // it's not used above because mflag is set - d = c; - c = b; fc = fb; - - if( fa*fs < 0.0 ) { b = s; fb = fs; } - else { a = s; fa = fs; } - - if( fabs(fa) < fabs(fb) ) { - REAL tmp; - tmp = a; a = b; b = tmp; - tmp = fa; fa = fb; fb = tmp; - } - - // reporting non-convergence! - if(i == iter_max-1) { - printf("# ERROR: Brent method not converged, error: %f %f %d\n\n", b, fb, i); - } - - it = i; - } - } - - root = b; - - //return BrentRes(b, it, fb); -} - -REAL exactYhatOrig( - const UINT& n_schedi, - - const REAL& b, // scals begins - const REAL& sigmax, - const REAL& sigmay, - const REAL& rhoxy, - const REAL& rhoxyc, - const REAL& rhoxycs, - const REAL& mux, - const REAL& muy, // scals ends - IntermElem* tmp_arrs, - - const REAL& x // output -) { - // ugaussian_Pinv(k)=1.0e~4 - const REAL k = - 3.71901648545568; - - REAL up = 0.0, lo = -INFTY; - for( UINT i = 0; i < n_schedi; i++ ) { - REAL baix = tmp_arrs[i].bai * x; - - REAL up_term = tmp_arrs[i].aici * exp( -baix ); - tmp_arrs[i].hat_scale = up_term; - up += up_term; - lo = std::max( lo, ( tmp_arrs[i].log_aici - baix ) / tmp_arrs[i].bbi ); - } - -// CHECKING uplo!!!! - - const REAL log_s = log(up); - REAL tmp = log_s / tmp_arrs[n_schedi-1].bbi; - - if ( tmp <= 0.0 ) { - up = tmp; - } else { - tmp = log_s / tmp_arrs[0].bbi; - if ( 0.0 <= tmp ) up = tmp; - else up = - INFTY; - } - - const REAL yl = lo - EPS; - const REAL yu = up + EPS; - - const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; - const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; - - REAL res; - if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS - else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) - else { - const REAL root_lb = std::max( yl, y0 ); - const REAL root_ub = std::min( yu, y1 ); - - REAL root, error; UINT iter; - rootFinding_Brent_orig(n_schedi, tmp_arrs, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); - //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); - - res = ( error == -INFTY ) ? y0 - 1.0 : ( error == INFTY ) ? y1 + 1.0 : root; - } - - return res; -} - - -#endif // ifndef G2PP diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h deleted file mode 100644 index 3643bc3..0000000 --- a/benchmarks/InterestCalib/implementations/OrigCpp/GenAlgFlat.h +++ /dev/null @@ -1,281 +0,0 @@ -#ifndef GEN_ALG_FLAT -#define GEN_ALG_FLAT - -using namespace std; - -#include "Constants.h" -#include "GenAlgUtil.h" -#include "Genome.h" -#include "UtilCPU.h" -#include "EvalGenomeOrig.h" - - -/** - * Printing Swaption / Calibrated Price / Black Price / RMS - * The result is an array REAL[NUM_SWAP_QUOTES, 3] recording - * for each swaption the calibrated price, the black price - * and the percentagewise difference between the two. - */ -void makeSummary( const int winner, - const Genome& wgene, - const REAL* new_quote, - const REAL* new_price, - REAL* result // output -) { - REAL rms = 0.0; - - fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); - fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", - wgene.a, wgene.b, wgene.sigma, wgene.nu, wgene.rho, wgene.logLik ); - fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); - - for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { - REAL black_price = new_quote[i]; - REAL calib_price = new_price[i]; - REAL err_ratio = (calib_price - black_price) / black_price; - - result[3*i + 0] = 10000.0*calib_price; - result[3*i + 1] = 10000.0*black_price; - result[3*i + 2] = 100.0*fabs(err_ratio); - - rms += err_ratio * err_ratio; - - fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", - i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], - result[3*i + 0], result[3*i + 1], result[3*i + 2] ); - } - - rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); - fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); -} - - -/** - * Utility function: find the genome with the best likelihood: - * scans the logLik array and fill in the index and likelihood - * of the best genome. - */ -void find_best(const Genome* genomes, int& best_ind, REAL& best_lik) { - bool sanity = true; - - best_lik = -INFINITY; - best_ind = 0; - - // this is in fact a reduction, but POP_SIZE is - // not big enough to warrant a parallel execution. - for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX - REAL val = genomes[i].logLik; - - sanity = !( isnan(val) || isinf(val) ); - assert( sanity && "val is NaN in find_best" ); - - if( val > best_lik ) { best_ind = i; best_lik = val; } - } -} - -Move_Type selectMoveType(REAL move_selected) { - Move_Type move_type = NONE; - - REAL prob; - Move_Type type; - UINT k = 0; - do { - prob = mcmc_moves_selection_cumdensfct[k].fst; - type = mcmc_moves_selection_cumdensfct[k].snd; - - if( move_selected <= prob ) { - move_type = type; - } - k ++; - } while ( move_selected > prob && k < CUMDENSFCT_CARD ); - - assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); - - return move_type; -} - -/** - * Main Entry Point for Swaption Calibration - * The (out) arguments are in fact the resulted - * winning genome result & its likelihood. - * The array result has size 3*NUM_SWAP_QUOTES - * and records for each swaption the calibrated - * price, the black price and the percentage - * difference between the two. - */ -REAL* mainKernelSeqCPU( Genome& winner ) { - - UINT n_schedi_max = 0; - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - const UINT n_schedi = static_cast(12.0 * SwaptionQuotes[4*ttt+2] / SwaptionQuotes[4*ttt+1]); - n_schedi_max = max(n_schedi_max, n_schedi); - } - - SeqArrays cpu_arrs(n_schedi_max); - Genome* genomes = cpu_arrs.genomes; - - srand ( SEED ); - srand48 ( SEED ); - - // initialized the genomes with random numbers inside - // their acceptable bounds => requires 5*POP_SIZE randoms - for( int i = 0; i < POP_SIZE; i++ ) { - REAL r01, tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; - genomes[i].a = genomes[i+POP_SIZE].a = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; - genomes[i].b = genomes[i+POP_SIZE].b = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; - genomes[i].rho = genomes[i+POP_SIZE].rho = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; - genomes[i].nu = genomes[i+POP_SIZE].nu = tmp; - - r01 = getRandRandNorm(); - tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; - genomes[i].sigma = genomes[i+POP_SIZE].sigma = tmp; - -// genomes[i].fbRat = genomes[i+POP_SIZE].fbRat = 1.0; - } - - // Initial evaluation of the genomes! - REAL quote, price; - for( int i = 0; i < POP_SIZE; i++ ) { - Genome& gene = genomes[i]; - REAL rms = 0.0; - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - eval_genome_new ( - gene.a, gene.b, gene.rho, gene.nu, gene.sigma, - SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price - ); - rms += logLikelihood( quote, price ); - } - gene.logLik = rms; - } - - // convergence loop that runs the genetic algorithms - // (takes a population and returns a population) - for( int j = 0; j < MCMC_LOOPS; j++ ) { - - // select which move to perform. - // Note: this block can also be a loop (in fixed order) - // over the various move types - REAL move_selected = getRandUnifNorm(); - Move_Type move_type = selectMoveType(move_selected); - - if ( move_type == DIMS_ALL ) { - for( int i = 0; i < POP_SIZE; i++ ) { - genomes[i+POP_SIZE].mutate_dims_all( genomes[i] ); - } - - } else if ( move_type == DIMS_ONE ) { - - UINT dim_j = getRandIntNorm(GENOME_DIM); - - for( int i = 0; i < POP_SIZE; i++ ) { - genomes[i+POP_SIZE].mutate_dims_one( genomes[i], dim_j ); - } - } else /* if ( move_type == DEMCMC ) */ { - - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums - // compute the k^th and the l^th genes - UINT cand_UB = POP_SIZE - 1; - UINT k = getRandIntNorm(cand_UB); // random in [0,pop_size-1) - if ( k == i ) { - k = cand_UB; - cand_UB -= 1; - } - UINT l = getRandIntNorm(cand_UB); - if ( l == i || l == k ) { - l = cand_UB; - } - - // do DEMCMC base on k^th and l^th genomes - genomes[i+POP_SIZE].mcmc_DE( genomes[i], genomes[k], genomes[l] ); - } - } - - // evaluate the proposals - for( int i = 0; i < POP_SIZE; i++ ) { - Genome& gene = genomes[i+POP_SIZE]; - - REAL rms = 0.0; - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - eval_genome_new ( - gene.a, gene.b, gene.rho, gene.nu, gene.sigma, - SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price - ); - rms += logLikelihood( quote, price ); - } - gene.logLik = rms; - } - - // mcmc_acceptance_rejection(); - // Deciding whether to accept or reject the proposal, - // obtained by mutating/crossover of the individual. - for ( int i = 0; i < POP_SIZE; i++ ) { // parallel - // Metropolis: get a random U[0,1) for each candidate - REAL rand = getRandUnifNorm(); - - Genome& orig = genomes[i]; - Genome& muta = genomes[i+POP_SIZE]; - // selection: dimensions considered independent - // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) - REAL acceptance = std::min( 1.0, exp( muta.logLik - orig.logLik ) * muta.fbRat ); - - // if acceptance criterion is met then p->p' else does nothing - if ( rand < acceptance ) - orig = muta; - } - - // print best candidate for the current iteration: - if ( (j % 16) == 0 ){ - int best_ind; REAL best_lik; - find_best(genomes, best_ind, best_lik); - fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", - j, best_lik, best_ind ); - } - } - - REAL* result = new REAL[3*NUM_SWAP_QUOTES]; - { // print best candidate for the current iteration: - int best_ind; REAL best_lik; - find_best(genomes, best_ind, best_lik); - //winner = genomes[best_ind]; - winner.a = genomes[best_ind].a; winner.b = genomes[best_ind].b; - winner.rho = genomes[best_ind].rho; winner.nu = genomes[best_ind].nu; - winner.sigma = genomes[best_ind].sigma; winner.logLik = genomes[best_ind].logLik; - - // recompute the calibrated price and the black price! - REAL* quotes = cpu_arrs.get_quote(); - REAL* prices = cpu_arrs.get_price(); - for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - eval_genome_new ( - winner.a, winner.b, winner.rho, winner.nu, winner.sigma, - SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price - ); - quotes[ttt] = quote; - prices[ttt] = price; - } - - - - // write summary - makeSummary( best_ind, winner, quotes, prices, result ); - } - - // Releasing the CPU resources: - cpu_arrs.releaseResources(); - - return result; -} - -#endif // end ifndef GEN_ALG_FLAT - diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/Genome.h b/benchmarks/InterestCalib/implementations/OrigCpp/Genome.h deleted file mode 100644 index a99d977..0000000 --- a/benchmarks/InterestCalib/implementations/OrigCpp/Genome.h +++ /dev/null @@ -1,238 +0,0 @@ -#ifndef CANDIDATE_CLASS -#define CANDIDATE_CLASS - -#include "Constants.h" -#include "GenAlgUtil.h" - - -//========================================================================= -/** - * Candidate: - * - identified by parameters (target, and nuisance) - * - holds one proposal, to be accepted or rejected - * - holds fitness results - * - holds MCMC selection regions - * Population: - * - container of candidates - * - container of proposals - * - caller of mutation functions - * - select if to keep/update candidates and proposals - * MCMC: moves: - * - TODO: Gibbs sampling: single dimension update - * - all dimensions update - * - crossover - */ -//========================================================================= - -/** - * Genome min/max ranges and proposed initial values (not used) - * { g_a, g_b, g_rho, g_nu, g_sigma } - */ -const REAL g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; -const REAL g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; -const REAL g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; -//const REAL Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; - - -/** - * perturbing a genome; requires one random uniform number in [0,1) - */ -inline -REAL perturbation( - const REAL gene, - const REAL gene_k, - const REAL gene_l, - const UINT i, - const REAL gamma1, - const REAL amplitude_ratio -) { - REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - REAL semiamplitude = amplitude / 2.0; - REAL r01 = getRandRandNorm(); - REAL perturb = ( amplitude * r01 - semiamplitude ); - - return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); -} - -/* - * contraining gene i to be within accepted bounds! - */ -inline -REAL constrain_dim1( const int i, const REAL gene ) { - return std::max( g_mins[i], std::min( g_maxs[i], gene ) ); -} - - -/** - * Helper mutate function: requires one uniform random number - */ -Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int i, const REAL amplitude_ratio ) { - REAL forward_range, backward_range; - REAL tmp_min_max, tmp_max_min; - - const REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - const REAL semiamplitude = amplitude / 2.0; - - tmp_min_max = std::min( g_maxs[i], gene + semiamplitude ); - tmp_max_min = std::max( g_mins[i], gene - semiamplitude ); - forward_range = tmp_min_max - tmp_max_min; - - tmp_min_max = std::min( g_maxs[i], gene_prop + semiamplitude ); - tmp_max_min = std::max( g_mins[i], gene_prop - semiamplitude ); - backward_range = tmp_min_max - tmp_max_min; - - const REAL bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; - - // assign p' - REAL r01 = getRandRandNorm(); - REAL diff = amplitude * r01 - semiamplitude; - return Tuple(gene + diff, bf_fact); -} - - -struct Genome { - REAL a; - REAL b; - REAL rho; - REAL nu; - REAL sigma; - REAL logLik; - REAL fbRat; - REAL padding; - - Genome() { - this->a = 0.0; this->b = 0.0; this->rho = 0.0; - this->nu = 0.0; this->sigma = 0.0; this->logLik = 0.0; - this->fbRat = 0.0; - } - Genome( const REAL a, const REAL b, const REAL rho, const REAL nu, - const REAL sigma, const REAL logLik, const REAL fbRat) { - this->a = a; this->b = b; this->rho = rho; - this->nu = nu; this->sigma = sigma; this->logLik = logLik; - this->fbRat = fbRat; - } - Genome(const Genome& gene) { - this->a = gene.a; this->b = gene.b; this->rho = gene.rho; - this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; - this->fbRat = gene.fbRat; - } - Genome& operator=(const Genome& gene) { - this->a = gene.a; this->b = gene.b; this->rho = gene.rho; - this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; - this->fbRat = gene.fbRat; - return (*this); - } - - - /** - * mutate all dimensions. martingale with uniform prior. - * requires 5 * POP_SIZE uniform random numbers! - * I took out the evaluation of the proposal, since it should be - * done for all types of crossover/mutation/etc - */ - void mutate_dims_all( const Genome& orig, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { - REAL fb_rat = 1.0; - Tuple tmp(EPS0, 1.0); - - tmp = mutate_helper( orig.a, this->a, 0, amplitude_ratio ); - this->a = constrain_dim1(0, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.b, this->b, 1, amplitude_ratio ); - this->b = constrain_dim1(1, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.rho, this->rho, 2, amplitude_ratio ); - this->rho = constrain_dim1(2, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.nu, this->nu, 3, amplitude_ratio ); - this->nu = constrain_dim1(3, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.sigma, this->sigma, 4, amplitude_ratio ); - this->sigma = constrain_dim1(4, tmp.fst); - fb_rat *= tmp.snd; - - this->fbRat = fb_rat; - } - - /** - * mutate ONE dimension (Gibbs sampling). martingale with uniform prior - * dimension to be changed is given as input: has to be the same for - * all population. Memory coalescence? - * Requires POP_SIZE random uniform numbers! - */ - void mutate_dims_one( const Genome& orig, - const int dim_j, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO - ) { - REAL fb_rat = 1.0; - - Tuple tmp(EPS0, 1.0); - tmp = mutate_helper( orig.a, this->a, 0, (dim_j == 0) ? amplitude_ratio : 0.0 ); - this->a = constrain_dim1(0, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.b, this->b, 1, (dim_j == 1) ? amplitude_ratio : 0.0 ); - this->b = constrain_dim1(1, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.rho, this->rho, 2, (dim_j == 2) ? amplitude_ratio : 0.0 ); - this->rho = constrain_dim1(2, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.nu, this->nu, 3, (dim_j == 3) ? amplitude_ratio : 0.0 ); - this->nu = constrain_dim1(3, tmp.fst); - fb_rat *= tmp.snd; - - tmp = mutate_helper( orig.sigma, this->sigma, 4, (dim_j == 4) ? amplitude_ratio : 0.0 ); - this->sigma = constrain_dim1(4, tmp.fst); - fb_rat *= tmp.snd; - - this->fbRat = fb_rat; - } - - /** - * Crossover - */ - void mcmc_DE( const Genome& orig, - const Genome& gene_k, - const Genome& gene_l, - const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), - const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO - ) { - // proposal - // gamma: integrated out from the adviced - // Multivariate Gaussian with Gaussian target (Braak, 2006) - REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); - - this->a = constrain_dim1( 0, perturbation( orig.a, gene_k.a, gene_l.a, 0, gamma1, ampl_ratio ) ); - this->b = constrain_dim1( 1, perturbation( orig.b, gene_k.b, gene_l.b, 1, gamma1, ampl_ratio ) ); - this->rho = constrain_dim1( 2, perturbation( orig.rho, gene_k.rho, gene_l.rho, 2, gamma1, ampl_ratio ) ); - this->nu = constrain_dim1( 3, perturbation( orig.nu, gene_k.nu, gene_l.nu, 3, gamma1, ampl_ratio ) ); - this->sigma = constrain_dim1( 4, perturbation( orig.sigma, gene_k.sigma, gene_l.sigma, 4, gamma1, ampl_ratio ) ); - - this->fbRat = 1.0; // TODO: fix - } - - /** - * accepting the proposal - */ - void accept( const Genome& mutated ) { - this->a = mutated.a; - this->b = mutated.b; - this->rho = mutated.rho; - this->nu = mutated.nu; - this->sigma = mutated.sigma; - this->logLik = mutated.logLik; - this->fbRat = mutated.fbRat; - } -}; - -#endif // #ifndef CANDIDATE_CLASS - - - - diff --git a/benchmarks/InterestCalib/implementations/OrigCpp/Makefile b/benchmarks/InterestCalib/implementations/OrigCpp/Makefile deleted file mode 100644 index 0cac6e1..0000000 --- a/benchmarks/InterestCalib/implementations/OrigCpp/Makefile +++ /dev/null @@ -1,42 +0,0 @@ -include ../../setup.mk - -ifndef ($(HAVE_GPU)) -include ../../platform.mk -endif - -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -#-fno-unsafe-math-optimizations -fno-finite-math-only -#-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans - -SOURCES_CPP =SwapCalib.cpp -HELPERS =../includeC/ParseInput.h -OBJECTS =SwapCalib.o -EXECUTABLE =SwapCalib - - -default: cpu - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -# The GPU version is in: ../CppAndGPU. 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zIK(XrXkMH4WU0y2eI6@BK@B1?mXFw_rc=Y)0Hr-%>a)5ZWT(hK#IrH_iFYdf0xaE* z8-lC()qNwKn5U*|CHsFa|J3?#Ks@EI66w_aB?m=*bzd9NkEymq`D*_A03(?a>`LrI z*+q$QUCx8Ve=19R#qglbukKelEb=ERCNi1Q!Uxjx8*D7aVayxRr8~ew^}m{5eg0S6 zXvHK>fk=p#~zMH-iJXiZ9ZSG|Isn8+Z5UYfmB=+aL`FEZoonPtlcL>R_>X*o` z?#mn&`P0*ID9mao?9!?g0%{X=Ks zh`^<$=TFIJ6+VgxE&a)T83e`LF%Q^1{ZsR);c39M`AuTJ)Re_DrrU2dpNjBr0;gJk zb$zZ- Date: Fri, 14 Aug 2015 11:17:32 +0200 Subject: [PATCH 044/122] Port of InterestCalib CppOpenMP. --- .../implementations/CppOpenMP/SwapCalib.cpp | 37 ++++--- .../implementations/CppOpenMP/instantiate | 4 +- .../CppOpenMP/instantiate_data | 3 +- .../InterestCalib/lib/include/ParseInput.h | 97 ------------------- .../InterestCalib/lib/include/WriteResult.h | 37 +++++++ 5 files changed, 65 insertions(+), 113 deletions(-) create mode 100644 benchmarks/InterestCalib/lib/include/WriteResult.h diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp index 231217d..948bb78 100644 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp @@ -5,29 +5,30 @@ /*** (sequential) by LexiFi ***/ /*** and a sequential Python implem ***/ /*** using a different genetic alg.***/ -/*** by Christian Andreetta ***/ -/****************************************/ +/*** by Christian Andreetta ***/ +/****************************************/ #include "Util.h" #include "Constants.h" #include "ParseInput.h" #include "GenAlgFlat.h" +#include "WriteResult.h" int main() { - REAL wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, + REAL wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; REAL* calib_arr = NULL; printf("\n// Running Original (CPU Parallel) Swaption-Calibration Benchmark\n"); readDataSet( POP_SIZE, MCMC_LOOPS, - NUM_SWAP_QUOTES, SwaptionQuotes, + NUM_SWAP_QUOTES, SwaptionQuotes, NUM_HERMITE, HermiteCoeffs, HermiteWeights, NUM_SOBOL_BITS, SobolDirVct - ); + ); - unsigned long int elapsed = 0; + unsigned long int elapsed_usec = 0; { // Main Computational Kernel struct timeval t_start, t_end, t_diff; gettimeofday(&t_start, NULL); @@ -36,18 +37,29 @@ int main() gettimeofday(&t_end, NULL); timeval_subtract(&t_diff, &t_end, &t_start); - elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; } { // validation and writeback of the result + FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); + FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); const int Ps = get_CPU_num_threads(); - bool is_valid = validate( wg_logLik, calib_arr, NUM_SWAP_QUOTES ); - writeStatsAndResult( is_valid, wg_a, wg_b, wg_sigma, wg_nu, wg_rho, - wg_logLik, calib_arr, NUM_SWAP_QUOTES, - false, Ps, elapsed ); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + + writeResult(result, + wg_a, + wg_b, + wg_sigma, + wg_nu, + wg_rho, + wg_logLik, + calib_arr); + + fclose(result); } - return 1; + return 0; } @@ -59,4 +71,3 @@ void test_all() { test_pricer_of_swaption(); } #endif - diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate index 857c549..ee90c75 100755 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate @@ -5,6 +5,7 @@ set -e cp $HIPERMARK_LIB_DIR/setup.mk . cp $HIPERMARK_LIB_DIR/include/ParserC.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/ParseInput.h . +cp $HIPERMARK_BENCHMARK_LIB_DIR/include/WriteResult.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Constants.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/KerConsts.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/GenAlgUtil.h . @@ -20,5 +21,6 @@ cp $HIPERMARK_IMPLEMENTATION/run . cp $HIPERMARK_LIB_DIR/include/Util.h . - $HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk + +make diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data index be356dd..b8ccb2b 100755 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data @@ -4,5 +4,4 @@ set -e mkdir -p datasets/$HIPERMARK_INPUT_NAME -# the linearisation might not be needed!! -cp $HIPERMARK_INPUT datasets/$HIPERMARK_INPUT_NAME/input.data \ No newline at end of file +$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/InterestCalib/lib/include/ParseInput.h b/benchmarks/InterestCalib/lib/include/ParseInput.h index 042725c..efddda2 100644 --- a/benchmarks/InterestCalib/lib/include/ParseInput.h +++ b/benchmarks/InterestCalib/lib/include/ParseInput.h @@ -98,102 +98,5 @@ void readDataSet( UINT& pop_size, } } -REAL* readOutput( const int& N, REAL& ref_logLik ) { - REAL* result; - int64_t shape[3]; - - REAL ref_a, ref_b, ref_sigma, ref_nu, ref_rho; - - // reading the reference genome! - if( read_real( &ref_a ) || read_real( &ref_b ) || - read_real( &ref_sigma ) || read_real( &ref_nu ) || - read_real( &ref_rho ) || read_real( &ref_logLik ) ) { - fprintf(stderr, "Syntax error when reading the reference genome or its likelihood.\n"); - exit(1); - } - - // reading the standard output - if ( read_array(sizeof(REAL), read_real, (void**)&result, shape, 2) ) { - fprintf(stderr, "Syntax error when reading the output.\n"); - exit(1); - } - bool ok = ( shape[0] == N ) && ( shape[1] == 3 ); - assert(ok && "Incorrect shape of the reference array result!"); - - return result; -} - -bool validate( const REAL& logLik, const REAL* res, const int& N ) { - bool is_valid = true; - - REAL ref_logLik; - REAL* ref_res = readOutput( N, ref_logLik ); - - if( fabs(ref_logLik - logLik) > 1.0 ) { - is_valid = false; - fprintf(stderr, "Difference in logLikelihood > 1.0: result logLik %f, reference logLik = %f!\n", - logLik, ref_logLik ); - return is_valid; - } else if ( logLik < ref_logLik && fabs(ref_logLik - logLik) > 0.5 ) { - is_valid = false; - fprintf(stderr, "Result likelihood is worse than reference with more than 0.5: result logLik %f, reference logLik = %f!\n", - logLik, ref_logLik ); - return is_valid; - } - - for ( int i = 0; i < N; i ++ ) { - REAL lgLik_cur = logLikelihood( res[3*i+1], res[3*i]); - REAL lgLik_ref = logLikelihood(ref_res[3*i+1],ref_res[3*i]); - REAL diff_curr_lgLik = (lgLik_cur > lgLik_ref) ? - 0.0 : lgLik_ref - lgLik_cur ; - - if (diff_curr_lgLik > 0.7) { - is_valid = false; - fprintf(stderr, "Error[%d] = %f, Acceptable = 1.1!\n", - i, diff_curr_lgLik ); - break; - } - } - - return is_valid; -} - -void writeStatsAndResult( const bool& valid, - const REAL& wg_a, - const REAL& wg_b, - const REAL& wg_sigma, - const REAL& wg_nu, - const REAL& wg_rho, - const REAL& wg_logLik, - const REAL* calib_arr, - const int & NUM_SWAP_QUOTES, - const bool& is_gpu, - const int & P, - const unsigned long int& elapsed -) { - // print stats to stdout - fprintf(stdout, "// Dataset with Number of Swaption Quotes = %d.\n", - NUM_SWAP_QUOTES ); - - if(valid) { fprintf(stdout, "1\t\t// VALID Result,\n"); } - else { fprintf(stdout, "0\t\t// INVALID Result,\n"); } - - fprintf(stdout, "%ld\t\t// Runtime in microseconds,\n", elapsed); - if(is_gpu) fprintf(stdout, "%d\t\t// GPU Threads,\n\n", P); - else fprintf(stdout, "%d\t\t// CPU Threads,\n\n", P); - - // write the genome - write_scal(&wg_a, "a-field of the winning genome"); - write_scal(&wg_b, "b-field of the winning genome"); - write_scal(&wg_sigma, "sigma-field of the winning genome"); - write_scal(&wg_nu, "nu-field of the winning genome"); - write_scal(&wg_rho, "rho-field of the winning genome"); - write_scal(&wg_logLik,"LgLikelihood of the winning genome"); - - // write the result - write_2Darr( calib_arr, static_cast(NUM_SWAP_QUOTES), 3, - "Swaption Calibration Result: foreach swaption [CalibPrice,BlackPrice,PercentDiff]" ); -} - #endif // PARSE_INPUT diff --git a/benchmarks/InterestCalib/lib/include/WriteResult.h b/benchmarks/InterestCalib/lib/include/WriteResult.h new file mode 100644 index 0000000..a263cdc --- /dev/null +++ b/benchmarks/InterestCalib/lib/include/WriteResult.h @@ -0,0 +1,37 @@ +#ifndef WRITERESULT_H +#define WRITERESULT_H + +#include + +/* Writes trailing comma and newline. */ +void writeRealField(FILE *stream, const char* field, REAL x) +{ + fprintf(stream, "\"%s\": %f,\n", field, x); +} + +void writeResult(FILE *stream, + REAL a, + REAL b, + REAL sigma, + REAL nu, + REAL rho, + REAL logLik, + REAL* calib_arr) +{ + /* Hackily manually generate JSON. It would be nice with some + proper library support. */ + fprintf(stream, "{\n"); + + writeRealField(stream, "a_field", a); + writeRealField(stream, "b_field", b); + writeRealField(stream, "sigma_field", sigma); + writeRealField(stream, "nu_field", nu); + writeRealField(stream, "rho_field", rho); + writeRealField(stream, "lg_likelyhood", logLik); + + fprintf(stream, "\"swaption_calibration_result\":\n"); + write_2Darr(stream, calib_arr, static_cast(NUM_SWAP_QUOTES), 3); + fprintf(stream, "}\n"); +} + +#endif From 000d4260d5fa6692acc95cfe052d3640ee7d97b8 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 14 Aug 2015 16:55:46 +0200 Subject: [PATCH 045/122] Validation function for InterestCalib/CppOpenMP ported from C++ to Python --- .../lib/include/validation_function | 75 +++++++++++++++++++ 1 file changed, 75 insertions(+) create mode 100755 benchmarks/InterestCalib/lib/include/validation_function diff --git a/benchmarks/InterestCalib/lib/include/validation_function b/benchmarks/InterestCalib/lib/include/validation_function new file mode 100755 index 0000000..ae0e43b --- /dev/null +++ b/benchmarks/InterestCalib/lib/include/validation_function @@ -0,0 +1,75 @@ +#!/usr/bin/env python + +import os +import sys +import json +import math + +LG_LIKELIHOOD_TOLERANCE1 = 1.0 +LG_LIKELIHOOD_TOLERANCE2 = 0.5 +LG_LIKELIHOOD_TOLERANCE3 = 0.7 +LLHOOD_CAUCHY_OFFS = 5.0 + +def read_json_file(filename): + """ returns an array containing the content of the JSON file. + + keyword arguments: + filename -- name of json file to interpret + """ + with open(filename, "r") as file: + return json.loads(file.read()) + +def get_arguments(): + if len(sys.argv) != 3: + raise Exception("Usage: %s "% (sys.argv[0]) ) + return (sys.argv[1], sys.argv[2]) + +def cauchy_pdf(z, mu, gamma): + x = (z-mu) / gamma + return 1/(math.pi * gamma * (1+x*x)) + +def log_likelihood(y_ref, y): # CAUCHY + gamma = (abs(y_ref) / 50.0) * LLHOOD_CAUCHY_OFFS + 0.01 + pdfs = cauchy_pdf(y, y_ref, gamma) + pdfs += 1e-20 # avoid NaNs + return math.log(pdfs) + +def validate_swaption(calc_swap, expt_swap): + N = len(calc_swap) + if N != len(expt_swap): + raise Exception("The length of the swaption result array is different for the calculated and expected result: len(calculated swaption result array: %d. Expected result array: %d)" % (N, len(expt_swap))) + for i in range(N): + lg_lh_calc = log_likelihood(calc_swap[i][1], calc_swap[i][0]) + lg_lh_expt = log_likelihood(expt_swap[i][1], expt_swap[i][0]) + diff_curr_lg_lh = 0.0 if (lg_lh_calc > lg_lh_expt) else (lg_lh_expt - lg_lh_calc) + if diff_curr_lg_lh > LG_LIKELIHOOD_TOLERANCE3: + raise Exception("Error in swaption result validation. Error of result number %d: %f. Acceptable: %f" % + (i, diff_curr_lg_lh, LG_LIKELIHOOD_TOLERANCE3)) + +def validate(calculated_result_file, expected_result_file): + """ Checks if the calculated result and the expected result are close enough to be considered valid. + All errors in validation must throw an exception, otherwise validate will wrongly return succesful. + """ + calc = read_json_file(os.path.join(os.getcwd(), calculated_result_file)) + expt = read_json_file(os.path.join(os.getcwd(), expected_result_file)) + calc_lg_lh = calc['lg_likelyhood'] + expt_lg_lh = expt['lg_likelyhood'] + dev = abs(calc_lg_lh - expt_lg_lh) + if (dev > LG_LIKELIHOOD_TOLERANCE1): + raise Exception("Difference in log likelihood > %f. Result log likelihood: %f, reference log likelihood: %f" % + (LG_LIKELIHOOD_TOLERANCE1, calc_lg_lh, expt_lg_lh)) + if (expt_lg_lh - calc_lg_lh) > LG_LIKELIHOOD_TOLERANCE2: + raise Exception("Result likelihood is worse than reference with more than %f. Result log likelihood: %f, reference log likelihood %f" % (LG_LIKELIHOOD_TOLERANCE2, calc_lg_lh, expt_lg_lh)) + expt_res = expt['swaption_calibration_result'] + calc_res = calc['swaption_calibration_result'] + validate_swaption(calc_res, expt_res) + +if __name__ == "__main__": + (calculated_result, expected_result) = get_arguments() + try: + validate(calculated_result, expected_result) + print("Validation succesfull") + exit(0) + except Exception as e: + print(e.args) + exit(1) From af808c1c717856d48f585ee25a45cd4004b4a328 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 14 Aug 2015 20:36:09 +0200 Subject: [PATCH 046/122] external validation function for InterestCalib now works with hipermark and with calculated results for InterestCalib --- benchmarks/InterestCalib/lib/include/validation_function | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/benchmarks/InterestCalib/lib/include/validation_function b/benchmarks/InterestCalib/lib/include/validation_function index ae0e43b..8c0fd56 100755 --- a/benchmarks/InterestCalib/lib/include/validation_function +++ b/benchmarks/InterestCalib/lib/include/validation_function @@ -37,13 +37,15 @@ def log_likelihood(y_ref, y): # CAUCHY def validate_swaption(calc_swap, expt_swap): N = len(calc_swap) if N != len(expt_swap): - raise Exception("The length of the swaption result array is different for the calculated and expected result: len(calculated swaption result array: %d. Expected result array: %d)" % (N, len(expt_swap))) + raise Exception("The length of the swaption resulta rray is different for the calculated and expected result: len(calculated swaption result array: %d. Expected result array: %d)" % (N, len(expt_swap))) + print(N) for i in range(N): + print(1) lg_lh_calc = log_likelihood(calc_swap[i][1], calc_swap[i][0]) lg_lh_expt = log_likelihood(expt_swap[i][1], expt_swap[i][0]) diff_curr_lg_lh = 0.0 if (lg_lh_calc > lg_lh_expt) else (lg_lh_expt - lg_lh_calc) if diff_curr_lg_lh > LG_LIKELIHOOD_TOLERANCE3: - raise Exception("Error in swaption result validation. Error of result number %d: %f. Acceptable: %f" % + raise Exception("Error in swaption result validation.git Error of result number %d: %f. Acceptable: %f" % (i, diff_curr_lg_lh, LG_LIKELIHOOD_TOLERANCE3)) def validate(calculated_result_file, expected_result_file): From f26f5712562b0bf454985078406a52f5d25074d1 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 14 Aug 2015 20:59:05 +0200 Subject: [PATCH 047/122] Run scripts for hipermark are now provided. --- run_hipermark_CalibVolDiff | 9 +++++++++ run_hipermark_InterestCalib | 9 +++++++++ run_hipermark_OptionPricing | 9 +++++++++ 3 files changed, 27 insertions(+) create mode 100755 run_hipermark_CalibVolDiff create mode 100755 run_hipermark_InterestCalib create mode 100755 run_hipermark_OptionPricing diff --git a/run_hipermark_CalibVolDiff b/run_hipermark_CalibVolDiff new file mode 100755 index 0000000..173ca43 --- /dev/null +++ b/run_hipermark_CalibVolDiff @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/CalibVolDiff +echo Running hipermark CalibVolDiff cpp_openmp_naive + cpp_sequential small + medium dataset, two times. +echo Storing all results in instantiations/ + +rm -rf instantiations/CalibVolDiff +../hipermark/hipermark instantiations/ 2 benchmarks/CalibVolDiff cpp_openmp_naive,cpp_sequential small,medium diff --git a/run_hipermark_InterestCalib b/run_hipermark_InterestCalib new file mode 100755 index 0000000..3a55487 --- /dev/null +++ b/run_hipermark_InterestCalib @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/InterestCalib +echo Running hipermark InterestCalib CppOpenMP small dataset, 2 times. +echo Storing all results in instantiations/ + +rm -rf instantiations/InterestCalib +../hipermark/hipermark instantiations/ 2 benchmarks/InterestCalib CppOpenMP small \ No newline at end of file diff --git a/run_hipermark_OptionPricing b/run_hipermark_OptionPricing new file mode 100755 index 0000000..e613272 --- /dev/null +++ b/run_hipermark_OptionPricing @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/OptionPricing/ +echo Running hipermark OptionPricing cpp_openmp small + medium dataset, 10 times. +echo Storing all results in instantiations/ + +rm -rf instantiations/OptionPricing/ +../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_openmp small,medium From c30948bae08210ae72ba10c9b8f5da2ac974e987 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sat, 15 Aug 2015 17:50:46 +0200 Subject: [PATCH 048/122] validation_function for InterestCalib moved. --- benchmarks/InterestCalib/{lib/include => }/validation_function | 0 1 file changed, 0 insertions(+), 0 deletions(-) rename benchmarks/InterestCalib/{lib/include => }/validation_function (100%) diff --git a/benchmarks/InterestCalib/lib/include/validation_function b/benchmarks/InterestCalib/validation_function similarity index 100% rename from benchmarks/InterestCalib/lib/include/validation_function rename to benchmarks/InterestCalib/validation_function From 4aceb38aa6bc174194bfa81e5b0af5c5b935c678 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sat, 15 Aug 2015 18:15:00 +0200 Subject: [PATCH 049/122] Removed a few poor man's debugger instructions from validation_function --- benchmarks/InterestCalib/validation_function | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/benchmarks/InterestCalib/validation_function b/benchmarks/InterestCalib/validation_function index 8c0fd56..dfe7707 100755 --- a/benchmarks/InterestCalib/validation_function +++ b/benchmarks/InterestCalib/validation_function @@ -35,12 +35,12 @@ def log_likelihood(y_ref, y): # CAUCHY return math.log(pdfs) def validate_swaption(calc_swap, expt_swap): + """ Checks whether the result (excluding the lg_likelyhood part of the JSON object) validates. + """ N = len(calc_swap) if N != len(expt_swap): - raise Exception("The length of the swaption resulta rray is different for the calculated and expected result: len(calculated swaption result array: %d. Expected result array: %d)" % (N, len(expt_swap))) - print(N) + raise Exception("The length of the swaption result array is different for the calculated and expected result: len(calculated swaption result array: %d. Expected result array: %d)" % (N, len(expt_swap))) for i in range(N): - print(1) lg_lh_calc = log_likelihood(calc_swap[i][1], calc_swap[i][0]) lg_lh_expt = log_likelihood(expt_swap[i][1], expt_swap[i][0]) diff_curr_lg_lh = 0.0 if (lg_lh_calc > lg_lh_expt) else (lg_lh_expt - lg_lh_calc) From 6e5bd5460e3da90290bc142fbfab3aacb9f4438b Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 19 Aug 2015 18:10:49 +0200 Subject: [PATCH 050/122] removed file --- hipermark_op | 9 --------- 1 file changed, 9 deletions(-) delete mode 100755 hipermark_op diff --git a/hipermark_op b/hipermark_op deleted file mode 100755 index 036fb83..0000000 --- a/hipermark_op +++ /dev/null @@ -1,9 +0,0 @@ -#!/bin/bash - -clear -echo Deleting all files in instantiations/OptionPricing/ -echo Running hipermark OptionPricing cpp_openmp small dataset, 20 times. -echo Storing all results in instantiations/ - -rm -rf instantiations/OptionPricing/ -../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_openmp small,medium \ No newline at end of file From dfc88111596ccfec3ed85789804525011234967c Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 19 Aug 2015 21:03:40 +0200 Subject: [PATCH 051/122] statconfig file added to CalibVolDiff/cpp_openmp_naive so hipermark can compile with different environment variables --- .../CalibVolDiff/implementations/cpp_openmp_naive/instantiate | 2 +- .../implementations/cpp_openmp_naive/statconfig.json | 1 + 2 files changed, 2 insertions(+), 1 deletion(-) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate index 4a94a33..8eee718 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate @@ -11,6 +11,6 @@ cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/Makefile . cp $HIPERMARK_IMPLEMENTATION/run . $HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk -NCORES=$($HIPERMARK_LIB_DIR/json_get.py $HIPERMARK_PLATFORM num_cores) +NCORES=$HIPERMARK_NCORES make diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json new file mode 100644 index 0000000..ba6f5a7 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json @@ -0,0 +1 @@ +{"NCORES": [1,2,3,4]} From 973187810dcd12e62e42a946e9334d70aaad0730 Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 19 Aug 2015 21:14:31 +0200 Subject: [PATCH 052/122] file names changed --- .../implementations/cpp_openmp_naive/statconfig.json | 1 - 1 file changed, 1 deletion(-) delete mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json deleted file mode 100644 index ba6f5a7..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/statconfig.json +++ /dev/null @@ -1 +0,0 @@ -{"NCORES": [1,2,3,4]} From bf0183b112afe7001551c77d94637ea1231de622 Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 19 Aug 2015 21:15:18 +0200 Subject: [PATCH 053/122] file names for static_configuration_options_template changed --- .../cpp_openmp_naive/static_configuration_options_template.json | 1 + 1 file changed, 1 insertion(+) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json new file mode 100644 index 0000000..ba6f5a7 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json @@ -0,0 +1 @@ +{"NCORES": [1,2,3,4]} From 99aecf5652d6183ce9bb9ce89e2ac53babb77ee0 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Wed, 19 Aug 2015 21:17:04 +0200 Subject: [PATCH 054/122] Float/double configuration choice for CalibVolDiff cpp_sequential. --- .../CalibVolDiff/implementations/cpp_sequential/Makefile | 2 +- .../implementations/cpp_sequential/VolCalibOrig.cpp | 7 +++++-- .../static_configuration_options_template.json | 3 +++ 3 files changed, 9 insertions(+), 3 deletions(-) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_options_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile index 0ddc64c..b7a1d56 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile @@ -14,7 +14,7 @@ EXECUTABLE =VolCalib #g++ -I. -I/usr/local/cuda/include -O3 NordeaVect.cpp -lOpenCL default: cpu -.cpp.o: $(SOURCES_CPP) $(HELPERS) +.cpp.o: $(SOURCES_CPP) $(HELPERS) -DREAL_TYPE=${REAL_TYPE} $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< cpu: $(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp index 94662d3..5626694 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp @@ -1,10 +1,13 @@ #include #include -#define WITH_FLOATS 0 -#define WORKGROUP_SIZE 512 +#define WORKGROUP_SIZE 512 +#ifdef REAL_TYPE +typedef REAL_TYPE REAL; +#else typedef double REAL; +#endif #include "Util.h" #include "ParseInput.h" diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_options_template.json b/benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_options_template.json new file mode 100644 index 0000000..5087e27 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_options_template.json @@ -0,0 +1,3 @@ +{ + "REAL_TYPE": ["float", "double"] +} From 8245d501615d998ec019ca0f0a2709374de84e25 Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 19 Aug 2015 21:20:14 +0200 Subject: [PATCH 055/122] environment var name changed --- .../CalibVolDiff/implementations/cpp_openmp_naive/instantiate | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate index 8eee718..849ae59 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate @@ -11,6 +11,6 @@ cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/Makefile . cp $HIPERMARK_IMPLEMENTATION/run . $HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk -NCORES=$HIPERMARK_NCORES +NCORES=$HIPERMARK_CONFIG_NCORES make From 1494006a0e4eff4504c545bffba0b0d727123e87 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Wed, 19 Aug 2015 21:41:36 +0200 Subject: [PATCH 056/122] Fix float/double selection. --- .../implementations/cpp_sequential/Makefile | 4 +- .../cpp_sequential/VolCalibOrig.cpp | 70 +++++++++---------- 2 files changed, 38 insertions(+), 36 deletions(-) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile index b7a1d56..8f554e7 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile @@ -11,10 +11,12 @@ HELPERS =../includeC/ParseInput.h OBJECTS =VolCalibOrig.o EXECUTABLE =VolCalib +CXXFLAGS += -DREAL_TYPE=$(HIPERMARK_CONFIG_REAL_TYPE) + #g++ -I. -I/usr/local/cuda/include -O3 NordeaVect.cpp -lOpenCL default: cpu -.cpp.o: $(SOURCES_CPP) $(HELPERS) -DREAL_TYPE=${REAL_TYPE} +.cpp.o: $(SOURCES_CPP) $(HELPERS) $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< cpu: $(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp index 5626694..fb8bd02 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp @@ -4,9 +4,9 @@ #define WORKGROUP_SIZE 512 #ifdef REAL_TYPE -typedef REAL_TYPE REAL; +typedef REAL_TYPE real_t; #else -typedef double REAL; +typedef double real_t; #endif #include "Util.h" @@ -15,24 +15,24 @@ typedef double REAL; using namespace std; // grid -vector myX, myY, myTimeline; +vector myX, myY, myTimeline; unsigned myXindex, myYindex; // variable -vector > myResult; +vector > myResult; // coeffs -vector > myMuX, myVarX, myMuY, myVarY; +vector > myMuX, myVarX, myMuY, myVarY; // operators -vector > myDx, myDxx, myDy, myDyy; +vector > myDx, myDxx, myDy, myDyy; /***********************************/ -void updateParams(const unsigned g, const double alpha, const double beta, const double nu) +void updateParams(const unsigned g, const real_t alpha, const real_t beta, const real_t nu) { for(unsigned i=0;i(s0/dx); for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) +void initOperator(const vector& x, vector >& Dx, vector >& Dxx) { const unsigned n = x.size(); @@ -96,7 +96,7 @@ void initOperator(const vector& x, vector >& Dx, vector& x, vector >& Dx, vector& a, - const vector& b, - const vector& c, - const vector& r, + const vector& a, + const vector& b, + const vector& c, + const vector& r, const int n, - vector& u, - vector& uu) + vector& u, + vector& uu) { int i, offset; - REAL beta; + real_t beta; u[0] = r[0]; uu[0] = b[0]; @@ -194,11 +194,11 @@ rollback(const unsigned g) int kl, ku, ll, lu; - double dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]); + real_t dtInv = 1.0/(myTimeline[g+1]-myTimeline[g]); - vector > u(numY,vector(numX)), v(numX,vector(numY)); + vector > u(numY,vector(numX)), v(numX,vector(numY)); - vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); + vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); // explicit x for(i=0;i strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); + vector strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); for(unsigned i=0;i Date: Thu, 20 Aug 2015 09:24:12 +0200 Subject: [PATCH 057/122] Switch from instantiate_data to 'make data' targets. --- .../implementations/cpp_openmp_naive/Makefile | 16 ++++++------- .../cpp_openmp_naive/instantiate_data | 7 ------ .../implementations/cpp_openmp_naive/run | 2 +- .../implementations/cpp_sequential/Makefile | 24 ++++++++++++------- .../cpp_sequential/instantiate | 11 ++------- .../cpp_sequential/instantiate_data | 7 ------ .../implementations/cpp_sequential/run | 2 +- .../implementations/haskell_lh/Makefile | 18 ++++++++++++++ .../haskell_lh/instantiate_data | 7 ------ lib/setup.mk | 6 ++++- 10 files changed, 50 insertions(+), 50 deletions(-) delete mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data delete mode 100755 benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data create mode 100644 benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile delete mode 100755 benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile index 447ba3c..6317209 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile @@ -1,19 +1,16 @@ -include setup.mk +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ -ifndef ($(HAVE_GPU)) -include platform.mk -endif +include $(HIPERMARK_LIB_DIR)/setup.mk SOURCES_CPP =VolCalibOrig.cpp -HELPERS =../includeC/ParseInput.h +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/ParseInput.h OBJECTS =VolCalibOrig.o -EXECUTABLE =VolCalib +EXECUTABLE =VolCalibOrig .cpp.o: $(SOURCES_CPP) $(HELPERS) $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< -# The GPU version is in: ../VectAll and ../VectOuters. This folder is CPU only! - cpu: $(EXECUTABLE) $(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) @@ -21,3 +18,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data deleted file mode 100755 index 1054784..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate_data +++ /dev/null @@ -1,7 +0,0 @@ -#!/bin/sh - -set -e - -mkdir -p datasets/$HIPERMARK_INPUT_NAME - -$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT outer num_x num_y num_t > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run index 8caf40b..e54405c 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run @@ -1,3 +1,3 @@ #!/bin/sh export OMP_NUM_THREADS=$NCORES -cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalib \ No newline at end of file +cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalibOrig diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile index 8f554e7..7f9f34a 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile @@ -1,19 +1,21 @@ -include setup.mk +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ -ifndef ($(HAVE_GPU)) -include platform.mk -endif +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double -INCLUDES += -I../includeC +include $(HIPERMARK_LIB_DIR)/setup.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include SOURCES_CPP =VolCalibOrig.cpp -HELPERS =../includeC/ParseInput.h -OBJECTS =VolCalibOrig.o -EXECUTABLE =VolCalib +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h +OBJECTS =VolCalibOrig.o +EXECUTABLE =VolCalibOrig CXXFLAGS += -DREAL_TYPE=$(HIPERMARK_CONFIG_REAL_TYPE) -#g++ -I. -I/usr/local/cuda/include -O3 NordeaVect.cpp -lOpenCL default: cpu .cpp.o: $(SOURCES_CPP) $(HELPERS) @@ -36,3 +38,7 @@ run_large: $(EXECUTABLE) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate index 81ea6b7..f3b331d 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate @@ -2,14 +2,7 @@ set -e -cp $HIPERMARK_LIB_DIR/setup.mk . -cp $HIPERMARK_LIB_DIR/include/ParserC.h . -cp $HIPERMARK_LIB_DIR/include/Util.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Constants.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/Makefile . +cp $HIPERMARK_IMPLEMENTATION/*cpp . cp $HIPERMARK_IMPLEMENTATION/run . -$HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk - -make +make -f $HIPERMARK_IMPLEMENTATION/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data deleted file mode 100755 index 1054784..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate_data +++ /dev/null @@ -1,7 +0,0 @@ -#!/bin/sh - -set -e - -mkdir -p datasets/$HIPERMARK_INPUT_NAME - -$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT outer num_x num_y num_t > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/run b/benchmarks/CalibVolDiff/implementations/cpp_sequential/run index c9863c8..07e2b55 100755 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/run +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/run @@ -1,3 +1,3 @@ #!/bin/sh -cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalib +cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalibOrig diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile b/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile new file mode 100644 index 0000000..8f398de --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile @@ -0,0 +1,18 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +include $(HIPERMARK_LIB_DIR)/setup.mk + +SOURCES = VolCalib.hs +EXECUTABLE = VolCalib +GHC_FLAGS = -Wall -O2 -msse2 -rtsopts + +$(EXECUTABLE): $(SOURCES) + ghc $(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) + +clean: + rm $(EXECUTABLE) *o *hi + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data deleted file mode 100755 index 2a92a4b..0000000 --- a/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate_data +++ /dev/null @@ -1,7 +0,0 @@ -#!/bin/sh - -set -e #Die on error - -mkdir -p datasets/$HIPERMARK_INPUT_NAME - -$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT outer num_x num_y num_t > datasets/$HIPERMARK_INPUT_NAME/input.data \ No newline at end of file diff --git a/lib/setup.mk b/lib/setup.mk index 3cd65f4..8c7761d 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -1,3 +1,8 @@ +# If we are run from outside Hipermark itself, a number of environment +# variables will be missing. Set these to hopefully-working values to +# support standalone compilation. +HIPERMARK_BENCHMARK_LIB_DIR ?= ../../lib/ + OS=$(shell uname -s) ifeq ($(OS),Darwin) @@ -17,4 +22,3 @@ else CXXFLAGS = -DENABLE_OPENMP -fopenmp -O3 INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include endif - From a722d51076bd6874898381638f2c954fd977b471 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 10:22:39 +0200 Subject: [PATCH 058/122] Get rid of instantiate and run files. --- .../implementations/cpp_openmp_naive/Makefile | 21 ++++++++++++++----- .../cpp_openmp_naive/instantiate | 16 -------------- .../implementations/cpp_openmp_naive/run | 3 --- .../implementations/cpp_sequential/Makefile | 13 ++++++------ .../cpp_sequential/instantiate | 8 ------- .../implementations/cpp_sequential/run | 3 --- .../implementations/haskell_lh/Makefile | 9 ++++++-- .../implementations/haskell_lh/instantiate | 8 ------- .../implementations/haskell_lh/run | 6 ------ lib/setup.mk | 1 + 10 files changed, 30 insertions(+), 58 deletions(-) delete mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate delete mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run delete mode 100755 benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate delete mode 100755 benchmarks/CalibVolDiff/implementations/cpp_sequential/run delete mode 100755 benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate delete mode 100755 benchmarks/CalibVolDiff/implementations/haskell_lh/run diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile index 6317209..abd493d 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile @@ -1,17 +1,25 @@ # Permit standalone compilation. HIPERMARK_LIB_DIR ?= ../../../../lib/ +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + include $(HIPERMARK_LIB_DIR)/setup.mk -SOURCES_CPP =VolCalibOrig.cpp -HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/ParseInput.h +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h OBJECTS =VolCalibOrig.o EXECUTABLE =VolCalibOrig -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< +CXXFLAGS += -DREAL_TYPE=$(HIPERMARK_CONFIG_REAL_TYPE) + +default: $(EXECUTABLE) + +%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< -cpu: $(EXECUTABLE) $(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) @@ -21,3 +29,6 @@ clean: data: $(HIPERMARK_INPUT) mkdir -p datasets/$(HIPERMARK_INPUT_NAME) $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate deleted file mode 100755 index 849ae59..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/instantiate +++ /dev/null @@ -1,16 +0,0 @@ -#!/bin/sh - -set -e - -cp $HIPERMARK_LIB_DIR/setup.mk . -cp $HIPERMARK_LIB_DIR/include/ParserC.h . -cp $HIPERMARK_LIB_DIR/include/Util.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Constants.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/Makefile . -cp $HIPERMARK_IMPLEMENTATION/run . - -$HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk -NCORES=$HIPERMARK_CONFIG_NCORES - -make diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run deleted file mode 100755 index e54405c..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/run +++ /dev/null @@ -1,3 +0,0 @@ -#!/bin/sh -export OMP_NUM_THREADS=$NCORES -cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalibOrig diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile index 7f9f34a..92c6b76 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile @@ -9,24 +9,20 @@ include $(HIPERMARK_LIB_DIR)/setup.mk INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include INCLUDES += -I$(HIPERMARK_LIB_DIR)/include -SOURCES_CPP =VolCalibOrig.cpp HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h OBJECTS =VolCalibOrig.o EXECUTABLE =VolCalibOrig CXXFLAGS += -DREAL_TYPE=$(HIPERMARK_CONFIG_REAL_TYPE) -default: cpu +default: $(EXECUTABLE) -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< - -cpu: $(EXECUTABLE) +%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) - run_small: $(EXECUTABLE) cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt @@ -42,3 +38,6 @@ clean: data: $(HIPERMARK_INPUT) mkdir -p datasets/$(HIPERMARK_INPUT_NAME) $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate b/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate deleted file mode 100755 index f3b331d..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/instantiate +++ /dev/null @@ -1,8 +0,0 @@ -#!/bin/sh - -set -e - -cp $HIPERMARK_IMPLEMENTATION/*cpp . -cp $HIPERMARK_IMPLEMENTATION/run . - -make -f $HIPERMARK_IMPLEMENTATION/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/run b/benchmarks/CalibVolDiff/implementations/cpp_sequential/run deleted file mode 100755 index 07e2b55..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/run +++ /dev/null @@ -1,3 +0,0 @@ -#!/bin/sh - -cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalibOrig diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile b/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile index 8f398de..618e7aa 100644 --- a/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile +++ b/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile @@ -7,8 +7,10 @@ SOURCES = VolCalib.hs EXECUTABLE = VolCalib GHC_FLAGS = -Wall -O2 -msse2 -rtsopts -$(EXECUTABLE): $(SOURCES) - ghc $(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) +default: $(EXECUTABLE) + +$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) + ghc $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) clean: rm $(EXECUTABLE) *o *hi @@ -16,3 +18,6 @@ clean: data: $(HIPERMARK_INPUT) mkdir -p datasets/$(HIPERMARK_INPUT_NAME) $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate b/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate deleted file mode 100755 index 6a0342d..0000000 --- a/benchmarks/CalibVolDiff/implementations/haskell_lh/instantiate +++ /dev/null @@ -1,8 +0,0 @@ -#!/bin/sh - -set -e # Die on error. - -cp $HIPERMARK_IMPLEMENTATION/*hs . -cp $HIPERMARK_IMPLEMENTATION/run . - -ghc -Wall -O2 -msse2 -rtsopts VolCalib.hs -o VolCalib diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/run b/benchmarks/CalibVolDiff/implementations/haskell_lh/run deleted file mode 100755 index bada098..0000000 --- a/benchmarks/CalibVolDiff/implementations/haskell_lh/run +++ /dev/null @@ -1,6 +0,0 @@ -#!/bin/sh - -set -e - -./VolCalib +RTS -K128m -RTS < ./datasets/$HIPERMARK_INPUT_NAME/input.data -#cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./VolCalib +RTS -K128m -RTS diff --git a/lib/setup.mk b/lib/setup.mk index 8c7761d..096b916 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -2,6 +2,7 @@ # variables will be missing. Set these to hopefully-working values to # support standalone compilation. HIPERMARK_BENCHMARK_LIB_DIR ?= ../../lib/ +HIPERMARK_IMPLEMENTATION ?= . OS=$(shell uname -s) From 74f1b25d3a34b5a57bb506366eb799e4d6f36f4c Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 10:29:38 +0200 Subject: [PATCH 059/122] Use dynamic options for OpenMP implementation. --- .../CalibVolDiff/implementations/cpp_openmp_naive/Makefile | 3 ++- .../cpp_openmp_naive/dynamic_configuration_options.json | 1 + .../static_configuration_options_template.json | 1 - 3 files changed, 3 insertions(+), 2 deletions(-) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_options.json delete mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile index abd493d..6d4b81f 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile @@ -31,4 +31,5 @@ data: $(HIPERMARK_INPUT) $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + OMP_NUM_THREADS=$(HIPERMARK_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_options.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_options.json new file mode 100644 index 0000000..14298aa --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_options.json @@ -0,0 +1 @@ +{"NUM_THREADS": [1,2,3,4]} diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json deleted file mode 100644 index ba6f5a7..0000000 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json +++ /dev/null @@ -1 +0,0 @@ -{"NCORES": [1,2,3,4]} From 54a901a6a504c8c1440ad950040d20036ead2bdc Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 10:46:29 +0200 Subject: [PATCH 060/122] Port InterestCalib to brave new world. --- .../InterestCalib/datasets/medium/input.json | 2 +- .../implementations/CppOpenMP/Makefile | 38 ++++++++++++------- 2 files changed, 25 insertions(+), 15 deletions(-) diff --git a/benchmarks/InterestCalib/datasets/medium/input.json b/benchmarks/InterestCalib/datasets/medium/input.json index d5814b7..0379260 100644 --- a/benchmarks/InterestCalib/datasets/medium/input.json +++ b/benchmarks/InterestCalib/datasets/medium/input.json @@ -221,7 +221,7 @@ -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, 3.6684708465595856630159, -3.6684708465595838866591 - ] + ], "hermite_coefficient_weights": [ 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile index 4224d4d..f975376 100644 --- a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile +++ b/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile @@ -1,27 +1,37 @@ -include setup.mk +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ -ifndef ($(HAVE_GPU)) -include platform.mk -endif +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_IMPLEMENTATION) -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) #-fno-unsafe-math-optimizations -fno-finite-math-only #-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans -SOURCES_CPP =SwapCalib.cpp -HELPERS =ParseInput.h #Can this be correct?? -OBJECTS =SwapCalib.o +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h +OBJECTS =SwapCalib.o EXECUTABLE =SwapCalib -default: cpu +default: $(EXECUTABLE) -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< +%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< -# The GPU version is in: ../CppAndGPU. This folder is CPU only! -cpu: $(OBJECTS) +$(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) + clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) From 8b26759a2515d2d0b9b6d87f08fd433e2b901707 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 10:47:56 +0200 Subject: [PATCH 061/122] Fix environment syntax. --- benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile index 92c6b76..d66ddf2 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile @@ -37,7 +37,7 @@ clean: data: $(HIPERMARK_INPUT) mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data + $HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$HIPERMARK_INPUT_NAME/input.data run: cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) From bdb8d8197a9ac18934defc8b999355cab5d0b25d Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 10:56:50 +0200 Subject: [PATCH 062/122] Clearer error message. --- benchmarks/InterestCalib/validation_function | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/benchmarks/InterestCalib/validation_function b/benchmarks/InterestCalib/validation_function index dfe7707..51bbeff 100755 --- a/benchmarks/InterestCalib/validation_function +++ b/benchmarks/InterestCalib/validation_function @@ -73,5 +73,6 @@ if __name__ == "__main__": print("Validation succesfull") exit(0) except Exception as e: - print(e.args) + print("Validation failed:") + print("%s: %s" % (type(e), e.args)) exit(1) From 11dfd8dc12dd938f791fc6a06e18d9f2f6919f9e Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 10:57:17 +0200 Subject: [PATCH 063/122] Fix typo in large reference dataset. --- benchmarks/InterestCalib/datasets/large/output.json | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/InterestCalib/datasets/large/output.json b/benchmarks/InterestCalib/datasets/large/output.json index 6367af8..c21426d 100644 --- a/benchmarks/InterestCalib/datasets/large/output.json +++ b/benchmarks/InterestCalib/datasets/large/output.json @@ -5,7 +5,7 @@ "nu_field": 0.018683, "rho_field": -0.083963, "lg_likelyhood": 624.116935, - "swaption_calibration_results": + "swaption_calibration_result": [ [ 74.172585 , 115.320470 , 35.681337 ], [ 100.626570 , 162.945479 , 38.245252 ], From b7b9ec1256e7cf311e05e711a96ff1aed8856dd3 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Thu, 20 Aug 2015 11:04:49 +0200 Subject: [PATCH 064/122] Enable float/double switch for cpp_openmp_naive. --- .../cpp_openmp_naive/VolCalibOrig.cpp | 105 +++++++++--------- ...static_configuration_options_template.json | 3 + 2 files changed, 58 insertions(+), 50 deletions(-) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp index f907517..9cf2e1d 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp +++ b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp @@ -1,7 +1,12 @@ #include #include -typedef double REAL; +#ifdef REAL_TYPE +typedef REAL_TYPE real_t; +#else +typedef double real_t; +#endif + #define WORKGROUP_SIZE 512 #include "Util.h" @@ -12,27 +17,27 @@ using namespace std; struct PrivGlobs { // grid - vector myX; - vector myY; - vector myTimeline; + vector myX; + vector myY; + vector myTimeline; unsigned myXindex; unsigned myYindex; // variable - vector > myResult; + vector > myResult; // coeffs - vector > myMuX; - vector > myVarX; - vector > myMuY; - vector > myVarY; + vector > myMuX; + vector > myVarX; + vector > myMuY; + vector > myVarY; // operators - vector > myDx; - vector > myDxx; + vector > myDx; + vector > myDxx; - vector > myDy; - vector > myDyy; + vector > myDy; + vector > myDyy; } __attribute__ ((aligned (128))); @@ -41,7 +46,7 @@ struct PrivGlobs { /***********************************/ -void updateParams(const unsigned g, const double alpha, const double beta, const double nu, PrivGlobs& globs) +void updateParams(const unsigned g, const real_t alpha, const real_t beta, const real_t nu, PrivGlobs& globs) { for(unsigned i=0;i(s0/dx); for(unsigned i=0;i& x, vector >& Dx, vector >& Dxx) +void initOperator(const vector& x, vector >& Dx, vector >& Dxx) { const unsigned n = x.size(); @@ -107,7 +112,7 @@ void initOperator(const vector& x, vector >& Dx, vector& x, vector >& Dx, vector& a, - const vector& b, - const vector& c, - const vector& r, + const vector& a, + const vector& b, + const vector& c, + const vector& r, const int n, - vector& u, - vector& uu) + vector& u, + vector& uu) { int i, offset; - REAL beta; + real_t beta; u[0] = r[0]; uu[0] = b[0]; @@ -204,10 +209,10 @@ rollback( const unsigned g, PrivGlobs& globs ) { int kl, ku, ll, lu; - double dtInv = 1.0/(globs.myTimeline[g+1]-globs.myTimeline[g]); + real_t dtInv = 1.0/(globs.myTimeline[g+1]-globs.myTimeline[g]); - vector > u(numY,vector(numX)), v(numX,vector(numY)); - vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); + vector > u(numY,vector(numX)), v(numX,vector(numY)); + vector a(numZ), b(numZ), c(numZ), y(numZ), yy(numZ); // explicit x for(i=0;i& strikes, - vector& res + const real_t& s0, + const real_t& t, + const real_t& alpha, + const real_t& nu, + const real_t& beta, + const vector& strikes, + vector& res ) { #pragma omp parallel for default(shared) schedule(static) if(outer>4) for( unsigned i = 0; i < outer; ++ i ) { @@ -311,13 +316,13 @@ double* run_CPUkernel( int main() { unsigned int OUTER_LOOP_COUNT, NUM_X, NUM_Y, NUM_T; - const double s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; + const real_t s0 = 0.03, strike = 0.03, t = 5.0, alpha = 0.2, nu = 0.6, beta = 0.5; cout<<"\n// Running Original (Parallel) Volatility-Calibration Benchmark"< strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); + vector strikes(OUTER_LOOP_COUNT),res(OUTER_LOOP_COUNT); for(unsigned i=0;i Date: Thu, 20 Aug 2015 15:23:27 +0200 Subject: [PATCH 065/122] this repo should work with runtime var configurations through hipermark --- ...iguration_options.json => dynamic_configuration_template.json} | 0 1 file changed, 0 insertions(+), 0 deletions(-) rename benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/{dynamic_configuration_options.json => dynamic_configuration_template.json} (100%) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_options.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_options.json rename to benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_template.json From c725df995c6d0b749ce87f640bbf0bc9a49006d0 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 07:38:27 +0200 Subject: [PATCH 066/122] Correct naming. --- ...n_options_template.json => static_configuration_template.json} | 0 ...n_options_template.json => static_configuration_template.json} | 0 2 files changed, 0 insertions(+), 0 deletions(-) rename benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/{static_configuration_options_template.json => static_configuration_template.json} (100%) rename benchmarks/CalibVolDiff/implementations/cpp_sequential/{static_configuration_options_template.json => static_configuration_template.json} (100%) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json b/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_options_template.json rename to benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_options_template.json b/benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_options_template.json rename to benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_template.json From 58d4e04952bf328dc61351c07e9d1e465dde49b8 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 07:39:44 +0200 Subject: [PATCH 067/122] Add more CalibVolDiff implementations. --- .../cpp_openclmp_all/CrankNicolson.cl | 1033 +++++++++++ .../implementations/cpp_openclmp_all/Makefile | 54 + .../cpp_openclmp_all/PrepareKernels.h | 1576 +++++++++++++++++ .../cpp_openclmp_all/Vect_CPU.h | 159 ++ .../cpp_openclmp_all/Vect_GPU.h | 190 ++ .../cpp_openclmp_all/VolCalibAll.cpp | 166 ++ .../cpp_openclmp_all/VolCalibInit.h | 127 ++ .../static_configuration_template.json | 3 + .../cpp_openclmp_outer/CrankNicolson.cl | 274 +++ .../cpp_openclmp_outer/Makefile | 54 + .../cpp_openclmp_outer/PrepareKernels.h | 529 ++++++ .../cpp_openclmp_outer/Vect_CPU.h | 122 ++ .../cpp_openclmp_outer/Vect_GPU.h | 180 ++ .../cpp_openclmp_outer/VolCalibInit.h | 137 ++ .../cpp_openclmp_outer/VolCalibOuter | Bin 0 -> 68448 bytes .../cpp_openclmp_outer/VolCalibOuter.cpp | 168 ++ .../static_configuration_template.json | 3 + .../implementations/cpp_openmp_naive/Makefile | 5 +- .../cpp_openmp_naive/VolCalibOrig.cpp | 11 +- .../implementations/cpp_sequential/Makefile | 5 +- .../CalibVolDiff/lib/include/Constants.h | 64 +- .../lib/include/DataStructConst.h | 40 +- .../CalibVolDiff/lib/include/ParPrefixUtil.h | 102 +- lib/include/SDK_stub.h | 24 +- lib/include/Util.h | 2 +- lib/platform.mk | 28 + lib/setup.mk | 4 + lib/setup_real_type.mk | 16 + 28 files changed, 4970 insertions(+), 106 deletions(-) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_CPU.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_GPU.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibInit.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/static_configuration_template.json create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_CPU.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_GPU.h create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h create mode 100755 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/static_configuration_template.json create mode 100644 lib/platform.mk create mode 100644 lib/setup_real_type.mk diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl new file mode 100644 index 0000000..bd57356 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl @@ -0,0 +1,1033 @@ +#include "Constants.h" + + +/**************************************************************************/ +/**************** SHARED-MEMORY ACCESSOR FUNCTIONS ************************/ +/**************************************************************************/ + +#define WITH_INTERLEAVED_BANKS4 1 +#define WITH_INTERLEAVED_BANKS2 1 + +#if WITH_INTERLEAVED_BANKS2 +inline void store2(real2_t val, unsigned int ind, __local real_t* cache) { + ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+1) ); + cache[ind] = val.x; + ind += WORKGROUP_SIZE; + cache[ind] = val.y; +} + +inline real2_t load2(unsigned int ind, __local real_t* cache) { + ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+1) ); + real2_t val; + val.x = cache[ind]; + ind += WORKGROUP_SIZE; + val.y = cache[ind]; + return val; +} +#else +inline void store2(real2_t val, unsigned int ind, volatile __local real2_t* cache) { + cache[ind] = val; +} + +inline real2_t load2(unsigned int ind, volatile __local real2_t* cache) { + return cache[ind]; +} +#endif + + +#if WITH_INTERLEAVED_BANKS4 +inline void store4(real4_t val, unsigned int ind, __local real_t* cache) { + //ind = (ind / WORKGROUP_SIZE)*(WORKGROUP_SIZE) * 4 + (ind % WORKGROUP_SIZE); + ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+2) ); + cache[ind] = val.x; + ind += WORKGROUP_SIZE; + cache[ind] = val.y; + ind += WORKGROUP_SIZE; + cache[ind] = val.z; + ind += WORKGROUP_SIZE; + cache[ind] = val.w; +} + +inline real4_t load4(unsigned int ind, __local real_t* cache) { + real4_t val; + //ind = (ind / WORKGROUP_SIZE)*(WORKGROUP_SIZE) * 4 + (ind % WORKGROUP_SIZE); + ind = (ind & (WORKGROUP_SIZE-1)) + ( (ind >> logWORKGROUP_SIZE) << (logWORKGROUP_SIZE+2) ); + val.x = cache[ind]; + ind += WORKGROUP_SIZE; + val.y = cache[ind]; + ind += WORKGROUP_SIZE; + val.z = cache[ind]; + ind += WORKGROUP_SIZE; + val.w = cache[ind]; + return val; +} +#else +inline void store4(real4_t val, unsigned int ind, volatile __local real4_t* cache) { + cache[ind] = val; +} + +inline real4_t load4(unsigned int ind, volatile __local real4_t* cache) { + return cache[ind]; +} +#endif +/**************************************************************************/ +/*********** PREPARE FOR TRIDAG X *****************************************/ +/**************************************************************************/ +__kernel void prepare_tridag_x ( + /*** Read-Only Scalars ***/ + __global RWScalars* ro_scals, // __constant + /*** Read-Only Arrays ***/ + __global real_t* myX, + __global real3_t* myDx, + __global real3_t* myDxx, + __constant real_t* myY, + __constant real_t* myDy, + __constant real_t* myDyy, + /*** Read-Write Temporary Arrays ***/ + __global real_t* a, + __global real_t* b, + __global real_t* c, + __global real_t* y, + __global real_t* u, + __global real_t* v, + __global real4_t* scan_tmp, + /*** Temporary Array in Shared Space ***/ + __local real_t* cache_tmp, + /*** The Result Array ***/ + __global real_t* res_arr +) { + real3_t myDy_elem, myDyy_elem, myres_elem; + real_t cur_myVar = ro_scals->nu; + real_t cur_myMu = 0.0; + + unsigned int glob_ind = get_global_id(2) * get_global_size(1) * get_global_size(0); + const unsigned int ind = glob_ind + get_global_id(1)*get_global_size(0) + get_global_id(0); + + real_t tmp = 0.0; + + cur_myVar *= cur_myVar; + + // second loop + { + myres_elem = (real3_t)( (get_global_id(1)!=0) ? res_arr[ind - get_global_size(0)] : 0.0, + res_arr[ind], + (get_global_id(1) != get_global_size(1)-1) ? res_arr[ind + get_global_size(0)] : 0.0 + ); + + myDy_elem = (real3_t)( myDy[get_global_id(1)<<2], myDy[ (get_global_id(1)<<2)+1], myDy[(get_global_id(1)<<2)+2] ); + myDyy_elem = (real3_t)( myDyy[get_global_id(1)<<2], myDyy[(get_global_id(1)<<2)+1], myDyy[(get_global_id(1)<<2)+2] ); + + myDy_elem = cur_myMu*myDy_elem + 0.5f*cur_myVar*myDyy_elem; + myDy_elem *= myres_elem; + tmp += myDy_elem.x + myDy_elem.y + myDy_elem.z; + + v[glob_ind + get_global_id(0)*get_global_size(1) + get_global_id(1)] = tmp; + } + + glob_ind = get_local_id(2)*get_local_size(1)*get_local_size(0) + get_local_id(1)*get_local_size(0) + get_local_id(0); + + // first loop + cur_myMu = 0.0; // X + cur_myVar = exp( 2 * ( ro_scals->beta*log(myX[get_global_id(0)]) + + myY[get_global_id(1)] - 0.5f*cur_myVar*ro_scals->timeline_i // cur_myVar == nu*nu + ) + ); + { + // CACHING ASSUMES ALL ELEMENTS IN X DIMENSION fit in the LOCALGROUP! + cache_tmp[glob_ind] = res_arr[ ind ]; + + myDy_elem = myDx[ get_global_id(0) ]; + myDyy_elem = myDxx[ get_global_id(0) ]; + + barrier(CLK_LOCAL_MEM_FENCE); + + + myres_elem = (real3_t)( (get_global_id(0)!=0) ? cache_tmp[ glob_ind - 1 ] : 0.0, + cache_tmp[ glob_ind ], + (get_global_id(0) != get_global_size(0)-1) ? cache_tmp[ glob_ind + 1 ] : 0.0 + ); + + tmp += ro_scals->dtInv*myres_elem.y; + myDy_elem = 0.5f*( cur_myMu*myDy_elem + 0.5f*cur_myVar*myDyy_elem ); + + c[ind] = - myDy_elem.z; + + barrier(CLK_GLOBAL_MEM_FENCE); + + a[ind] = - myDy_elem.x; // b[ind] = ro_scals->dtInv - myDy_elem.y; + + myDyy_elem = myDy_elem*myres_elem; + tmp += myDyy_elem.x + myDyy_elem.y + myDyy_elem.z; + } + + u[ind] = tmp; + + + + tmp = ro_scals->dtInv - myDy_elem.y; + + // third loop + if( get_global_id(0) > 0 ) { + scan_tmp[ind] = (real4_t) ( tmp, myDy_elem.x * c[ind-1], 1.0, 0.0 ); + } else { // i == get_global_id(0) == 0 + y[ind] = tmp; // = b [ind] + scan_tmp[ind] = (real4_t) ( tmp, 0.0, 0.0, tmp ); + } +} + + +/**************************************************************************/ +/*********** IN-BETWEEN TRIDAGS -- i.e., prepare for TRIDAG Y *************/ +/**************************************************************************/ +//#define USE_LOCAL_Y + +__kernel void prepare_tridag_y ( + /*** Read-Only Scalars ***/ + __global RWScalars* ro_scals, // __constant + /*** Read-Only Arrays ***/ + __global real3_t* myDy, + __global real3_t* myDyy, + /*** Read-Write Temporary Arrays ***/ + __global real_t* a, + __global real_t* b, + __global real_t* c, + __global real_t* u, + __global real_t* v, + __global real_t* y, + __global real4_t* scan_tmp, + /*** Temporary Array in Shared Space ***/ + __local real_t* cache_tmp +) { + + // !!!0 <-> j; 1<-> i; 2 <-> k!!! + const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) + + get_global_id(1) * get_global_size(0) + get_global_id(0); + // + get_global_id(1)*NUM_Y + get_global_id(0); + const unsigned int glob_ind = get_local_id(2)*get_local_size(1)*get_local_size(0) + + get_local_id(1)*get_local_size(0) + get_local_id(0); + real3_t myDy_elem; + real_t dt_inv = ro_scals->dtInv; + + real_t cur_myMuY = 0.0; + real_t cur_myVarY = ro_scals->nu; cur_myVarY *= cur_myVarY*0.5f; //nu*nu; + + myDy_elem = 0.5f*( cur_myMuY*myDy [get_global_id(0)] + cur_myVarY*myDyy[get_global_id(0)] ); + +#ifdef USE_LOCAL_Y + cache_tmp[glob_ind] = - myDy_elem.z; +#endif + + a[ind] = - myDy_elem.x; c[ind] = - myDy_elem.z; + + // NUM_X = get_global_size(1) + v[ind] = dt_inv * + u[ get_global_id(2)* get_global_size(1) * get_global_size(0) + + get_global_id(0)*get_global_size(1) + get_global_id(1) ] + - 0.5f*v[ind]; // y[j] = dtInv*u[j][i] - 0.5*v[i][j]; + +#ifdef USE_LOCAL_Y + barrier(CLK_LOCAL_MEM_FENCE); +#endif + + // third loop + if( get_global_id(0) > 0 ) { +#ifdef USE_LOCAL_Y + scan_tmp[ind] = (real4_t) ( dt_inv - myDy_elem.y, myDy_elem.x * cache_tmp[glob_ind-1], 1.0, 0.0 ); +#else + const real_t elem = - 0.5f*(cur_myMuY*myDy[get_global_id(0)-1].z + cur_myVarY*myDyy[get_global_id(0)-1].z); + scan_tmp[ind] = (real4_t) ( dt_inv - myDy_elem.y, myDy_elem.x * elem, 1.0, 0.0 ); +#endif + //scan_tmp[ind] = (real4_t) ( dt_inv - myDy_elem.y, myDy_elem.x*c[ind-1], 1.0, 0.0 ); + + } else { // j == get_global_id(0) == 0 + y[ind] = dt_inv - myDy_elem.y; //b[ind]; + scan_tmp[ind] = (real4_t) ( dt_inv - myDy_elem.y, 0.0, 0.0, dt_inv - myDy_elem.y ); + } +} + + +/**********************************************************************/ +/************* TRIDAG KERNELS *****************************************/ +/**********************************************************************/ + +/*************************************/ +/*** 1. Scan with Matrix Multiply ****/ +/*************************************/ + +/** + * Multiplies 2x2 matrixes `a' and `b' and + * stores the result in(-place in) `a'. + */ +inline real4_t matmult2(real4_t a, real4_t b) { + real_t val = (a.x*b.x + a.y*b.z); + + a = (real4_t) (val, a.x*b.y + a.y*b.w, a.z*b.x + a.w*b.z, a.z*b.y + a.w*b.w); + val = 1.0/val; + return a * val; +} + + + +//#define LOG2_WARP_SIZE 5U +//#define WARP_SIZE (1U << LOG2_WARP_SIZE) + +#if WITH_INTERLEAVED_BANKS4 +inline real4_t warpScanInclMatMult(real4_t idata, volatile __local real4_t *l_Data4, uint size){ + volatile __local real_t* l_Data = (volatile __local real_t*) l_Data4; + + uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); + store4( (real4_t)(1.0, 0.0, 0.0, 1.0), pos, l_Data ); + pos += size; + store4( idata, pos, l_Data ); + + if(size >= 2) { real4_t tmp = matmult2( load4(pos, l_Data),load4(pos-1, l_Data) ); store4(tmp, pos, l_Data); } + if(size >= 4) { real4_t tmp = matmult2( load4(pos, l_Data),load4(pos-2, l_Data) ); store4(tmp, pos, l_Data); } + if(size >= 8) { real4_t tmp = matmult2( load4(pos, l_Data),load4(pos-4, l_Data) ); store4(tmp, pos, l_Data); } + if(size >= 16) { real4_t tmp = matmult2( load4(pos, l_Data),load4(pos-8, l_Data) ); store4(tmp, pos, l_Data); } +#if WARP == 32 + if(size >= 32) { real4_t tmp = matmult2( load4(pos, l_Data),load4(pos-16,l_Data) ); store4(tmp, pos, l_Data); } +#endif + return load4(pos, l_Data); +} +#else +inline real4_t warpScanInclMatMult(real4_t idata, volatile __local real4_t *l_Data, uint size){ + uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); + l_Data[pos] = (real4_t)(1.0, 0.0, 0.0, 1.0); + pos += size; + l_Data[pos] = idata; + + if(size >= 2) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-1] ); + if(size >= 4) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-2] ); + if(size >= 8) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-4] ); + if(size >= 16) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-8] ); +#if WARP == 32 + if(size >= 32) l_Data[pos] = matmult2( l_Data[pos], l_Data[pos-16]); +#endif + return l_Data[pos]; +} +#endif + +//Vector scan: the array to be scanned is stored +//in work-item private memory as uint4 +inline real4_t scanMatMultInclLocal(real4_t idata4, __local real4_t *l_Data, uint size){ + if(size > WARP){ + //Bottom-level inclusive warp scan + real4_t warpResult = warpScanInclMatMult(idata4, l_Data, WARP); + + //Save top elements of each warp for exclusive warp scan + //sync to wait for warp scans to complete (because l_Data is being overwritten) + barrier(CLK_LOCAL_MEM_FENCE); + if( (get_local_id(0) & (WARP - 1)) == (WARP - 1) ) { +#if WITH_INTERLEAVED_BANKS4 + store4(warpResult, get_local_id(0) >> lgWARP, (__local real_t*)l_Data); +#else + l_Data[get_local_id(0) >> lgWARP] = warpResult; +#endif + } + //wait for warp scans to complete + barrier(CLK_LOCAL_MEM_FENCE); + + if( get_local_id(0) < (WORKGROUP_SIZE >> lgWARP) ){ +#if WITH_INTERLEAVED_BANKS4 + real4_t val = load4(get_local_id(0), (__local real_t*)l_Data); + store4( warpScanInclMatMult(val, l_Data, size >> lgWARP), get_local_id(0), (__local real_t*)l_Data); +#else + //grab top warp elements + real4_t val = l_Data[get_local_id(0)]; + //calculate inclusive scan and write back to shared memory + l_Data[get_local_id(0)] = warpScanInclMatMult(val, l_Data, size >> lgWARP); +#endif + } + + //return updated warp scans with exclusive scan results + barrier(CLK_LOCAL_MEM_FENCE); + + //if( (get_local_id(0) >> LOG2_WARP_SIZE) > 0 ) + if( ( (get_local_id(0) & (size-1)) >> lgWARP ) > 0 ) { +#if WITH_INTERLEAVED_BANKS4 + real4_t tmp = load4( (get_local_id(0) >> lgWARP) - 1, (__local real_t*)l_Data ); + warpResult = matmult2( warpResult, tmp ); +#else + warpResult = matmult2( warpResult, l_Data[ (get_local_id(0) >> lgWARP) - 1] ); +#endif + } + + return warpResult; + }else{ + return warpScanInclMatMult(idata4, l_Data, size); + } +} + +__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) +void scanMatMultIncl( + __global real4_t *data, + __local real4_t *l_Data, + uint size +){ + //Load data + real4_t idata4 = data[get_global_id(0)]; + + //Calculate exclusive scan + real4_t odata4 = scanMatMultInclLocal( idata4, l_Data, size ); + + //Write back + data[get_global_id(0)] = odata4; +} + + +/*************************************************/ +/*** 1. Scan with Linear Function Composition ****/ +/*************************************************/ + +// Linear Function Composition and Scan +inline real2_t linfuncomp(real2_t ab2, real2_t ab1) { + ab2.x = ab2.y * ab1.x + ab2.x; + ab2.y = ab2.y * ab1.y; + return ab2; +} + +#if WITH_INTERLEAVED_BANKS2 +inline real2_t warpScanInclLinFunComp(real2_t idata, volatile __local real2_t *l_Data2, uint size){ + volatile __local real_t* l_Data = (volatile __local real_t*) l_Data2; + + uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); + store2( (real2_t)(0.0, 1.0), pos, l_Data ); + pos += size; + store2( idata, pos, l_Data ); + + if(size >= 2) { real2_t tmp = linfuncomp( load2(pos, l_Data),load2(pos-1, l_Data) ); store2(tmp, pos, l_Data); } + if(size >= 4) { real2_t tmp = linfuncomp( load2(pos, l_Data),load2(pos-2, l_Data) ); store2(tmp, pos, l_Data); } + if(size >= 8) { real2_t tmp = linfuncomp( load2(pos, l_Data),load2(pos-4, l_Data) ); store2(tmp, pos, l_Data); } + if(size >= 16) { real2_t tmp = linfuncomp( load2(pos, l_Data),load2(pos-8, l_Data) ); store2(tmp, pos, l_Data); } +#if WARP == 32 + if(size >= 32) { real2_t tmp = linfuncomp( load2(pos, l_Data),load2(pos-16,l_Data) ); store2(tmp, pos, l_Data); } +#endif + return load2(pos, l_Data); +} +#else +inline real2_t warpScanInclLinFunComp(real2_t idata, volatile __local real2_t *l_Data, uint size){ + uint pos = 2 * get_local_id(0) - (get_local_id(0) & (size - 1)); + l_Data[pos] = (real2_t)(0.0, 1.0); + pos += size; + l_Data[pos] = idata; + + if(size >= 2) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-1] ); + if(size >= 4) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-2] ); + if(size >= 8) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-4] ); + if(size >= 16) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-8] ); +#if WARP == 32 + if(size >= 32) l_Data[pos] = linfuncomp( l_Data[pos], l_Data[pos-16]); +#endif + return l_Data[pos]; +} +#endif + +inline real2_t scanLinFunCompInclLocal(real2_t idata4, __local real2_t *l_Data, uint size){ + if(size > WARP){ + //Bottom-level inclusive warp scan + real2_t warpResult = warpScanInclLinFunComp(idata4, l_Data, WARP); + + //Save top elements of each warp for exclusive warp scan + //sync to wait for warp scans to complete (because l_Data is being overwritten) + barrier(CLK_LOCAL_MEM_FENCE); + if( (get_local_id(0) & (WARP - 1)) == (WARP - 1) ) { +#if WITH_INTERLEAVED_BANKS2 + store2(warpResult, get_local_id(0) >> lgWARP, (__local real_t*)l_Data); +#else + l_Data[get_local_id(0) >> lgWARP] = warpResult; +#endif + } + + //wait for warp scans to complete + barrier(CLK_LOCAL_MEM_FENCE); + + if( get_local_id(0) < (WORKGROUP_SIZE / WARP) ){ +#if WITH_INTERLEAVED_BANKS2 + real2_t val = load2(get_local_id(0), (__local real_t*)l_Data); + store2( warpScanInclLinFunComp(val, l_Data, size >> lgWARP), get_local_id(0), (__local real_t*)l_Data); +#else + //grab top warp elements + real2_t val = l_Data[get_local_id(0)]; + //calculate inclusive scan and write back to shared memory + l_Data[get_local_id(0)] = warpScanInclLinFunComp(val, l_Data, size >> lgWARP); +#endif + } + + //return updated warp scans with exclusive scan results + barrier(CLK_LOCAL_MEM_FENCE); + + if( ( (get_local_id(0) & (size-1)) >> lgWARP ) > 0 ) { +#if WITH_INTERLEAVED_BANKS2 + real2_t tmp = load2( (get_local_id(0) >> lgWARP) - 1, (__local real_t*)l_Data ); + warpResult = linfuncomp( warpResult, tmp ); +#else + warpResult = linfuncomp( warpResult, l_Data[ (get_local_id(0) >> lgWARP) - 1] ); +#endif + } + return warpResult; + }else{ + return warpScanInclLinFunComp(idata4, l_Data, size); + } +} + + +__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) +void scanLinFunCompIncl( + __global real2_t *data, + __local real2_t *l_Data, + uint size +){ + //Load data + real2_t idata4 = data[get_global_id(0)]; + + //Calculate exclusive scan + real2_t odata4 = scanLinFunCompInclLocal( idata4, l_Data, size ); + + //Write back + data[get_global_id(0)] = odata4; +} + + +/*************************************/ +/*** 2. TRIDAG - in between scans ****/ +/*************************************/ + +inline real_t map_matmult(real4_t tmp, real_t val1) { + + real_t nom = tmp.x*val1+tmp.y; + real_t denom = tmp.z*val1+tmp.w; + + return nom/denom; + + //real_t denom = tmp.z*val1+tmp.w*val2; + //real_t nom = (tmp.x/denom)*val1 + (tmp.y/denom)*val2; + //return nom; +} + +__kernel void conclude_matmult ( + /*** Read-Write Temporary Arrays ***/ + __global real_t* b, + __global real_t* d, + __global real_t* y, + __global real_t* u, + __global real4_t* scan_tmp +) { + unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) + + get_global_id(1) * get_global_size(0); + real_t b0 = u[ind]; //b[ ind ]; + ind += get_global_id(0); + + if(get_global_id(0) > 0) { + u[ind] = map_matmult( scan_tmp[ind], b0 ); + } else { + y[ind] = d[ind]; + } +} + + +__kernel void prelude_fwd_fun_comp ( + /*** Read-Write Temporary Arrays ***/ + __global real_t* a, + __global real_t* d, + __global real_t* u, + __global real2_t* scan_tmp +) { + const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) + + get_global_id(1) * get_global_size(0) + get_global_id(0); + + if( get_global_id(0) > 0 ) { + scan_tmp[ind] = (real2_t) ( d[ind], (0.0 - (a[ind]/u[ind-1])) ); + } else { + scan_tmp[ind] = (real2_t) (0.0, 1.0); + } +} + +///// + +__kernel void post_fwd_fun_comp ( + /*** Read-Write Temporary Arrays ***/ + __global real_t* y, + __global real2_t* scan_tmp +) { + unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) + + get_global_id(1) * get_global_size(0); + + real_t y0 = y[ ind ]; + + ind += get_global_id(0); + + if( get_global_id(0) > 0 ) { + real2_t fun = scan_tmp[ind]; + y[ind] = fun.x + y0 * fun.y; + } +} + +__kernel void prelude_bwd_fun_comp ( + /*** Read-Write Temporary Arrays ***/ + __global real_t* c, + __global real_t* y, + __global real_t* u, + __global real2_t* scan_tmp +) { + const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) + + get_global_id(1) * get_global_size(0) + get_global_id(0); + const unsigned int inv_ind = ind - 2*get_global_id(0) + get_global_size(0) - 2; + + if( get_global_id(0) < get_global_size(0) - 1 ) { + scan_tmp[ind] = (real2_t)(y[inv_ind]/u[inv_ind], 0.0 - c[inv_ind]/u[inv_ind]); + } else { // get_global_id(0) == get_global_size(0) - 1 + scan_tmp[ind] = (real2_t)(0.0, 1.0); + y[ind] = y[ind]/u[ind]; + } +} + +/** + * 1. map back the result from the (bacward) parallel prefix + * with linear function composition + * 2. update the RW scalars rw_scals->dtInv and rw_scals->timeline_i + */ +__kernel void post_bwd_fun_comp ( + __global real_t* y, + __global real2_t* scan_tmp +) { + // map back the result from the (bacward) parallel prefix + // with linear function composition + + const unsigned int ind = get_global_id(2) * get_global_size(1) * get_global_size(0) + + get_global_id(1) * get_global_size(0) + get_global_id(0); + const unsigned int inv_ind = ind - 2*get_global_id(0) + get_global_size(0) - 2; + + real_t ynm1 = y[inv_ind + get_global_id(0) + 1]; + + if( get_global_id(0) < get_global_size(0) - 1 ) { + real2_t fun = scan_tmp[ind]; + y[inv_ind] = fun.x + ynm1 * fun.y; + } +} + + +/*********************************************/ +/*********** Matrix Transposition ************/ +/*********************************************/ + +// This kernel is optimized to ensure all global reads and writes are coalesced, +// and to avoid bank conflicts in shared memory. The shared memory array is sized +// to (BLOCK_DIM+1)*BLOCK_DIM. This pads each row of the 2D block in shared memory +// so that bank conflicts do not occur when threads address the array column-wise. +inline void transposeMatrix( + __global real_t *odata, + __global real_t *idata, + unsigned int width, + unsigned int height, + __local real_t* block) +{ + unsigned int xIndex, yIndex; + + // adjust the input and output arrays for the third dimension! + yIndex = get_global_id(2) * width * height; + odata = odata + yIndex; + idata = idata + yIndex; + + // read the matrix tile into shared memory + xIndex = get_global_id(0); + yIndex = get_global_id(1); + + if((xIndex < width) && (yIndex < height)) + { + unsigned int index_in = yIndex * width + xIndex; + block[get_local_id(1)*(BLOCK_DIM+1)+get_local_id(0)] = idata[index_in]; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // write the transposed matrix tile to global memory + xIndex = get_group_id(1) * BLOCK_DIM + get_local_id(0); + yIndex = get_group_id(0) * BLOCK_DIM + get_local_id(1); + if((xIndex < height) && (yIndex < width)) + { + unsigned int index_out = yIndex * height + xIndex; + odata[index_out] = block[get_local_id(0)*(BLOCK_DIM+1)+get_local_id(1)]; + } +} + +__kernel void transpose( + __global real_t *odata, + __global real_t *idata, + //int offset, + unsigned int width, + unsigned int height, + __local real_t* block) +{ + transposeMatrix( odata, idata, width, height, block ); +} + +__kernel void transposeUpdateScalars( + __global real_t *odata, + __global real_t *idata, + //int offset, + unsigned int width, + unsigned int height, + __local real_t* block, + __global RWScalars* ro_scals, // __constant + __constant real_t* timeline +) { + transposeMatrix( odata, idata, width, height, block ); + //odata[get_global_id(2)*get_global_size(1)*get_global_size(0) + get_global_id(1)*get_global_size(0) + get_global_id(0)] + // = 33.33; + + // update time-loop-variant scalars + if(get_global_id(2) + get_global_id(1) + get_global_id(0) == 0) { + int t_ind = --ro_scals->t_ind; + ro_scals->dtInv = 1.0 / ( timeline[t_ind+1] - timeline[t_ind] ); + ro_scals->timeline_i = timeline[ t_ind ]; + } +} + + +/***************************************************************/ +/**************** INLINED TRIDAG VERSION ***********************/ +/***************************************************************/ + +inline void tridag_inline_local ( + /*** Read-Write Temporary Arrays ***/ +// __global real_t* a, + real_t a_elem, +// __global real_t* c, + real_t c_elem, +// __global real_t* d, + real_t d_elem, + __global real_t* y, +// __global real4_t* scan_tmp4, + real4_t data4, + const unsigned int SIZE, +/*** Temporary Array in Shared Space ***/ + __local real_t* cache_tmp, // size: [8*WORKSIZE*sizeof(real_t)] + const size_t first_id, + real_t b0, + real_t d0 +) { + //const size_t first_id = get_global_id(0) - (get_global_id(0) & (SIZE-1)); + //real_t b0; + + { // SCAN with matrix multiplication + __local real4_t* l_data = (__local real4_t*)cache_tmp; + + //Calculate exclusive scan + data4 = scanMatMultInclLocal( data4, l_data, SIZE ); + barrier(CLK_LOCAL_MEM_FENCE); // IMPORTANT! + + real_t data = map_matmult( data4, b0 ); + cache_tmp[get_local_id(0)] = data; + barrier(CLK_LOCAL_MEM_FENCE); + } + + { // Forward scan with linear function composition + real2_t data2; + // prepare for scan + if(get_global_id(0) == first_id) { + //y[get_global_id(0)] = d0; //d[get_global_id(0)]; // y[ind] = d[ind]; + data2 = (real2_t) (0.0, 1.0); + } else { + data2 = (real2_t) ( d_elem, (0.0 - (a_elem/cache_tmp[get_local_id(0)-1])) ); + } + + {//Calculate exclusive scan + __local real2_t* l_Data = ((__local real2_t*)cache_tmp) + get_local_size(0); + data2 = scanLinFunCompInclLocal( data2, l_Data, SIZE ); + } + + //POST FWD MAP: y[ind] = fun.x + y0 * fun.y; + //y[get_global_id(0)] = data2.x + d0 * data2.y; + { + cache_tmp[get_local_size(0) + get_local_id(0)] = data2.x + d0 * data2.y; + barrier(CLK_LOCAL_MEM_FENCE); + } + } + + { // Backward scan with linear function composition + const unsigned int inv_ind = (SIZE-1) - (get_global_id(0) & (SIZE-1)); + real2_t data2; + + unsigned int local_offset = get_local_id(0) - (get_local_id(0) & (SIZE-1)); + b0 = cache_tmp[local_offset + get_local_size(0) + (SIZE-1)]/cache_tmp[local_offset + (SIZE-1)]; + + // prepare for scan! + if(get_global_id(0) == first_id) { + data2 = (real2_t) (0.0, 1.0); + } else { + real_t myu = cache_tmp[local_offset + inv_ind]; + data2 = (real2_t) ( cache_tmp[local_offset + inv_ind + get_local_size(0)] / myu, + 0.0 - c_elem / myu ); + //0.0 - c[first_id + inv_ind]/myu ); + } + + {// BACKWARD SCAN with linear function compsition + __local real2_t* l_Data = ((__local real2_t*)cache_tmp) + get_local_size(0); + data2 = scanLinFunCompInclLocal( data2, l_Data, SIZE ); + } + + // //POST BWD MAP: y[ind] = fun.x + y0 * fun.y; + y[first_id + inv_ind] = data2.x + b0 * data2.y; + } + +} + +__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) +void tridag_inlined ( + /*** Read-Write Temporary Arrays ***/ + __global real_t* a, + __global real_t* c, + __global real_t* d, + __global real_t* y, + __global real_t* u, + __global real4_t* scan_tmp4, + const unsigned int SIZE, +/*** Temporary Array in Shared Space ***/ + __local real_t* cache_tmp // size: [8*WORKSIZE*sizeof(real_t)] +) { + const size_t first_id = get_global_id(0) - (get_global_id(0) & (SIZE-1)); + //const unsigned int inv_ind = (SIZE-1) - (get_global_id(0) & (SIZE-1)); + + tridag_inline_local ( + a[get_global_id(0)], + c[first_id + (SIZE-1) - (get_global_id(0) & (SIZE-1))], + //(get_global_id(0) != first_id) ? c[first_id + (SIZE-1) - (get_global_id(0) & (SIZE-1))] : 0.0, //c + d[get_global_id(0)], + y, + scan_tmp4[get_global_id(0)], + SIZE, + cache_tmp, + first_id, + scan_tmp4[first_id].x, + d[first_id] + ); +} + + + +/***************************************************************/ +/************* TWO KERNELS VERSION: X & Y **********************/ +/***************************************************************/ + +__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) +void nordea_kernel_x ( + /*** Read-Only Scalars ***/ + __constant RWScalars* ro_scals, // __constant + /*** Read-Only Arrays ***/ + __global real_t* myX, + __global real3_t* myDx, + __global real3_t* myDxx, + __constant real_t* myY, + __constant real_t* myDy, + __constant real_t* myDyy, + /*** Read-Write Temporary Arrays ***/ + __global real_t* u, + __global real_t* v, + /*** Temporary Array in Shared Space ***/ + __local real_t* cache_tmp, + /*** The Result Array ***/ + __global real_t* res_arr +) { + + real3_t myD_elem; + + unsigned int ind_x = get_global_id(0) & (ro_scals->NUM_X-1); + unsigned int ind_y = (get_global_id(0) & (ro_scals->NUM_XY-1)) / ro_scals->NUM_X; + + real_t tmp = 0.0; + + { + // I. second loop + real3_t myres_elem; + real_t cur_myMu = 0.0; + real_t cur_myVar = ro_scals->nu; + cur_myVar *= cur_myVar; + + myres_elem = (real3_t)( myDyy[ind_y<<2], myDyy[(ind_y<<2)+1], myDyy[(ind_y<<2)+2] ); + myD_elem = (real3_t)( myDy [ind_y<<2], myDy [(ind_y<<2)+1], myDy [(ind_y<<2)+2] ); + + myD_elem = cur_myMu*myD_elem + 0.5f*cur_myVar*myres_elem; + + myres_elem = (real3_t)( (ind_y != 0) ? res_arr[get_global_id(0) - ro_scals->NUM_X] : 0.0, + res_arr[get_global_id(0)], + (ind_y != ro_scals->NUM_Y-1) ? res_arr[get_global_id(0) + ro_scals->NUM_X] : 0.0 + ); + + myD_elem *= myres_elem; + tmp += myD_elem.x + myD_elem.y + myD_elem.z; + +#if TRANSPOSE_UV + v[ get_global_id(0) ] = tmp; +#else + v[ (get_global_id(0)/ro_scals->NUM_XY)*ro_scals->NUM_XY + ind_x*ro_scals->NUM_Y + ind_y] = tmp; +#endif + + // II. first loop + cur_myMu = 0.0; // X + cur_myVar = exp( 2 * ( ro_scals->beta*log(myX[ind_x]) + + myY[ind_y] - 0.5f*cur_myVar*ro_scals->timeline_i // cur_myVar == nu*nu + ) + ); + // CACHING ASSUMES ALL ELEMENTS IN X DIMENSION fit in the LOCALGROUP! + cache_tmp[get_local_id(0)] = res_arr[ get_global_id(0) ]; + + myD_elem = myDx[ ind_x ]; + + barrier(CLK_LOCAL_MEM_FENCE); + + + myres_elem = (real3_t)( (ind_x!=0) ? cache_tmp[ get_local_id(0) - 1 ] : 0.0, + cache_tmp[ get_local_id(0) ], + (ind_x != ro_scals->NUM_X-1) ? cache_tmp[ get_local_id(0) + 1 ] : 0.0 + ); + + tmp += ro_scals->dtInv*myres_elem.y; + myD_elem = 0.5f*( cur_myMu*myD_elem + 0.5f*cur_myVar*myDxx[ ind_x ] ); + + // write in cache the values of c! + cache_tmp[get_local_size(0) + get_local_id(0)] = - myD_elem.z; // c[get_global_id(0)] = - myD_elem.z; + + barrier(CLK_LOCAL_MEM_FENCE); + + myres_elem = myD_elem*myres_elem; + tmp += myres_elem.x + myres_elem.y + myres_elem.z; + + //a[get_global_id(0)] = - myD_elem.x; // b[ind] = ro_scals->dtInv - myDy_elem.y; + myD_elem.x = - myD_elem.x; // holds `a[glb_ind]' + } + + + { + // prepare for and call TRIDAG + real4_t scan_elem; + //u[get_global_id(0)] = tmp; //u[j*NUM_X + i] = tmp1 + tmp2; //u[j][i] = tmp1 + tmp2; + myD_elem.z = tmp; + + tmp = ro_scals->dtInv - myD_elem.y; // b[ind] = tmp; + + //barrier(CLK_LOCAL_MEM_FENCE); + + + // third loop + if( ind_x > 0 ) { + myD_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) - 1]; // i.e., c[glob_ind-1] + scan_elem = (real4_t) ( tmp, 0.0 - myD_elem.x * myD_elem.y, 1.0, 0.0 ); + myD_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) + (ro_scals->NUM_X-1) - 2*ind_x]; // i.e., c[glb_ind_inv] + } else { // i == get_global_id(0) == 0 + scan_elem = (real4_t) ( tmp, 0.0, 0.0, tmp ); //(real4_t) ( 1.0, 0.0, 0.0, 1.0 ); + myD_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) + (ro_scals->NUM_X-1) ]; + + cache_tmp[get_local_id(0) ] = tmp; + cache_tmp[get_local_id(0) + 1] = myD_elem.z; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + tmp = cache_tmp[get_local_id(0) - ind_x ]; + real_t d0 = cache_tmp[get_local_id(0) - ind_x + 1]; + + barrier(CLK_LOCAL_MEM_FENCE); + + // CALL TRIDAG + tridag_inline_local ( + myD_elem.x, // a[glb_ind] + myD_elem.y, // c[glb_ind_inv] + myD_elem.z, // d[glb_ind] == u[glb_ind] + u, // y + scan_elem, // scan_tmp[glb_ind] + ro_scals->NUM_X, // SIZE + cache_tmp, // cache + get_global_id(0) - ind_x, // first_id + tmp, // b0 + d0 // d0 + ); + } +} + +//////////////////////////////////////////////////////////////// +////////// AND KERNEL FOR THE Y-INNERMOST DIMENSION //////////// +//////////////////////////////////////////////////////////////// + +__kernel __attribute__((reqd_work_group_size(WORKGROUP_SIZE, 1, 1))) +void nordea_kernel_y ( + /*** Read-Only Scalars ***/ + __constant RWScalars* ro_scals, // __constant + /*** Read-Only Arrays ***/ + __global real3_t* myDy, + __global real3_t* myDyy, + /*** Read-Write Temporary Arrays ***/ + __global real_t* u, + __global real_t* v, + /*** Temporary Array in Shared Space ***/ + __local real_t* cache_tmp // SIZE: 8 * WORKGROUP_SIZE * sizeof(real_t) +) { + + real3_t myDy_elem; + + unsigned int ind_y = get_global_id(0) & (ro_scals->NUM_Y-1); + unsigned int ind_x = (get_global_id(0) & (ro_scals->NUM_XY-1)) / ro_scals->NUM_Y; + + { + real_t dt_inv = ro_scals->dtInv; +#if TRANSPOSE_UV + real_t my_u = u[get_global_id(0)]; +#else + real_t my_u = u[ (get_global_id(0)/ro_scals->NUM_XY)*ro_scals->NUM_XY + + ind_y * ro_scals->NUM_X + ind_x ]; +#endif + + real_t tmp = 0.0; + real_t cur_myVarY = ro_scals->nu; cur_myVarY *= cur_myVarY*0.5f; //nu*nu; + + myDy_elem = 0.0f - 0.5f*( tmp*myDy[ind_y] + cur_myVarY*myDyy[ind_y] ); + + // a[ind] = myDy_elem.x; c[ind] = myDy_elem.z; + cache_tmp[get_local_size(0) + get_local_id(0)] = myDy_elem.z; // c[ind] + myDy_elem.y = dt_inv + myDy_elem.y; // b[ind] + + + //v[get_global_id(0)] = dt_inv * my_u - 0.5 * v[get_global_id(0)]; + myDy_elem.z = dt_inv * my_u - 0.5f * v[get_global_id(0)]; // i.e., v[ind] + + if(ind_y == 0) { + cache_tmp[get_local_id(0) ] = myDy_elem.y; // b0 + cache_tmp[get_local_id(0) + 1] = myDy_elem.z; // d0, i.e., v[0] + } + + } + + barrier(CLK_LOCAL_MEM_FENCE); + + { + real4_t scan_elem; + real_t b0, d0; + + // third loop + if( ind_y > 0 ) { + scan_elem = (real4_t) ( myDy_elem.y, 0.0 - myDy_elem.x * cache_tmp[get_local_size(0)+get_local_id(0)-1], 1.0, 0.0 ); + } else { + scan_elem = (real4_t) ( 1.0, 0.0, 0.0, 1.0 ); + } + + myDy_elem.y = cache_tmp[get_local_size(0) + get_local_id(0) + (ro_scals->NUM_Y-1) - 2*ind_y]; // i.e., c[ind_inv] + + b0 = cache_tmp[get_local_id(0) - ind_y ]; + d0 = cache_tmp[get_local_id(0) - ind_y + 1]; // d0 + + barrier(CLK_LOCAL_MEM_FENCE); + + // CALL TRIDAG + tridag_inline_local ( + myDy_elem.x, // a[glb_ind] + myDy_elem.y, // c[glb_ind_inv] + myDy_elem.z, // d[glb_ind] == v[glb_ind] + v, // y + scan_elem, // scan_tmp[glb_ind] + ro_scals->NUM_Y, // SIZE + cache_tmp, // cache + get_global_id(0) - ind_y, // first_id + b0, // b0 + d0 // d0 + ); + } +} diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile new file mode 100644 index 0000000..d29cf70 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile @@ -0,0 +1,54 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +# FIXME - this should not even exist! +include $(HIPERMARK_LIB_DIR)/platform.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ + -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ + -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ + -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ + -D CURR_DIR_PATH='"$(MAKE_DIR)"' + +SOURCES_CPP =$(HIPERMARK_IMPLEMENTATION)/VolCalibAll.cpp +HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/Constants.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/ParseInput.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/DataStructConst.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/ParPrefixUtil.h +EXECUTABLE =VolCalibAll + +$(EXECUTABLE): + cp $(HIPERMARK_IMPLEMENTATION)/*cl . + $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) + + +run_small: + cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt + +run_medium: + cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt + +run_large: + cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt + +clean: + rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt + @# clean nVidia compiler cache + rm -rf $(HOME)/.nv/ComputeCache/* + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h new file mode 100644 index 0000000..04a5a4f --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h @@ -0,0 +1,1576 @@ +/***********************************************************/ +/*************** Helper DATA STRUCTURES ********************/ +/***********************************************************/ + +// GPU BUFFERS +struct oclNordeaArrays { + /* RO scalars */ + cl_mem ro_scals; + + /* RO arrays */ + cl_mem timeline; // [NUM_T] + + cl_mem myX; // [NUM_X] + cl_mem myDx; // [NUM_X * 3] + cl_mem myDxx; // [NUM_X * 3] + + cl_mem myY; // [NUM_Y] + cl_mem myDy; // [NUM_Y * 3] + cl_mem myDyy; // [NUM_Y * 3] + + /* TRIDAG helpers */ + cl_mem a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem tmp4; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem tmp2; // [2 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + cl_mem res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + /* WRITE ONLY OUTPUT stored in "res"*/ + //cl_mem res; +}; + +// CPU BUFFERS +struct NordeaArrays { + /* RO arrays */ + real_t* timeline; // [NUM_T] + + real_t* myX; // [NUM_X] + real_t* myDx; // [NUM_X * 3] + real_t* myDxx; // [NUM_X * 3] + + real_t* myY; // [NUM_Y] + real_t* myDy; // [NUM_Y * 3] + real_t* myDyy; // [NUM_Y * 3] + + /* TRIDAG helpers are created on GPU only! no need for them to exist in main memory*/ + real_t* a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* tmp; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + real_t* res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + /* NOT USED FOR NOW! WRITE ONLY OUTPUT stored in "res"*/ + //real_t* res; +}; + +// GPU KERNELS +typedef struct { + // PRE/POST TRIDAG KERNELS + cl_kernel ckPreTridagX; // NUM_X x NUM_Y x OUTER_LOOP_COUNT + cl_kernel ckPreTridagY; // NUM_Y x NUM_X x OUTER_LOOP_COUNT + cl_kernel ckMatTranspUpdate; + + cl_kernel ckMatTransposeU; + cl_kernel ckMatTransposeV; + + // TRIDAG KERNELS + cl_kernel ckTridagMatMult [2]; // scan with matrix multiplication: + cl_kernel ckConcludeMatMult[2]; + + cl_kernel ckPreludeFwdFunComp[2]; + cl_kernel ckTridagFwdFunComp[2]; // scan with linear function composition + cl_kernel ckPostFwdFunComp[2]; + + cl_kernel ckPreludeBwdFunComp[2]; + cl_kernel ckPostBwdFunComp[2]; + + cl_kernel ckTridagAllOpt[2]; + + cl_kernel ckNordeaKernelX; + cl_kernel ckNordeaKernelY; + + size_t GWS_XYZ [3]; + size_t LWS_XYZ [3]; + + size_t GWS_YXZ [3]; + size_t LWS_YXZ [3]; + + // NOT USED + //cl_kernel ckMatTransp; // NUM_Y x NUM_X x OUTER_LOOP_COUNT +} GPUkernels __attribute__ ((aligned (32))); + +/******************************************************/ +/******* compute global/local grid dimensions *********/ +/******************************************************/ + +static void local_block_size( + size_t size_x, size_t size_y, size_t size_z, + size_t& loc_x, size_t& loc_y, size_t& loc_z +) { + bool ok = is_pow2(size_x) && is_pow2(size_y); + assert( ok && "Global Size X or Y is not a power of 2!"); + assert( size_x * size_y >= WORKGROUP_SIZE && "NUM_X * NUM_Y < WORKGROUP_SIZE!!!"); + + loc_x = WORKGROUP_SIZE; loc_y = 1; loc_z = 1; + while(size_x / loc_x == 0) { + loc_x /= 2; + loc_y *= 2; + } + + ok = is_pow2(loc_x) && is_pow2(loc_y) && (loc_x*loc_y == WORKGROUP_SIZE) && (loc_x <= size_x) && (loc_y <= size_y); + assert( ok && "Local Block Size is not a power of 2!"); +} + + +void initGPUgrid ( GPUkernels& kernels ) { + { // find a convenient local block size + size_t loc_x, loc_y, loc_z; + + kernels.GWS_XYZ[0] = NUM_X; kernels.GWS_XYZ[1] = NUM_Y; kernels.GWS_XYZ[2] = OUTER_LOOP_COUNT; + kernels.GWS_YXZ[0] = NUM_Y; kernels.GWS_YXZ[1] = NUM_X; kernels.GWS_YXZ[2] = OUTER_LOOP_COUNT; + + local_block_size(NUM_X, NUM_Y, OUTER_LOOP_COUNT, loc_x, loc_y, loc_z); + kernels.LWS_XYZ[0] = loc_x; kernels.LWS_XYZ[1] = loc_y; kernels.LWS_XYZ[2] = loc_z; + + local_block_size(NUM_Y, NUM_X, OUTER_LOOP_COUNT, loc_y, loc_x, loc_z); + kernels.LWS_YXZ[0] = loc_y; kernels.LWS_YXZ[1] = loc_x; kernels.LWS_YXZ[2] = loc_z; + } + +} + +/************************************************************/ +/*************** KERNELS OTHER THAN TRIDAG ****************** +/************************************************************/ + +cl_kernel make_prepare_tridag_X( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs, + size_t* globalWorkSize, + size_t* localWorkSize +) { + cl_kernel ckPreTridagX = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckPreTridagX = clCreateKernel(cpProgram, "prepare_tridag_x", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + { // 1. RO SCALARS // + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); + } + + { // 2. RO ARRAYS // + //ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.timeline); + + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myX); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDx); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDxx); + + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myY); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); + } + + { // 3. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); + } + +#if 1 + { // 4. LOCAL (PRIVATE ARRAYS) + const int PRIV_MULT = sizeof(real_t) * localWorkSize[0] * localWorkSize[1] * localWorkSize[2]; + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, PRIV_MULT, NULL); + } +#endif + { // 5. OUT ARRAY! + ciErr1 |= clSetKernelArg(ckPreTridagX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.res_arr ); + } +#if 0 + { // Finally, enqueue kernel + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreTridagX, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckPreTridagX; +} + +void run_prepare_tridag_X( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreTridagX, 3, NULL, + kernels.GWS_XYZ, kernels.LWS_XYZ, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + +/////////////////////////// +/// NORDEA_ALL_KERNEL_X /// +/////////////////////////// + +cl_kernel make_NordeaKernelX( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs +) { + cl_kernel ckAllX = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckAllX = clCreateKernel(cpProgram, "nordea_kernel_x", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + // 1. RO SCALARS // + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); + + // 2. RO ARRAYS // + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myX); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDx); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDxx); + + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myY); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); + + // 3. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); + + // 4. LOCAL (PRIVATE ARRAYS) + const int PRIV_MULT = sizeof(real_t) * 8 * WORKGROUP_SIZE; + ciErr1 |= clSetKernelArg(ckAllX, counter++, PRIV_MULT, NULL); + + // 5. OUT ARRAY! + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.res_arr ); + + oclCheckError(ciErr1, CL_SUCCESS); + + return ckAllX; +} + +void run_NordeaKernelX( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelX, 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL); + + ciErr1 |= clFinish(cqCommandQueue); + + oclCheckError(ciErr1, CL_SUCCESS); +} + + +////////////////////////////////////////////////////////////// +////////////////////////////////////////////////////////////// + +cl_kernel make_prepare_tridag_Y( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + size_t* globalWorkSize, + size_t* localWorkSize +) { + cl_kernel ckPreTridagY = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckPreTridagY = clCreateKernel(cpProgram, "prepare_tridag_y", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + { // 1. RO SCALARS // here we do not have to reload ro_scals! + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); + } + + { // 2. RO ARRAYS // + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); + } + + { // 3. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); + } +#if 1 + { // 4. LOCAL (PRIVATE ARRAYS) + const int PRIV_MULT = sizeof(real_t) * localWorkSize[0] * localWorkSize[1] * localWorkSize[2]; + ciErr1 |= clSetKernelArg(ckPreTridagY, counter++, PRIV_MULT, NULL); + } +#endif +#if 0 + { // Finally, enqueue kernel + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreTridagY, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckPreTridagY; +} + +void run_prepare_tridag_Y( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreTridagY, 3, NULL, + &kernels.GWS_YXZ[0], &kernels.LWS_YXZ[0], 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + + +/////////////////////////// +/// NORDEA_ALL_KERNEL_X /// +/////////////////////////// + +cl_kernel make_NordeaKernelY( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs +) { + cl_kernel ckAllY = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckAllY = clCreateKernel(cpProgram, "nordea_kernel_y", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + // 1. RO SCALARS // + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); + + // 2. RO ARRAYS // + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); + + // 3. GPU-ONLY GLOBAL ARRAYS // +#if TRANSPOSE_UV + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); // y <- u^T + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); // u <- v^T +#else + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); +#endif + + // 4. LOCAL (PRIVATE ARRAYS) + const int PRIV_MULT = sizeof(real_t) * 8 * WORKGROUP_SIZE; + ciErr1 |= clSetKernelArg(ckAllY, counter++, PRIV_MULT, NULL); + + oclCheckError(ciErr1, CL_SUCCESS); + + return ckAllY; +} + +void run_NordeaKernelY( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelY, 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL); + + ciErr1 |= clFinish(cqCommandQueue); + + oclCheckError(ciErr1, CL_SUCCESS); +} + + +/************************************************************/ +/******************** TRIDAG KERNELS ************************/ +/************************************************************/ + + + +/** + * Parallel Prefix with matrix multiplication + */ +cl_kernel make_MatMultScan( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + const unsigned int* NUM_P +) { + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + cl_kernel ckTridagMatMultX = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckTridagMatMultX = clCreateKernel(cpProgram, "scanMatMultIncl", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + { // 1. GPU-ONLY GLOBAL ARRAYS /(4 * NUM_X * NUM_Y * OUTER_LOOP_COUNT) + ciErr1 |= clSetKernelArg(ckTridagMatMultX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); + } + + { // 2. LOCAL: 8 * sizeof(real_t) * worksize + const int PRIV_MULT = sizeof(real_t) * 8 * localWorkSize; + ciErr1 |= clSetKernelArg(ckTridagMatMultX, counter++, PRIV_MULT, NULL); + } + + { // 1. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckTridagMatMultX, counter++, sizeof(uint), (void *)NUM_P); + } + +#if 0 + { // Finally, the array size: + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckTridagMatMultX, 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckTridagMatMultX; +} + +void run_MatMultScan( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckTridagMatMult[X], 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + + + +/** + * Parallel Prefix with linear function composition + */ +cl_kernel make_FwdFunCompScan( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + const unsigned int* NUM_P +) { + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + cl_kernel ckTridagFwdFunComp = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; + unsigned long int cur_size; + + // find kernel + ckTridagFwdFunComp = clCreateKernel(cpProgram, "scanLinFunCompIncl", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + // 1. GPU-ONLY GLOBAL ARRAYS /(4 * NUM_X * NUM_Y * OUTER_LOOP_COUNT) + ciErr1 |= clSetKernelArg(ckTridagFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); + + // 2. LOCAL: 4 * sizeof(real_t) * worksize + const int PRIV_MULT = sizeof(real_t) * 4 * localWorkSize; + ciErr1 |= clSetKernelArg(ckTridagFwdFunComp, counter++, PRIV_MULT, NULL); + + // 1. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckTridagFwdFunComp, counter++, sizeof(uint), (void *)NUM_P); + + // Finally, the array size: +#if 0 + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckTridagFwdFunComp, 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckTridagFwdFunComp; +} + +void run_FwdFunCompScan( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckTridagFwdFunComp[X], 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +/** + * Mapping back the results of parallel prefix with matrix multiplication + */ +cl_kernel make_conclude_matmult ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + cl_mem d, + cl_mem y, + cl_mem u +) { + cl_kernel ckConcludeMatMult = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckConcludeMatMult = clCreateKernel(cpProgram, "conclude_matmult", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b ); // b + ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&d ); + ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&y ); + ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&u ); + ciErr1 |= clSetKernelArg(ckConcludeMatMult, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); + + +#if 0 + { // Finally, enqueue kernel! + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckConcludeMatMult, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckConcludeMatMult; +} + + +void run_conclude_matmult( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; + size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckConcludeMatMult[X], 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + +/** + * Preparing for parallel prefix with linear function composition + * (i.e., filling in ocl_arrs.tmp) + */ +cl_kernel make_preludeFwdMapFunComp ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + cl_mem d, + cl_mem u +) { + cl_kernel ckPreludeFwdFunComp = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckPreludeFwdFunComp = clCreateKernel(cpProgram, "prelude_fwd_fun_comp", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a ); // b + ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&d ); + ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&u ); + ciErr1 |= clSetKernelArg(ckPreludeFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); + + +#if 0 + { // Finally, enqueue kernel! + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreludeFwdFunComp, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckPreludeFwdFunComp; +} + +void run_preludeFwdMapFunComp( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; + size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreludeFwdFunComp[X], 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + +/** + * Mapping back the results of parallel prefix with linear function composition + */ +cl_kernel make_postFwdMapFunComp ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + cl_mem y +) { + cl_kernel ckPostFwdFunComp = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckPostFwdFunComp = clCreateKernel(cpProgram, "post_fwd_fun_comp", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + ciErr1 |= clSetKernelArg(ckPostFwdFunComp, counter++, sizeof(cl_mem), (void*)&y ); + ciErr1 |= clSetKernelArg(ckPostFwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); + +#if 0 + { // Finally, enqueue kernel! + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPostFwdFunComp, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckPostFwdFunComp; +} + +void run_postFwdMapFunComp ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; + size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPostFwdFunComp[X], 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + + +/** + * Preparing for forward-parallel prefix with linear function composition + * (i.e., filling in ocl_arrs.tmp) + */ +cl_kernel make_preludeBwdMapFunComp ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + cl_mem y, + cl_mem u +) { + cl_kernel ckPreludeBwdFunComp = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckPreludeBwdFunComp = clCreateKernel(cpProgram, "prelude_bwd_fun_comp", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c ); // b + ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&y ); + ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&u ); + ciErr1 |= clSetKernelArg(ckPreludeBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2); + +#if 0 + { // Finally, enqueue kernel! + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPreludeBwdFunComp, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckPreludeBwdFunComp; +} + +void run_preludeBwdMapFunComp ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; + size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPreludeBwdFunComp[X], 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +/** + * Mapping back the results of parallel prefix with linear function composition + */ +cl_kernel make_postBwdMapFunComp ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + cl_mem y +) { + cl_kernel ckPostBwdFunComp = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckPostBwdFunComp = clCreateKernel(cpProgram, "post_bwd_fun_comp", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&y ); + ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp2 ); + //ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals); + //ciErr1 |= clSetKernelArg(ckPostBwdFunComp, counter++, sizeof(cl_mem), (void*)&ocl_arrs.timeline); + +#if 0 + { // Finally, enqueue kernel! + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckPostBwdFunComp, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + } +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckPostBwdFunComp; +} + +void run_postBwdMapFunComp ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; + size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; + + assert( (X==0 || X==1) && "INVALID MatMultScan Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckPostBwdFunComp[X], 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +//////////////////////////////////////////////////////// +//////////////////////////////////////////////////////// +//////////////////////////////////////////////////////// + +/** + * Mapping back the results of parallel prefix with matrix multiplication + */ +cl_kernel make_TRIDAG_ALL_OPT ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + cl_mem d, + cl_mem y, + cl_mem u, + const unsigned int* NUM_P +) { + cl_kernel ckTridagAll = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckTridagAll = clCreateKernel(cpProgram, "tridag_inlined", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a ); // a + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c ); // c + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&d ); + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&y ); + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&u ); + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(cl_mem), (void*)&ocl_arrs.tmp4); + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, sizeof(uint) , (void *)NUM_P ); + + { + const int PRIV_MULT = sizeof(real_t) * 8 * WORKGROUP_SIZE; + ciErr1 |= clSetKernelArg(ckTridagAll, counter++, PRIV_MULT, NULL); + } + + oclCheckError(ciErr1, CL_SUCCESS); + + return ckTridagAll; +} + + +void run_TRIDAG_ALL_OPT ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + int X +) { + cl_int ciErr1; + + size_t globalWorkSize = NUM_X * NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + //size_t* globalWorkSize = (X==0) ? kernels.GWS_XYZ : kernels.GWS_YXZ; + //size_t* localWorkSize = (X==0) ? kernels.LWS_XYZ : kernels.LWS_YXZ; + + assert( (X==0 || X==1) && "INVALID TRIDAG_ALL_OPT Kernel!"); + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckTridagAllOpt[X], 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL ); + + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + + + + + +/***************************************************/ +/********* Segmented Matrix Transposition ********/ +/***************************************************/ + +cl_kernel make_transposeGPU( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + cl_mem inp_arr, + cl_mem out_arr, + const unsigned int* size_x, + const unsigned int* size_y, + const unsigned int* size_z, + const char* kernel_name +// size_t* globalWorkSize, +// size_t* localWorkSize +) { + cl_kernel ckMatTransp = NULL; + cl_int ciErr1, ciErr2; + unsigned int counter = 0; + + ckMatTransp = clCreateKernel(cpProgram, kernel_name, &ciErr1); // "transposeUpdateScalars" + oclCheckError(ciErr1, CL_SUCCESS); + + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &out_arr); // input array + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &inp_arr); // output array + //ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), &offset); + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_x); // size of 0 dim + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_y); // size of 1 dim + + // shared memory space + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, (BLOCK_DIM + 1) * BLOCK_DIM * sizeof(real_t), 0 ); + +#if 0 + // enqueue kernel + ciErr1 |= clEnqueueNDRangeKernel(cqCommandQueue, ckMatTransp, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); +#endif + oclCheckError(ciErr1, CL_SUCCESS); + + return ckMatTransp; +} + +void run_transposeGPU ( + cl_command_queue& cqCommandQueue, + cl_kernel kernel, + size_t* globalWorkSize + +) { + cl_int ciErr1; + size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernel, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +cl_kernel make_transposeGPU_WithUpdate( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + cl_mem inp_arr, + cl_mem out_arr, + const unsigned int* size_x, + const unsigned int* size_y, + const unsigned int* size_z, + oclNordeaArrays& ocl_arrs +// size_t* globalWorkSize, +// size_t* localWorkSize +) { + cl_int ciErr1; + cl_kernel kernel = make_transposeGPU( + cqCommandQueue, cpProgram, inp_arr, + out_arr, size_x, size_y, size_z, "transposeUpdateScalars" + ); + + ciErr1 = clSetKernelArg(kernel, 5, sizeof(cl_mem), (void *) &ocl_arrs.ro_scals); + ciErr1 = clSetKernelArg(kernel, 6, sizeof(cl_mem), (void *) &ocl_arrs.timeline); + oclCheckError(ciErr1, CL_SUCCESS); + + return kernel; +} + +void run_transposeGPU_WithUpdate ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + size_t* globalWorkSize = kernels.GWS_YXZ; + size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; + //size_t* localWorkSize = kernels.LWS_YXZ; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckMatTranspUpdate, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +/**********************************************************/ +/**************** MAKE ALL KERNELS ************************/ +/**********************************************************/ + +void make_TRIDAG( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + oclNordeaArrays& ocl_arrs, + GPUkernels& kernels, + const int X +) { + assert( (X==0 || X==1) && "INVALID argument X to make_TRIDAG Kernels!"); + + cl_mem d; cl_mem y; cl_mem u; + const unsigned int* NUM_P = NULL; + //size_t* globalWorkSize = NULL; + //size_t* localWorkSize = NULL; + + if(X == 0) { + // first tridag run: d <- u; y <- u; u <- y NUM_P <- &NUM_X + d = ocl_arrs.u; y = ocl_arrs.u; u = ocl_arrs.y; NUM_P = &NUM_X; + //globalWorkSize = kernels.GWS_XYZ; + //localWorkSize = kernels.LWS_XYZ; + } else { // X == 1 + // second tridag run: d <- v; y <- y; u <- u NUM_P <- &NUM_Y + d = ocl_arrs.v; y = ocl_arrs.v; u = ocl_arrs.y; NUM_P = &NUM_Y; //y = ocl_arrs.y; u = ocl_arrs.u; + //globalWorkSize = kernels.GWS_XYZ; + //localWorkSize = kernels.LWS_XYZ; + } + + + // scan with matrix multiply! + kernels.ckTridagMatMult[X] = make_MatMultScan ( + cqCommandQueue, cpProgram, ocl_arrs, NUM_P + ); + + // map the results of the parallel prefix with matrix multiplication! + kernels.ckConcludeMatMult[X] = make_conclude_matmult ( + cqCommandQueue, cpProgram, ocl_arrs, d, y, u + ); + + // prepare for forward scan with function composition! + kernels.ckPreludeFwdFunComp[X] = make_preludeFwdMapFunComp ( + cqCommandQueue, cpProgram, ocl_arrs, d, u + ); + + // (forward) scan with function composition! + kernels.ckTridagFwdFunComp[X] = make_FwdFunCompScan ( + cqCommandQueue, cpProgram, ocl_arrs, NUM_P + ); + + // post_fwd_fun_comp + kernels.ckPostFwdFunComp[X] = make_postFwdMapFunComp ( + cqCommandQueue, cpProgram, ocl_arrs, y + ); + + // prepare for backward scan with linear-function composition + kernels.ckPreludeBwdFunComp[X] = make_preludeBwdMapFunComp ( + cqCommandQueue, cpProgram, ocl_arrs, y, u + ); + + // (backward) scan with function composition! + // have already been computed in "kernels.ckTridagFwdFunComp[X]" needs to be run twice!!! + //kernels.ckTridagFwdFunComp2[X] = make_FwdFunCompScan ( + // cqCommandQueue, cpProgram, ocl_arrs, NUM_P + // ); + + // post_bwd_fun_comp + kernels.ckPostBwdFunComp[X] = make_postBwdMapFunComp ( + cqCommandQueue, cpProgram, ocl_arrs, y + ); + + ///////////////////////// + // Finally, TRIDAG ALL // + ///////////////////////// + kernels.ckTridagAllOpt[X] = make_TRIDAG_ALL_OPT ( + cqCommandQueue, cpProgram, ocl_arrs, d, y, u, NUM_P + ); +} + + +void make_kernels ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs, + GPUkernels& kernels +) { + initGPUgrid ( kernels ); + + kernels.ckPreTridagX = make_prepare_tridag_X ( + cqCommandQueue, + cpProgram, + ro_scal, + ocl_arrs, + kernels.GWS_XYZ, + kernels.LWS_XYZ + ); + + make_TRIDAG( cqCommandQueue, cpProgram, ocl_arrs, kernels, 0 ); + + kernels.ckPreTridagY = make_prepare_tridag_Y ( + cqCommandQueue, + cpProgram, + ocl_arrs, + kernels.GWS_YXZ, + kernels.LWS_YXZ + ); + + make_TRIDAG( cqCommandQueue, cpProgram, ocl_arrs, kernels, 1 ); + +#if TRANSPOSE_UV + kernels.ckMatTranspUpdate = make_transposeGPU_WithUpdate ( + cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.res_arr, // ocl_arrs.y + &NUM_Y, &NUM_X, &OUTER_LOOP_COUNT, ocl_arrs + ); +#else + // transpose y into res_arr + kernels.ckMatTranspUpdate = make_transposeGPU_WithUpdate ( + cqCommandQueue, cpProgram, ocl_arrs.v, ocl_arrs.res_arr, // ocl_arrs.y + &NUM_Y, &NUM_X, &OUTER_LOOP_COUNT, ocl_arrs + ); +#endif + + ////////////////////////////////// + // Finally, Finally, TRIDAG ALL // + ////////////////////////////////// + kernels.ckNordeaKernelX = make_NordeaKernelX ( + cqCommandQueue, cpProgram, ro_scal, ocl_arrs + ); + + kernels.ckNordeaKernelY = make_NordeaKernelY ( + cqCommandQueue, cpProgram, ro_scal, ocl_arrs + ); + + // transpose U into Y + kernels.ckMatTransposeU = make_transposeGPU ( + cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.y, + &NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" + ); + + // transpose V into U + kernels.ckMatTransposeV = make_transposeGPU ( + cqCommandQueue, cpProgram, ocl_arrs.v, ocl_arrs.u, + &NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" + ); + +} + + +/**********************************************************/ +/********************* RUN KERNELS ************************/ +/**********************************************************/ + +void run_TRIDAG( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + const int X +) { + assert( (X==0 || X==1) && "INVALID argument X to make_TRIDAG Kernels!"); + +#ifdef TRIDAG_ALL_OPT_ON + run_TRIDAG_ALL_OPT( cqCommandQueue, kernels, X ); +#else + // scan with matrix multiply! + run_MatMultScan( cqCommandQueue, kernels, X ); + + // map the results of the parallel prefix with matrix multiplication! + run_conclude_matmult( cqCommandQueue, kernels, X ); + + + // prepare for forward scan with function composition! + run_preludeFwdMapFunComp( cqCommandQueue, kernels, X ); + + // (forward) scan with function composition! + run_FwdFunCompScan( cqCommandQueue, kernels, X); + + // post_fwd_fun_comp + run_postFwdMapFunComp( cqCommandQueue, kernels, X ); + + // prepare for backward scan with linear-function composition + run_preludeBwdMapFunComp( cqCommandQueue, kernels, X ); + + // (backward) scan with function composition! + run_FwdFunCompScan( cqCommandQueue, kernels, X ); + + // post_bwd_fun_comp + run_postBwdMapFunComp( cqCommandQueue, kernels, X ); +#endif +} + +void run_GPUkernels_one_time_iteration ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { +#ifdef MOST_OPTIMISED_ON + run_NordeaKernelX( cqCommandQueue, kernels ); + +#if TRANSPOSE_UV + run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeU, kernels.GWS_XYZ ); // y <- transpose(u) + run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeV, kernels.GWS_XYZ ); // u <- transpose(v) +#endif + + run_NordeaKernelY( cqCommandQueue, kernels ); + +#else + + run_prepare_tridag_X( cqCommandQueue, kernels ); + + run_TRIDAG( cqCommandQueue, kernels, 0); + + run_prepare_tridag_Y( cqCommandQueue, kernels ); + + run_TRIDAG( cqCommandQueue, kernels, 1); +#endif + + run_transposeGPU_WithUpdate( cqCommandQueue, kernels ); +} + +/**********************************************************/ +/******************* RELEASE KERNELS **********************/ +/**********************************************************/ + +void release_all_kernels ( GPUkernels& kernels ) { + clReleaseKernel(kernels.ckPreTridagX); + clReleaseKernel(kernels.ckPreTridagY); + clReleaseKernel(kernels.ckMatTranspUpdate); + + clReleaseKernel(kernels.ckTridagMatMult[0]); + clReleaseKernel(kernels.ckTridagMatMult[1]); + + clReleaseKernel(kernels.ckConcludeMatMult[0]); + clReleaseKernel(kernels.ckConcludeMatMult[1]); + + clReleaseKernel(kernels.ckPreludeFwdFunComp[0]); + clReleaseKernel(kernels.ckPreludeFwdFunComp[1]); + + clReleaseKernel(kernels.ckTridagFwdFunComp[0]); + clReleaseKernel(kernels.ckTridagFwdFunComp[1]); + + clReleaseKernel(kernels.ckPostFwdFunComp[0]); + clReleaseKernel(kernels.ckPostFwdFunComp[1]); + + clReleaseKernel(kernels.ckPreludeBwdFunComp[0]); + clReleaseKernel(kernels.ckPreludeBwdFunComp[1]); + + clReleaseKernel(kernels.ckPostBwdFunComp[0]); + clReleaseKernel(kernels.ckPostBwdFunComp[1]); + + clReleaseKernel(kernels.ckTridagAllOpt[0]); + clReleaseKernel(kernels.ckTridagAllOpt[1]); + + clReleaseKernel(kernels.ckNordeaKernelX); + clReleaseKernel(kernels.ckNordeaKernelY); + + clReleaseKernel(kernels.ckMatTransposeU); + clReleaseKernel(kernels.ckMatTransposeV); +} + +void release_all_GPU_resources( + cl_command_queue& cqCommandQueue, + cl_context& cxGPUContext, + cl_program cpProgram, + cl_device_id* cdDevices, + oclNordeaArrays& ocl_arrs, + GPUkernels& kernels +) { + + shrLog(stdlog, "Release Kernels...\n"); + release_all_kernels( kernels ); + + shrLog(stdlog, "Release CPU buffers and OpenCL objects...\n"); + clReleaseProgram(cpProgram); + + clReleaseMemObject(ocl_arrs.ro_scals); + clReleaseMemObject(ocl_arrs.timeline); + + clReleaseMemObject(ocl_arrs.a); + clReleaseMemObject(ocl_arrs.b); + clReleaseMemObject(ocl_arrs.c); + + clReleaseMemObject(ocl_arrs.y); + clReleaseMemObject(ocl_arrs.u); + clReleaseMemObject(ocl_arrs.v); + + clReleaseMemObject(ocl_arrs.tmp2); + clReleaseMemObject(ocl_arrs.tmp4); + clReleaseMemObject(ocl_arrs.res_arr); + + clReleaseMemObject(ocl_arrs.myX); + clReleaseMemObject(ocl_arrs.myDx); + clReleaseMemObject(ocl_arrs.myDxx); + + clReleaseMemObject(ocl_arrs.myY); + clReleaseMemObject(ocl_arrs.myDy); + clReleaseMemObject(ocl_arrs.myDyy); + + clReleaseCommandQueue(cqCommandQueue); + free(cdDevices); + clReleaseContext(cxGPUContext); +} + + +/**********************************************************/ +/******************* DEBUG TESTING **********************/ +/**********************************************************/ + +void testMatMultScan ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + cl_context& cxGPUContext +) { + //const unsigned NUM_X = 64, NUM_Y = 1; + + cl_mem cl_tmp; cl_int ciErr; + real_t* tmp = new real_t[NUM_X*NUM_Y*4]; + + for(int i=0; i4) + for( k=0; k4) + for( k=0; k4) + for( k=0; k4) + for( k=0; k4) + for( k=0; k( USER_MEM * 101.0 / 100.0 ); + const size_t lb = static_cast( USER_MEM * 99.0 / 100.0 ); + if ( !(glob_mem_size >= lb && glob_mem_size <= ub) ) { + fprintf(stderr, "WARNING! Querried GPU global memory %lu DIFFERS from what user declared: [%ld,%ld]!\n", + glob_mem_size, lb, ub); + glob_mem_size = static_cast(USER_MEM); + fprintf(stderr, "Using user-declared size for global memory: %lu\n", glob_mem_size); + } + } + + cl_ulong glob_mem_required = 15 * OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(real_t); + assert( glob_mem_required <= glob_mem_size && "Not Enough Global Memory. A possible fix is to strip-mine all kernels.\n" ); + //fprintf(stderr, "GPU global memory: %lu, needed: %lu bytes\n", glob_mem_size, glob_mem_required); +} + + +void makeOclBuffers ( + cl_context cxGPUContext, + cl_command_queue& cqCommandQueue, + RWScalars& ro_scal, + NordeaArrays& cpu_arrs, + oclNordeaArrays& ocl_arrs +) { + cl_int ciErr; + cl_int ciErr2; + unsigned long int cur_size; + + /*********************/ + /*** 1. RO scalars ***/ + /*********************/ + { + cur_size = sizeof(RWScalars); + ocl_arrs.ro_scals = clCreateBuffer( + cxGPUContext, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 + ); + + ciErr = ciErr2; + ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, + cur_size, &ro_scal, 0, NULL, NULL); + //oclCheckError(ciErr, CL_SUCCESS); + } + + /*********************/ + /*** 1. RO Arrays! ***/ + /*********************/ + { + cur_size = NUM_T*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(timeline); + + cur_size = NUM_X*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myX); + + cur_size *= REAL3_CT; + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDx); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDxx); + + cur_size = NUM_Y*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myY); + + cur_size *= REAL3_CT; + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDy); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDyy); + } + + //oclCheckError(ciErr, CL_SUCCESS); + + /*********************/ + /*** 1. RW Arrays! ***/ + /*********************/ + { + cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(real_t); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(a); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(b); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(c); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(y); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(u); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(v); + + cur_size *= 2; + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(tmp2); + + cur_size *= 2; + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(tmp4); + } + + { // Finally the result array (i.e., Read-Write but needs to be brought back to CPU in the end) + cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(real_t); + CREATE_AND_ENQUEUE_OUT_CL_BUFFER(res_arr); + } + + oclCheckError(ciErr, CL_SUCCESS); + + //shrLog("Before EXITING ALLOC ARRAYS!!! ...\n"); + +} + +#define USE_GPU_ITER 1 + +//extern "C" +unsigned long int +runOnGPU ( RWScalars& ro_scal, NordeaArrays& cpu_arrs, oclNordeaArrays& ocl_arrs ) { + cl_context cxGPUContext; // OpenCL context + cl_command_queue cqCommandQueue[16]; // OpenCL command que + cl_uint nDevice; // OpenCL device count + cl_device_id* cdDevices; // OpenCL device list + cl_program cpProgram; // OpenCL program + GPUkernels kernels; // OpenCL kernel + const unsigned int dev_id = GPU_DEV_ID; + + assert(GPU_DEV_ID >= 0 && "GPU DEVICE ID < 0 !\n"); + + { // initialize the loop-variant scalars! + ro_scal.t_ind = NUM_T - 2; + ro_scal.dtInv = 1.0/(cpu_arrs.timeline[ro_scal.t_ind+1]-cpu_arrs.timeline[ro_scal.t_ind]); + ro_scal.timeline_i = cpu_arrs.timeline[ro_scal.t_ind]; + } + + { // making command queue, building program, etc + char compile_opts[1024]; + sprintf(compile_opts, + "-D lgWARP=%d -D%s -I%s/include -I%s/include", + lgWARP, REAL_FLAG, HIPERMARK_BENCHMARK_LIB_DIR, HIPERMARK_LIB_DIR); + + build_for_GPU( + cxGPUContext, cqCommandQueue, + nDevice, cdDevices, cpProgram, dev_id, compile_opts, "", "CrankNicolson" + ); + + verifyEnoughResources(cdDevices[dev_id]); + } + + // allocate space for the RO and RW arrays on GPU! + makeOclBuffers ( + cxGPUContext, cqCommandQueue[dev_id], ro_scal, cpu_arrs, ocl_arrs + ); + + + { // make all kernels! + make_kernels( cqCommandQueue[dev_id], cpProgram, ro_scal, ocl_arrs, kernels ); + } + + unsigned long int elapsed; + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + // now execute kernels and record the time! + for(int t_ind = NUM_T-2; t_ind>=0; --t_ind) { + run_GPUkernels_one_time_iteration ( cqCommandQueue[dev_id], kernels ); + } // END TIME LOOP! + + + { // WRITE BACK THE RESULT ARRAY TO CPU !!! // + cl_int ciErr; + const unsigned int ARR_SIZE = NUM_X * NUM_Y * OUTER_LOOP_COUNT * sizeof(real_t); + ciErr = clEnqueueReadBuffer ( + cqCommandQueue[dev_id], ocl_arrs.res_arr, CL_TRUE, + 0, ARR_SIZE, cpu_arrs.res_arr, 0, NULL, NULL + ); + oclCheckError(ciErr, CL_SUCCESS); + + // RELEASE ALL GPU RESOURCES + release_all_GPU_resources ( + cqCommandQueue[dev_id], cxGPUContext, cpProgram, cdDevices, ocl_arrs, kernels + ); + } + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + + return elapsed; +} + +#endif // end include NORDEA_GPU diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp new file mode 100644 index 0000000..93c2320 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp @@ -0,0 +1,166 @@ +#include "Util.h" +#include "Constants.h" +#include "DataStructConst.h" +#include "ParseInput.h" +#include "VolCalibInit.h" +#include "Vect_CPU.h" +#include "Vect_GPU.h" + + +unsigned long int +whole_loop_nest ( + real_t* res, + const real_t* strikes, + const real_t s0, + const real_t t, + const real_t alpha, + const real_t nu, + const real_t beta +) { + // loop index + unsigned int i; + unsigned long int elapsed; + //const unsigned int NUM_XY = NUM_X*NUM_Y; + + // arrays: + real_t *a = NULL, *b = NULL, *c = NULL, + *y = NULL, *u = NULL, *v = NULL, + *scan_tmp = NULL; + + { // allocate arrays + a = new real_t __attribute__ ((aligned (32))) [OUTER_LOOP_COUNT*NUM_XY]; + b = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + c = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + + y = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + u = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + v = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + + scan_tmp = new real_t[4*OUTER_LOOP_COUNT*NUM_XY]; + } + + // parallel! + whole_loop_nest_init ( s0, t, alpha, nu, beta ); + + // parallel! + for( i=0; i 0 ) { + RWScalars ro_scal; + NordeaArrays cpu_arrs; + oclNordeaArrays ocl_arrs; + + { // init arrays + cpu_arrs.myX = myX; cpu_arrs.myDx = myDx; cpu_arrs.myDxx = myDxx; + cpu_arrs.myY = myY; cpu_arrs.myDy = myDy; cpu_arrs.myDyy = myDyy; + cpu_arrs.timeline = myTimeline; + cpu_arrs.a = a; cpu_arrs.b = b; cpu_arrs.c = c; + cpu_arrs.y = y; cpu_arrs.u = u; cpu_arrs.v = v; + cpu_arrs.tmp = scan_tmp; + cpu_arrs.res_arr = &myResArr[0]; + } + + { // init scalars + ro_scal.NUM_X = NUM_X; ro_scal.NUM_Y = NUM_Y; ro_scal.NUM_XY = NUM_X * NUM_Y; + ro_scal.alpha = alpha; ro_scal.beta = beta; ro_scal.nu = nu; + } + + { // SAFETY CHECK! + bool is_safe = (NUM_X <= WORKGROUP_SIZE) && (NUM_Y <= WORKGROUP_SIZE) && + is_pow2(NUM_X) && is_pow2(NUM_Y) && + (WORKGROUP_SIZE % NUM_X == 0) && (WORKGROUP_SIZE % NUM_Y == 0); + assert(is_safe && "NOT SAFE TO PARALLELISE ON GPU!"); + } + + elapsed = runOnGPU ( ro_scal, cpu_arrs, ocl_arrs ); + } else { + // CPU instrumentation here: + + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + for(int t_ind = NUM_T-2; t_ind>=0; --t_ind) { + + iteration_expanded_CPU ( + t_ind, alpha, beta, nu, + a, b, c, y, u, v, scan_tmp + ); + } + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + } + + for( i=0; i(s0/dx); + + for( i=0; i=0; i-=WARP) { + y[i] = (y[i] - c[i]*y[i+WARP]) / u[i]; + } +} + +/**************************************************************************/ +/*********** PREPARE FOR TRIDAG X *****************************************/ +/**************************************************************************/ + +__kernel void nordea_kernel_x ( + /*** Read-Only Scalars ***/ + __constant RWScalars* ro_scals, + /*** Read-Only Arrays ***/ + __constant real_t* myX, + __constant real_t* myDx, + __constant real_t* myDxx, + __global real_t* myY, + __global real4_t* myDy, + __global real4_t* myDyy, + /*** Read-Write Temporary Arrays ***/ + __global real_t* a, + __global real_t* b, + __global real_t* c, + __global real_t* y, + __global real_t* u, + __global real_t* v, + /*** The Result Array ***/ + __global real_t* res_arr +) { + unsigned int ind, i, ind_rev; + //const unsigned int step_rev = ro_scals->NUM_Y; //(ro_scals->NUM_Y << LOG2_WARP_SIZE); + real_t cur_myVar, cur_myMu, exp_add; + real4_t myDy_el; + + { // cur_myVarY = nu*nu; cur_myMuY = 0.0; compute ind_y and exp_add + cur_myVar = ro_scals->nu; cur_myVar *= cur_myVar; + cur_myMu = 0.0; + + //ind_y = get_global_id(0) & (ro_scals->NUM_Y - 1); + exp_add = myY[get_global_id(0) & (ro_scals->NUM_Y - 1)] - 0.5*cur_myVar*ro_scals->timeline_i; + } + + { // adjust arrays: except for `res_arr' and `v' which are accesses as `v[i,j]', hence memory is already coalesced! + unsigned int offset = (get_global_id(0)>>lgWARP); + offset *= ( ro_scals->NUM_X << lgWARP ); + offset += ( get_global_id(0) & (WARP-1) ); + + a += offset; + b += offset; + c += offset; + y += offset; + u += offset; + } + + { // computing myDy_el = (cur_myMuY*myDy[j] + 0.5*cur_myVarY*myDyy[j]) + i = get_global_id(0) & (ro_scals->NUM_Y - 1); + myDy_el = cur_myMu*myDy[i] + (0.5f*cur_myVar)*myDyy[i]; + //i = REAL3_CT*(get_global_id(0) & (ro_scals->NUM_Y - 1)); + //myDy_el = (real4_t)(myDyy[i], myDyy[i+1], myDyy[i+2], 1.0); + //myDy_el = myDy_el * (0.5*cur_myVar); + //myDy_el += cur_myMu*((real4_t)(myDy[i], myDy[i+1], myDy[i+2], 1.0)); + } + + + ind_rev = (get_global_id(0)/ro_scals->NUM_Y)*ro_scals->NUM_XY + (get_global_id(0) & (ro_scals->NUM_Y - 1)); + for( i=0, ind=0; iNUM_X; i++, ind+=WARP, ind_rev+=ro_scals->NUM_Y ) { + myDy_el.w = 0.0; + + { // comput cur_myMy and cur_myVar + cur_myMu = 0.0; // X + cur_myVar = exp( 2 * ( ro_scals->beta*log(myX[i]) + exp_add ) ); + //cur_myVar = exp(2*(ro_scals->beta*log(myX[i]) + myY[get_global_id(0) & (ro_scals->NUM_Y - 1)] - 0.5*ro_scals->nu*ro_scals->nu*ro_scals->timeline_i)); + } + + { // compute v[i, j] + if( (ind_rev & (ro_scals->NUM_Y-1)) != 0 ) myDy_el.w += myDy_el.x*res_arr[ind_rev-1]; //[(j-1)*NUM_X+i]; + myDy_el.w += myDy_el.y*res_arr[ind_rev ]; // [j*NUM_X+i]; + if( (ind_rev & (ro_scals->NUM_Y-1)) != ro_scals->NUM_Y-1 ) myDy_el.w += myDy_el.z*res_arr[ind_rev+1]; //[(j+1)*NUM_X+i]; + + //v[k*NUM_X*NUM_Y + i*NUM_Y + j] = tmp; // v[i*NUM_Y + j] = tmp; //v[i][j] = tmp2; + + v[ ind_rev ] = myDy_el.w; + } + + { // compute u, a, b, c + const unsigned int im3 = REAL3_CT*i; + + if(i!=0) + myDy_el.w += 0.5*(cur_myMu*myDx[im3 ] + 0.5*cur_myVar*myDxx[im3 ])*res_arr[ind_rev-ro_scals->NUM_Y]; //[j*NUM_X+i-1]; + + // tmp += ro_scals->dtInv * res_arr[ind]; WAS included in the next line! + myDy_el.w += ( 0.5*(cur_myMu*myDx[im3+1] + 0.5*cur_myVar*myDxx[im3+1]) + ro_scals->dtInv)*res_arr[ind_rev ]; //[j*NUM_X+i]; + + if(i!=ro_scals->NUM_X-1) + myDy_el.w += 0.5*(cur_myMu*myDx[im3+2] + 0.5*cur_myVar*myDxx[im3+2])*res_arr[ind_rev+ro_scals->NUM_Y]; //[j*NUM_X+i+1]; + + u[ind] = myDy_el.w; + + // compute a,b,c + a[ind] = 0.0 - 0.5*(cur_myMu*myDx[im3 ] + 0.5*cur_myVar*myDxx[im3 ]); // a[j*NUM_X+i] = ... + b[ind] = ro_scals->dtInv - 0.5*(cur_myMu*myDx[im3+1] + 0.5*cur_myVar*myDxx[im3+1]); // b[j*NUM_X+i] = ... + c[ind] = 0.0 - 0.5*(cur_myMu*myDx[im3+2] + 0.5*cur_myVar*myDxx[im3+2]); // c[j*NUM_X+i] = ... + } + } + + tridag_seq(a, b, c, u, ro_scals->NUM_X, u, y); +} + + +/**************************************************************************/ +/*********** IN-BETWEEN TRIDAGS -- i.e., prepare for TRIDAG Y *************/ +/**************************************************************************/ + +__kernel void nordea_kernel_y ( + /*** Read-Only Scalars ***/ + __constant RWScalars* ro_scals, // __constant + /*** Read-Only Arrays ***/ + __constant real_t* myDy, + __constant real_t* myDyy, + /*** Read-Write Temporary Arrays ***/ + __global real_t* a, + __global real_t* b, + __global real_t* c, + __global real_t* u, + __global real_t* v, + __global real_t* y +) { + //const unsigned int step_rev = ro_scals->NUM_X; //(ro_scals->NUM_X << LOG2_WARP_SIZE); + unsigned int ind, ind_rev, i; + real_t cur_myVar, cur_myMu; + + { // cur_myVarY = nu*nu; cur_myMuY = 0.0; compute ind_y and exp_add + cur_myVar = ro_scals->nu; cur_myVar *= cur_myVar; + cur_myMu = 0.0; + } + + { // adjust arrays! except for `u' whose access pattern is `u[j,i]' which is already coalesced! + unsigned int offset = (get_global_id(0)>>lgWARP); + offset *= ( ro_scals->NUM_Y << lgWARP ); + offset += ( get_global_id(0) & (WARP-1) ); + + a += offset; + b += offset; + c += offset; + y += offset; + v += offset; + } + + ind_rev = (get_global_id(0)/ro_scals->NUM_X)*ro_scals->NUM_XY + (get_global_id(0) & (ro_scals->NUM_X - 1)); // should step with `NUM_Y*32' + for( i=0, ind=0; iNUM_Y; i++, ind+=WARP, ind_rev+=ro_scals->NUM_X) { + unsigned int im3 = REAL3_CT*i; + + a[ind] = 0.0 - 0.5*(cur_myMu*myDy[im3 ] + 0.5*cur_myVar*myDyy[im3 ]); // a[i*NUM_Y+j] = ... + b[ind] = ro_scals->dtInv - 0.5*(cur_myMu*myDy[im3+1] + 0.5*cur_myVar*myDyy[im3+1]); // b[i*NUM_Y+j] = ... + c[ind] = 0.0 - 0.5*(cur_myMu*myDy[im3+2] + 0.5*cur_myVar*myDyy[im3+2]); // c[i*NUM_Y+j] = ... + + v[ind] = ro_scals->dtInv * u[ind_rev] - 0.5 * v[ind]; + //u[ (get_global_id(0)/ro_scals->NUM_XY)*ro_scals->NUM_XY + i*ro_scals->NUM_X + ind_x] - + } + + tridag_seq(a, b, c, v, ro_scals->NUM_Y, v, y); +} + + +/*********************************************/ +/*********** Matrix Transposition ************/ +/*********************************************/ + +// This kernel is optimized to ensure all global reads and writes are coalesced, +// and to avoid bank conflicts in shared memory. The shared memory array is sized +// to (BLOCK_DIM+1)*BLOCK_DIM. This pads each row of the 2D block in shared memory +// so that bank conflicts do not occur when threads address the array column-wise. +inline void transposeMatrix( + __global real_t *odata, + __global real_t *idata, + unsigned int width, + unsigned int height, + __local real_t* block) +{ + unsigned int xIndex, yIndex; + + // adjust the input and output arrays for the third dimension! + yIndex = get_global_id(2) * width * height; + odata = odata + yIndex; + idata = idata + yIndex; + + // read the matrix tile into shared memory + xIndex = get_global_id(0); + yIndex = get_global_id(1); + + if((xIndex < width) && (yIndex < height)) + { + unsigned int index_in = yIndex * width + xIndex; + block[get_local_id(1)*(BLOCK_DIM+1)+get_local_id(0)] = idata[index_in]; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // write the transposed matrix tile to global memory + xIndex = get_group_id(1) * BLOCK_DIM + get_local_id(0); + yIndex = get_group_id(0) * BLOCK_DIM + get_local_id(1); + if((xIndex < height) && (yIndex < width)) + { + unsigned int index_out = yIndex * height + xIndex; + odata[index_out] = block[get_local_id(0)*(BLOCK_DIM+1)+get_local_id(1)]; + } +} + +__kernel void transpose( + __global real_t *odata, + __global real_t *idata, + //int offset, + unsigned int width, + unsigned int height, + __local real_t* block) +{ + transposeMatrix( odata, idata, width, height, block ); +} + +__kernel void transposeUpdateScalars( + __global real_t *odata, + __global real_t *idata, + //int offset, + unsigned int width, + unsigned int height, + __local real_t* block, + __global RWScalars* ro_scals, // __constant + __constant real_t* timeline +) { + transposeMatrix( odata, idata, width, height, block ); + + // update time-loop-variant scalars + if(get_global_id(2) + get_global_id(1) + get_global_id(0) == 0) { + int t_ind = --ro_scals->t_ind; + ro_scals->dtInv = 1.0 / ( timeline[t_ind+1] - timeline[t_ind] ); + ro_scals->timeline_i = timeline[ t_ind ]; + } +} + + + diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile new file mode 100644 index 0000000..51c9586 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile @@ -0,0 +1,54 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +# FIXME - this should not even exist! +include $(HIPERMARK_LIB_DIR)/platform.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ + -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ + -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ + -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ + -D CURR_DIR_PATH='"$(MAKE_DIR)"' + +SOURCES_CPP =$(HIPERMARK_IMPLEMENTATION)/VolCalibOuter.cpp +HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/Constants.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/ParseInput.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/DataStructConst.h \ + $(HIPERMARK_BENCHMARK_LIB_DIR)/ParPrefixUtil.h +EXECUTABLE =VolCalibOuter + +$(EXECUTABLE): + cp $(HIPERMARK_IMPLEMENTATION)/*cl . + $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) + + +run_small: + cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt + +run_medium: + cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt + +run_large: + cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt + +clean: + rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt + @# clean nVidia compiler cache + rm -rf $(HOME)/.nv/ComputeCache/* + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h new file mode 100644 index 0000000..65d9745 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h @@ -0,0 +1,529 @@ +#ifndef PREPARE_KERNELS +#define PREPARE_KERNELS + +/************************************************************/ +/*************** HELPER DATA STRUCTURES ******************/ +/************************************************************/ + +// GPU BUFFERS +struct oclNordeaArrays { + /* RO scalars */ + cl_mem ro_scals; + + /* RO arrays */ + cl_mem timeline; // [NUM_T] + + cl_mem myX; // [NUM_X] + cl_mem myDx; // [NUM_X * 3] + cl_mem myDxx; // [NUM_X * 3] + + cl_mem myY; // [NUM_Y] + cl_mem myDy; // [NUM_Y * 3] + cl_mem myDyy; // [NUM_Y * 3] + + /* TRIDAG helpers */ + cl_mem a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem tmp4; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] + cl_mem tmp2; // [2 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + cl_mem res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + /* WRITE ONLY OUTPUT stored in "res"*/ + //cl_mem res; +}; + +// CPU BUFFERS +struct NordeaArrays { + /* RO arrays */ + real_t* timeline; // [NUM_T] + + real_t* myX; // [NUM_X] + real_t* myDx; // [NUM_X * 3] + real_t* myDxx; // [NUM_X * 3] + + real_t* myY; // [NUM_Y] + real_t* myDy; // [NUM_Y * 3] + real_t* myDyy; // [NUM_Y * 3] + + /* TRIDAG helpers are created on GPU only! no need for them to exist in main memory*/ + real_t* a; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* b; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* c; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* y; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* u; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* v; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + real_t* tmp; // [4 * OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + real_t* res_arr; // [OUTER_LOOP_COUNT * NUM_X * NUM_Y] + + /* NOT USED FOR NOW! WRITE ONLY OUTPUT stored in "res"*/ + //real_t* res; +}; + +// GPU KERNELS +typedef struct { + cl_kernel ckMatTranspUpdate; + cl_kernel ckMatTransposeU; + cl_kernel ckMatTransposeV; + + // TRIDAG KERNELS + cl_kernel ckNordeaKernelX; // OUTER_LOOP_COUNT x NUM_Y + cl_kernel ckNordeaKernelY; // OUTER_LOOP_COUNT x NUM_X + + size_t FORM_32X [3]; + size_t FORM_32Y [3]; + size_t FORM_Y32 [3]; +} GPUkernels __attribute__ ((aligned (32))); + +/******************************************************/ +/******* compute global/local grid dimensions *********/ +/******************************************************/ + +static bool is_pow2(unsigned int x) { + while(x > 1) { + if( x & 1 ) return false; + x = x >> 1; + } + return true; +} + +void initGPUgrid ( GPUkernels& kernels ) { + // fill transposition layouts! + + bool is_safe = ( (OUTER_LOOP_COUNT*NUM_X) % NUM_Y == 0 ) && + //( (OUTER_LOOP_COUNT*NUM_Y) % NUM_X == 0 ) && + ( (OUTER_LOOP_COUNT*NUM_X) % WORKGROUP_SIZE == 0 ) && + ( (OUTER_LOOP_COUNT*NUM_Y) % WORKGROUP_SIZE == 0 ) && + ( NUM_X % 32 == 0 && NUM_Y % 32 == 0); + assert( is_safe && "CANNOT EXECUTE ON GPU: sizes do not match!"); + + kernels.FORM_32X[0] = 32; kernels.FORM_32X[1] = NUM_X; kernels.FORM_32X[2] = (OUTER_LOOP_COUNT*NUM_Y)/32; + kernels.FORM_32Y[0] = 32; kernels.FORM_32Y[1] = NUM_Y; kernels.FORM_32Y[2] = (OUTER_LOOP_COUNT*NUM_X)/32; + kernels.FORM_Y32[0] = NUM_Y; kernels.FORM_Y32[1] = 32; kernels.FORM_Y32[2] = (OUTER_LOOP_COUNT*NUM_X)/32; +} + +/************************************************************/ +/*************** KERNELS OTHER THAN TRIDAG ****************** +/************************************************************/ + +/////////////////////////// +/// NORDEA_ALL_KERNEL_X /// +/////////////////////////// + +cl_kernel make_NordeaKernelX( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs +) { + //size_t* globalWorkSize, + //size_t* localWorkSize + cl_kernel ckAllX = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckAllX = clCreateKernel(cpProgram, "nordea_kernel_x", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + // 1. RO SCALARS // + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); + + // 2. RO ARRAYS // + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myX); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDx); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDxx); + + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myY); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); + + // 3. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); + + // 4. OUT ARRAY! + ciErr1 |= clSetKernelArg(ckAllX, counter++, sizeof(cl_mem), (void*)&ocl_arrs.res_arr ); + + oclCheckError(ciErr1, CL_SUCCESS); + + return ckAllX; +} + +void run_NordeaKernelX( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + size_t globalWorkSize = NUM_Y * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelX, 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL); + ciErr1 |= clFinish(cqCommandQueue); + + oclCheckError(ciErr1, CL_SUCCESS); +} + +/////////////////////////// +/// NORDEA_ALL_KERNEL_Y /// +/////////////////////////// + +cl_kernel make_NordeaKernelY( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs +) { + cl_kernel ckAllY = NULL; // OpenCL kernel + cl_int ciErr1, ciErr2; + + unsigned int counter = 0; // ro_scals + + ///// + ckAllY = clCreateKernel(cpProgram, "nordea_kernel_y", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + + unsigned long int cur_size; + + // 1. RO SCALARS // + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.ro_scals ); + + // 2. RO ARRAYS // + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDy); + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.myDyy); + + // 3. GPU-ONLY GLOBAL ARRAYS // + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.a); + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.b); + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.c); + + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.y); // y <- u^T + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.u); // u <- v^T + ciErr1 |= clSetKernelArg(ckAllY, counter++, sizeof(cl_mem), (void*)&ocl_arrs.v); + + oclCheckError(ciErr1, CL_SUCCESS); + + return ckAllY; +} + +void run_NordeaKernelY( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + cl_int ciErr1; + size_t globalWorkSize = NUM_X * OUTER_LOOP_COUNT; + size_t localWorkSize = WORKGROUP_SIZE; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernels.ckNordeaKernelY, 1, NULL, + &globalWorkSize, &localWorkSize, 0, NULL, NULL); + + ciErr1 |= clFinish(cqCommandQueue); + + oclCheckError(ciErr1, CL_SUCCESS); +} + +/***************************************************/ +/********* Segmented Matrix Transposition ********/ +/***************************************************/ + +cl_kernel make_transposeGPU( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + cl_mem inp_arr, + cl_mem out_arr, + size_t* size_x, + size_t* size_y, + size_t* size_z, + const char* kernel_name +// size_t* globalWorkSize, +// size_t* localWorkSize +) { + cl_kernel ckMatTransp = NULL; + cl_int ciErr1, ciErr2; + unsigned int counter = 0; + + ckMatTransp = clCreateKernel(cpProgram, kernel_name, &ciErr1); // "transposeUpdateScalars" + oclCheckError(ciErr1, CL_SUCCESS); + + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &out_arr); // input array + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(cl_mem), (void *) &inp_arr); // output array + //ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), &offset); + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_x); // size of 0 dim + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, sizeof(int), size_y); // size of 1 dim + + // shared memory space + ciErr1 |= clSetKernelArg(ckMatTransp, counter++, (BLOCK_DIM + 1) * BLOCK_DIM * sizeof(real_t), 0 ); + + oclCheckError(ciErr1, CL_SUCCESS); + + return ckMatTransp; +} + +void run_transposeGPU ( + cl_command_queue& cqCommandQueue, + cl_kernel kernel, + size_t* globalWorkSize + +) { + cl_int ciErr1; + size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernel, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +cl_kernel make_transposeGPU_WithUpdate( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + cl_mem inp_arr, + cl_mem out_arr, + size_t* size_x, + size_t* size_y, + size_t* size_z, + oclNordeaArrays& ocl_arrs +// size_t* globalWorkSize, +// size_t* localWorkSize +) { + cl_int ciErr1; + cl_kernel kernel = make_transposeGPU( + cqCommandQueue, cpProgram, inp_arr, + out_arr, size_x, size_y, size_z, "transposeUpdateScalars" + ); + + ciErr1 = clSetKernelArg(kernel, 5, sizeof(cl_mem), (void *) &ocl_arrs.ro_scals); + ciErr1 = clSetKernelArg(kernel, 6, sizeof(cl_mem), (void *) &ocl_arrs.timeline); + oclCheckError(ciErr1, CL_SUCCESS); + + return kernel; +} + +void run_transposeGPU_WithUpdate ( + cl_command_queue& cqCommandQueue, + cl_kernel kernel, + size_t* globalWorkSize +) { + cl_int ciErr1; + size_t localWorkSize [3] = {BLOCK_DIM, BLOCK_DIM, 1}; + //size_t* localWorkSize = kernels.LWS_YXZ; + + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, kernel, 3, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + ciErr1 |= clFinish(cqCommandQueue); + oclCheckError(ciErr1, CL_SUCCESS); +} + +/**********************************************************/ +/**************** MAKE ALL KERNELS ************************/ +/**********************************************************/ + +void make_kernels ( + cl_command_queue& cqCommandQueue, + cl_program cpProgram, + RWScalars& ro_scal, + oclNordeaArrays& ocl_arrs, + GPUkernels& kernels +) { + initGPUgrid ( kernels ); + + // First Kernel + kernels.ckNordeaKernelX = make_NordeaKernelX ( + cqCommandQueue, cpProgram, ro_scal, ocl_arrs + ); + + // Second Kernel + kernels.ckNordeaKernelY = make_NordeaKernelY ( + cqCommandQueue, cpProgram, ro_scal, ocl_arrs + ); + + { // matrix transpose!!! + // transpose U into Y + kernels.ckMatTransposeU = make_transposeGPU ( + cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.y, + &kernels.FORM_32X[0], &kernels.FORM_32X[1], &kernels.FORM_32X[2], "transpose" + //&NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" + ); + + // transpose V into U + kernels.ckMatTransposeV = make_transposeGPU ( + cqCommandQueue, cpProgram, ocl_arrs.v, ocl_arrs.u, + &kernels.FORM_Y32[0], &kernels.FORM_Y32[1], &kernels.FORM_Y32[2], "transpose" + //&NUM_X, &NUM_Y, &OUTER_LOOP_COUNT, "transpose" + ); + + + // Transpose into res_arr and update induction variables! + kernels.ckMatTranspUpdate = make_transposeGPU_WithUpdate ( + cqCommandQueue, cpProgram, ocl_arrs.u, ocl_arrs.res_arr, // ocl_arrs.y + &kernels.FORM_32Y[0], &kernels.FORM_32Y[1], &kernels.FORM_32Y[2], ocl_arrs + //&NUM_Y, &NUM_X, &OUTER_LOOP_COUNT, ocl_arrs + ); + } +} + + +/**********************************************************/ +/********************* RUN KERNELS ************************/ +/**********************************************************/ + +void run_GPUkernels_one_time_iteration ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels +) { + size_t globalWorkSize[3]; + + run_NordeaKernelX( cqCommandQueue, kernels ); + run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeU, kernels.FORM_32X ); // y <- transpose(u) + run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeV, kernels.FORM_Y32 ); // u <- transpose(v) + run_NordeaKernelY( cqCommandQueue, kernels ); + run_transposeGPU_WithUpdate( cqCommandQueue, kernels.ckMatTranspUpdate, kernels.FORM_32Y); +} + +/**********************************************************/ +/******************* RELEASE KERNELS **********************/ +/**********************************************************/ + +void release_all_kernels ( GPUkernels& kernels ) { + clReleaseKernel(kernels.ckNordeaKernelX); + + clReleaseKernel(kernels.ckMatTransposeU); + clReleaseKernel(kernels.ckMatTransposeV); + + clReleaseKernel(kernels.ckNordeaKernelY); + + clReleaseKernel(kernels.ckMatTranspUpdate); +} + +void release_all_GPU_resources( + cl_command_queue& cqCommandQueue, + cl_context& cxGPUContext, + cl_program cpProgram, + cl_device_id* cdDevices, + oclNordeaArrays& ocl_arrs, + GPUkernels& kernels +) { + + shrLog(stdlog, "Release Kernels...\n"); + release_all_kernels( kernels ); + + shrLog(stdlog, "Release CPU buffers and OpenCL objects...\n"); + clReleaseProgram(cpProgram); + + clReleaseMemObject(ocl_arrs.ro_scals); + clReleaseMemObject(ocl_arrs.timeline); + + clReleaseMemObject(ocl_arrs.a); + clReleaseMemObject(ocl_arrs.b); + clReleaseMemObject(ocl_arrs.c); + + clReleaseMemObject(ocl_arrs.y); + clReleaseMemObject(ocl_arrs.u); + clReleaseMemObject(ocl_arrs.v); + + clReleaseMemObject(ocl_arrs.res_arr); + + clReleaseMemObject(ocl_arrs.myX); + clReleaseMemObject(ocl_arrs.myDx); + clReleaseMemObject(ocl_arrs.myDxx); + + clReleaseMemObject(ocl_arrs.myY); + clReleaseMemObject(ocl_arrs.myDy); + clReleaseMemObject(ocl_arrs.myDyy); + + clReleaseCommandQueue(cqCommandQueue); + free(cdDevices); + clReleaseContext(cxGPUContext); +} + + +/*****************************************************************/ +/************ DEBUGGING ******************************************/ +/*****************************************************************/ + + +void run_trimmed_GPUkernels_one_time_iteration ( + cl_command_queue& cqCommandQueue, + GPUkernels& kernels, + NordeaArrays& cpu_arrs, + oclNordeaArrays& ocl_arrs, + int time_ind, + const real_t alpha, + const real_t beta, + const real_t nu +) { + run_NordeaKernelX( cqCommandQueue, kernels ); + run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeU, kernels.FORM_32X ); // y <- transpose(u) + run_transposeGPU ( cqCommandQueue, kernels.ckMatTransposeV, kernels.FORM_Y32 ); // u <- transpose(v) + run_NordeaKernelY( cqCommandQueue, kernels ); + run_transposeGPU_WithUpdate( cqCommandQueue, kernels.ckMatTranspUpdate, kernels.FORM_32Y); + + cl_int ciErr; + const unsigned int ARR_SIZE = NUM_X * NUM_Y * OUTER_LOOP_COUNT * sizeof(real_t); +#if 1 + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.a, CL_TRUE, 0, ARR_SIZE, cpu_arrs.a, 0, NULL, NULL ); + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.b, CL_TRUE, 0, ARR_SIZE, cpu_arrs.b, 0, NULL, NULL ); + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.c, CL_TRUE, 0, ARR_SIZE, cpu_arrs.c, 0, NULL, NULL ); + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.u, CL_TRUE, 0, ARR_SIZE, cpu_arrs.u, 0, NULL, NULL ); + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.v, CL_TRUE, 0, ARR_SIZE, cpu_arrs.v, 0, NULL, NULL ); + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.y, CL_TRUE, 0, ARR_SIZE, cpu_arrs.y, 0, NULL, NULL ); + ciErr = clEnqueueReadBuffer( cqCommandQueue, ocl_arrs.res_arr, CL_TRUE, 0, ARR_SIZE, cpu_arrs.res_arr, 0, NULL, NULL ); +#endif + + oclCheckError(ciErr, CL_SUCCESS); + + // now the rest of the code! + unsigned int i, j, k; + + real_t dtInv = 1.0/(cpu_arrs.timeline[time_ind+1]-cpu_arrs.timeline[time_ind]); + + real_t *res_arr = cpu_arrs.res_arr, *a = cpu_arrs.a, + *b = cpu_arrs.b, *c = cpu_arrs.c, *u = cpu_arrs.u, + *v = cpu_arrs.v, *y = cpu_arrs.y; + + unsigned int cos_test_ind = 3*NUM_XY + 23*NUM_X + 211, cos_test_ind_rev = 3*NUM_XY + 211*NUM_Y + 23; + + + { // transpose u: u is in form: [i/32, j, i%32] + // and needs to be brought to form [i/32, i%32, j], a.k.a. [i,j] + const unsigned int ID = OUTER_LOOP_COUNT * NUM_X / 32; + for( k=0; k=0; --time_ind) { + + + unsigned int i, j, k; + + real_t dtInv = 1.0/(myTimeline[time_ind+1]-myTimeline[time_ind]); + + real_t *res_arr = &myResArr[0]; + +#pragma omp parallel for default(shared) schedule(static) private(k,j,i) if(OUTER_LOOP_COUNT>4) + for( k=0; k4) + for( k=0; k4) + for( k=0; k( USER_MEM * 101.0 / 100.0 ); + const size_t lb = static_cast( USER_MEM * 99.0 / 100.0 ); + if ( !(glob_mem_size >= lb && glob_mem_size <= ub) ) { + fprintf(stderr, "WARNING! Querried GPU global memory %lu DIFFERS from what user declared: [%ld,%ld]!\n", + glob_mem_size, lb, ub); + glob_mem_size = static_cast(USER_MEM); + fprintf(stderr, "Using user-declared size for global memory: %lu\n", glob_mem_size); + } + } + + cl_ulong glob_mem_required = 8 * OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(real_t); + assert( glob_mem_required <= glob_mem_size && "Not Enough Global Memory. A possible fix is to strip-mine all kernels.\n" ); + //fprintf(stderr, "GPU global memory: %lu, needed: %lu bytes\n", glob_mem_size, glob_mem_required); +} + +void makeOclBuffers ( + cl_context cxGPUContext, + cl_command_queue& cqCommandQueue, + RWScalars& ro_scal, + NordeaArrays& cpu_arrs, + oclNordeaArrays& ocl_arrs +) { + cl_int ciErr; + cl_int ciErr2; + unsigned long int cur_size; + + /*********************/ + /*** 1. RO scalars ***/ + /*********************/ + { + cur_size = sizeof(RWScalars); + ocl_arrs.ro_scals = clCreateBuffer( + cxGPUContext, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 + ); + + ciErr = ciErr2; + ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, + cur_size, &ro_scal, 0, NULL, NULL); + //oclCheckError(ciErr, CL_SUCCESS); + } + + /*********************/ + /*** 1. RO Arrays! ***/ + /*********************/ + { + cur_size = NUM_T*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(timeline); + + cur_size = NUM_X*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myX); + + cur_size *= REAL3_CT; + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDx); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDxx); + + cur_size = NUM_Y*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myY); + + cur_size *= REAL3_CT; + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDy); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(myDyy); + } + + //oclCheckError(ciErr, CL_SUCCESS); + + /*********************/ + /*** 1. RW Arrays! ***/ + /*********************/ + { + cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(real_t); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(a); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(b); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(c); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(y); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(u); + CREATE_AND_ENQUEUE_GPU_ONLY_CL_BUFFER(v); + } + + { // Finally the result array (i.e., Read-Write but needs to be brought back to CPU in the end) + cur_size = OUTER_LOOP_COUNT * NUM_X * NUM_Y * sizeof(real_t); + CREATE_AND_ENQUEUE_OUT_CL_BUFFER(res_arr); + } + + oclCheckError(ciErr, CL_SUCCESS); + + //shrLog("Before EXITING ALLOC ARRAYS!!! ...\n"); + +} + +//extern "C" +unsigned long int +runOnGPU ( RWScalars& ro_scal, NordeaArrays& cpu_arrs, oclNordeaArrays& ocl_arrs ) { + cl_context cxGPUContext; // OpenCL context + cl_command_queue cqCommandQueue[16]; // OpenCL command que + cl_uint nDevice; // OpenCL device count + cl_device_id* cdDevices; // OpenCL device list + cl_program cpProgram; // OpenCL program + GPUkernels kernels; // OpenCL kernel + unsigned int dev_id = GPU_DEV_ID; + + assert(GPU_DEV_ID >= 0 && "GPU DEVICE ID < 0 !\n"); + + { // initialize the loop-variant scalars! + ro_scal.t_ind = NUM_T - 2; + ro_scal.dtInv = 1.0/(cpu_arrs.timeline[ro_scal.t_ind+1]-cpu_arrs.timeline[ro_scal.t_ind]); + ro_scal.timeline_i = cpu_arrs.timeline[ro_scal.t_ind]; + } + + { // making command queue, building program, etc + char compile_opts[1024]; + sprintf(compile_opts, + "-D lgWARP=%d -D%s -I%s/include -I%s/include", + lgWARP, REAL_FLAG, HIPERMARK_BENCHMARK_LIB_DIR, HIPERMARK_LIB_DIR); + + build_for_GPU( + cxGPUContext, cqCommandQueue, + nDevice, cdDevices, cpProgram, dev_id, compile_opts, "", "CrankNicolson" + ); + + verifyEnoughResources(cdDevices[dev_id]); + } + + // allocate space for the RO and RW arrays on GPU! + makeOclBuffers ( + cxGPUContext, cqCommandQueue[dev_id], ro_scal, cpu_arrs, ocl_arrs + ); + + + // make all kernels! + make_kernels( cqCommandQueue[dev_id], cpProgram, ro_scal, ocl_arrs, kernels ); + + unsigned long int elapsed; + { // now execute kernels! + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + for(int t_ind = NUM_T-2; t_ind>=0; --t_ind) { + run_GPUkernels_one_time_iteration ( cqCommandQueue[dev_id], kernels ); + } // END TIME LOOP! + + + { // WRITE BACK THE RESULT ARRAY TO CPU !!! // + cl_int ciErr; + const unsigned int ARR_SIZE = NUM_X * NUM_Y * OUTER_LOOP_COUNT * sizeof(real_t); + ciErr = clEnqueueReadBuffer ( + cqCommandQueue[dev_id], ocl_arrs.res_arr, CL_TRUE, + 0, ARR_SIZE, cpu_arrs.res_arr, 0, NULL, NULL + ); + oclCheckError(ciErr, CL_SUCCESS); + + // RELEASE ALL GPU RESOURCES + release_all_GPU_resources ( + cqCommandQueue[dev_id], cxGPUContext, cpProgram, cdDevices, ocl_arrs, kernels + ); + } + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + } + + return elapsed; +} + +#endif // end include NORDEA_GPU diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h new file mode 100644 index 0000000..a19b589 --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h @@ -0,0 +1,137 @@ +#ifndef NORDEA_INIT +#define NORDEA_INIT + +#include "DataStructConst.h" + +/////////////////////////////////////////////////////// +//// INITIALISATION ! +/////////////////////////////////////////////////////// + +void initGrid( + const real_t s0, + const real_t alpha, + const real_t nu, + const real_t t, + const unsigned int numX, + const unsigned int numY, + const unsigned int numT +) { + unsigned int i; + + for( i=0; i(s0/dx); + + for( i=0; i 0) { + for(unsigned int i=0; ik|SG%E(YRU%rDe)Co@J6T0+VVj85i}oI#Z{sQkfml4^hO9IPLyqrcHAeRPBg z5Wyxo2^Mw?pVi`pobQ~A=(=YEXXx2rVi&>lJXK%t9F)5qa;$z_?0-G#RgN1g$`{@; 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uVI9xu_f!!FS+6J#`hI}iP59l0pRPBpzi52>r60M30JwvAFYa{S^#3o~)w@Rk literal 0 HcmV?d00001 diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp new file mode 100644 index 0000000..436e5ec --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp @@ -0,0 +1,168 @@ +#include "Util.h" +#include "Constants.h" +#include "DataStructConst.h" +#include "VolCalibInit.h" +#include "Vect_CPU.h" +#include "Vect_GPU.h" +#include "ParseInput.h" + +unsigned long int +whole_loop_nest ( + real_t* res, + const real_t* strikes, + const real_t s0, + const real_t t, + const real_t alpha, + const real_t nu, + const real_t beta +) { + unsigned int i; + unsigned long int elapsed; + + // arrays: + real_t *a = NULL, *b = NULL, *c = NULL, + *y = NULL, *u = NULL, *v = NULL; + + { // allocate arrays + a = new real_t __attribute__ ((aligned (32))) [OUTER_LOOP_COUNT*NUM_XY]; + b = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + c = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + + y = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + u = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + v = new real_t[OUTER_LOOP_COUNT*NUM_XY]; + } + + // init + whole_loop_nest_init ( s0, t, alpha, nu, beta ); + + // parallel! + for( i=0; i 0 ) { + RWScalars ro_scal; + NordeaArrays cpu_arrs; + oclNordeaArrays ocl_arrs; + + { // init arrays + cpu_arrs.myX = myX; cpu_arrs.myDx = myDx; cpu_arrs.myDxx = myDxx; + cpu_arrs.myY = myY; cpu_arrs.myDy = myDy; cpu_arrs.myDyy = myDyy; + cpu_arrs.timeline = myTimeline; + cpu_arrs.a = a; cpu_arrs.b = b; cpu_arrs.c = c; + cpu_arrs.y = y; cpu_arrs.u = u; cpu_arrs.v = v; + cpu_arrs.res_arr = &myResArr[0]; + } + + { // init scalars + ro_scal.NUM_X = NUM_X; ro_scal.NUM_Y = NUM_Y; ro_scal.NUM_XY = NUM_X * NUM_Y; + ro_scal.alpha = alpha; ro_scal.beta = beta; ro_scal.nu = nu; + } + + { // SAFETY CHECK! + bool is_safe = ( (OUTER_LOOP_COUNT*NUM_X) % NUM_Y == 0 ) && + ( (OUTER_LOOP_COUNT*NUM_Y) % NUM_X == 0 ) && + ( (OUTER_LOOP_COUNT*NUM_X) % WORKGROUP_SIZE == 0 ) && + ( (OUTER_LOOP_COUNT*NUM_Y) % WORKGROUP_SIZE == 0 ) && + ( is_pow2(NUM_X) && is_pow2(NUM_Y) ) && + ( NUM_X % 32 == 0 && NUM_Y % 32 == 0) ; + + assert(is_safe && "NOT SAFE TO PARALLELISE ON GPU!"); + } + + elapsed = runOnGPU ( ro_scal, cpu_arrs, ocl_arrs ); + + for( i=0; i=0; --t_ind) { + iteration_expanded_CPU ( + t_ind, alpha, beta, nu, + a, b, c, y, u, v + ); + } + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + + for( i=0; i datasets/$HIPERMARK_INPUT_NAME/input.data + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data run: cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/lib/include/Constants.h b/benchmarks/CalibVolDiff/lib/include/Constants.h index 8fd8365..c761a64 100644 --- a/benchmarks/CalibVolDiff/lib/include/Constants.h +++ b/benchmarks/CalibVolDiff/lib/include/Constants.h @@ -1,41 +1,61 @@ #ifndef CONSTANTS_H #define CONSTANTS_H -#define WITH_FLOATS 1 - #define REAL3_CT 4 #define TRANSPOSE_UV 1 -#if (WITH_FLOATS) - typedef float REAL; - typedef unsigned int ULONG; +#ifdef REAL_IS_DOUBLE + +/* Some OpenCL implementations require us to define a pragma if we + want to use double-precision numbers. */ +#ifdef __OPENCL_VERSION__ +#pragma OPENCL EXTENSION cl_khr_fp64 : enable +#endif + +typedef double real_t; +#define REAL_FLAG "REAL_IS_DOUBLE" + +#ifdef __OPENCL_VERSION__ +#define real4_t double4 +#define real3_t double3 +#define real2_t double2 +#endif + +#elif REAL_IS_FLOAT + +typedef float real_t; +#define REAL_FLAG "REAL_IS_FLOAT" + +#ifdef __OPENCL_VERSION__ +#define real4_t float4 +#define real3_t float3 +#define real2_t float2 +#endif + #else - #pragma OPENCL EXTENSION cl_khr_fp64: enable - typedef double REAL; - typedef unsigned long ULONG; + +#error "Must set REAL_IS_DOUBLE or REAL_IS_FLOAT." + #endif -#define WARP (1< #include #include @@ -799,14 +800,35 @@ void build_for_GPU( shrLog(stdlog, "Program built 1...\n"); // 7. check errors! + int failed = 0; + cl_build_status status; + if (ciErr1 != CL_SUCCESS) { + failed = 1; + } else { + /* clBuildProgram may return CL_SUCCESS just because the + build was started - it may yet not finish succesfully. */ + do { + sleep(1); + clGetProgramBuildInfo(cpProgram, cdDevices[dev_id], + CL_PROGRAM_BUILD_STATUS, sizeof(status), + &status, NULL); + fprintf(stderr, "status: %d (%d?)\n", status, CL_BUILD_SUCCESS); + } while (status == CL_BUILD_IN_PROGRESS); + + if (status != CL_BUILD_SUCCESS) { + failed = 1; + } + } + + if (true || failed) { // write out standard error, Build Log and PTX, then cleanup and exit shrLog(stdlog, "BUILDING ERROR: %d: %s\n", ciErr1, oclErrorString(ciErr1)); //oclLogBuildInfo(cpProgram, cdDevices[dev_id]); //oclLogPtx(cpProgram, cdDevices[dev_id], ptx_name.c_str()); - if (ciErr1 == CL_BUILD_PROGRAM_FAILURE) { + if (true || ciErr1 == CL_BUILD_PROGRAM_FAILURE) { // Determine the size of the log size_t log_size; clGetProgramBuildInfo(cpProgram, cdDevices[dev_id], CL_PROGRAM_BUILD_LOG, 0, NULL, &log_size); diff --git a/lib/include/Util.h b/lib/include/Util.h index 495ca75..9f15844 100644 --- a/lib/include/Util.h +++ b/lib/include/Util.h @@ -15,7 +15,7 @@ #include #endif - +#define STRINGIFY(x) #x #define TIME_RESOLUTION_MICROSECOND #ifdef TIME_RESOLUTION_MICROSECOND diff --git a/lib/platform.mk b/lib/platform.mk new file mode 100644 index 0000000..cb24d21 --- /dev/null +++ b/lib/platform.mk @@ -0,0 +1,28 @@ +# platform specification for benchmarks. Edit as appropriate for your +# platform before running + +# 1 = platform has a GPU +HAVE_GPU = 1 +GPU_DEVICE_ID = 0 + +# GPU warp size. Keep consistent if you use the non-log variant +#GPU_WARP = 32 +GPU_LG_WARP = 5 + +# GPU memory sizes in kilobyte +GPU_LOCAL_MEM = 48 +GPU_CONST_MEM = 64 +GPU_REG_MEM = 64 +# device memory in gigabyte +GPU_DEVICE_MEM= 2 +# ``Optimal'' Amount of Local/Fast Memory Per Thread +GPU_LOCAL_MEM_PER_TH=8 +# Number of GPU cores +GPU_NUM_CORES = 1536 + +# CPU and memory spec. +NCORES = 32 +# in gigabyte +MEMORY = 4 + +export diff --git a/lib/setup.mk b/lib/setup.mk index 096b916..d1a7026 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -23,3 +23,7 @@ else CXXFLAGS = -DENABLE_OPENMP -fopenmp -O3 INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include endif + +CXXFLAGS += -DIMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION_DIR)"' +CXXFLAGS += -DHIPERMARK_BENCHMARK_LIB_DIR='"$(HIPERMARK_BENCHMARK_LIB_DIR)"' +CXXFLAGS += -DHIPERMARK_LIB_DIR='"$(HIPERMARK_LIB_DIR)"' diff --git a/lib/setup_real_type.mk b/lib/setup_real_type.mk new file mode 100644 index 0000000..fef7d3c --- /dev/null +++ b/lib/setup_real_type.mk @@ -0,0 +1,16 @@ +# This makefile provides utility definitions for having either +# REAL_IS_FLOAT or REAL_IS_DOUBLE defined during compilation. This is +# based on the environment variable HIPERMARK_CONFIG_REAL_TYPE, which +# must be defined as a static configuration option. If +# HIPERMARK_CONFIG_REAL_TYPE is not set at all, it will be assumed to +# be 'double' +# +# This makefile fragment appends to CXXFLAGS. + +ifeq ($(HIPERMARK_CONFIG_REAL_TYPE),float) + CXXFLAGS += -DREAL_IS_FLOAT +else ifeq ($(HIPERMARK_CONFIG_REAL_TYPE),double) + CXXFLAGS += -DREAL_IS_DOUBLE +else + CXXFLAGS += -DREAL_IS_DOUBLE +endif From fe10eff4815739aac2ab753d66fd4663dbcf8eb0 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 08:03:10 +0200 Subject: [PATCH 068/122] Add large dataset. --- .../CalibVolDiff/datasets/large/input.json | 6 ++++ .../CalibVolDiff/datasets/large/output.json | 29 +++++++++++++++++++ 2 files changed, 35 insertions(+) create mode 100644 benchmarks/CalibVolDiff/datasets/large/input.json create mode 100644 benchmarks/CalibVolDiff/datasets/large/output.json diff --git a/benchmarks/CalibVolDiff/datasets/large/input.json b/benchmarks/CalibVolDiff/datasets/large/input.json new file mode 100644 index 0000000..d0db1fc --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/large/input.json @@ -0,0 +1,6 @@ +{ + "outer" : 256, + "num_x" : 256, + "num_y" : 256, + "num_t" : 64 +} diff --git a/benchmarks/CalibVolDiff/datasets/large/output.json b/benchmarks/CalibVolDiff/datasets/large/output.json new file mode 100644 index 0000000..8ea53b5 --- /dev/null +++ b/benchmarks/CalibVolDiff/datasets/large/output.json @@ -0,0 +1,29 @@ +[ 0.029996 , 0.029204 , 0.028803 , 0.028405 , 0.028013 , 0.027626 , 0.027245 , 0.026870 , 0.026500 , + 0.026136 , 0.025778 , 0.025426 , 0.025080 , 0.024739 , 0.024404 , 0.024075 , 0.023751 , 0.023433 , + 0.023120 , 0.022813 , 0.022511 , 0.022214 , 0.021923 , 0.021636 , 0.021355 , 0.021078 , 0.020806 , + 0.020538 , 0.020273 , 0.020014 , 0.019791 , 0.019512 , 0.019270 , 0.019033 , 0.018799 , 0.018568 , + 0.018341 , 0.018117 , 0.017898 , 0.017682 , 0.017470 , 0.017261 , 0.017056 , 0.016855 , 0.016657 , + 0.016463 , 0.016271 , 0.016083 , 0.015898 , 0.015716 , 0.015537 , 0.015361 , 0.015188 , 0.015018 , + 0.014850 , 0.014686 , 0.014523 , 0.014364 , 0.014206 , 0.014052 , 0.013899 , 0.013749 , 0.013601 , + 0.013456 , 0.013312 , 0.013171 , 0.013032 , 0.012895 , 0.012760 , 0.012626 , 0.012495 , 0.012365 , + 0.012238 , 0.012112 , 0.011988 , 0.011865 , 0.011744 , 0.011625 , 0.011508 , 0.011392 , 0.011277 , + 0.011164 , 0.011053 , 0.010942 , 0.010834 , 0.010726 , 0.010620 , 0.010515 , 0.010412 , 0.010309 , + 0.010208 , 0.010108 , 0.010010 , 0.009912 , 0.009815 , 0.009720 , 0.009626 , 0.009533 , 0.009440 , + 0.009349 , 0.009259 , 0.009170 , 0.009081 , 0.008994 , 0.008908 , 0.008822 , 0.008737 , 0.008653 , + 0.008570 , 0.008488 , 0.008407 , 0.008326 , 0.008246 , 0.008167 , 0.008089 , 0.008011 , 0.007934 , + 0.007858 , 0.007782 , 0.007707 , 0.007633 , 0.007559 , 0.007487 , 0.007414 , 0.007342 , 0.007271 , + 0.007201 , 0.007131 , 0.007061 , 0.006993 , 0.006924 , 0.006856 , 0.006789 , 0.006722 , 0.006656 , + 0.006590 , 0.006525 , 0.006460 , 0.006396 , 0.006332 , 0.006268 , 0.006205 , 0.006143 , 0.006081 , + 0.006019 , 0.005958 , 0.005897 , 0.005836 , 0.005776 , 0.005716 , 0.005657 , 0.005598 , 0.005539 , + 0.005481 , 0.005423 , 0.005365 , 0.005308 , 0.005251 , 0.005194 , 0.005138 , 0.005081 , 0.005026 , + 0.004970 , 0.004915 , 0.004860 , 0.004806 , 0.004751 , 0.004697 , 0.004643 , 0.004590 , 0.004536 , + 0.004483 , 0.004431 , 0.004378 , 0.004326 , 0.004274 , 0.004222 , 0.004170 , 0.004119 , 0.004068 , + 0.004017 , 0.003966 , 0.003915 , 0.003865 , 0.003815 , 0.003765 , 0.003715 , 0.003665 , 0.003616 , + 0.003566 , 0.003517 , 0.003468 , 0.003420 , 0.003371 , 0.003323 , 0.003274 , 0.003226 , 0.003178 , + 0.003130 , 0.003083 , 0.003035 , 0.002988 , 0.002940 , 0.002893 , 0.002846 , 0.002799 , 0.002752 , + 0.002706 , 0.002659 , 0.002613 , 0.002566 , 0.002520 , 0.002474 , 0.002428 , 0.002382 , 0.002337 , + 0.002291 , 0.002245 , 0.002200 , 0.002154 , 0.002109 , 0.002064 , 0.002019 , 0.001973 , 0.001928 , + 0.001884 , 0.001839 , 0.001794 , 0.001749 , 0.001705 , 0.001660 , 0.001616 , 0.001571 , 0.001527 , + 0.001482 , 0.001438 , 0.001394 , 0.001350 , 0.001306 , 0.001262 , 0.001218 , 0.001174 , 0.001130 , + 0.001086 , 0.001042 , 0.000998 , 0.000954 , 0.000911 , 0.000867 , 0.000823 , 0.000780 , 0.000736 , + 0.000692 , 0.000649 , 0.000605 , 0.000562 ] From e2fa3f63534351a2d7c75d27f8ac2246ab96b607 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 08:05:48 +0200 Subject: [PATCH 069/122] Enable OpenMP thread count configuration on more implementations. --- .../CalibVolDiff/implementations/cpp_openclmp_all/Makefile | 3 ++- .../cpp_openclmp_all/dynamic_configuration_template.json | 1 + .../CalibVolDiff/implementations/cpp_openclmp_outer/Makefile | 3 ++- .../cpp_openclmp_outer/dynamic_configuration_template.json | 1 + 4 files changed, 6 insertions(+), 2 deletions(-) create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/dynamic_configuration_template.json create mode 100644 benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/dynamic_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile index d29cf70..d7c9dec 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile @@ -51,4 +51,5 @@ data: $(HIPERMARK_INPUT) $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/dynamic_configuration_template.json b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/dynamic_configuration_template.json new file mode 100644 index 0000000..14298aa --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/dynamic_configuration_template.json @@ -0,0 +1 @@ +{"NUM_THREADS": [1,2,3,4]} diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile index 51c9586..55cb40f 100644 --- a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile @@ -51,4 +51,5 @@ data: $(HIPERMARK_INPUT) $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/dynamic_configuration_template.json b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/dynamic_configuration_template.json new file mode 100644 index 0000000..14298aa --- /dev/null +++ b/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/dynamic_configuration_template.json @@ -0,0 +1 @@ +{"NUM_THREADS": [1,2,3,4]} From 58497321512dd323df232d689b7ada4bd44e2efc Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 09:36:52 +0200 Subject: [PATCH 070/122] Rename CppOpenMP to cpp_openmp --- .../{CppOpenMP => cpp_openmp}/GenAlgFlat.h | 0 .../{CppOpenMP => cpp_openmp}/Makefile | 0 .../{CppOpenMP => cpp_openmp}/SwapCalib | Bin .../{CppOpenMP => cpp_openmp}/SwapCalib.cpp | 0 .../{CppOpenMP => cpp_openmp}/UtilCPU.h | 0 .../{CppOpenMP => cpp_openmp}/instantiate | 0 .../{CppOpenMP => cpp_openmp}/instantiate_data | 0 .../implementations/{CppOpenMP => cpp_openmp}/run | 0 8 files changed, 0 insertions(+), 0 deletions(-) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/GenAlgFlat.h (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/Makefile (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/SwapCalib (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/SwapCalib.cpp (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/UtilCPU.h (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/instantiate (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/instantiate_data (100%) rename benchmarks/InterestCalib/implementations/{CppOpenMP => cpp_openmp}/run (100%) diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/cpp_openmp/GenAlgFlat.h similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/GenAlgFlat.h rename to benchmarks/InterestCalib/implementations/cpp_openmp/GenAlgFlat.h diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/Makefile b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/Makefile rename to benchmarks/InterestCalib/implementations/cpp_openmp/Makefile diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib rename to benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/SwapCalib.cpp rename to benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/UtilCPU.h b/benchmarks/InterestCalib/implementations/cpp_openmp/UtilCPU.h similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/UtilCPU.h rename to benchmarks/InterestCalib/implementations/cpp_openmp/UtilCPU.h diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate b/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/instantiate rename to benchmarks/InterestCalib/implementations/cpp_openmp/instantiate diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data b/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate_data similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/instantiate_data rename to benchmarks/InterestCalib/implementations/cpp_openmp/instantiate_data diff --git a/benchmarks/InterestCalib/implementations/CppOpenMP/run b/benchmarks/InterestCalib/implementations/cpp_openmp/run similarity index 100% rename from benchmarks/InterestCalib/implementations/CppOpenMP/run rename to benchmarks/InterestCalib/implementations/cpp_openmp/run From 487499693cc2f3d6dbffd927b9ad3f9b0261bc05 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 09:37:55 +0200 Subject: [PATCH 071/122] Rename CalibVolDiff to LocVolCalib. --- benchmarks/{CalibVolDiff => LocVolCalib}/README.txt | 0 benchmarks/{CalibVolDiff => LocVolCalib}/ToDo.txt | 0 .../datasets/large/input.json | 0 .../datasets/large/output.json | 0 .../datasets/medium/input.json | 0 .../datasets/medium/output.json | 0 .../datasets/small/input.json | 0 .../datasets/small/output.json | 0 .../cpp_openclmp_all/CrankNicolson.cl | 0 .../implementations/cpp_openclmp_all/Makefile | 0 .../cpp_openclmp_all/PrepareKernels.h | 0 .../implementations/cpp_openclmp_all/Vect_CPU.h | 0 .../implementations/cpp_openclmp_all/Vect_GPU.h | 0 .../cpp_openclmp_all/VolCalibAll.cpp | 0 .../implementations/cpp_openclmp_all/VolCalibInit.h | 0 .../dynamic_configuration_template.json | 0 .../static_configuration_template.json | 0 .../cpp_openclmp_outer/CrankNicolson.cl | 0 .../implementations/cpp_openclmp_outer/Makefile | 0 .../cpp_openclmp_outer/PrepareKernels.h | 0 .../implementations/cpp_openclmp_outer/Vect_CPU.h | 0 .../implementations/cpp_openclmp_outer/Vect_GPU.h | 0 .../cpp_openclmp_outer/VolCalibInit.h | 0 .../cpp_openclmp_outer/VolCalibOuter | Bin .../cpp_openclmp_outer/VolCalibOuter.cpp | 0 .../dynamic_configuration_template.json | 0 .../static_configuration_template.json | 0 .../implementations/cpp_openmp_naive/Makefile | 0 .../cpp_openmp_naive/VolCalibOrig.cpp | 0 .../dynamic_configuration_template.json | 0 .../static_configuration_template.json | 0 .../implementations/cpp_sequential/Makefile | 0 .../implementations/cpp_sequential/VolCalibOrig.cpp | 0 .../static_configuration_template.json | 0 .../implementations/haskell_lh/Makefile | 0 .../implementations/haskell_lh/VolCalib.hs | 0 .../lib/include/Constants.h | 0 .../lib/include/DataStructConst.h | 0 .../lib/include/ParPrefixUtil.h | 0 .../lib/include/ParseInput.h | 0 40 files changed, 0 insertions(+), 0 deletions(-) rename benchmarks/{CalibVolDiff => LocVolCalib}/README.txt (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/ToDo.txt (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/datasets/large/input.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/datasets/large/output.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/datasets/medium/input.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/datasets/medium/output.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/datasets/small/input.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/datasets/small/output.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/CrankNicolson.cl (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/Makefile (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/PrepareKernels.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/Vect_CPU.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/Vect_GPU.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/VolCalibAll.cpp (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/VolCalibInit.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/dynamic_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_all/static_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/CrankNicolson.cl (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/Makefile (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/PrepareKernels.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/Vect_CPU.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/Vect_GPU.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/VolCalibInit.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/VolCalibOuter (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/VolCalibOuter.cpp (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/dynamic_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openclmp_outer/static_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openmp_naive/Makefile (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openmp_naive/VolCalibOrig.cpp (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openmp_naive/dynamic_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_openmp_naive/static_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_sequential/Makefile (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_sequential/VolCalibOrig.cpp (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/cpp_sequential/static_configuration_template.json (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/haskell_lh/Makefile (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/implementations/haskell_lh/VolCalib.hs (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/lib/include/Constants.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/lib/include/DataStructConst.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/lib/include/ParPrefixUtil.h (100%) rename benchmarks/{CalibVolDiff => LocVolCalib}/lib/include/ParseInput.h (100%) diff --git a/benchmarks/CalibVolDiff/README.txt b/benchmarks/LocVolCalib/README.txt similarity index 100% rename from benchmarks/CalibVolDiff/README.txt rename to benchmarks/LocVolCalib/README.txt diff --git a/benchmarks/CalibVolDiff/ToDo.txt b/benchmarks/LocVolCalib/ToDo.txt similarity index 100% rename from benchmarks/CalibVolDiff/ToDo.txt rename to benchmarks/LocVolCalib/ToDo.txt diff --git a/benchmarks/CalibVolDiff/datasets/large/input.json b/benchmarks/LocVolCalib/datasets/large/input.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/large/input.json rename to benchmarks/LocVolCalib/datasets/large/input.json diff --git a/benchmarks/CalibVolDiff/datasets/large/output.json b/benchmarks/LocVolCalib/datasets/large/output.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/large/output.json rename to benchmarks/LocVolCalib/datasets/large/output.json diff --git a/benchmarks/CalibVolDiff/datasets/medium/input.json b/benchmarks/LocVolCalib/datasets/medium/input.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/medium/input.json rename to benchmarks/LocVolCalib/datasets/medium/input.json diff --git a/benchmarks/CalibVolDiff/datasets/medium/output.json b/benchmarks/LocVolCalib/datasets/medium/output.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/medium/output.json rename to benchmarks/LocVolCalib/datasets/medium/output.json diff --git a/benchmarks/CalibVolDiff/datasets/small/input.json b/benchmarks/LocVolCalib/datasets/small/input.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/small/input.json rename to benchmarks/LocVolCalib/datasets/small/input.json diff --git a/benchmarks/CalibVolDiff/datasets/small/output.json b/benchmarks/LocVolCalib/datasets/small/output.json similarity index 100% rename from benchmarks/CalibVolDiff/datasets/small/output.json rename to benchmarks/LocVolCalib/datasets/small/output.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/CrankNicolson.cl similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/CrankNicolson.cl rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/CrankNicolson.cl diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Makefile rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/PrepareKernels.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/PrepareKernels.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/PrepareKernels.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_CPU.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Vect_CPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_CPU.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Vect_CPU.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_GPU.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Vect_GPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/Vect_GPU.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Vect_GPU.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibAll.cpp rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibInit.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibInit.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/VolCalibInit.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibInit.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/dynamic_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/dynamic_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/dynamic_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/dynamic_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/static_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/static_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_all/static_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_all/static_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/CrankNicolson.cl similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/CrankNicolson.cl rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/CrankNicolson.cl diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Makefile rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/PrepareKernels.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/PrepareKernels.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/PrepareKernels.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_CPU.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Vect_CPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_CPU.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Vect_CPU.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_GPU.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Vect_GPU.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/Vect_GPU.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Vect_GPU.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibInit.h similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibInit.h rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibInit.h diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/VolCalibOuter.cpp rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/dynamic_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/dynamic_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/dynamic_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/dynamic_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/static_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/static_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openclmp_outer/static_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/static_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/Makefile rename to benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/VolCalibOrig.cpp rename to benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/dynamic_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/dynamic_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_openmp_naive/dynamic_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/static_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_openmp_naive/static_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_openmp_naive/static_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_sequential/Makefile rename to benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp b/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_sequential/VolCalibOrig.cpp rename to benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp diff --git a/benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_sequential/static_configuration_template.json similarity index 100% rename from benchmarks/CalibVolDiff/implementations/cpp_sequential/static_configuration_template.json rename to benchmarks/LocVolCalib/implementations/cpp_sequential/static_configuration_template.json diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile similarity index 100% rename from benchmarks/CalibVolDiff/implementations/haskell_lh/Makefile rename to benchmarks/LocVolCalib/implementations/haskell_lh/Makefile diff --git a/benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs b/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs similarity index 100% rename from benchmarks/CalibVolDiff/implementations/haskell_lh/VolCalib.hs rename to benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs diff --git a/benchmarks/CalibVolDiff/lib/include/Constants.h b/benchmarks/LocVolCalib/lib/include/Constants.h similarity index 100% rename from benchmarks/CalibVolDiff/lib/include/Constants.h rename to benchmarks/LocVolCalib/lib/include/Constants.h diff --git a/benchmarks/CalibVolDiff/lib/include/DataStructConst.h b/benchmarks/LocVolCalib/lib/include/DataStructConst.h similarity index 100% rename from benchmarks/CalibVolDiff/lib/include/DataStructConst.h rename to benchmarks/LocVolCalib/lib/include/DataStructConst.h diff --git a/benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h b/benchmarks/LocVolCalib/lib/include/ParPrefixUtil.h similarity index 100% rename from benchmarks/CalibVolDiff/lib/include/ParPrefixUtil.h rename to benchmarks/LocVolCalib/lib/include/ParPrefixUtil.h diff --git a/benchmarks/CalibVolDiff/lib/include/ParseInput.h b/benchmarks/LocVolCalib/lib/include/ParseInput.h similarity index 100% rename from benchmarks/CalibVolDiff/lib/include/ParseInput.h rename to benchmarks/LocVolCalib/lib/include/ParseInput.h From ee6656dfc176934f4701d924406677c8a86fbc80 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 10:01:09 +0200 Subject: [PATCH 072/122] Move real_t stuff into its own header. --- .../LocVolCalib/lib/include/Constants.h | 36 +----------------- lib/include/real.h | 38 +++++++++++++++++++ 2 files changed, 40 insertions(+), 34 deletions(-) create mode 100644 lib/include/real.h diff --git a/benchmarks/LocVolCalib/lib/include/Constants.h b/benchmarks/LocVolCalib/lib/include/Constants.h index c761a64..3df4577 100644 --- a/benchmarks/LocVolCalib/lib/include/Constants.h +++ b/benchmarks/LocVolCalib/lib/include/Constants.h @@ -1,43 +1,11 @@ #ifndef CONSTANTS_H #define CONSTANTS_H +#include "real.h" + #define REAL3_CT 4 #define TRANSPOSE_UV 1 -#ifdef REAL_IS_DOUBLE - -/* Some OpenCL implementations require us to define a pragma if we - want to use double-precision numbers. */ -#ifdef __OPENCL_VERSION__ -#pragma OPENCL EXTENSION cl_khr_fp64 : enable -#endif - -typedef double real_t; -#define REAL_FLAG "REAL_IS_DOUBLE" - -#ifdef __OPENCL_VERSION__ -#define real4_t double4 -#define real3_t double3 -#define real2_t double2 -#endif - -#elif REAL_IS_FLOAT - -typedef float real_t; -#define REAL_FLAG "REAL_IS_FLOAT" - -#ifdef __OPENCL_VERSION__ -#define real4_t float4 -#define real3_t float3 -#define real2_t float2 -#endif - -#else - -#error "Must set REAL_IS_DOUBLE or REAL_IS_FLOAT." - -#endif - #define WARP (1< Date: Fri, 21 Aug 2015 10:01:20 +0200 Subject: [PATCH 073/122] Add cpp_sequential implementation of InterestCalib. --- .../implementations/cpp_openmp/GenAlgFlat.h | 50 +-- .../implementations/cpp_openmp/SwapCalib.cpp | 6 +- .../cpp_sequential/EvalGenomeOrig.h | 155 +++++++++ .../implementations/cpp_sequential/G2PPorig.h | 176 ++++++++++ .../cpp_sequential/GenAlgFlat.h | 280 +++++++++++++++ .../implementations/cpp_sequential/Genome.h | 238 +++++++++++++ .../implementations/cpp_sequential/Makefile | 31 ++ .../cpp_sequential/SwapCalib.cpp | 61 ++++ .../implementations/cpp_sequential/UtilCPU.h | 48 +++ .../static_configuration_template.json | 3 + .../InterestCalib/lib/include/Constants.h | 46 +-- .../InterestCalib/lib/include/KerConsts.h | 7 +- .../InterestCalib/lib/include/tmp/Constants.h | 42 --- .../lib/include/tmp/DataStructConst.h | 91 ----- .../InterestCalib/lib/include/tmp/G2PP.h | 326 ------------------ 15 files changed, 1045 insertions(+), 515 deletions(-) create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/EvalGenomeOrig.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/Makefile create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_sequential/static_configuration_template.json delete mode 100644 benchmarks/InterestCalib/lib/include/tmp/Constants.h delete mode 100644 benchmarks/InterestCalib/lib/include/tmp/DataStructConst.h delete mode 100644 benchmarks/InterestCalib/lib/include/tmp/G2PP.h diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/cpp_openmp/GenAlgFlat.h index 4dac1f3..257cd0d 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/GenAlgFlat.h +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/GenAlgFlat.h @@ -11,14 +11,14 @@ /** * Printing Swaption / Calibrated Price / Black Price / RMS - * The result is an array REAL[NUM_SWAP_QUOTES, 3] recording + * The result is an array real_t[NUM_SWAP_QUOTES, 3] recording * for each swaption the calibrated price, the black price * and the percentagewise difference between the two. */ -REAL* makeSummary(uint winner, CpuArrays& arrs) { - REAL* res = (REAL*) malloc( 3*NUM_SWAP_QUOTES*sizeof(REAL) ); +real_t* makeSummary(uint winner, CpuArrays& arrs) { + real_t* res = (real_t*) malloc( 3*NUM_SWAP_QUOTES*sizeof(real_t) ); - REAL rms = 0.0; + real_t rms = 0.0; fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", @@ -27,9 +27,9 @@ REAL* makeSummary(uint winner, CpuArrays& arrs) { fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { - REAL black_price = arrs.get_quote(winner)[i]; - REAL calib_price = arrs.get_price(winner)[i]; - REAL err_ratio = (calib_price - black_price) / black_price; + real_t black_price = arrs.get_quote(winner)[i]; + real_t calib_price = arrs.get_price(winner)[i]; + real_t err_ratio = (calib_price - black_price) / black_price; res[3*i + 0] = 10000.0*calib_price; res[3*i + 1] = 10000.0*black_price; @@ -54,7 +54,7 @@ REAL* makeSummary(uint winner, CpuArrays& arrs) { * scans the logLik array and fill in the index and likelihood * of the best genome. */ -void find_best(const REAL* logLik, int& best_ind, REAL& best_lik) { +void find_best(const real_t* logLik, int& best_ind, real_t& best_lik) { bool sanity = true; best_lik = -INFINITY; @@ -63,7 +63,7 @@ void find_best(const REAL* logLik, int& best_ind, REAL& best_lik) { // this is in fact a reduction, but POP_SIZE is // not big enough to warrant a parallel execution. for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX - REAL val = logLik[i]; + real_t val = logLik[i]; sanity = !( isnan(val) || isinf(val) ); assert( sanity && "val is NaN in find_best" ); @@ -72,10 +72,10 @@ void find_best(const REAL* logLik, int& best_ind, REAL& best_lik) { } } -Move_Type selectMoveType(REAL move_selected) { +Move_Type selectMoveType(real_t move_selected) { Move_Type move_type = NONE; - REAL prob; + real_t prob; Move_Type type; UINT k = 0; do { @@ -102,19 +102,19 @@ Move_Type selectMoveType(REAL move_selected) { * price, the black price and the percentage * difference between the two. */ -REAL* mainKernelCPU(REAL& wg_a, - REAL& wg_b, - REAL& wg_sigma, - REAL& wg_nu, - REAL& wg_rho, - REAL& wg_logLik +real_t* mainKernelCPU(real_t& wg_a, + real_t& wg_b, + real_t& wg_sigma, + real_t& wg_nu, + real_t& wg_rho, + real_t& wg_logLik ) { uint FLAT_SZ; short* shape = getIregShapeAdjusted( LWG_EG, FLAT_SZ ); int * start_inds = getStartInd( FLAT_SZ, shape, NUM_SWAP_QUOTES ); CpuArrays cpu_arrs(FLAT_SZ, shape); - REAL *g_a, *g_b, *g_rho, *g_nu, *g_sigma, *logLik, *bf_rat; + real_t *g_a, *g_b, *g_rho, *g_nu, *g_sigma, *logLik, *bf_rat; { // getting the cpu arrays g_a = cpu_arrs.get_a (); g_b = cpu_arrs.get_b (); @@ -131,7 +131,7 @@ REAL* mainKernelCPU(REAL& wg_a, // initialized the genomes with random numbers inside // their acceptable bounds => requires 5*POP_SIZE randoms for( int i = 0; i < POP_SIZE; i++ ) { - REAL r01, tmp; + real_t r01, tmp; r01 = getRandRandNorm(); tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; @@ -177,7 +177,7 @@ REAL* mainKernelCPU(REAL& wg_a, // select which move to perform. // Note: this block can also be a loop (in fixed order) // over the various move types - REAL move_selected = getRandUnifNorm(); + real_t move_selected = getRandUnifNorm(); Move_Type move_type = selectMoveType(move_selected); if ( move_type == DIMS_ALL ) { @@ -214,11 +214,11 @@ REAL* mainKernelCPU(REAL& wg_a, // obtained by mutating/crossover of the individual. for ( int i = 0; i < POP_SIZE; i++ ) { // parallel // Metropolis: get a random U[0,1) for each candidate - REAL rand = getRandUnifNorm(); + real_t rand = getRandUnifNorm(); // selection: dimensions considered independent // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) - REAL acceptance = std::min( 1.0, exp( logLik[i+POP_SIZE] - logLik[i] ) * bf_rat[i] ); + real_t acceptance = std::min( 1.0, exp( logLik[i+POP_SIZE] - logLik[i] ) * bf_rat[i] ); // if acceptance criterion is met then p->p' else does nothing if ( rand < acceptance ) accept( i, g_a, g_b, g_rho, g_nu, g_sigma, logLik ); @@ -226,16 +226,16 @@ REAL* mainKernelCPU(REAL& wg_a, // print best candidate for the current iteration: if ( (j % 16) == 0 ){ - int best_ind; REAL best_lik; + int best_ind; real_t best_lik; find_best(logLik, best_ind, best_lik); fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", j, best_lik, best_ind ); } } - REAL* result; + real_t* result; { // print best candidate for the current iteration: - int best_ind; REAL best_lik; + int best_ind; real_t best_lik; find_best(logLik, best_ind, best_lik); // recompute the calibrated price and the black price! diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp index 948bb78..192c7e2 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp @@ -16,9 +16,9 @@ int main() { - REAL wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, - wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; - REAL* calib_arr = NULL; + real_t wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, + wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; + real_t* calib_arr = NULL; printf("\n// Running Original (CPU Parallel) Swaption-Calibration Benchmark\n"); diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/EvalGenomeOrig.h b/benchmarks/InterestCalib/implementations/cpp_sequential/EvalGenomeOrig.h new file mode 100644 index 0000000..a315ca4 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/EvalGenomeOrig.h @@ -0,0 +1,155 @@ +#ifndef EVAL_GENOME_INLINED +#define EVAL_GENOME_INLINED + +#include "Constants.h" +#include "GenAlgUtil.h" +#include "G2PP.h" +#include "G2PPorig.h" + + +/** + * MOST IMPORTANTLY: GENOME EVALUATION By Pricer of Swaption & BLACK PRICE + */ +void eval_genome_new ( + const real_t& a, + const real_t& b, + const real_t& rho, + const real_t& nu, + const real_t& sigma, + const real_t* swaption, + IntermElem* tmp_arrs, + real_t& new_quote, // output + real_t& new_price // output +) { + bool sanity = true; + + const real_t swap_freq = swaption[1]; + const real_t maturity = add_years( TODAY, swaption[0] ); + const UINT n_schedi = static_cast(12.0 * swaption[2] / swap_freq); + const real_t tmat0 = date_act_365( maturity, TODAY ); + + real_t strike; + { // BLACK PRICE computation + real_t lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; + + for(UINT i = 0; i < n_schedi; i++) { // reduce o map + // Map computes a1 and a2 (depends on i) + const real_t a1 = add_months( maturity, swap_freq*i ); + const real_t a2 = add_months( a1, swap_freq ); + + // Reduction( lvl: +, t0 : min, tn : max ) + lvl += zc(a2) * date_act_365(a2, a1); + t0 = std::min(t0, a1); + tn = std::max(tn, a2); + } + + strike = ( zc(t0) - zc(tn) ) / lvl; + const real_t d1 = 0.5 * swaption[3] * tmat0; + new_quote = lvl * strike * ( uGaussian_P(d1) - uGaussian_P(-d1) ); + } // END BLACK PRICE + + { // PRICER OF SWAPTION COMPUTATION + real_t v0_mat, dummy1, dummy2; + bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); +// + const real_t mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); + const real_t muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); +// + const real_t zc_mat = zc(maturity); +// + const real_t sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); + const real_t sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); + const real_t rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); + const real_t sigmax = sigma * sqrt_bfun_a; + const real_t sigmay = nu * sqrt_bfun_b; + + const real_t rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel + const real_t rhoxycs = sqrt( rhoxyc ); // used in reduction kernel + const real_t sigmay_rhoxycs = sigmay * rhoxycs; + const real_t t4 = (rhoxy * sigmay) / sigmax; + + for( UINT i = 0; i < n_schedi; i++ ) { + const real_t beg_date = add_months( maturity, swap_freq*i ); //scheduleix[i]; + const real_t end_date = add_months( beg_date, swap_freq ); //scheduleiy[i]; + const real_t res = date_act_365( end_date, beg_date ) * strike; + + const real_t cii = ( i == n_schedi-1 ) ? 1.0 + res : res; + + real_t v0_end, vt_end, baii, bbii, date_tod1, date_tod2; + date_tod1 = date_act_365(end_date, TODAY); + bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); + date_tod2 = date_act_365(end_date, maturity); + bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); + + const real_t expo_aici = 0.5 * (vt_end - v0_end + v0_mat); + const real_t fact_aici = cii * zc(end_date) / zc_mat; + tmp_arrs[i].ci = fact_aici; // reuse the space to hold the factor of t1_cs + tmp_arrs[i].t1_cs = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; + // hold only the exponent of the original t1_cs; + + tmp_arrs[i].bai = baii; + tmp_arrs[i].bbi = bbii; + tmp_arrs[i].aici = fact_aici * exp( expo_aici ); + tmp_arrs[i].log_aici = log( fact_aici ) + expo_aici; + tmp_arrs[i].scale = - ( baii + bbii * t4 ); + + sanity = ! ( isinf(tmp_arrs[i].aici) || isnan(tmp_arrs[i].aici) ); + assert(sanity && "Nan aici in pricer of swaption. Exiting!\n"); + } + + const real_t eps = 0.5 * sigmax; + + const real_t f = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + mux, muy, tmp_arrs, mux ); + + const real_t g = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + mux, muy, tmp_arrs, mux + eps ); + + const real_t h = exactYhatOrig( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + mux, muy, tmp_arrs, mux - eps ); + + const real_t df = 0.5 * ( g - h ) / eps; + + const real_t sqrt2sigmax = sqrt(2.0) * sigmax;; + const real_t t2 = rhoxy / (sigmax*rhoxycs);; + + real_t accum = 0.0; + + for( UINT j = 0; j < NUM_HERMITE; j++ ) { + const real_t x_quad = HermiteCoeffs [j]; + const real_t w_quad = HermiteWeights[j]; + + const real_t x = sqrt2sigmax * x_quad + mux; + const real_t yhat_x = f + df*(x - mux); + const real_t h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); + + real_t accum1 = 0.0; + for( UINT i = 0; i < n_schedi; i++ ) { + const real_t h2 = h1 + tmp_arrs[i].bbi * sigmay_rhoxycs; + + const real_t expo_aici = tmp_arrs[i].t1_cs + tmp_arrs[i].scale*x; + const real_t fact_aici = tmp_arrs[i].ci; + const real_t expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); + accum1 += fact_aici * expo_part; + } + + sanity = ! ( isnan(accum1) || isinf(accum1) ); + assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); + + real_t tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; + const real_t t1 = exp( - 0.5 * tmp * tmp ); + + accum += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); + } + + sanity = ! ( isnan(accum) || isinf(accum) ); + assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); + + new_price = zc_mat * ( accum / sqrt( PI ) ); + } +} + + + +#endif // end ifndef EVAL_GENOME_INLINED + diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h b/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h new file mode 100644 index 0000000..5f324a4 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h @@ -0,0 +1,176 @@ +#ifndef G2PPORIG +#define G2PPORIG + +#include "Constants.h" +#include "Date.h" +#include "MathModule.h" +#include "G2ppUtil.h" + +#include "GenAlgUtil.h" + +REAL to_solve_orig( const UINT& N, + const IntermElem* tmp_arrs, + const REAL& yhat ) { + REAL accum = 0.0; + for( UINT i = 0; i < N; i++ ) { + accum += tmp_arrs[i].hat_scale * exp( - tmp_arrs[i].bbi * yhat ); + } + return accum - 1.0; +} + +////////////////////////// +// Root finder +////////////////////////// + +void rootFinding_Brent_orig ( + const UINT& N, + IntermElem* tmp_arrs, + const REAL& lb, + const REAL& ub, + const REAL& toll, + const UINT& it_mx, + REAL& root, // result + UINT& it, + REAL& fb +) { + const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; + const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; + + REAL a = lb, b = ub; + + REAL fa = to_solve_orig(N, tmp_arrs, a); + fb = to_solve_orig(N, tmp_arrs, b); + + if( fa*fb >= 0.0 ) { + root = 0.0; it = 0; + if ( a >= 0.0 ) fb = INFTY; + else fb = -INFTY; + return; + } + + if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } + + REAL c = a, fc = fa; + bool mflag = true; + REAL d = 0.0; + it = 0; + + for( UINT i = 0; i < iter_max; i++ ) { + if ( fb != 0.0 && fabs(b-a) >= tol ) { + REAL s; + if( fa == fc || fb == fc ) { + s = b - fb * (b - a) / (fb - fa); + } else { + REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); + REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); + REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); + s = s1 + s2 + s3; + } + + if ( ( (3.0 * a + b) /4.0 > s || s > b) || + ( mflag && fabs(b-c)/2.0 <= fabs(s-b) ) || + ( !mflag && fabs(c-d)/2.0 <= fabs(s-b) ) || + ( mflag && fabs(b-c) <= fabs(tol) ) || + ( !mflag && fabs(c-d) <= fabs(tol) ) ) { + mflag = true; + s = (a + b) / 2.0; + } else { + mflag = false; + } + + REAL fs = to_solve_orig(N, tmp_arrs, s); + + // d is assigned for the first time here: + // it's not used above because mflag is set + d = c; + c = b; fc = fb; + + if( fa*fs < 0.0 ) { b = s; fb = fs; } + else { a = s; fa = fs; } + + if( fabs(fa) < fabs(fb) ) { + REAL tmp; + tmp = a; a = b; b = tmp; + tmp = fa; fa = fb; fb = tmp; + } + + // reporting non-convergence! + if(i == iter_max-1) { + printf("# ERROR: Brent method not converged, error: %f %f %d\n\n", b, fb, i); + } + + it = i; + } + } + + root = b; + + //return BrentRes(b, it, fb); +} + +REAL exactYhatOrig( + const UINT& n_schedi, + + const REAL& b, // scals begins + const REAL& sigmax, + const REAL& sigmay, + const REAL& rhoxy, + const REAL& rhoxyc, + const REAL& rhoxycs, + const REAL& mux, + const REAL& muy, // scals ends + IntermElem* tmp_arrs, + + const REAL& x // output +) { + // ugaussian_Pinv(k)=1.0e~4 + const REAL k = - 3.71901648545568; + + REAL up = 0.0, lo = -INFTY; + for( UINT i = 0; i < n_schedi; i++ ) { + REAL baix = tmp_arrs[i].bai * x; + + REAL up_term = tmp_arrs[i].aici * exp( -baix ); + tmp_arrs[i].hat_scale = up_term; + up += up_term; + lo = std::max( lo, ( tmp_arrs[i].log_aici - baix ) / tmp_arrs[i].bbi ); + } + +// CHECKING uplo!!!! + + const REAL log_s = log(up); + REAL tmp = log_s / tmp_arrs[n_schedi-1].bbi; + + if ( tmp <= 0.0 ) { + up = tmp; + } else { + tmp = log_s / tmp_arrs[0].bbi; + if ( 0.0 <= tmp ) up = tmp; + else up = - INFTY; + } + + const REAL yl = lo - EPS; + const REAL yu = up + EPS; + + const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; + const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; + + REAL res; + if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS + else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) + else { + const REAL root_lb = std::max( yl, y0 ); + const REAL root_ub = std::min( yu, y1 ); + + REAL root, error; UINT iter; + rootFinding_Brent_orig(n_schedi, tmp_arrs, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); + //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); + + res = ( error == -INFTY ) ? y0 - 1.0 : ( error == INFTY ) ? y1 + 1.0 : root; + } + + return res; +} + + +#endif // ifndef G2PP diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h new file mode 100644 index 0000000..b8d3bde --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/GenAlgFlat.h @@ -0,0 +1,280 @@ +#ifndef GEN_ALG_FLAT +#define GEN_ALG_FLAT + +using namespace std; + +#include "Constants.h" +#include "GenAlgUtil.h" +#include "Genome.h" +#include "UtilCPU.h" +#include "EvalGenomeOrig.h" + + +/** + * Printing Swaption / Calibrated Price / Black Price / RMS + * The result is an array real_t[NUM_SWAP_QUOTES, 3] recording + * for each swaption the calibrated price, the black price + * and the percentagewise difference between the two. + */ +void makeSummary( const int winner, + const Genome& wgene, + const real_t* new_quote, + const real_t* new_price, + real_t* result // output + ) { + real_t rms = 0.0; + + fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); + fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", + wgene.a, wgene.b, wgene.sigma, wgene.nu, wgene.rho, wgene.logLik ); + fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); + + for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { + real_t black_price = new_quote[i]; + real_t calib_price = new_price[i]; + real_t err_ratio = (calib_price - black_price) / black_price; + + result[3*i + 0] = 10000.0*calib_price; + result[3*i + 1] = 10000.0*black_price; + result[3*i + 2] = 100.0*fabs(err_ratio); + + rms += err_ratio * err_ratio; + + fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", + i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], + result[3*i + 0], result[3*i + 1], result[3*i + 2] ); + } + + rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); + fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); +} + + +/** + * Utility function: find the genome with the best likelihood: + * scans the logLik array and fill in the index and likelihood + * of the best genome. + */ +void find_best(const Genome* genomes, int& best_ind, real_t& best_lik) { + bool sanity = true; + + best_lik = -INFINITY; + best_ind = 0; + + // this is in fact a reduction, but POP_SIZE is + // not big enough to warrant a parallel execution. + for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX + real_t val = genomes[i].logLik; + + sanity = !( isnan(val) || isinf(val) ); + assert( sanity && "val is NaN in find_best" ); + + if( val > best_lik ) { best_ind = i; best_lik = val; } + } +} + +Move_Type selectMoveType(real_t move_selected) { + Move_Type move_type = NONE; + + real_t prob; + Move_Type type; + UINT k = 0; + do { + prob = mcmc_moves_selection_cumdensfct[k].fst; + type = mcmc_moves_selection_cumdensfct[k].snd; + + if( move_selected <= prob ) { + move_type = type; + } + k ++; + } while ( move_selected > prob && k < CUMDENSFCT_CARD ); + + assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); + + return move_type; +} + +/** + * Main Entry Point for Swaption Calibration + * The (out) arguments are in fact the resulted + * winning genome result & its likelihood. + * The array result has size 3*NUM_SWAP_QUOTES + * and records for each swaption the calibrated + * price, the black price and the percentage + * difference between the two. + */ +real_t* mainKernelSeqCPU( Genome& winner ) { + + UINT n_schedi_max = 0; + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + const UINT n_schedi = static_cast(12.0 * SwaptionQuotes[4*ttt+2] / SwaptionQuotes[4*ttt+1]); + n_schedi_max = max(n_schedi_max, n_schedi); + } + + SeqArrays cpu_arrs(n_schedi_max); + Genome* genomes = cpu_arrs.genomes; + + srand ( SEED ); + srand48 ( SEED ); + + // initialized the genomes with random numbers inside + // their acceptable bounds => requires 5*POP_SIZE randoms + for( int i = 0; i < POP_SIZE; i++ ) { + real_t r01, tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; + genomes[i].a = genomes[i+POP_SIZE].a = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; + genomes[i].b = genomes[i+POP_SIZE].b = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; + genomes[i].rho = genomes[i+POP_SIZE].rho = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; + genomes[i].nu = genomes[i+POP_SIZE].nu = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; + genomes[i].sigma = genomes[i+POP_SIZE].sigma = tmp; + + // genomes[i].fbRat = genomes[i+POP_SIZE].fbRat = 1.0; + } + + // Initial evaluation of the genomes! + real_t quote, price; + for( int i = 0; i < POP_SIZE; i++ ) { + Genome& gene = genomes[i]; + real_t rms = 0.0; + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + eval_genome_new ( + gene.a, gene.b, gene.rho, gene.nu, gene.sigma, + SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price + ); + rms += logLikelihood( quote, price ); + } + gene.logLik = rms; + } + + // convergence loop that runs the genetic algorithms + // (takes a population and returns a population) + for( int j = 0; j < MCMC_LOOPS; j++ ) { + + // select which move to perform. + // Note: this block can also be a loop (in fixed order) + // over the various move types + real_t move_selected = getRandUnifNorm(); + Move_Type move_type = selectMoveType(move_selected); + + if ( move_type == DIMS_ALL ) { + for( int i = 0; i < POP_SIZE; i++ ) { + genomes[i+POP_SIZE].mutate_dims_all( genomes[i] ); + } + + } else if ( move_type == DIMS_ONE ) { + + UINT dim_j = getRandIntNorm(GENOME_DIM); + + for( int i = 0; i < POP_SIZE; i++ ) { + genomes[i+POP_SIZE].mutate_dims_one( genomes[i], dim_j ); + } + } else /* if ( move_type == DEMCMC ) */ { + + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums + // compute the k^th and the l^th genes + UINT cand_UB = POP_SIZE - 1; + UINT k = getRandIntNorm(cand_UB); // random in [0,pop_size-1) + if ( k == i ) { + k = cand_UB; + cand_UB -= 1; + } + UINT l = getRandIntNorm(cand_UB); + if ( l == i || l == k ) { + l = cand_UB; + } + + // do DEMCMC base on k^th and l^th genomes + genomes[i+POP_SIZE].mcmc_DE( genomes[i], genomes[k], genomes[l] ); + } + } + + // evaluate the proposals + for( int i = 0; i < POP_SIZE; i++ ) { + Genome& gene = genomes[i+POP_SIZE]; + + real_t rms = 0.0; + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + eval_genome_new ( + gene.a, gene.b, gene.rho, gene.nu, gene.sigma, + SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price + ); + rms += logLikelihood( quote, price ); + } + gene.logLik = rms; + } + + // mcmc_acceptance_rejection(); + // Deciding whether to accept or reject the proposal, + // obtained by mutating/crossover of the individual. + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel + // Metropolis: get a random U[0,1) for each candidate + real_t rand = getRandUnifNorm(); + + Genome& orig = genomes[i]; + Genome& muta = genomes[i+POP_SIZE]; + // selection: dimensions considered independent + // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) + real_t acceptance = std::min( 1.0, exp( muta.logLik - orig.logLik ) * muta.fbRat ); + + // if acceptance criterion is met then p->p' else does nothing + if ( rand < acceptance ) + orig = muta; + } + + // print best candidate for the current iteration: + if ( (j % 16) == 0 ){ + int best_ind; real_t best_lik; + find_best(genomes, best_ind, best_lik); + fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", + j, best_lik, best_ind ); + } + } + + real_t* result = new real_t[3*NUM_SWAP_QUOTES]; + { // print best candidate for the current iteration: + int best_ind; real_t best_lik; + find_best(genomes, best_ind, best_lik); + //winner = genomes[best_ind]; + winner.a = genomes[best_ind].a; winner.b = genomes[best_ind].b; + winner.rho = genomes[best_ind].rho; winner.nu = genomes[best_ind].nu; + winner.sigma = genomes[best_ind].sigma; winner.logLik = genomes[best_ind].logLik; + + // recompute the calibrated price and the black price! + real_t* quotes = cpu_arrs.get_quote(); + real_t* prices = cpu_arrs.get_price(); + for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { + eval_genome_new ( + winner.a, winner.b, winner.rho, winner.nu, winner.sigma, + SwaptionQuotes+4*ttt, cpu_arrs.tmp_arrs, quote, price + ); + quotes[ttt] = quote; + prices[ttt] = price; + } + + + + // write summary + makeSummary( best_ind, winner, quotes, prices, result ); + } + + // Releasing the CPU resources: + cpu_arrs.releaseResources(); + + return result; +} + +#endif // end ifndef GEN_ALG_FLAT diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h b/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h new file mode 100644 index 0000000..a99d977 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h @@ -0,0 +1,238 @@ +#ifndef CANDIDATE_CLASS +#define CANDIDATE_CLASS + +#include "Constants.h" +#include "GenAlgUtil.h" + + +//========================================================================= +/** + * Candidate: + * - identified by parameters (target, and nuisance) + * - holds one proposal, to be accepted or rejected + * - holds fitness results + * - holds MCMC selection regions + * Population: + * - container of candidates + * - container of proposals + * - caller of mutation functions + * - select if to keep/update candidates and proposals + * MCMC: moves: + * - TODO: Gibbs sampling: single dimension update + * - all dimensions update + * - crossover + */ +//========================================================================= + +/** + * Genome min/max ranges and proposed initial values (not used) + * { g_a, g_b, g_rho, g_nu, g_sigma } + */ +const REAL g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; +const REAL g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; +const REAL g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; +//const REAL Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; + + +/** + * perturbing a genome; requires one random uniform number in [0,1) + */ +inline +REAL perturbation( + const REAL gene, + const REAL gene_k, + const REAL gene_l, + const UINT i, + const REAL gamma1, + const REAL amplitude_ratio +) { + REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + REAL semiamplitude = amplitude / 2.0; + REAL r01 = getRandRandNorm(); + REAL perturb = ( amplitude * r01 - semiamplitude ); + + return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); +} + +/* + * contraining gene i to be within accepted bounds! + */ +inline +REAL constrain_dim1( const int i, const REAL gene ) { + return std::max( g_mins[i], std::min( g_maxs[i], gene ) ); +} + + +/** + * Helper mutate function: requires one uniform random number + */ +Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int i, const REAL amplitude_ratio ) { + REAL forward_range, backward_range; + REAL tmp_min_max, tmp_max_min; + + const REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + const REAL semiamplitude = amplitude / 2.0; + + tmp_min_max = std::min( g_maxs[i], gene + semiamplitude ); + tmp_max_min = std::max( g_mins[i], gene - semiamplitude ); + forward_range = tmp_min_max - tmp_max_min; + + tmp_min_max = std::min( g_maxs[i], gene_prop + semiamplitude ); + tmp_max_min = std::max( g_mins[i], gene_prop - semiamplitude ); + backward_range = tmp_min_max - tmp_max_min; + + const REAL bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; + + // assign p' + REAL r01 = getRandRandNorm(); + REAL diff = amplitude * r01 - semiamplitude; + return Tuple(gene + diff, bf_fact); +} + + +struct Genome { + REAL a; + REAL b; + REAL rho; + REAL nu; + REAL sigma; + REAL logLik; + REAL fbRat; + REAL padding; + + Genome() { + this->a = 0.0; this->b = 0.0; this->rho = 0.0; + this->nu = 0.0; this->sigma = 0.0; this->logLik = 0.0; + this->fbRat = 0.0; + } + Genome( const REAL a, const REAL b, const REAL rho, const REAL nu, + const REAL sigma, const REAL logLik, const REAL fbRat) { + this->a = a; this->b = b; this->rho = rho; + this->nu = nu; this->sigma = sigma; this->logLik = logLik; + this->fbRat = fbRat; + } + Genome(const Genome& gene) { + this->a = gene.a; this->b = gene.b; this->rho = gene.rho; + this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; + this->fbRat = gene.fbRat; + } + Genome& operator=(const Genome& gene) { + this->a = gene.a; this->b = gene.b; this->rho = gene.rho; + this->nu = gene.nu; this->sigma = gene.sigma; this->logLik = gene.logLik; + this->fbRat = gene.fbRat; + return (*this); + } + + + /** + * mutate all dimensions. martingale with uniform prior. + * requires 5 * POP_SIZE uniform random numbers! + * I took out the evaluation of the proposal, since it should be + * done for all types of crossover/mutation/etc + */ + void mutate_dims_all( const Genome& orig, + const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { + REAL fb_rat = 1.0; + Tuple tmp(EPS0, 1.0); + + tmp = mutate_helper( orig.a, this->a, 0, amplitude_ratio ); + this->a = constrain_dim1(0, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.b, this->b, 1, amplitude_ratio ); + this->b = constrain_dim1(1, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.rho, this->rho, 2, amplitude_ratio ); + this->rho = constrain_dim1(2, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.nu, this->nu, 3, amplitude_ratio ); + this->nu = constrain_dim1(3, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.sigma, this->sigma, 4, amplitude_ratio ); + this->sigma = constrain_dim1(4, tmp.fst); + fb_rat *= tmp.snd; + + this->fbRat = fb_rat; + } + + /** + * mutate ONE dimension (Gibbs sampling). martingale with uniform prior + * dimension to be changed is given as input: has to be the same for + * all population. Memory coalescence? + * Requires POP_SIZE random uniform numbers! + */ + void mutate_dims_one( const Genome& orig, + const int dim_j, + const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO + ) { + REAL fb_rat = 1.0; + + Tuple tmp(EPS0, 1.0); + tmp = mutate_helper( orig.a, this->a, 0, (dim_j == 0) ? amplitude_ratio : 0.0 ); + this->a = constrain_dim1(0, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.b, this->b, 1, (dim_j == 1) ? amplitude_ratio : 0.0 ); + this->b = constrain_dim1(1, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.rho, this->rho, 2, (dim_j == 2) ? amplitude_ratio : 0.0 ); + this->rho = constrain_dim1(2, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.nu, this->nu, 3, (dim_j == 3) ? amplitude_ratio : 0.0 ); + this->nu = constrain_dim1(3, tmp.fst); + fb_rat *= tmp.snd; + + tmp = mutate_helper( orig.sigma, this->sigma, 4, (dim_j == 4) ? amplitude_ratio : 0.0 ); + this->sigma = constrain_dim1(4, tmp.fst); + fb_rat *= tmp.snd; + + this->fbRat = fb_rat; + } + + /** + * Crossover + */ + void mcmc_DE( const Genome& orig, + const Genome& gene_k, + const Genome& gene_l, + const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), + const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO + ) { + // proposal + // gamma: integrated out from the adviced + // Multivariate Gaussian with Gaussian target (Braak, 2006) + REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); + + this->a = constrain_dim1( 0, perturbation( orig.a, gene_k.a, gene_l.a, 0, gamma1, ampl_ratio ) ); + this->b = constrain_dim1( 1, perturbation( orig.b, gene_k.b, gene_l.b, 1, gamma1, ampl_ratio ) ); + this->rho = constrain_dim1( 2, perturbation( orig.rho, gene_k.rho, gene_l.rho, 2, gamma1, ampl_ratio ) ); + this->nu = constrain_dim1( 3, perturbation( orig.nu, gene_k.nu, gene_l.nu, 3, gamma1, ampl_ratio ) ); + this->sigma = constrain_dim1( 4, perturbation( orig.sigma, gene_k.sigma, gene_l.sigma, 4, gamma1, ampl_ratio ) ); + + this->fbRat = 1.0; // TODO: fix + } + + /** + * accepting the proposal + */ + void accept( const Genome& mutated ) { + this->a = mutated.a; + this->b = mutated.b; + this->rho = mutated.rho; + this->nu = mutated.nu; + this->sigma = mutated.sigma; + this->logLik = mutated.logLik; + this->fbRat = mutated.fbRat; + } +}; + +#endif // #ifndef CANDIDATE_CLASS + + + + diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile new file mode 100644 index 0000000..14669d4 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile @@ -0,0 +1,31 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h +OBJECTS =SwapCalib.o +EXECUTABLE =SwapCalib + +default: $(EXECUTABLE) + +%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + ./$(EXECUTABLE) diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp new file mode 100644 index 0000000..84d002b --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp @@ -0,0 +1,61 @@ +/****************************************/ +/*** Translated to C++ Cosmin Oancea ***/ +/*** from an original OCaml code ***/ +/*** (sequential) by LexiFi ***/ +/*** and a sequential Python implem ***/ +/*** using a different genetic alg.***/ +/*** by Christian Andreetta ***/ +/****************************************/ + +#include "Util.h" +#include "Constants.h" +#include "ParseInput.h" +#include "GenAlgFlat.h" + +int main() +{ + Genome gene; + real_t* calib_arr = NULL; + + printf("\n// Running Original Sequential Swaption-Calibration Benchmark\n"); + + readDataSet( POP_SIZE, MCMC_LOOPS, + NUM_SWAP_QUOTES, SwaptionQuotes, + NUM_HERMITE, HermiteCoeffs, HermiteWeights, + NUM_SOBOL_BITS, SobolDirVct + ); + + unsigned long int elapsed_usec = 0; + { // Main Computational Kernel + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + calib_arr = mainKernelSeqCPU(gene); + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; + } + + { // writeback of the result + FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); + FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); + const int Ps = get_CPU_num_threads(); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + + writeResult(result, + wg_a, + wg_b, + wg_sigma, + wg_nu, + wg_rho, + wg_logLik, + calib_arr); + + fclose(result); + } + + return 1; +} + diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h b/benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h new file mode 100644 index 0000000..b21da96 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/UtilCPU.h @@ -0,0 +1,48 @@ +#ifndef CPU_UTILITIES +#define CPU_UTILITIES + +struct IntermElem { + real_t ci; + real_t t1_cs; + real_t bai; + real_t bbi; + real_t aici; + real_t log_aici; + real_t scale; + real_t hat_scale; + + IntermElem() { } +}; + +struct SeqArrays { + + // max size of temp arrays + const uint MaxSzTmpArrs; + + // [ MaxSzTmpArrs ] + IntermElem* tmp_arrs; + + // [ 2 * POP_SIZE ] + Genome* genomes; + + // [ 2 * NUM_SWAP_QUOTES ] + real_t* new_quote_price; + + SeqArrays (const uint m) : MaxSzTmpArrs(m) { + genomes = new Genome[ 2 * POP_SIZE ]; + tmp_arrs = new IntermElem[MaxSzTmpArrs]; + + new_quote_price = new real_t [ 2 * NUM_SWAP_QUOTES ]; + } + + void releaseResources() { + delete[] genomes; + delete[] tmp_arrs; + delete[] new_quote_price; + } + + // get the quotes prices for genome i + real_t* get_quote () { return new_quote_price; } + real_t* get_price () { return new_quote_price + NUM_SWAP_QUOTES; } +}; +#endif // CPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/static_configuration_template.json b/benchmarks/InterestCalib/implementations/cpp_sequential/static_configuration_template.json new file mode 100644 index 0000000..5087e27 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/static_configuration_template.json @@ -0,0 +1,3 @@ +{ + "REAL_TYPE": ["float", "double"] +} diff --git a/benchmarks/InterestCalib/lib/include/Constants.h b/benchmarks/InterestCalib/lib/include/Constants.h index 357f6ba..5d22d72 100644 --- a/benchmarks/InterestCalib/lib/include/Constants.h +++ b/benchmarks/InterestCalib/lib/include/Constants.h @@ -3,6 +3,8 @@ #include #include + +#include "real.h" #include "KerConsts.h" #ifdef __APPLE__ @@ -15,13 +17,13 @@ typedef uint UINT; /******** DATE RELATED STUFF *********/ /*************************************/ -#if WITH_FLOAT - const REAL INFTY = 1.0e38; +#if REAL_IS_FLOAT + const real_t INFTY = 1.0e38; #else - const REAL INFTY = 1.0e49; + const real_t INFTY = 1.0e49; #endif -bool equalEps(REAL x1, REAL x2) { +bool equalEps(real_t x1, real_t x2) { return ( fabs(x1-x2) <= 1.0e-8 ); } @@ -37,16 +39,16 @@ struct Date { }; //"2299-12-31T23:59:59" -REAL MAX_DATE = 168307199.0; +real_t MAX_DATE = 168307199.0; //"1980-01-01T12:00:00" -REAL MIN_DATE = 3600.0; +real_t MIN_DATE = 3600.0; #include "Date.h" // Date.of_string("2012-01-01") -const REAL TODAY = static_cast( date_of_gregorian( Date(2012, 1, 1, 12, 0) ) ); +const real_t TODAY = static_cast( date_of_gregorian( Date(2012, 1, 1, 12, 0) ) ); /*************************************/ @@ -60,7 +62,7 @@ const uint LWG_FB = 256; /*************************************/ /******** MATH RELATED STUFF *********/ /*************************************/ -//const REAL R = 0.03; +//const real_t R = 0.03; const uint IT_MAX= 10000; // a.k.a. itMax template @@ -71,14 +73,14 @@ struct Triple { struct SwapOfSwap { const UINT n; // size of swap_sched - REAL* swap_sched1; - REAL* swap_sched2; - REAL maturity; - REAL strike; + real_t* swap_sched1; + real_t* swap_sched2; + real_t maturity; + real_t strike; SwapOfSwap(const UINT len) : n(len) { - swap_sched1 = new REAL[n]; - swap_sched2 = new REAL[n]; + swap_sched1 = new real_t[n]; + swap_sched2 = new real_t[n]; } void cleanUp() { delete[] swap_sched1; @@ -90,13 +92,13 @@ struct SwapOfSwap { // Gaussian Quadrature with Hermite linear expansion: cmulative distribution function of Normal distribution UINT NUM_HERMITE; // 11 -REAL* HermiteCoeffs; // [NUM_HERMITE] -REAL* HermiteWeights;// [NUM_HERMITE] +real_t* HermiteCoeffs; // [NUM_HERMITE] +real_t* HermiteWeights;// [NUM_HERMITE] //========================================================================= UINT NUM_SWAP_QUOTES; //196 // 196 x { maturity_in_year * swap_frequency * swap_term_in_year * volatility } -REAL* SwaptionQuotes; //[NUM_SWAP_QUOTES,4] +real_t* SwaptionQuotes; //[NUM_SWAP_QUOTES,4] UINT NUM_SOBOL_BITS; // 30 int* SobolDirVct; // [SOBOL_BITS_NUM] @@ -109,14 +111,14 @@ int PROCS; const UINT SEED = 12345; const UINT GENOME_DIM = 5; -const REAL GENOME_SCALE = 1.0; +const real_t GENOME_SCALE = 1.0; // Likelihood Parameters enum Likelihood_Type { CAUCHY, NORMAL }; const Likelihood_Type LLHOOD_TYPE = CAUCHY; //NORMAL; -const REAL LLHOOD_CAUCHY_OFFS = 5.0; -const REAL LLHOOD_NORMAL_OFFS = 1.0; +const real_t LLHOOD_CAUCHY_OFFS = 5.0; +const real_t LLHOOD_NORMAL_OFFS = 1.0; // population @@ -127,7 +129,7 @@ UINT POP_SIZE; //const UINT MCMC_LOOPS = (UINT) ( 100.0 * (1.0 + log(GENOME_SCALE)) * // (2.0 + log(GENOME_DIM )) + 64);//was 2.0+... UINT MCMC_LOOPS; -const REAL MOVES_UNIF_AMPL_RATIO = 0.005 / GENOME_SCALE; +const real_t MOVES_UNIF_AMPL_RATIO = 0.005 / GENOME_SCALE; // Generic Tuple template @@ -138,7 +140,7 @@ struct Tuple { }; enum Move_Type { DIMS_ALL, DIMS_ONE, DEMCMC, NONE }; -typedef Tuple MV_EL_TYPE; +typedef Tuple MV_EL_TYPE; const UINT CUMDENSFCT_CARD = 3; MV_EL_TYPE mcmc_moves_selection_cumdensfct[3] = //{ MV_EL_TYPE(0.0,DIMS_ALL), MV_EL_TYPE(0.0,DIMS_ONE), MV_EL_TYPE(1.0,DEMCMC) }; diff --git a/benchmarks/InterestCalib/lib/include/KerConsts.h b/benchmarks/InterestCalib/lib/include/KerConsts.h index 52e05b6..ca3256c 100644 --- a/benchmarks/InterestCalib/lib/include/KerConsts.h +++ b/benchmarks/InterestCalib/lib/include/KerConsts.h @@ -31,16 +31,12 @@ /*********************************************/ /*********************************************/ -#if WITH_FLOAT - typedef float REAL; +#if REAL_IS_FLOAT #define EPS0 (0.3e-2) #define EPS (0.2e-4) #define PI (3.14159265358) #else - #pragma OPENCL EXTENSION cl_khr_fp64: enable - - typedef double REAL; #define EPS0 (1.0e-3) #define EPS (1.0e-5) #define PI (3.1415926535897932384626433832795) @@ -57,4 +53,3 @@ #define R 0.03 #endif // KERNEL_CONSTANTS - diff --git a/benchmarks/InterestCalib/lib/include/tmp/Constants.h b/benchmarks/InterestCalib/lib/include/tmp/Constants.h deleted file mode 100644 index 8fd8365..0000000 --- a/benchmarks/InterestCalib/lib/include/tmp/Constants.h +++ /dev/null @@ -1,42 +0,0 @@ -#ifndef CONSTANTS_H -#define CONSTANTS_H - -#define WITH_FLOATS 1 - -#define REAL3_CT 4 -#define TRANSPOSE_UV 1 - -#if (WITH_FLOATS) - typedef float REAL; - typedef unsigned int ULONG; -#else - #pragma OPENCL EXTENSION cl_khr_fp64: enable - typedef double REAL; - typedef unsigned long ULONG; -#endif - -#define WARP (1< -#include - -#include -#include -#include -#include - -#include - -using namespace std; - -/////////////////////////////////////////////////////// -//// FLAGS and CONSTANT SCALARS! -/////////////////////////////////////////////////////// - -#define TRIDAG_ALL_OPT_ON -#define MOST_OPTIMISED_ON - -//#define IS_GPU -//#define DEBUG_PRINT_GPU_INFO - -unsigned int OUTER_LOOP_COUNT; //128; //1024; //100; -unsigned int NUM_X ; //256; //256; //64; //256; -unsigned int NUM_Y ; //32; //32; //32; -unsigned int NUM_T ; //64; //64; //64; -unsigned int NUM_XY ; //NUM_X*NUM_Y; - -/////////////////////////////////////////////////////// -//// GLOBAL ARRAYS ! -/////////////////////////////////////////////////////// - -/// grid /// -REAL* myX ; // 1-dim, size: NUM_X -REAL* myY ; // 1-dim, size: NUM_Y -REAL* myTimeline; // 1-dim, size: NUM_T - -unsigned int myXindex, myYindex; - -/// variable /// -REAL* myResArr; //[OUTER_LOOP_COUNT * NUM_Y * NUM_X]; // 3-dim, size: OUTER_LOOP_COUNT x NUM_Y x NUM_X - - -/// coeffs /// -REAL *myMuX, *myVarX; // 2-dim, size: NUM_X x NUM_Y -REAL *myMuY, *myVarY; // 2-dim, size: NUM_X x NUM_Y - -// operators -REAL *myDx, *myDxx; // 2-dim, size: NUM_X x REAL3_CT -REAL *myDy, *myDyy; // 2-dim, size: NUM_Y x REAL3_CT - -void allocGlobArrs() { - myX = new REAL[NUM_X]; - myY = new REAL[NUM_Y]; - myTimeline = new REAL[NUM_T]; - - myMuX = new REAL[NUM_X * NUM_Y]; - myVarX= new REAL[NUM_X * NUM_Y]; - myMuY = new REAL[NUM_X * NUM_Y]; - myVarY= new REAL[NUM_X * NUM_Y]; - - myDx = new REAL[NUM_X * REAL3_CT]; - myDxx = new REAL[NUM_X * REAL3_CT]; - myDy = new REAL[NUM_Y * REAL3_CT]; - myDyy = new REAL[NUM_Y * REAL3_CT]; - - myResArr = new REAL[OUTER_LOOP_COUNT * NUM_Y * NUM_X]; -} - -void deallocGlobArrs() { - delete[] myX; - delete[] myY; - delete[] myTimeline; - - delete[] myMuX; - delete[] myVarX; - delete[] myMuY; - delete[] myVarY; - - delete[] myDx; - delete[] myDxx; - delete[] myDy; - delete[] myDyy; - - delete[] myResArr; -} - -#endif // end include NORDEA_DATA_STRUCT diff --git a/benchmarks/InterestCalib/lib/include/tmp/G2PP.h b/benchmarks/InterestCalib/lib/include/tmp/G2PP.h deleted file mode 100644 index 9788da6..0000000 --- a/benchmarks/InterestCalib/lib/include/tmp/G2PP.h +++ /dev/null @@ -1,326 +0,0 @@ -#ifndef G2PP -#define G2PP - -#include "Constants.h" -#include "Date.h" -#include "MathModule.h" -#include "G2ppUtil.h" - -#include "GenAlgUtil.h" - -////////////////////////// -// Root finder -////////////////////////// - -REAL exactYhat( const UINT& n_schedi, - - const REAL& b, // scals begins - const REAL& sigmax, - const REAL& sigmay, - const REAL& rhoxy, - const REAL& rhoxyc, - const REAL& rhoxycs, - const REAL& mux, - const REAL& muy, // scals ends - - const REAL* bai, // babaicis begins - const REAL* bbi, - const REAL* aici, - const REAL* log_aici, // babaicis ends - - REAL* scales, - const REAL& x -) { - // ugaussian_Pinv(k)=1.0e~4 - const REAL k = - 3.71901648545568; - - REAL up = 0.0, lo = -INFTY; - for( UINT i = 0; i < n_schedi; i++ ) { - REAL baix = bai[i] * x; - - REAL up_term = aici[i] * exp( -baix ); - scales[i] = up_term; - up += up_term; - lo = std::max( lo, ( log_aici[i] - baix ) / bbi[i] ); - } - -// if ( n_schedi == 1 ) { return lo; } // delete[] scales; - - // CHECKING uplo!!!! - const REAL log_s = log(up); - REAL tmp = log_s / bbi[n_schedi-1]; - - if ( tmp <= 0.0 ) { - up = tmp; - } else { - tmp = log_s / bbi[0]; - if ( 0.0 <= tmp ) up = tmp; - else up = - INFTY; - } - - const REAL yl = lo - EPS; - const REAL yu = up + EPS; - - const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; - const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; - - REAL res; - if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS - else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) - else { - const REAL root_lb = std::max( yl, y0 ); - const REAL root_ub = std::min( yu, y1 ); - - REAL root, error; UINT iter; - rootFinding_Brent(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); - //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); - - res = ( error == -INFTY ) ? y0 - 1.0 : ( error == INFTY ) ? y1 + 1.0 : root; - } - - return res; -} - - - -/////////////////////////////////////////////////////////// -/////////////////////////////////////////////////////////// -/// Main function of Module G2PP: pricer_of_swaption /// -/////////////////////////////////////////////////////////// -/////////////////////////////////////////////////////////// - -REAL pricer_of_swaption( const REAL& today, - - const REAL& sw_mat, // swaptionQuote begins ... - const REAL& sw_freq, - const REAL& sw_ty, // swaptionQuote ends. - - const REAL& a, // genome begins ... - const REAL& b, - const REAL& rho, - const REAL& nu, - const REAL& sigma // genome ends. -) { - //SwapOfSwap sos = extended_swaption_of_swaption(sw_mat, sw_freq, sw_ty); - const REAL maturity = add_years( TODAY, sw_mat ); - const UINT n_schedi = static_cast(12.0 * sw_ty / sw_freq); -// - const REAL tmat0 = date_act_365( maturity, today ); // BIG BUG -- was TODAY - REAL v0_mat, dummy1, dummy2; - bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); -// - const REAL mux = - bigmx( a, b, rho, nu, sigma, today, maturity, today, maturity ); - const REAL muy = - bigmy( a, b, rho, nu, sigma, today, maturity, today, maturity ); -// - const REAL zc_mat = zc(maturity); -// - const REAL sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); - const REAL sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); - const REAL rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); - const REAL sigmax = sigma * sqrt_bfun_a; - const REAL sigmay = nu * sqrt_bfun_b; - - const REAL rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel - const REAL rhoxycs = sqrt( rhoxyc ); // used in reduction kernel - const REAL sigmay_rhoxycs = sigmay * rhoxycs; - const REAL t4 = (rhoxy * sigmay) / sigmax; -// - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; - for( UINT i = 0; i < n_schedi; i++ ) { - REAL a1 = add_months( maturity, sw_freq*i ); - //sos.swap_sched1[i] = a1; - REAL a2 = add_months( a1, sw_freq ); - //sos.swap_sched2[i] = a2; - - // Reduction( lvl: +, t0 : min, tn : max ) - lvl += zc(a2) * date_act_365(a2, a1); - t0 = std::min(t0, a1); - tn = std::max(tn, a2); - } - - const REAL strike = ( zc(t0) - zc(tn) ) / lvl; -// - REAL* ci = new REAL[n_schedi]; - REAL* bai = new REAL[n_schedi]; - REAL* bbi = new REAL[n_schedi]; - REAL* aici = new REAL[n_schedi]; - REAL* log_aici = new REAL[n_schedi]; - REAL* t1_cs = new REAL[n_schedi]; - REAL* scale = new REAL[n_schedi]; - REAL* hat_scale= new REAL[n_schedi]; - - for( UINT i = 0; i < n_schedi; i++ ) { - const REAL beg_date = add_months( maturity, sw_freq*i ); //scheduleix[i]; - const REAL end_date = add_months( beg_date, sw_freq ); //scheduleiy[i]; - const REAL res = date_act_365( end_date, beg_date ) * strike; - - const REAL cii = ( i == n_schedi-1 ) ? 1.0 + res : res; - - REAL v0_end, vt_end, baii, bbii, date_tod1, date_tod2; - date_tod1 = date_act_365(end_date, today); - bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); - date_tod2 = date_act_365(end_date, maturity); - bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); - - const REAL expo_aici = 0.5 * (vt_end - v0_end + v0_mat); - const REAL fact_aici = cii * zc(end_date) / zc_mat; - ci [i] = fact_aici; // reuse the space to hold the factor of t1_cs - t1_cs [i] = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; // hold only the exponent of the original t1_cs; - - bai [i] = baii; - bbi [i] = bbii; - aici [i] = fact_aici * exp( expo_aici ); - log_aici[i] = log( fact_aici ) + expo_aici; - scale [i] = - ( baii + bbii * t4 ); - - if( isinf(aici[i]) || isnan(aici[i]) ) { - printf("NaN aici in pricer of swaption. Exiting!\n"); exit(0); - } - } -// - - const REAL eps = 0.5 * sigmax; - - const REAL f = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux ); - const REAL g = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux + eps ); - const REAL h = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux - eps ); - const REAL df = 0.5 * ( g - h ) / eps; - - // AT this point we need: - // scalars: sqrt2sigmax, t2, f, df, mux, muy, sigmay_rhoxycs, zc_mat - // arrays : t1_cs, bbi, scale, ci - - const REAL sqrt2sigmax = sqrt(2.0) * sigmax; - const REAL t2 = rhoxy / (sigmax*rhoxycs); - // t2 * (sqrt2sigmax * x_quad) -> sqrt(2.0) * rhoxy / rhoxycs * xquad - - REAL accum0 = 0.0; - for( UINT j = 0; j < Gauss_DIM; j++ ) { - const REAL x_quad = GaussHermiteCoefs::coefs [j]; - const REAL w_quad = GaussHermiteCoefs::weights[j]; - - const REAL x = sqrt2sigmax * x_quad + mux; - - const REAL yhat_x = f + df*(x - mux); - const REAL h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); - - REAL accum1 = 0.0; - for( UINT i = 0; i < n_schedi; i++ ) { - const REAL h2 = h1 + bbi[i] * sigmay_rhoxycs; - - const REAL expo_aici = t1_cs[i] + scale[i]*x; - const REAL fact_aici = ci[i]; -// accum1 += fact_aici * exp(expo_aici) * uGaussian_P(-h2); - const REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); - accum1 += fact_aici * expo_part; - - if( isnan(accum1) || isinf(accum1) ) { - printf( "accum is Nan -- expo_aici: %f, fact_aici: %f, h2: %f, t1_cs: %f, scale: %f, x: %f, bbi: %f, mux: %f, muy: %f\n", - expo_aici, fact_aici, h2, t1_cs[i], scale[i], x, bbi[i], mux, muy ); - printf( "accum is Nan -- t4: %f, rhoxyc: %f, v0mat: %f, b: %f, aici: %f\n", - t4, rhoxyc, v0_mat, b, aici[i] ); - exit(0); - } - } - - REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; - const REAL t1 = exp( - 0.5 * tmp * tmp ); - - accum0 += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); - } - - if( isnan(accum0) || isinf(accum0) ) { - printf("Numerically Instable Implem: end of pricer_of_swaption: accum0 in NaN or Inf!\n"); - exit(0); - } - - delete[] ci; delete[] hat_scale; - delete[] bai; delete[] aici; delete[] log_aici; - delete[] bbi; delete[] t1_cs; delete[] scale; - - return zc_mat * ( accum0 / sqrt( PI ) ); -} - - -//////////////////////////////// -//// Pricer for one genome: //// -//////////////////////////////// - -REAL pricer (const REAL a = 0.02453, const REAL b = 0.98376, const REAL rho = -0.82400, const REAL nu = 0.11830, const REAL sigma = 0.02398) { - //let genome = {0.02453, 0.98376, ~0.82400, 0.11830, 0.02398} in - - REAL rms = 0.0, logLik = 0.0; - for( UINT i = 0; i < NUM_SWAP_QUOTES; i++ ) { - const REAL mat_year = SwaptionQuotes[i][0]; - const REAL swap_freq = SwaptionQuotes[i][1]; - const REAL term_year = SwaptionQuotes[i][2]; - const REAL quote = SwaptionQuotes[i][3]; - - const REAL g2pp_price = pricer_of_swaption( TODAY, mat_year, swap_freq, term_year, a, b, rho, nu, sigma); - const REAL market_price = black_price ( TODAY, mat_year, swap_freq, term_year, quote ); - - const REAL tmp = (g2pp_price - market_price) / market_price; - rms += tmp * tmp; - logLik += logLikelihood( market_price, g2pp_price ); - } - - rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); - - printf("\n\n!!!!!!!!!!!!!Computed RMS is: %f, Computed LogLik is: %f\n\n", rms, logLik); - - return rms; -} - - -////////////////////////////////////////////////////// -//// Test pricer_of_swaption: -//// -//// params=params2dict(a = 0.02453, b = 0.98376, sigma = 0.02398, nu = 0.11830, rho = -0.82400) -//// swaption=['swaption_maturity_in_year': 10, 'swap_term_in_year': 4, 'swap_frequency': 6] -//// assert "%.3f" % (1e4*pricer_of_swaption(today=today,zc=zc,swaption=swaption,params=params)) == "657.822" -//// swaption=['swaption_maturity_in_year': 30, 'swap_term_in_year': 30, 'swap_frequency': 6] -//// assert "%.3f" % (1e4*pricer_of_swaption(today=today,zc=zc,swaption=swaption,params=params)) == "1902.976" -//// -////////////////////////////////////////////////////// - - -void test_pricer_of_swaption() { - const REAL a = 0.02453; - const REAL b = 0.98376; - const REAL rho = -0.82400; - const REAL nu = 0.11830; - const REAL sigma = 0.02398; - - // (maturity, frequency, term) = swaption - REAL maturity = 10.0; - REAL freq = 6.0; - REAL term = 4.0; - - const REAL price1 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma); - printf("Pricer_of_swaption test I = 657.82158867845 : "); - if( equalEps(price1, 657.82158867845) ) printf(" SUCCESS!\n\n"); - else printf("%f FAILS!\n\n", price1); - - // let swaption = {30.0, 6.0, 30.0} - maturity = 30.0; - freq = 6.0; - term = 30.0; - - const REAL price2 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma ); - printf("Pricer_of_swaption test II = 1902.97628191498 : "); - if( equalEps(price2, 1902.97628191498) ) printf(" SUCCESS!\n\n"); - else printf("%f FAILS!\n\n", price2); - - - //let swaption = {30.0, 6.0, 25.0} in - maturity = 30.0; - freq = 6.0; - term = 25.0; - - const REAL price3 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma ); - printf("Pricer_of_swaption test III = 1840.859126408099 : "); - if( equalEps(price3, 1840.859126408099) ) printf(" SUCCESS!\n\n"); - else printf("%f FAILS!\n\n", price3); -} - -#endif // ifndef G2PP From ec2f52c0ccdd0b34770d788123e6c91cdc287817 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 10:02:04 +0200 Subject: [PATCH 074/122] Dynamic thread count configuration. --- .../cpp_openmp/dynamic_configuration_template.json | 1 + 1 file changed, 1 insertion(+) create mode 100644 benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json b/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json new file mode 100644 index 0000000..14298aa --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json @@ -0,0 +1 @@ +{"NUM_THREADS": [1,2,3,4]} From 884f6ba7470f7fcc7b631e4d172a3e59a1e3c7da Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 12:35:40 +0200 Subject: [PATCH 075/122] Port Haskell implementation. --- .../implementations/haskell_lh/Constants.hs | 103 +++++ .../implementations/haskell_lh/Date.hs | 155 +++++++ .../implementations/haskell_lh/EvalGenome.hs | 214 ++++++++++ .../implementations/haskell_lh/Genome.hs | 128 ++++++ .../implementations/haskell_lh/Makefile | 26 ++ .../implementations/haskell_lh/MathMod.hs | 390 ++++++++++++++++++ .../implementations/haskell_lh/SwapCalib | Bin 0 -> 5575328 bytes .../implementations/haskell_lh/SwapCalib.hs | 277 +++++++++++++ 8 files changed, 1293 insertions(+) create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/Constants.hs create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/Date.hs create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/Makefile create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs create mode 100755 benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib create mode 100644 benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Constants.hs b/benchmarks/InterestCalib/implementations/haskell_lh/Constants.hs new file mode 100644 index 0000000..e9502fc --- /dev/null +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Constants.hs @@ -0,0 +1,103 @@ +module Constants + ( + eps + , eps0 + , infty +-- , rrr + , sobolNum +-- , pop_size +-- , num_mcmc_its + , genome_dim + , genome_scale + , MOVE_TYPE(DIMS_ALL,DIMS_ONE,DEMCMC) + , selectMoveType + , equalEps + , reduce + , Swaption + , Genome + ) where + + +import Data.Bits +import Data.Vector.Unboxed(Vector) +import qualified Data.Vector.Unboxed as V + +import Debug.Trace + +data MOVE_TYPE = DIMS_ALL + | DIMS_ONE + | DEMCMC + deriving(Show) + +type Swaption = (Double, Double, Double, Double) +type Genome = (Double, Double, Double, Double, Double) + +equalEps :: Double -> Double -> Bool +equalEps x1 x2 = abs (x1 - x2) <= 1.0e-8 + +selectMoveType :: Double -> MOVE_TYPE +selectMoveType move_selected = + if move_selected <= 0.2 then DIMS_ALL + else if move_selected <= 0.5 then DIMS_ONE + else {- move_selected <= 1.0 -} DEMCMC + + +eps0 :: Double +eps0 = 1.0e-3 + +eps :: Double +eps = 1.0e-5 + +infty :: Double +infty = 1.0e49 + +--pop_size :: Int +--pop_size = 128 +-- +--num_mcmc_its :: Int +--num_mcmc_its = truncate $ (2.0 + (log (fromIntegral genome_dim))) * +-- (1.0 + (log genome_scale)) * 100.0 + +genome_scale :: Double +genome_scale = 1.0 + +genome_dim :: Int +genome_dim = 5 + +--------------------------------------------- +--- Definition of lish-homomorphic reduce --- +--- requires a binary associative op --- +--------------------------------------------- + +reduce :: (a -> a -> a) -> a -> [a] -> a +reduce bop ne lst = foldl bop ne lst + +--------------------------------- +--- Sobol Numbers Computation --- +--------------------------------- + +num_sobol_bits :: Int +num_sobol_bits = 30 + +sobol_norm :: Double +sobol_norm = 1.0 / (1.0 + (2.0 ** (fromIntegral num_sobol_bits))) + +grayCode :: Int -> Int +grayCode x = (x `shiftR` 1) `xor` x + +sobolNum :: Vector Int -> Int -> Double +sobolNum dir_vct n = + let n_gray = grayCode n + ires = V.ifoldl (\res i dir -> + if testBit n_gray i + then res `xor` dir + else res + ) 0 dir_vct + rres = sobol_norm * (fromIntegral ires) + in rres -- trace ("Sobol Num "++show n++" is: "++show rres) rres + +--sobolNums :: Vector int -> Int -> Int -> Vector Double +--sobolNums dir_vct beg_offs end_offs = + + +-- ifoldl :: Unbox b => (a -> Int -> b -> a) -> a -> Vector b -> a diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Date.hs b/benchmarks/InterestCalib/implementations/haskell_lh/Date.hs new file mode 100644 index 0000000..fe3be36 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Date.hs @@ -0,0 +1,155 @@ +module Date ( + today + , max_date + , min_date + , dateAct365 + , addMonths + , addYears + , test_dates + ) where + +import Constants +import Debug.Trace + +type GregDate = (Int,Int,Int,Int,Int) -- (year,month,day,hour,min) + +today :: Double +today = fromIntegral $ date_of_gregorian (2012, 1, 1, 12, 0) + +--"2299-12-31T23:59:59" +max_date :: Double +max_date = 168307199.0 + +--"1980-01-01T12:00:00" +min_date :: Double +min_date = 3600.0 + +hours_in_day :: Int +hours_in_day = 24 +minutes_in_day = hours_in_day * 60 +minutes_to_noon = (hours_in_day `div` 2) * 60 + + +date_of_gregorian :: GregDate -> Int +date_of_gregorian (year,month,day,hour,min) = + let ym = if month == 1 || month == 2 + then ( 1461 * ( year + 4800 - 1 ) ) `div` 4 + + ( 367 * ( month + 10 ) ) `div` 12 - + ( 3 * ( ( year + 4900 - 1 ) `div` 100 ) ) `div` 4 + + else ( 1461 * ( year + 4800 ) ) `div` 4 + + ( 367 * ( month - 2 ) ) `div` 12 - + ( 3 * ( ( year + 4900 ) `div` 100 ) ) `div` 4 + + tmp = ym + day - 32075 - 2444238 + + in tmp * minutes_in_day + hour * 60 + min + + +gregorian_of_date :: Int -> GregDate +gregorian_of_date minutes_since_epoch = + let jul = minutes_since_epoch `div` minutes_in_day + l1 = jul + 68569 + 2444238 + n = ( 4 * l1 ) `div` 146097 + l2 = l1 - ( 146097 * n + 3 ) `div` 4 + i = ( 4000 * ( l2 + 1 ) ) `div` 1461001 + + l3 = l2 - ( 1461 * i ) `div` 4 + 31 + j = ( 80 * l3 ) `div` 2447 + d = l3 - ( 2447 * j ) `div` 80 + l = j `div` 11 + + m = j + 2 - ( 12 * l ) + y = 100 * ( n - 49 ) + i + l + + daytime = mod minutes_since_epoch minutes_in_day + + in if ( daytime == minutes_to_noon ) + then (y, m, d, 12, 0) + else (y, m, d, daytime `div` 60, mod daytime 60) + +check_date :: Int -> Int -> Int -> Bool +check_date year month day = + let tmp1 = (1 <= day) && (1 <= month) && (month <= 12) && (1980 <= year) && (year <= 2299) + tmp2 = (day <= 28) + tmp3 = if (month == 2) + then (day == 29) && ((mod year 4) == 0) && ( year == 2000 || (not ((mod year 100) == 0)) ) + else if ( month == 4 || month == 6 || month == 9 || month == 11 ) + then ( day <= 30 ) + else ( day <= 31 ) + in tmp1 && (tmp2 || tmp3) + + +days_between :: Double -> Double -> Double +days_between t1 t2 = (t1 - t2) / (fromIntegral minutes_in_day) + +dateAct365 :: Double -> Double -> Double +dateAct365 t1 t2 = (days_between t1 t2) / 365.0 + +leap :: Int -> Bool +leap y = ( (mod y 4) == 0 ) && ( not ( (mod y 100) == 0 ) || ( (mod y 400) == 0 ) ) + +end_of_month :: Int -> Int -> Int +end_of_month year month = + let leap_year = leap year + in if ( month == 2 && leap_year ) then 29 + else if ( month == 2 ) then 28 + else if ( month == 4 || month == 6 || month == 9 || month == 11 ) then 30 + else 31 + +addMonths :: Double -> Double -> Double +addMonths time rnbmonths = + let nbmonths = truncate rnbmonths + (year,month,day,hour,min) = gregorian_of_date (truncate time) + + month1 = month + nbmonths + year'' = year + (month1 - 1) `div` 12 + month'' = (mod (month1 - 1) 12) + 1 + + (year''', month''') = if (month'' <= 0) + then (year''-1, month'' + 12) + else (year'', month'') + month_end = end_of_month year''' month''' + day''' = if ( day < month_end ) + then day + else month_end + in fromIntegral $ date_of_gregorian (year''', month''', day''', 12, 0) + + +addYears :: Double -> Double -> Double +addYears date nbyears = addMonths date (nbyears * 12.0) + +test_dates :: Int -> Int +test_dates arg = + let tmp1 = trace ("addMonths(min_date,1)==48240 : ") $ addMonths min_date 1.0 + arg1 = if equalEps tmp1 48240.0 + then trace ("... SUCCESS !") arg + else trace ("... FAILS !") arg + + tmp2 = trace ("addMonths(min_date,2)==90000 : ") $ addMonths min_date 2.0 + arg2 = if equalEps tmp2 90000.0 + then trace ("... SUCCESS !") arg1 + else trace ("... FAILS !") arg1 + + tmp3 = trace ("addYears(min_date,1)==530640 : ") $ addYears min_date 1.0 + arg3 = if equalEps tmp3 530640.0 + then trace ("... SUCCESS !") arg2 + else trace ("... FAILS !") arg2 + + tmp4 = trace ("addYears(min_date,5)==2634480 : ") $ addYears min_date 5.0 + arg4 = if equalEps tmp4 2634480.0 + then trace ("... SUCCESS !") arg3 + else trace ("... FAILS !") arg3 + + tmp5 = trace ("days_between(max_date(),min_date()) == 116877.499306 : ") $ days_between max_date min_date + arg5 = if equalEps tmp5 116877.499305555 + then trace ("... SUCCESS !") arg4 + else trace ("... FAILS !") arg4 + + tmp6 = trace ("act_365(max_date,min_date) == 320.212327 : ") $ dateAct365 max_date min_date + arg6 = if equalEps tmp6 320.2123268645 + then trace ("... SUCCESS !") arg5 + else trace ("... FAILS !") arg5 + + in arg6 + diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs b/benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs new file mode 100644 index 0000000..847b008 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/haskell_lh/EvalGenome.hs @@ -0,0 +1,214 @@ +module EvalGenome + ( + evalGenome + , testSwaptionPricer + ) where + +import Data.List +import Data.Vector.Unboxed(Vector) +import qualified Data.Vector.Unboxed as V +import Control.DeepSeq + +import Constants +import Date +import MathMod + +import Debug.Trace + + + +---------------------------------- +--- Main Export of this Module --- +---------------------------------- +evalGenome :: [Double] -> [Double] -> [Swaption] -> Vector Double + -> ( Double, Vector Double, Vector Double ) -- (logLik,calib_prices, black_prices) [NUM_SWAP_QUOTES] +evalGenome hermite_coeffs hermite_weights swaption_quotes genome = + let genome_tup = -- (a, b, rho, nu, sigma) = + (genome V.! 0, genome V.! 1, genome V.! 2, genome V.! 3, genome V.! 4) + + (black_prices, swap_prices, swap_logLiks) = unzip3 $ + map (pricerOfSwaption hermite_coeffs hermite_weights genome_tup) swaption_quotes + + swap_logLik = reduce (+) 0.0 swap_logLiks + swap_price_vct = V.fromList swap_prices + black_price_vct= V.fromList black_prices + + in swap_logLik `deepseq` swap_price_vct `deepseq` black_price_vct `deepseq` + ( swap_logLik, swap_price_vct, black_price_vct ) + -- ( swap_logLik, V.fromList swap_prices, V.fromList black_prices ) + + +pricerOfSwaption :: [Double] -> [Double] -> Genome -> Swaption + -> (Double, Double, Double) -- (Black Price, Swapt Price, LogLikelihood) +pricerOfSwaption hermite_coeffs hermite_weights -- Hermite coefficients & weights + genome (sw_mat, sw_freq, sw_ty, sw_quote) = -- swaption + + let (a, b, rho, nu, sigma) = genome + maturity = addYears today sw_mat + n_schedi = truncate $ 12.0 * sw_ty / sw_freq + tmat0 = dateAct365 maturity today + + -- 1. compute quote, i.e., black price inlined + (lvl,t0,tn) = swapSchedule n_schedi maturity sw_freq + strike = ( (zc t0) - (zc tn) ) / lvl + d1 = 0.5 * sw_quote * tmat0 + d2 = 0.0 - d1 + black_price = ( lvl * ( strike * (uGaussianP d1) - strike * (uGaussianP d2) ) ) + + -- 2. estimate the swaption price for this particular genome, + -- and also compute its likelihood + (v0_mat,_,_) = bigV genome tmat0 + mux = 0.0 - (bigmX genome today maturity today maturity) + muy = 0.0 - (bigmY genome today maturity today maturity) + zc_mat = zc maturity + sqrt_bfun_a = sqrt $ bFun (2.0*a) tmat0 + sqrt_bfun_b = sqrt $ bFun (2.0*b) tmat0 + rhoxy = rho * (bFun (a+b) tmat0) / (sqrt_bfun_a * sqrt_bfun_b) + sigmax = sigma * sqrt_bfun_a + sigmay = nu * sqrt_bfun_b + rhoxyc = 1.0 - rhoxy * rhoxy + rhoxycs = sqrt rhoxyc + sigmay_rhoxycs = sigmay * rhoxycs + t4 = (rhoxy * sigmay) / sigmax + + (cs, t1_cs, bas, bbs, aics, log_aics, scales) = unzip7 $ + map (\ i -> + let beg_date = addMonths maturity (sw_freq*(fromIntegral i)) + end_date = addMonths beg_date sw_freq + res = (dateAct365 end_date beg_date) * strike + + cii = if i == n_schedi-1 then 1.0 + res else res + + date_tod1 = dateAct365 end_date today + (v0_end,_,_) = bigV genome date_tod1 + + date_tod2 = dateAct365 end_date maturity + (vt_end,bai,bbi) = bigV genome date_tod2 + + expo_aici = 0.5 * (vt_end - v0_end + v0_mat) + fact_aici = cii * zc(end_date) / zc_mat + + t1_c = bbi * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbi) ) + expo_aici + -- sanity = ! ( isinf(aici[i]) || isnan(aici[i]) ); + in ( fact_aici, t1_c, bai, bbi, fact_aici * (exp expo_aici), + expo_aici + (log fact_aici), 0.0 - (bai + bbi * t4) ) + ) [0..n_schedi-1] + + exactYhatSpec = exactYhat n_schedi b sigmax sigmay + rhoxy rhoxyc rhoxycs mux muy + bas bbs aics log_aics + eps = 0.5 * sigmax; + f = exactYhatSpec mux + g = exactYhatSpec (mux + eps) + h = exactYhatSpec (mux - eps) + df = 0.5 * ( g - h ) / eps; + + sqrt2sigmax = (sqrt 2.0) * sigmax + t2 = rhoxy / (sigmax*rhoxycs) + + accums = + zipWith (\x_quad w_quad -> + let x = sqrt2sigmax * x_quad + mux + yhat_x = f + df*(x - mux) + h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ) + + accs1= zipWith4 (\bbi t1_csi ci scalei -> + let h2 = h1 + bbi * sigmay_rhoxycs + expo_aici = t1_csi + scalei*x + fact_aici = ci + --fact_aici * (exp expo_aici) * (uGaussianP (-h2)) + expo_part = uGaussianPwithExpFactor (-h2) expo_aici + in fact_aici * expo_part + ) bbs t1_cs cs scales + accum= reduce (+) 0.0 accs1 + + tmp = (sqrt 2.0) * x_quad; --(x - mux) / sigmax; + t1 = exp $ 0.0 - 0.5*tmp*tmp + + in w_quad * t1 * ( (uGaussianP (-h1)) - accum ) + + ) hermite_coeffs hermite_weights + + accum = reduce (+) 0.0 accums + + swap_price = zc_mat * ( accum / (sqrt pi) ) + logLik = logLikelihood black_price swap_price + in (black_price, swap_price, logLik) +-- tmp = (swap_price - black_price) / black_price +-- in (black_price, swap_price, tmp * tmp) + + +--kkk :: Double +--kkk = -3.71901648545568 + +exactYhat :: Int -> Double -> Double -> Double -> Double + -> Double -> Double -> Double -> Double + -> [Double] -> [Double] -> [Double] -> [Double] + -> Double -> Double +exactYhat n_schedi b sigmax sigmay rhoxy rhoxyc rhoxycs mux muy + bai bbi aici log_aici x = + let kkk = -3.71901648545568 + (scales, los) = unzip $ zipWith4 + (\ baii bbii aicii log_aicii -> + let baix = baii * x + up_term = aicii * (exp (-baix)) + lo_term = ( log_aicii - baix ) / bbii + in (up_term, lo_term) + ) bai bbi aici log_aici + (up0,lo) = reduce (\(u,l) (cu,cl) -> (u+cu, max l cl) ) + (0.0, -infty) (zip scales los) + + in if n_schedi == 1 then lo + else + let log_s = log up0 + tmp = log_s / (last bbi) -- [n_schedi-1]; + up = if tmp <= 0.0 + then tmp + else let tmp2 = log_s / (head bbi) + in if 0.0 <= tmp2 + then tmp2 + else (-infty) + yl = lo - eps + yu = up + eps + + y0 = sigmay * ( rhoxy * (x-mux) / sigmax + kkk * rhoxycs ) - rhoxyc/b + muy + y1 = sigmay * ( rhoxy * (x-mux) / sigmax - kkk * rhoxycs ) + muy + in if ( y1 <= yl ) then y1 + 1.0 + else if ( yu <= y0 ) then y0 - 1.0 + else let root_lb = max yl y0 + root_ub = min yu y1 + (root,_,err) = rootFindBrent scales bbi root_lb root_ub 1.0e-4 + in if err == (-infty) then y0 - 1.0 + else if err == infty then y1 + 1.0 + else root + + +testSwaptionPricer :: [Double] -> [Double] -> Int -> Int +testSwaptionPricer hermite_coeffs hermite_weights arg0 = + let genome = (0.02453, 0.98376, -0.82400, 0.11830, 0.02398) + + swaption1 = (10.0, 6.0, 4.0, 0.2454) + (_,price1,_) = pricerOfSwaption hermite_coeffs hermite_weights genome swaption1 + price1' = trace ("# Pricer_of_swaption test I = 657.8215929143189 => ") $ + 1.0e4 * price1 + arg1 = if equalEps price1' 657.8215929143189 -- 657.82158867845 + then trace ("... SUCCESS !") arg0 + else trace ("... FAILS !"++show price1') arg0 + + swaption2 = (30.0, 6.0, 30.0, 0.16355) + (_,price2,_) = pricerOfSwaption hermite_coeffs hermite_weights genome swaption2 + price2' = trace ("# Pricer_of_swaption test II = 1902.97628191498 => ") $ + 1.0e4 * price2 + arg2 = if equalEps price2' 1902.97628191498 + then trace ("... SUCCESS !") arg1 + else trace ("... FAILS !") arg1 + + swaption3 = (30.0, 6.0, 25.0, 0.1686) + (_,price3,_) = pricerOfSwaption hermite_coeffs hermite_weights genome swaption3 + price3' = trace ("# Pricer_of_swaption test III = 1840.859126408099 => ") $ + 1.0e4 * price3 + arg3 = if equalEps price3' 1840.859126408099 + then trace ("... SUCCESS !") arg2 + else trace ("... FAILS !") arg2 + in arg3 + diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs b/benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs new file mode 100644 index 0000000..ee5d8fd --- /dev/null +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Genome.hs @@ -0,0 +1,128 @@ +module Genome ( + g_mins + , g_maxs + , mutateDimsALL + , mutateDimsONE + , mcmcDE + ) where + +import Constants + +import Data.Vector.Unboxed(Vector) +import qualified Data.Vector.Unboxed as V + +import Debug.Trace + +g_mins :: Vector Double +g_mins = V.fromList [ eps0, eps0, -1.0+eps0, eps0, eps0 ] + +g_maxs :: Vector Double +g_maxs = V.fromList [ 1.0-eps0, 1.0-eps0, 1.0-eps0, 0.2, 0.2 ] + +g_inis :: Vector Double +g_inis = V.fromList [ 0.02, 0.02, 0.0, 0.01, 0.04 ] +-- [ g_a, g_b, g_rho, g_nu, g_sigma ] + +unif_ampl_ratio :: Double +unif_ampl_ratio = 0.005 / genome_scale + + + +-- rand_vct[5], i.e., needs 5 random numbers +mutateDimsALL :: Vector Double -> Vector Double -> Vector Double + -> (Vector Double, Double) +mutateDimsALL genome genome_prop rand_vct = -- 5 rand nums + let (genome_res, bf_facts) = V.unzip $ + V.zipWith5 (mutateHelper unif_ampl_ratio) + rand_vct g_mins g_maxs genome genome_prop + bf_res = V.foldl (*) 1.0 bf_facts + in (genome_res, bf_res) + + +-- needs one random number +mutateDimsONE :: Int -> Vector Double -> Vector Double -> Vector Double + -> (Vector Double, Double) +mutateDimsONE dim_j genome genome_prop rand_vct = -- r01 1 rand num + let (gene, gene_prop) = (genome V.! dim_j, genome_prop V.! dim_j) + (gene_min, gene_max) = (g_mins V.! dim_j, g_maxs V.! dim_j) + r01 = rand_vct V.! dim_j + + (gene_new, bf_res) = mutateHelper unif_ampl_ratio r01 + gene_min gene_max gene gene_prop + genome_res = V.imap (\i g -> if i == dim_j then gene_new else g) genome + in (genome_res, bf_res) + + +-- rand_vct[8], i.e., needs 8 random numbers +mcmcDE :: Int -> [Vector Double] -> Vector Double -> Int + -> (Vector Double, Double) +mcmcDE pop_size genomes rand_vct j = -- 8 rand nums + let gamma_avg = 2.38 / (sqrt (2.0*(fromIntegral genome_dim))) + ampl_ratio = 0.1 * unif_ampl_ratio + + k0 = truncate $ (fromIntegral (pop_size-1))*(rand_vct V.! 0) + (k, cand_UB) = if ( k0 == j ) + then (pop_size - 1, pop_size - 2) + else (k0, pop_size - 1) + + l0 = truncate $ (fromIntegral cand_UB)*(rand_vct V.! 1) + l = -- trace ("(k,j,l0,cand_UB) is: "++show k++" "++show j++" "++show l0++" "++show cand_UB) $ + if l0 == j || l0 == k + then cand_UB + else l0 + + -- proposal gamma: integrated out from the adviced + -- Multivariate Gaussian with Gaussian target (Braak, 2006) + gamma1 = gamma_avg - 0.5 + (rand_vct V.! 2) -- * instead of + ? + + gene_rands = V.drop 3 rand_vct + (genome_j, genome_k, genome_l) = (genomes !! j, genomes !! k, genomes !! l) + -- g_a [j + POP_SIZE] = constrain_dim1( 0, perturbation( g_a [j], g_a [k], g_a [l], 0, gamma1, ampl_ratio ) ); + genome_res = V.zipWith6 (perturbation gamma1 ampl_ratio) + gene_rands g_mins g_maxs genome_j genome_k genome_l + in (genome_res, 1.0) + +--perturbation gamma1 amplitude_ratio r01 gene_min gene_max gene gene_k gene_l + +---------------------------------------- +---------------------------------------- +---------- Helper Functions ------------ +---------------------------------------- +---------------------------------------- + +mutateHelper :: Double -> Double -> Double -> Double -> Double -> Double + -> (Double, Double) +mutateHelper amplitude_ratio r01 gene_min gene_max gene gene_prop = + let amplitude = abs $ (gene_max - gene_min) * amplitude_ratio + semiamplitude = amplitude / 2.0 + + tmp_min_max_f = min gene_max (gene + semiamplitude) + tmp_max_min_f = max gene_min (gene - semiamplitude) + forward_range = tmp_min_max_f - tmp_max_min_f + + bf_fact = if forward_range > 0.0 && amplitude > 0.0 + then let tmp_min_max_b = min gene_max (gene_prop + semiamplitude) + tmp_max_min_b = max gene_min (gene_prop - semiamplitude) + backward_range = tmp_min_max_b - tmp_max_min_b + in backward_range / forward_range + else 1.0 + diff = amplitude * r01 - semiamplitude + new_gene = constrainDim gene_min gene_max (gene+diff) + in (new_gene, bf_fact) + +constrainDim :: Double -> Double -> Double -> Double +constrainDim gene_min gene_max gene = + max gene_min $ min gene_max gene + + +perturbation :: Double -> Double -> Double -> Double + -> Double -> Double -> Double -> Double + -> Double +perturbation gamma1 amplitude_ratio r01 gene_min gene_max gene gene_k gene_l = + let amplitude = abs $ (gene_max - gene_min) * amplitude_ratio + semiamplitude = amplitude / 2.0 + perturb = amplitude * r01 - semiamplitude + new_gene = constrainDim gene_min gene_max $ + gene + perturb + gamma1 * ( gene_k - gene_l ) + in new_gene + diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile new file mode 100644 index 0000000..df75451 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile @@ -0,0 +1,26 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +include $(HIPERMARK_LIB_DIR)/setup.mk + +SOURCES = SwapCalib.hs +EXECUTABLE = SwapCalib +OBJECTS = SwapCalib.hi SwapCalib.o + +GHC_FLAGS = -Wall -O2 -msse2 -rtsopts -i$(HIPERMARK_IMPLEMENTATION) + +default: $(EXECUTABLE) + +$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) + ghc $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + ./$(EXECUTABLE) diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs b/benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs new file mode 100644 index 0000000..bc90ded --- /dev/null +++ b/benchmarks/InterestCalib/implementations/haskell_lh/MathMod.hs @@ -0,0 +1,390 @@ +module MathMod + ( + uGaussianP + , uGaussianPwithExpFactor + , zc + , bigV + , bigmX + , bigmY + , bFun + , rootFindBrent + , swapSchedule + , blackPrice + , logLikelihood + , testMathMod + , testG2ppUtil + ) where + +import Constants +import Date + +import Debug.Trace + +--let (p, a1, a2, a3, a4, a5) = +-- (0.3275911, 0.254829592, -0.284496736, 1.421413741, -1.453152027, 1.061405429) + +--------------------------------------------------------------------------- +--- polynomial expansion of the erf() function, with error<=1.5e-7 +--- formula 7.1.26 (page 300), Handbook of Mathematical Functions, Abramowitz and Stegun +--- http://people.math.sfu.ca/~cbm/aands/frameindex.htm +--------------------------------------------------------------------------- +erffPolyOnly :: Double -> Double +erffPolyOnly x = + let (p, a1, a2, a3, a4, a5) = + (0.3275911, 0.254829592, -0.284496736, 1.421413741, -1.453152027, 1.061405429) + t = 1.0/(1.0+p*x) + t2 = t * t + t3 = t * t2 + t4 = t2 * t2 + t5 = t2 * t3 + in (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5) + +erff1 :: Double -> Double +erff1 x = + let poly = erffPolyOnly x + in ( 1.0 - poly * exp(0.0-(x*x)) ) + +-- Cumulative Distribution Function for a standard normal distribution +uGaussianP :: Double -> Double +uGaussianP x = + let u = x / sqrt(2.0) + e = if u < 0.0 + then 0.0 - (erff1 (0.0-u)) + else erff1 u + in ( 0.5 * (1.0 + e) ) + +uGaussianPwithExpFactor :: Double -> Double -> Double +uGaussianPwithExpFactor x exp_factor = + let u = abs ( x / (sqrt 2.0) ) + e = erffPolyOnly u + res = 0.5 * e * ( exp (exp_factor - u*u) ) + in if x >= 0.0 + then (exp exp_factor) - res + else res + +--------------------------------------------------------------------------- +-- THE FUNction-PARAMeter to rootFinding_Brent +-- if fid = 33 then for testing to_solve(real x) = (x+3.0)*(x-1.0)*(x-1.0) +-- Otherwise follows the real implementation +-- N is the size of scales (bbi) +--------------------------------------------------------------------------- +toSolve :: [Double] -> [Double] -> Double -> Double +toSolve scales bbs yhat = + let res_map = zipWith ( \scale bb -> scale * (exp (0.0 - bb * yhat)) ) scales bbs + res_red = reduce (+) 0.0 res_map + in res_red - 1.0 + +toSolveTest :: [Double] -> [Double] -> Double -> Double +toSolveTest _ _ yhat = + (yhat+3.0)*(yhat-1.0)*(yhat-1.0) + +max_num_brent_iters :: Int +max_num_brent_iters = 10000 + +rootFindBrentGen :: ([Double] -> [Double] -> Double -> Double) -- toSolve function + -> [Double] -> [Double] -> Double -> Double -> Double -- scales bbs lb ub tolerance + -> (Double, Int, Double) -- Result: (root, # needed iter, fb) +rootFindBrentGen toSolveFun scales bbs lb ub toll = + let tol = if toll <= 0.0 then 1.0e-9 else toll + (a, b) = (lb, ub) + fa = toSolveFun scales bbs a + fb = toSolveFun scales bbs b + + in if fa*fb >= 0.0 + then (0.0, 0, if a >= 0.0 then infty else 0.0-infty) + else + let (a', fa', b', fb') = if (abs fa) < (abs fb) + then (b, fb, a, fa) + else (a, fa, b, fb) + in brentWhileLoop (toSolveFun scales bbs) + tol 0 True 0.0 a' fa' b' fb' a' fa' + +rootFindBrent :: [Double] -> [Double] -- scales bbs + -> Double -> Double -> Double -- lb ub tolerance + -> (Double, Int, Double) +rootFindBrent = rootFindBrentGen toSolve + +brentWhileLoop :: (Double -> Double) -- toSolve function + -> Double -> Int -> Bool -> Double + -> Double -> Double -> Double -> Double -> Double -> Double + -> (Double, Int, Double) +brentWhileLoop toSolveFun tol i mflag d a fa b fb c fc = + if (fb == 0.0) || (abs (b-a)) < tol || i >= max_num_brent_iters + then (b, i, fb) + else let s = if (fa == fc) || (fb == fc) + then b - fb * (b - a) / (fb - fa) + else let s1 = ( a*fb*fc ) / ( (fa-fb)*(fa-fc) ) + s2 = ( b*fa*fc ) / ( (fb-fa)*(fb-fc) ) + s3 = ( c*fa*fb ) / ( (fc-fa)*(fc-fb) ) + in s1 + s2 + s3 + cond = ( (3.0 * a + b) / 4.0 > s || s > b ) || + ( mflag && (abs (b-c)) / 2.0 <= (abs (s-b)) ) || + ( not mflag && (abs (c-d)) / 2.0 <= (abs (s-b)) ) || + ( mflag && (abs (b-c)) <= (abs tol) ) || + ( not mflag && (abs (c-d)) <= (abs tol) ) + (mflag', s') = if cond + then ( True , (a+b)/2.0 ) + else ( False, s ) + + fs' = toSolveFun s' + + (d', c', fc') = (c, b, fb) + (a', fa', b', fb') = if fa*fs' < 0.0 + then (a, fa, s', fs') + else (s', fs', b, fb) + (a'', fa'', b'', fb'') = + if (abs fa') < (abs fb') + then (b', fb', a', fa') + else (a', fa', b', fb') + + in brentWhileLoop toSolveFun tol (i+1) mflag' d' a'' fa'' b'' fb'' c' fc' + +testMathMod :: Int -> Int +testMathMod arg0 = + let (scales, bbs) = ([ 0.0 ], [ 0.0 ]) + + -- Rootfinder.brent (fun x -> (x+.3.)*.(x-.1.)**2.) (-4.) (4./.3.) 1e-4 == -3 + (tmp1,_,_) = trace ("# Brent test: -3.0 => ") $ + rootFindBrentGen toSolveTest scales bbs (0.0-4.0) (4.0/3.0) 0.0 + arg1 = if equalEps tmp1 (0.0 - 3.0) + then trace ("... SUCCESS !") arg0 + else trace ("... FAILS !") arg0 + + -- erff 0. == 0. ;; 100. *. erff (1./.sqrt 2.) + tmp2 = trace ("# Erf test => ") $ + 100.0 * ( erff1 (1.0 / (sqrt 2.0)) ) + arg2 = if (equalEps (erff1 0.0) 0.0) && (equalEps tmp2 68.26894723352726) + then trace ("... SUCCESS !") arg1 + else trace ("... FAILS !") arg1 + + -- ugaussian_P 0. ;; ugaussian_P 1. +. ugaussian_P (-1.) + tmp3 = trace ("# Gaussian test => ") $ + (uGaussianP (0.0-1.0)) + (uGaussianP 1.0) + arg3 = if (equalEps (uGaussianP 0.0) 0.5) && (equalEps tmp3 1.0) + then trace ("... SUCCESS !") arg2 + else trace ("... FAILS !") arg3 + in arg3 + +-------------------------------------- +-------------------------------------- +rrr :: Double +rrr = 0.03 + +zc :: Double -> Double +zc t = exp (0.0 - rrr * (dateAct365 t today) ) + +bFun :: Double -> Double -> Double +bFun z0 tau = ( 1.0 - (exp (0.0 - z0*tau)) ) / z0 + +tFun :: Double -> Double -> Double -> Double +tFun sigma x0 tau = + let expxtau = exp ( 0.0 - x0*tau ) + exp2xtau = expxtau*expxtau + in sigma*sigma/(x0*x0) * ( tau + 2.0/x0*expxtau-1.0/(2.0*x0)*exp2xtau-3.0/(2.0*x0) ) + +-- the first parameter `genome' is the five-genes genome used in +-- the genetic algorithms that models the interest rate +-- the second parameter is the time +-- the result is V in Brigo and Mercurio's book page 148. +-- \var(\int_t^T [x(u)+y(u)]du) +bigV :: Genome -> Double + -> (Double,Double,Double) +bigV (a,b,rho,nu,sigma) tau = + let bai = bFun a tau + bbi = bFun b tau + v = tFun sigma a tau + o1 = tFun nu b tau + o2 = 2.0 * rho * nu * sigma / (a * b)* + ( tau - bai - bbi + (bFun (a+b) tau) ) + in (v + o1 + o2, bai, bbi) + + +-- the first parameter `genome' is the five-genes genome used in +-- the genetic algorithms that models the interest rate +-- the other parameter are times: today, maturity, and the +-- lower and upper bound of the considered time interval +-- +-- the result is: x drift term in tmat-forward measure + +bigmX :: Genome -> Double -> Double -> Double -> Double + -> Double +bigmX (a,b,rho,nu,sigma) iday tmat s t = + let ts = dateAct365 t s + tmatt = dateAct365 tmat t + + tmat0 = dateAct365 tmat iday + tmats = dateAct365 tmat s + + t0 = dateAct365 t iday + s0 = dateAct365 s iday + + tmp0 = (sigma*sigma)/(a*a)+(sigma*rho*nu)/(a*b) + tmp1 = 1.0 - (exp (0.0 - a*ts)) + + tmp2 = sigma * sigma / (2.0 * a * a) + tmp3 = (exp (0.0 - a*tmatt)) - (exp (0.0 - a*(tmats+ts))) + + tmp4 = rho * sigma * nu / (b * (a + b)) + tmp5 = (exp (0.0 - b*tmatt)) - (exp (0.0 -b*tmat0 - a*t0 + (a+b)*s0)) + + in tmp0*tmp1 - tmp2*tmp3 - tmp4*tmp5 + + +-- the first parameter `genome' is the five-genes genome used in +-- the genetic algorithms that models the interest rate +-- the other parameter are times: today, maturity, and the +-- lower and upper bound of the considered time interval +-- +-- the result is: y drift term in tmat-forward measure +bigmY :: Genome -> Double -> Double -> Double -> Double + -> Double +bigmY (a,b,rho,nu,sigma) iday tmat s t = + let ts = dateAct365 t s + tmatt = dateAct365 tmat t + tmat0 = dateAct365 tmat iday + tmats = dateAct365 tmat s + t0 = dateAct365 t iday + s0 = dateAct365 s iday + + tmp0 = nu*nu/(b*b)+sigma*rho*nu/(a*b) + tmp1 = 1.0 - (exp (0.0 - b*ts)) + + tmp2 = nu * nu / (2.0 * b * b) + tmp3 = (exp (0.0 -b*tmatt)) - (exp (0.0 - b*(tmats + ts))) + + tmp4 = sigma * rho * nu / (a * (a + b)) + tmp5 = (exp (0.0 - a*tmatt)) - (exp (0.0 - a*tmat0 - b*t0 + (a+b)*s0)) + + in tmp0*tmp1 - tmp2*tmp3 - tmp4*tmp5 + + + +swapSchedule :: Int -> Double -> Double + -> (Double, Double, Double) +swapSchedule nschedule maturity freq = + let lvlt0tns = + map (\j -> let i = fromIntegral j + a1 = addMonths maturity (freq*i) + a2 = addMonths a1 freq + lvl = (zc a2) * (dateAct365 a2 a1) + in (lvl, a1, a2) + ) [0..nschedule-1] + -- Reduction( lvl: +, t0 : min, tn : max ) + in reduce (\ (l,ti,tf) (lvl,tini, tfin) -> + (l+lvl, min ti tini, max tf tfin) + ) (0.0, max_date, min_date) lvlt0tns + + +blackPrice :: Double -> Swaption -> Double +blackPrice iday (sw_mat, sw_freq, sw_ty, sw_vol) = + let maturity = addYears iday sw_mat + sqrtt = dateAct365 maturity iday + n_schedule = truncate $ 12.0 * sw_ty / sw_freq + (lvl,t0,tn) = swapSchedule n_schedule maturity sw_freq + + strike = ( (zc t0) - (zc tn) ) / lvl + d1 = 0.5 * sw_vol * sqrtt + d2 = 0.0 - d1 + in ( lvl * ( strike * (uGaussianP d1) - strike * (uGaussianP d2) ) ) + + +testG2ppUtil :: Int -> Int +testG2ppUtil arg0 = + let (iday, tmat, s, t) = (9000.0, 18000.0, 400000.0, 9000000.0) + + res_b_fun = trace ("# bFun test = 0.30490117 => ") $ + bFun 3.24 1.362 + arg1 = if equalEps res_b_fun 0.30490117 + then trace ("... SUCCESS !") arg0 + else trace ("... FAILS !") arg0 + + res_bigmX = trace ("# bigmX test = -0.2356067470979 => ") $ + bigmX (0.02, 0.02, 0.0, 0.01, 0.04) iday tmat s t + arg2 = if equalEps res_bigmX (-0.2356067470979) + then trace ("... SUCCESS !") arg1 + else trace ("... FAILS !") arg1 + + res_bigmY = trace ("# bigmY test = -0.01472542169362 => ") $ + bigmY (0.02, 0.02, 0.0, 0.01, 0.04) iday tmat s t + arg3 = if equalEps res_bigmY (-0.01472542169362) + then trace ("... SUCCESS !") arg2 + else trace ("... FAILS !") arg2 + + (res_bigv1, res_bigv2, res_bigv3) = + trace ("# bigv test = { 7.8288965347e-4, 1.107549139, 1.107549139 } => ") $ + bigV (0.02, 0.02, 0.0, 0.01, 0.04) 1.12 + arg4 = if (equalEps res_bigv1 7.8288965347e-4) && + (equalEps res_bigv2 1.107549139) && + (equalEps res_bigv3 1.107549139) + then trace ("... SUCCESS !") arg3 + else trace ("... FAILS !") arg3 + + (sw_mat,freq,sw_ty) = (10.0, 6.0, 4.0) + + (maturity, strike) = (22094640.0, 0.030226283149239714) + swap_schedule1 = [ 22094640.0, 22355280.0, 22620240.0, 22880880.0, + 23145840.0, 23407920.0, 23672880.0, 23933520.0 ] + swap_schedule2 = [ 22355280.0, 22620240.0, 22880880.0, 23145840.0, + 23407920.0, 23672880.0, 23933520.0, 24198480.0 ] + + vol = 0.2454 + black_price_res = + trace ("# Testing Black Price = 654.1429648454 => ") $ + (blackPrice today (sw_mat, freq, sw_ty, vol)) * 10000.0 + arg5 = if (equalEps black_price_res 654.1429648454) + then trace ("... SUCCESS !") arg4 + else trace ("... FAILS !") arg4 + in arg5 + + +-------------------------------------- +------- Likelihood Measures ---------- +-------------------------------------- + +sqrtTwoPi :: Double +sqrtTwoPi = sqrt (2*pi) + +data Likelihood_Type = CAUCHY | NORMAL + +llhood_type :: Likelihood_Type +llhood_type = CAUCHY -- NORMAL; + +llhood_cauchy_offs :: Double +llhood_cauchy_offs = 5.0 + +llhood_normal_offs :: Double +llhood_normal_offs = 1.0 + + + +normalPdf :: Double -> Double -> Double -> Double +normalPdf z mu sigma = + let sigmap = abs sigma + res = 1.0 / (sigmap * sqrtTwoPi) + ecf = (z - mu) * (z - mu) / (2.0 * sigmap * sigmap) + in res * (exp (0.0 - ecf)) + +cauchyPdf :: Double -> Double -> Double -> Double +cauchyPdf z mu gamma = + let x = (z - mu) / gamma + in 1.0 / ( pi * gamma * ( 1.0 + x*x ) ) + +logLikelihoodNormal :: Double -> Double -> Double +logLikelihoodNormal y_ref y = + let sigma = (y_ref / 50.0) * llhood_normal_offs + pdfs = normalPdf y y_ref sigma + in log (1.0e-20 + pdfs) + +logLikelihoodCauchy :: Double -> Double -> Double +logLikelihoodCauchy y_ref y = + let gamma = ( (abs y_ref) / 50.0 ) * llhood_cauchy_offs + 0.01 + pdfs = cauchyPdf y y_ref gamma + in log (1.0e-20 + pdfs) + + +logLikelihood :: Double -> Double -> Double +logLikelihood y_ref y = + case llhood_type of + NORMAL -> logLikelihoodNormal y_ref y + CAUCHY -> logLikelihoodCauchy y_ref y + diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib b/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib new file mode 100755 index 0000000000000000000000000000000000000000..fd74e7921ff86bb9fbe8869628c5bebcf054689e GIT binary patch literal 5575328 zcmdpf4SZC^)&30-Sry#%16@AURbz=CU;wc}v~DEPySTw9pi#jDNJ1hZ#AE|eu|`6K zb&al8ZK}47+FG<+T=yxp?FhBf8uHnMx zWFyPi2XLmq@d~f`Q@*bbEstfknsXEtZ(bS^KhSNpS--= zPmd~bQgzkRQ%*jqx@<~yRZTTJ@Nr!(GjHbiSL?hGTyBzS}b)f$klr|lmNe*=U4&_T7 z%9o(?)6p+?C_l~tKixqNuQ-%n=fLN;9OMvppmV1~e?9F$|7Hh1-*BM69~3a1eC~26 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Control.DeepSeq +import Control.Applicative +import Control.Monad +import Data.Maybe +import System.CPUTime +import System.Environment + +------------------------------------ +--- Requires the installation of --- +--- Parsec package, i.e., --- +--- cabal install parsec --- +------------------------------------ + +import Text.Parsec hiding (optional, (<|>), token) +import Text.Parsec.String + +import Data.Bits +import Data.List +import Prelude + +import Control.DeepSeq +import Data.Vector.Unboxed(Vector) +import qualified Data.Vector.Unboxed as V + +import Constants +import Date +import Genome +import EvalGenome +import MathMod + +import Debug.Trace + +------------------------------ +--- Parser-related Helpers --- +------------------------------ +signed :: Parser String -> Parser String +signed p = (char '-' >> (('-':) <$> p)) <|> p + +whitespace :: Parser () +whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) + +lexeme :: Parser a -> Parser a +lexeme p = p <* whitespace + +token :: String -> Parser () +token = void . lexeme . string + +readInt :: Parser Int +readInt = lexeme $ read <$> signed (many1 digit) + +readDouble :: Parser Double +readDouble = lexeme $ read <$> signed (s2 <|> s1) + where s1 = do bef <- many1 digit + aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) + return $ bef ++ aft + s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit + +readArray :: Parser a -> Parser [a] +readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") + +--------------------------------------------- +--------------------------------------------- + +findBestLik :: Int -> [Double] -> (Int, Double) +findBestLik pop_size log_liks = + reduce (\ (best_ind, best_logLik) (ind, logLik) -> + if (logLik > best_logLik) + then (ind, logLik) + else (best_ind, best_logLik) + ) (0, -100000000.0) (zip [0..pop_size-1] log_liks) + +makeSummary :: Vector Double -> Double -> Vector Double -> Vector Double + -> (Genome, Double, [[Double]]) +makeSummary win_genome win_logLik calib_prices black_prices = + let res_genome = ( win_genome V.! 0, win_genome V.! 1, win_genome V.! 2, + win_genome V.! 3, win_genome V.! 4 ) + res_summary= zipWith (\ price quote -> + let err_ratio = abs $ 100.0 * (price - quote) / quote + in [10000.0*price, 10000.0*quote, err_ratio] + ) (V.toList calib_prices) (V.toList black_prices) + in (res_genome, win_logLik, res_summary) + +--------------------------------------------- +---- The Monte-Carlo Convergence Loop ------- +--------------------------------------------- + +mcmcConvergenceLoop :: Int -> Int -> [Swaption] -> Vector Int -> [Double] -> [Double] -- loop read-only args + -> [Vector Double] -> [Vector Double] -> [Double] -> Int -> Int -- loop variant args + -> ( [Vector Double], [Vector Double], [Double], Int ) +mcmcConvergenceLoop pop_size num_mcmc_its swaption_quotes sobol_dir_vct hermite_coeffs hermite_weights + genomes_old genomes_new logLiks_old j sob_offs0 = + if j == num_mcmc_its + then (genomes_old, genomes_new, logLiks_old, sob_offs0) + else + -- select the way in which genomes are perturbed + let move_selected = sobolNum sobol_dir_vct sob_offs0 + sob_offs1 = sob_offs0 + 1 + move_type = selectMoveType move_selected + + -- perturb the genome population based on the selection + (sob_offs2, genomes_new', bf_rats') = + case move_type of + DIMS_ALL -> let sob_offs_new = sob_offs1 + pop_size*5 + rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) + [5*i+sob_offs1..5*i+sob_offs1+4] + ) [0..pop_size-1] + (g, bfrat) = unzip $ zipWith3 mutateDimsALL + genomes_old genomes_new rand_vcts + in sob_offs_new `deepseq` g `deepseq` bfrat `deepseq` + (sob_offs_new, g, bfrat) + + DIMS_ONE -> let sob_offs_new = sob_offs1 + pop_size*5 + 1 -- *1 + dim_j = truncate $ (fromIntegral genome_dim) * (sobolNum sobol_dir_vct sob_offs1) +-- rand_nums = map (sobolNum sobol_dir_vct) +-- [sob_offs1+1..sob_offs1+pop_size] + rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) + [5*i+sob_offs1+1..5*i+sob_offs1+5] + ) [0..pop_size-1] + -- create sobol numbers + (g, bfrat) = unzip $ zipWith3 (mutateDimsONE dim_j) + genomes_old genomes_new rand_vcts -- rand_nums + in sob_offs_new `deepseq` g `deepseq` bfrat `deepseq` + (sob_offs_new, g, bfrat) + + DEMCMC -> let sob_offs_new = sob_offs1 + pop_size*8 + rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) + [8*i+sob_offs1..8*i+sob_offs1+7] + ) [0..pop_size-1] + (g, bfrat) = unzip $ zipWith (mcmcDE pop_size genomes_old) + rand_vcts [0..pop_size-1] + + in sob_offs_new `deepseq` g `deepseq` bfrat `deepseq` + (sob_offs_new, g, bfrat) + + -- evaluate the new genome population + --(logLiks_new', _, _) = unzip3 $ map (evalGenome hermite_coeffs hermite_weights swaption_quotes) genomes_new' + (logLiks_new_th, sw_pr_th, bl_pr_th) = + unzip3 $ map (evalGenome hermite_coeffs hermite_weights swaption_quotes) genomes_new' + logLiks_new' = logLiks_new_th `deepseq` sw_pr_th `deepseq` bl_pr_th `deepseq` + logLiks_new_th + + -- decide which genomes to ACCEPT/update + rand_nums = map (sobolNum sobol_dir_vct) [sob_offs2..sob_offs2+pop_size-1] + sob_offs3 = sob_offs2 + pop_size + (genomes_old', logLiks_old') = unzip $ + zipWith6 (\ genome_old genome_new logLik_old logLik_new bf_rat r01 -> + let exp_term = logLik_new - logLik_old + acceptance = min 1.0 $ (exp exp_term) * bf_rat + in if r01 < acceptance + then (genome_new, logLik_new) + else (genome_old, logLik_old) + ) genomes_old genomes_new' logLiks_old logLiks_new' bf_rats' rand_nums +{- + sob_offs3' = if (j `mod` 16) == 0 + then let (w_ind, w_lik) = findBestLik pop_size logLiks_old' + in trace ("It: "++show j++" Best Lik: "++show w_lik++" Genome Index: "++show w_ind) + sob_offs3 + else sob_offs3 +-} + in sob_offs3 `deepseq` genomes_old' `deepseq` genomes_new' `deepseq` logLiks_old' `deepseq` + mcmcConvergenceLoop pop_size num_mcmc_its swaption_quotes sobol_dir_vct hermite_coeffs hermite_weights + genomes_old' genomes_new' logLiks_old' (j+1) sob_offs3 + + +------------------------------------------------ +--- Main Entry Point: volatility calibration --- +------------------------------------------------ +-- genome == { g_a, g_b, g_rho, g_nu, g_sigma } +compute :: Int -> Int -> [Swaption] -> [Double] -> [Double] -> Vector Int + -> (Genome,Double,[[Double]]) +compute pop_size num_mcmc_its swaption_quotes + hermite_coeffs hermite_weights sobol_dir_vct = + + let ---------------------------------------------------- + -- initialization stage: compute POP_SIZE genomes -- + ---------------------------------------------------- + sobol_off0= 1 + -- compute 5*POP_SIZE random numbers! + rand_vcts = map (\ i -> V.fromList $ map (sobolNum sobol_dir_vct) + [5*i+sobol_off0..5*i+sobol_off0+4] + ) [0..pop_size-1] + -- initalize the genomes! + genomes = map (\ r01_vct5 -> + V.zipWith3 (\ g_max g_min r01 -> (g_max - g_min)*r01 + g_min ) + g_maxs g_mins r01_vct5 + ) rand_vcts + sobol_off1= sobol_off0 + pop_size*5 + + -- evaluate the just initalized genomes! + (logLiks_th,sw_pth,bl_pth)= unzip3 $ map (evalGenome hermite_coeffs hermite_weights swaption_quotes) genomes + (logLiks,_,_)= deepseq (logLiks_th,sw_pth,bl_pth) (logLiks_th,sw_pth,bl_pth) + + -- run the MCMC Convergence Loop + (genomes', genomes_prop', logLiks', sobol_off2) = + mcmcConvergenceLoop pop_size num_mcmc_its + swaption_quotes sobol_dir_vct + hermite_coeffs hermite_weights + genomes genomes logLiks 0 sobol_off1 + + -- find the best genome and recompute + -- the calibrated and reference price for it + (win_ind, win_logLik) = findBestLik pop_size logLiks' + win_genome = genomes' !! win_ind + (_, calib_prices, black_prices) = + evalGenome hermite_coeffs hermite_weights swaption_quotes win_genome + + -- format the result for printing + (res_genome, res_logLik, res_swap_arr) = makeSummary win_genome win_logLik calib_prices black_prices + + in (res_genome, res_logLik, res_swap_arr) + +----------------------------------------- +--- Entry point for Generic Pricing --- +--- The only place where using Monads,--- +--- e.g., parsing Dataset from StdIn --- +----------------------------------------- +main :: IO () +main = do s <- getContents + case parse run "input" s of + Left e -> error $ show e + Right m -> do + (v, runtime) <- m + result <- getEnv "HIPERMARK_RESULT" + writeFile result $ jsonish v + runtime_file <- getEnv "HIPERMARK_RUNTIME" + writeFile runtime_file $ show runtime + where run = do whitespace + pop_size <- readInt + num_mcmc_its <- readInt + num_swap_quotes <- readInt + swaption_quotes <- readDouble2d + num_hermite <- readInt + hermite_coeffs <- readDouble1d + hermite_weights <- readDouble1d + num_sobol_bits <- readInt + sobol_dir_vct <- readInt1d + +-- let num_swap_quotes = testSwaptionPricer hermite_coeffs hermite_weights $ +-- testG2ppUtil $ testMathMod $ test_dates num_swap_quotes0 + + let swaption_quotes'= map (\x -> (x!!0, x!!1, x!!2, x!!3)) swaption_quotes + + let (win_genome, win_logLik, win_swap_arr) = + compute pop_size num_mcmc_its swaption_quotes' + hermite_coeffs hermite_weights (V.fromList sobol_dir_vct) + + return $ do + start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + let v = (win_genome, win_logLik, win_swap_arr) + end <- v `deepseq` getCPUTime + return (v, (end - start) `div` 1000000000) + + readInt1d = readArray readInt + readDouble1d = readArray readDouble + readDouble2d = readArray $ readArray readDouble + +jsonish :: (Genome, Double, [[Double]]) + -> String +jsonish ((win_a, win_b, win_rho, win_nu, win_sigma), win_logLik, win_swap_arr) = + unlines [ "{" + , intercalate ",\n" + [ field "a_field" win_a + , field "b_field" win_b + , field "sigma_field" win_sigma + , field "nu_field" win_nu + , field "rho_field" win_rho + , field "lg_likelyhood" win_logLik + , field "swaption_calibration_result" win_swap_arr + ] + , "}" + ] + where field k v = "\"" ++ k ++ "\": " ++ show v + +-- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs +-- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data From 24ecabf9ea7e1a5e5d0e9ac3308955f14b4fcefc Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 15:15:59 +0200 Subject: [PATCH 076/122] Port OpenCL implementation of InterestCalib. --- .../implementations/cpp_opencl/FindBestKer.h | 160 ++++++ .../implementations/cpp_opencl/GenAlgFlat.h | 349 +++++++++++++ .../implementations/cpp_opencl/GenAlgKers.h | 297 +++++++++++ .../implementations/cpp_opencl/MainKer.h | 223 +++++++++ .../implementations/cpp_opencl/Makefile | 46 ++ .../cpp_opencl/SrcCL/BestIndValRedKer.cl | 109 ++++ .../cpp_opencl/SrcCL/CalibKers.cl | 467 ++++++++++++++++++ .../implementations/cpp_opencl/SrcCL/Date.cl | 147 ++++++ .../cpp_opencl/SrcCL/ExactYhat.cl | 314 ++++++++++++ .../cpp_opencl/SrcCL/G2ppUtil.cl | 231 +++++++++ .../cpp_opencl/SrcCL/GenAlg.cl | 313 ++++++++++++ .../cpp_opencl/SrcCL/Reductions.cl | 380 ++++++++++++++ .../implementations/cpp_opencl/SwapCalib.cpp | 64 +++ .../implementations/cpp_opencl/UtilGPGPU.h | 287 +++++++++++ .../static_configuration_template.json | 3 + .../implementations/cpp_sequential/G2PPorig.h | 90 ++-- .../implementations/cpp_sequential/Genome.h | 86 ++-- .../implementations/cpp_sequential/Makefile | 3 + .../cpp_sequential/SwapCalib.cpp | 15 +- .../InterestCalib/lib/include/Candidate.h | 114 ++--- benchmarks/InterestCalib/lib/include/Date.h | 14 +- .../InterestCalib/lib/include/EvalGenomeInl.h | 142 +++--- benchmarks/InterestCalib/lib/include/G2PP.h | 234 ++++----- .../InterestCalib/lib/include/G2ppUtil.h | 182 +++---- .../InterestCalib/lib/include/GenAlgUtil.h | 44 +- .../InterestCalib/lib/include/IrregShape.h | 2 +- .../InterestCalib/lib/include/KerConsts.h | 6 +- .../InterestCalib/lib/include/MathModule.h | 120 ++--- .../InterestCalib/lib/include/ParseInput.h | 12 +- .../InterestCalib/lib/include/WriteResult.h | 16 +- lib/include/Utilities.cl | 36 +- lib/setup.mk | 2 +- 32 files changed, 3951 insertions(+), 557 deletions(-) create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/FindBestKer.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgFlat.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgKers.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/MainKer.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/Makefile create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/BestIndValRedKer.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/CalibKers.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Date.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/ExactYhat.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/G2ppUtil.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/GenAlg.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Reductions.cl create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h create mode 100644 benchmarks/InterestCalib/implementations/cpp_opencl/static_configuration_template.json diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/FindBestKer.h b/benchmarks/InterestCalib/implementations/cpp_opencl/FindBestKer.h new file mode 100644 index 0000000..acd8124 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/FindBestKer.h @@ -0,0 +1,160 @@ +#ifndef FIND_BEST_KERNEL +#define FIND_BEST_KERNEL + +#include "SDK_stub.h" +#include "Constants.h" + +class FindBestKer { + // Assumptions: + // 1. the input array, `arr' has `size(arr) >= N', + // 2. the result arrays, has `size(r_ind)=size(r_val) >= LWG' + // + // Computation is split in two stages: + // - one that compute at most LWG elements (denoting partial reduces) + // - a second one that reduces the resulting LWG elements in one local workgroup. + private: + const size_t LWG; + size_t GWG; + uint UNROLL; + + // inputs, i.e., resources not owned by this kernel! + const cl_mem arr; // of size `N', and `offset' into it! + const uint N; + const uint offset; + + + OclObjects ocl; + + // res_ind and res_val have at least size LWG_FB + const cl_mem res_ind; + const cl_mem res_val; + + + // resources owned by this kernel + cl_kernel ker1; + cl_kernel ker2; + + public: + FindBestKer ( const uint sz, + const uint off, + const cl_mem& a, + const cl_mem& r_ind, + const cl_mem& r_val, + const OclObjects& o, + const int& lwg + ) : N(sz), offset(off), LWG(lwg), + arr(a), res_ind(r_ind), res_val(r_val), ocl(o) + { + UNROLL = mkUnrollFactor(); + GWG = mkGlobalWork (); + ker1 = mkKernel1 (); + ker2 = mkKernel2 (); + + bool sanity = is_pow2(lwg) && lwg <= LWG_FB; + assert( sanity && "In FindBestKer: Workgroup size not a pow of two or too large!" ); + } + + virtual ~FindBestKer() { + clReleaseKernel(ker1); + clReleaseKernel(ker2); + } + + void run ( int& best_ind, real_t& best_val ) { + cl_int ciErr1; + + //printf("Before run kernel 1 (LWG,GWG,UNROLL): (%ld,%ld,%d)\n", LWG, GWG, UNROLL); + + // run the reduction for each local group + ciErr1 = clEnqueueNDRangeKernel ( + ocl.getCommandQueue(), + ker1, 1, NULL, & GWG, & LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + + if( GWG > LWG ) { + // run the reduction for the resulted local group + ciErr1 = clEnqueueNDRangeKernel ( + ocl.getCommandQueue(), + ker2, 1, NULL, & LWG, & LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + } + + { // Finally, read-back the histogram result! + ciErr1 |= clEnqueueReadBuffer ( + ocl.getCommandQueue(), res_val, CL_TRUE, 0, + sizeof(real_t), &best_val, 0, NULL, NULL + ); + ciErr1 |= clEnqueueReadBuffer ( + ocl.getCommandQueue(), res_ind, CL_TRUE, 0, + sizeof(uint), &best_ind, 0, NULL, NULL + ); + } + oclCheckError(ciErr1, CL_SUCCESS); +// printf("After enqueue Best (Ind,Val): (%d,%f)\n\n", best_ind, best_val); + } + + private: + int mkUnrollFactor() { + const int sqLWG = LWG * LWG; + const bool exact1 = (N % sqLWG) == 0; + const int unroll = ( exact1 ) ? ( N / sqLWG ) : ( (N / sqLWG) + 1 ); + return unroll; + } + + int mkGlobalWork() { + const int urolLWG= UNROLL * LWG; + const bool exact2 = (N % urolLWG) == 0; + const int numGWG = ( exact2 ) ? (N / urolLWG) : ( (N / urolLWG) + 1 ); + return numGWG * LWG; + } + + cl_kernel mkKernel1( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl.program, "redbest_ker1", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->arr ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_ind ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_val ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &this->offset ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &this->N ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &this->UNROLL ); + + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkKernel2( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl.program, "redbest_ker2", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + uint newN = GWG / LWG; + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_ind ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&this->res_val ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &newN ); + + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + +}; + +#endif // FIND_BEST_KERNEL + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgFlat.h b/benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgFlat.h new file mode 100644 index 0000000..c7d0d62 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgFlat.h @@ -0,0 +1,349 @@ +#ifndef GEN_ALG_FLAT +#define GEN_ALG_FLAT + +#include "Constants.h" +#include "GenAlgUtil.h" +#include "Candidate.h" + +#include "IrregShape.h" +#include "UtilGPGPU.h" +#include "EvalGenomeInl.h" + +#include "FindBestKer.h" +#include "MainKer.h" +#include "GenAlgKers.h" + +/** + * Printing Swaption / Calibrated Price / Black Price / RMS + * The result is an array real_t[NUM_SWAP_QUOTES, 3] recording + * for each swaption the calibrated price, the black price + * and the percentagewise difference between the two. + */ +real_t* makeSummary(uint winner, CpuArrays& arrs) { + real_t* res = (real_t*) malloc( 3*NUM_SWAP_QUOTES*sizeof(real_t) ); + + real_t rms = 0.0; + + fprintf(stderr, "\n\nCALIBRATION RESULT: best genome is at index %d: ", winner); + fprintf(stderr, "{ a = %f, b = %f, sigma = %f, nu = %f, rho = %f }, Likelihood: %f!\n", + arrs.get_a() [winner], arrs.get_b() [winner], arrs.get_sigma ()[winner], + arrs.get_nu()[winner], arrs.get_rho()[winner], arrs.get_logLik()[winner] ); + fprintf(stderr, "\nPer-Swaption Approximation w.r.t. Black Price:\n\n"); + + for( int i = 0; i < NUM_SWAP_QUOTES; i ++ ) { + real_t black_price = arrs.get_quote(winner)[i]; + real_t calib_price = arrs.get_price(winner)[i]; + real_t err_ratio = (calib_price - black_price) / black_price; + + res[3*i + 0] = 10000.0*calib_price; + res[3*i + 1] = 10000.0*black_price; + res[3*i + 2] = 100.0*fabs(err_ratio); + + rms += err_ratio * err_ratio; + + fprintf(stderr,"Swaption %d: {{%f, %f, %f},%f}, CalibratedPrice: %f, BlackPrice: %f, DiffPerc: %f\n", + i, SwaptionQuotes[4*i+0], SwaptionQuotes[4*i+1], SwaptionQuotes[4*i+2], SwaptionQuotes[4*i+3], + res[3*i + 0], res[3*i + 1], res[3*i + 2] ); + } + + rms = 100.0 * sqrt ( rms / NUM_SWAP_QUOTES ); + fprintf(stderr, "\n\n Best Genome RMS: %f\n\n", rms); + + return res; +} + + +/** + * Utility function: find the genome with the best likelihood: + * scans the logLik array and fill in the index and likelihood + * of the best genome. + */ +void find_best(const real_t* logLik, int& best_ind, real_t& best_lik) { + bool sanity = true; + + best_lik = -INFINITY; + best_ind = 0; + + // this is in fact a reduction, but POP_SIZE is + // not big enough to warrant a parallel execution. + for ( UINT i = 0; i < POP_SIZE; i++ ) { // parallel reduction with MAX + real_t val = logLik[i]; + + sanity = !( isnan(val) || isinf(val) ); + assert( sanity && "val is NaN in find_best" ); + + if( val > best_lik ) { best_ind = i; best_lik = val; } + } +} + +void find_best_GPU( + FindBestKer& bestker, OclObjects& ocl_objs, + OclBuffers& ocl_arrs, const real_t* logLik, + int& best_ind, real_t& best_lik +) { + bool sanity = true; + + bestker.run(best_ind, best_lik); + + sanity = ! ( isnan(best_lik) || isinf(best_lik) ); + assert( sanity && "val is NaN in find_best" ); +} + +Move_Type selectMoveType(real_t move_selected) { + Move_Type move_type = NONE; + + real_t prob; + Move_Type type; + UINT k = 0; + do { + prob = mcmc_moves_selection_cumdensfct[k].fst; + type = mcmc_moves_selection_cumdensfct[k].snd; + + if( move_selected <= prob ) { + move_type = type; + } + k ++; + } while ( move_selected > prob && k < CUMDENSFCT_CARD ); + + assert(move_type != NONE && "MOVE_TYPE == NONE is ILLEGAL!"); + + return move_type; +} + +/** + * Main Entry Point for Swaption Calibration + * The (out) arguments are in fact the resulted + * winning genome result & its likelihood. + * The array result has size 3*NUM_SWAP_QUOTES + * and records for each swaption the calibrated + * price, the black price and the percentage + * difference between the two. + */ +real_t* mainKernelGPU(real_t& wg_a, + real_t& wg_b, + real_t& wg_sigma, + real_t& wg_nu, + real_t& wg_rho, + real_t& wg_logLik +) { + uint FLAT_SZ; + short* shape = getIregShapeAdjusted( LWG_EG, FLAT_SZ ); + int * start_inds = getStartInd( FLAT_SZ, shape, NUM_SWAP_QUOTES ); + + CpuArrays cpu_arrs(FLAT_SZ, shape); + real_t *g_a, *g_b, *g_rho, *g_nu, *g_sigma, *logLik, *bf_rat; + { // getting the cpu arrays + g_a = cpu_arrs.get_a (); + g_b = cpu_arrs.get_b (); + g_rho = cpu_arrs.get_rho (); + g_nu = cpu_arrs.get_nu (); + g_sigma = cpu_arrs.get_sigma (); + logLik = cpu_arrs.get_logLik(); + bf_rat = cpu_arrs.get_bf_rat(); + } + + OclObjects ocl_objs; OclBuffers ocl_arrs; + { // Initialization of the GPU resources: + initGPUresources ( cpu_arrs, ocl_objs, ocl_arrs ); + } + + FindBestKer bestker ( POP_SIZE, 10*POP_SIZE, ocl_arrs.genomes, + ocl_arrs.best_ind, ocl_arrs.best_val, ocl_objs, 128 ); + MainKer mainker ( cpu_arrs, ocl_arrs, ocl_objs ); + GenAlgKers genalgker( cpu_arrs, ocl_arrs, ocl_objs ); + + srand ( SEED ); + srand48 ( SEED ); + + // initialized the genomes with random numbers inside + // their acceptable bounds => requires 5*POP_SIZE randoms +#if (GPU_VERSION == 2) + genalgker.run_init( ); +#else + + for( int i = 0; i < POP_SIZE; i++ ) { + real_t r01, tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[0] - g_mins[0]) + g_mins[0]; + g_a [i ] = tmp; + g_a [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[1] - g_mins[1]) + g_mins[1]; + g_b [i ] = tmp; + g_b [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[2] - g_mins[2]) + g_mins[2]; + g_rho [i ] = tmp; + g_rho [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[3] - g_mins[3]) + g_mins[3]; + g_nu [i ] = tmp; + g_nu [i + POP_SIZE] = tmp; + + r01 = getRandRandNorm(); + tmp = r01 * ( g_maxs[4] - g_mins[4]) + g_mins[4]; + g_sigma [i ] = tmp; + g_sigma [i + POP_SIZE] = tmp; + + bf_rat [i ] = 1.0; + } +#endif + + // Initial evaluation of the genomes! +#if (GPU_VERSION == 2) + mainker.run (); + genalgker.run_cpLik(); + +#elif (GPU_VERSION == 1) + mainker.run(); + for( int i = 0; i < POP_SIZE; i++ ) { + logLik[i] = logLik[i+POP_SIZE]; + } +#else + fprintf(stderr, "This is GPU only, GPU_VERSION should be set to 1 or 2 in KerConsts.h!"); + exit(1); +#endif + + // sequential loop that runs the genetic algorithms + // (takes a population and returns a population) + for( int j = 0; j < MCMC_LOOPS; j++ ) { + + // select which move to perform: BEGIN + // Note: this block can also be a loop (in fixed order) + // over the various move types + real_t move_selected = getRandUnifNorm(); + Move_Type move_type = selectMoveType(move_selected); + +#if ( GPU_VERSION == 2 && WITH_SOBOL == 0 ) + sobol_offset ++; +#endif + + if ( move_type == DIMS_ALL ) { +#if (GPU_VERSION == 2) + genalgker.run_mutate( 33 ); +#else + for( int i = 0; i < POP_SIZE; i++ ) { + mutate_dims_all( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); // default ampl_ratio + } +#endif + + } else if ( move_type == DIMS_ONE ) { + + UINT dim_j = getRandIntNorm(GENOME_DIM); + +#if (GPU_VERSION == 2) + #if (WITH_SOBOL == 0) + sobol_offset++; + #endif + genalgker.run_mutate( dim_j ); +#else + for( int i = 0; i < POP_SIZE; i++ ) { + mutate_dims_one( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i, dim_j ); // default ampl_ratio + } +#endif + } else /* if ( move_type == DEMCMC ) */ { +#if (GPU_VERSION == 2) + genalgker.run_McMcDc( ); +#else + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel modulo random nums + mcmc_DE( g_a, g_b, g_rho, g_nu, g_sigma, bf_rat, i ); + } +#endif + } + + // evaluate the proposal +#if (GPU_VERSION == 2 || GPU_VERSION == 1) + mainker.run(); +#else + fprintf(stderr, "This is GPU only, GPU_VERSION should be set to 1 or 2 in KerConsts.h!"); + exit(1); +#endif + + // mcmc_acceptance_rejection(); + // Deciding whether to accept or reject the proposal, + // obtained by mutating/crossover of the individual. +#if (GPU_VERSION == 2) + genalgker.run_accept_cond( ); + genalgker.run_accept_prop( ); +#else + for ( int i = 0; i < POP_SIZE; i++ ) { // parallel + // Metropolis: get a random U[0,1) for each candidate + // rand=N.random.uniform() + real_t rand = getRandUnifNorm(); + + // selection: dimensions considered independent + // acceptance = min( 1, N.exp(c.logLik_proposal-c.logLik) * c.backward_forward_ratio ) + real_t acceptance = std::min( 1.0, exp( logLik[i+POP_SIZE] - logLik[i] ) * bf_rat[i] ); + + // if acceptance criterion is met then p->p' else does nothing + if ( rand < acceptance ) accept( i, g_a, g_b, g_rho, g_nu, g_sigma, logLik ); + } +#endif + + // print best candidate for the current iteration: +#if (GPU_VERSION == 2) + if ( (j % 16) == 0 ) { + int best_ind; real_t best_lik; + find_best_GPU( bestker, ocl_objs, ocl_arrs, logLik, best_ind, best_lik ); + fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", + j, best_lik, best_ind ); + } +#else + if ( (j % 16) == 0 ){ + int best_ind; real_t best_lik; + find_best(logLik, best_ind, best_lik); + fprintf(stderr, "\n Iteration: %d: Best Likelihood: %f, genome index: %d!\n", + j, best_lik, best_ind ); + } +#endif + } + +#if (GPU_VERSION == 2) + { // copy back genomes + uint cur_size = 12 * POP_SIZE * sizeof(real_t); + uint ciErr; + cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); + ciErr = clEnqueueReadBuffer(cmd_queue, ocl_arrs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); + oclCheckError( ciErr, CL_SUCCESS ); + } +#endif + + real_t* result; + { // print best candidate for the current iteration: + int best_ind; real_t best_lik; + find_best(logLik, best_ind, best_lik); + + // recompute the calibrated price and the black price sequentially! + logLik[best_ind] = + eval_genome( g_a[best_ind], g_b[best_ind], g_rho[best_ind], g_nu[best_ind], + g_sigma[best_ind], cpu_arrs.get_quote(best_ind), + cpu_arrs.get_price(best_ind), FLAT_SZ, shape, start_inds ); + + // Finally, make/print the result! + wg_a = cpu_arrs.get_a() [best_ind]; + wg_b = cpu_arrs.get_b() [best_ind]; + wg_sigma = cpu_arrs.get_sigma ()[best_ind]; + wg_nu = cpu_arrs.get_nu() [best_ind]; + wg_rho = cpu_arrs.get_rho() [best_ind]; + wg_logLik = cpu_arrs.get_logLik()[best_ind]; + + result = makeSummary( best_ind, cpu_arrs ); + } + + delete[] start_inds; + + // Releasing the GPU resources: + releaseGPUresources ( ocl_objs, ocl_arrs ); + + // Releasing the CPU resources: + cpu_arrs.releaseResources(); + + return result; +} + +#endif // end ifndef + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgKers.h b/benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgKers.h new file mode 100644 index 0000000..d45486a --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/GenAlgKers.h @@ -0,0 +1,297 @@ +#ifndef GEN_ALG_KERNELS +#define GEN_ALG_KERNELS + +#include "SDK_stub.h" +#include "Constants.h" + +class GenAlgKers { + private: + size_t LWG[3]; + size_t GWG[3]; + + const uint lwg; +// uint sobol_offset; + + CpuArrays cpu_arrs; + OclBuffers gpu_buffs; + OclObjects ocl_objs; + + // resources owned by this kernel + cl_kernel init_ker; + cl_kernel cplik_ker; + cl_kernel accnd_ker; + cl_kernel acprp_ker; + cl_kernel mutat_ker; + cl_kernel mcde_ker; + + public: + GenAlgKers( const CpuArrays & arrs, + const OclBuffers& buffs, + const OclObjects& objs + ) : cpu_arrs(arrs), gpu_buffs(buffs), ocl_objs(objs), lwg( mkLWG(POP_SIZE) ) + { + //sobol_offset = 1; + + bool valid = (POP_SIZE >= 32) && (POP_SIZE <= 512); + assert( valid && "Population size NOT in range [32, 512]!" ); + init_ker = mkInitKernel (); + cplik_ker = mkCpLiKernel (); + accnd_ker = mkAcceptCondKernel (); + acprp_ker = mkAcceptPropKernel (); + mutat_ker = mkMutateDimKernel (); + mcde_ker = mkMcMcDcKernel (); + } + + virtual ~GenAlgKers() { + clReleaseKernel( init_ker); + clReleaseKernel(cplik_ker); + clReleaseKernel(accnd_ker); + clReleaseKernel(acprp_ker); + clReleaseKernel(mutat_ker); + clReleaseKernel( mcde_ker); + } + + void run_init( ) { + cl_int ciErr1; + + LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; + GWG[0] = lwg; GWG[1] = 6; GWG[2] = 1; + + // set the index of the next random number! + ciErr1 |= clSetKernelArg( init_ker, 3, sizeof(uint), &sobol_offset ); + oclCheckError(ciErr1, CL_SUCCESS); + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + init_ker, 2, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + oclCheckError(ciErr1, CL_SUCCESS); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + sobol_offset += (5 * POP_SIZE); + } + + void run_cpLik( ) { + cl_int ciErr1; + + LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; + GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + cplik_ker, 1, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + } + + void run_accept_cond( ) { + cl_int ciErr1; + + LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; + GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; + + // set the index of the next random number! + ciErr1 |= clSetKernelArg( accnd_ker, 3, sizeof(uint), &sobol_offset); + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + accnd_ker, 1, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + + sobol_offset += (1 * POP_SIZE); + } + + void run_accept_prop( ) { + cl_int ciErr1; + + LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; + GWG[0] = lwg; GWG[1] = 6; GWG[2] = 1; + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + acprp_ker, 2, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + } + + // IF dim_j > 4 then is a mutate_all! + void run_mutate( const uint dim_j ) { + cl_int ciErr1; + + LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; + GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; + + // set the index of the next random number! + ciErr1 |= clSetKernelArg( mutat_ker, 3, sizeof(uint), &sobol_offset); + ciErr1 |= clSetKernelArg( mutat_ker, 4, sizeof(uint), &dim_j); + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + mutat_ker, 1, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + + sobol_offset += (5 * POP_SIZE); + } + + void run_McMcDc( ) { + cl_int ciErr1; + + LWG[0] = lwg; LWG[1] = 1; LWG[2] = 1; + GWG[0] = lwg; GWG[1] = 1; GWG[2] = 1; + + // set the index of the next random number! + ciErr1 |= clSetKernelArg( mcde_ker, 3, sizeof(uint), &sobol_offset); + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + mcde_ker, 1, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + + sobol_offset += (8 * POP_SIZE); + } + + + private: + + uint mkLWG( const uint Npop ) { + if( (Npop % WARP) == 0 ) return Npop; + else return (Npop / WARP + 1) * WARP; + } + + cl_kernel mkInitKernel ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "init_genome", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gene_ranges ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkCpLiKernel ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "copyLogLik", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkAcceptCondKernel ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "accept_cond", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accept_cond ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkAcceptPropKernel ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "accept_prop", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accept_cond ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkMutateDimKernel ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + uint dim_j = 7; + + + kernel = clCreateKernel( ocl_objs.program, "mutate_dims", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gene_ranges ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &dim_j ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(real_t), &MOVES_UNIF_AMPL_RATIO ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkMcMcDcKernel ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + const real_t gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM); + const real_t ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO; + + + kernel = clCreateKernel( ocl_objs.program, "mcmc_DE", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gene_ranges ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.sobol_dir_vct ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &sobol_offset ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(real_t), &gamma_avg ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(real_t), &l_ratio ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } +}; + +#endif diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/MainKer.h b/benchmarks/InterestCalib/implementations/cpp_opencl/MainKer.h new file mode 100644 index 0000000..39368db --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/MainKer.h @@ -0,0 +1,223 @@ +#ifndef MAIN_KERNEL +#define MAIN_KERNEL + +#include "SDK_stub.h" +#include "Constants.h" + +class MainKer { + private: + size_t LWG[3]; + size_t GWG[3]; + + CpuArrays cpu_arrs; + OclBuffers gpu_buffs; + OclObjects ocl_objs; + + + // resources owned by this kernel + cl_kernel ker; + cl_kernel ker_red1; + cl_kernel ker_red2; + + public: + MainKer ( const CpuArrays & arrs, + const OclBuffers& buffs, + const OclObjects& objs + ) : cpu_arrs(arrs), gpu_buffs(buffs), ocl_objs(objs) + { +// LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; +// GWG[0] = arrs.SS; GWG[1] = POP_SIZE; GWG[2] = 1; + + ker = mkKernel1 (); + ker_red1 = mkKernel2 (); + ker_red2 = mkKernel3 (); + } + + virtual ~MainKer() { + clReleaseKernel(ker); + clReleaseKernel(ker_red1); + clReleaseKernel(ker_red2); + } + + void run ( ) { + cl_int ciErr1; + + //printf("Before run kernel 1 (LWG,GWG,UNROLL): (%ld,%ld,%d)\n", LWG, GWG, UNROLL); +#if (GPU_VERSION == 1) + copy_in_buffers1(); +#endif + { // run the main, big kernel with local segmented reduction for each local group + LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; + GWG[0] = cpu_arrs.SS; GWG[1] = POP_SIZE; GWG[2] = 1; + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + ker, 3, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + } + + { // run the second segmented reduction kernel + LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; + GWG[0] = cpu_arrs.SS; GWG[1] = NUM_HERMITE; GWG[2] = POP_SIZE; + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + ker_red1, 3, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + } + + { // run the third regular reduction kernel + LWG[0] = LWG_EG; LWG[1] = 1; LWG[2] = 1; + GWG[0] = LWG_EG; GWG[1] = POP_SIZE; GWG[2] = 1; + + ciErr1 = clEnqueueNDRangeKernel ( + ocl_objs.getCommandQueue(), + ker_red2, 3, NULL, this->GWG, this->LWG, + 0, NULL, NULL + ); + ciErr1 |= clFinish( ocl_objs.getCommandQueue() ); + oclCheckError(ciErr1, CL_SUCCESS); + } + +#if (GPU_VERSION == 1) +// copy_out_buffers1(); +// copy_out_buffers2(); + copy_out_buffers3(); +#endif + } + + private: + cl_kernel mkKernel1 ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "eval_genome_main", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.shape ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.swap_quotes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.ci_t1cs_scale ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.new_quote_price); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.scalars ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_SWAP_QUOTES ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &cpu_arrs.SS ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkKernel2 ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "eval_genome_red1", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.shape ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gauss_coefs ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.gauss_weights ); + + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.ci_t1cs_scale ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.scalars ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accum0 ); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_SWAP_QUOTES ); +// ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &POP_SIZE ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &cpu_arrs.SS ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + cl_kernel mkKernel3 ( ) { + cl_kernel kernel; + UINT counter = 0; + cl_int ciErr1; + + kernel = clCreateKernel( ocl_objs.program, "eval_genome_red2", &ciErr1 ); + oclCheckError( ciErr1, CL_SUCCESS ); + + counter = 0; + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.genomes ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.scalars ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.accum0 ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(cl_mem), (void*)&gpu_buffs.new_quote_price); + + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_SWAP_QUOTES ); + ciErr1 |= clSetKernelArg( kernel, counter++, sizeof(uint), &NUM_HERMITE ); + oclCheckError( ciErr1, CL_SUCCESS ); + + return kernel; + } + + + void copy_in_buffers1() { + cl_int ciErr; + size_t cur_size; + cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); + + cur_size = 13 * POP_SIZE * sizeof(real_t); + ciErr |= clEnqueueWriteBuffer(cmd_queue, gpu_buffs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); + + oclCheckError(ciErr, CL_SUCCESS); + } + + void copy_out_buffers1() { + cl_int ciErr; + size_t cur_size; + cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); + + cur_size = 4 * cpu_arrs.SS * POP_SIZE * sizeof(real_t); + ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.ci_t1cs_scale, CL_TRUE, 0, cur_size, cpu_arrs.ci_t1cs_scale, 0, NULL, NULL); + + cur_size = NUM_SWAP_QUOTES * POP_SIZE * sizeof(real_t); // need only to write back the quotes (not the prices) + ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.new_quote_price, CL_TRUE, 0, cur_size, cpu_arrs.new_quote_price, 0, NULL, NULL); + + cur_size = 8 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(real_t); + ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.scalars, CL_TRUE, 0, cur_size, cpu_arrs.scalars, 0, NULL, NULL); + } + + void copy_out_buffers2() { + cl_int ciErr; + size_t cur_size; + cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); + + cur_size = NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE * sizeof(real_t); + ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.accum0, CL_TRUE, 0, cur_size, cpu_arrs.accum0, 0, NULL, NULL); + } + + void copy_out_buffers3() { + cl_int ciErr; + size_t cur_size, offset; + cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); + + cur_size = POP_SIZE * sizeof(real_t); + offset = 11 * POP_SIZE * sizeof(real_t); + ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.genomes, CL_TRUE, offset, cur_size, cpu_arrs.get_logLik() + POP_SIZE, 0, NULL, NULL); + +// cur_size = 13 * POP_SIZE * sizeof(real_t); +// ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); + +// cur_size = 2 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(real_t); // need only to write back the quotes (not the prices) +// ciErr |= clEnqueueReadBuffer(cmd_queue, gpu_buffs.new_quote_price, CL_TRUE, 0, cur_size, cpu_arrs.new_quote_price, 0, NULL, NULL); + } +}; + +#endif // MAIN_KERNEL + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile new file mode 100644 index 0000000..fe484d2 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile @@ -0,0 +1,46 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +# FIXME - this should not even exist! +include $(HIPERMARK_LIB_DIR)/platform.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ + -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ + -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ + -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ + -D CURR_DIR_PATH='"$(MAKE_DIR)"' + +SOURCES_CPP =SwapCalib.cpp +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h +OBJECTS =SwapCalib.o +EXECUTABLE =SwapCalib + + +default: $(EXECUTABLE) + +%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< + +$(EXECUTABLE): $(OBJECTS) + cp -r $(HIPERMARK_IMPLEMENTATION)/SrcCL . + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + ./$(EXECUTABLE) diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/BestIndValRedKer.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/BestIndValRedKer.cl new file mode 100644 index 0000000..a495ff8 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/BestIndValRedKer.cl @@ -0,0 +1,109 @@ +/******************************************************/ +/********* FIND_BEST KERNEL and HELPERS ***************/ +/******************************************************/ + +inline real2_t OP_BEST(real2_t iv1, real2_t iv2) { + return ( ( iv1.y > iv2.y ) ? iv1 : iv2 ); +} + +inline real2_t reduce_best_warp( __local volatile real2_t* sh_data ) { + const uint th_id = get_local_id(0) & (WARP-1); + + if( th_id >= 1 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-1 ] ); + if( th_id >= 2 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-2 ] ); + if( th_id >= 4 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-4 ] ); + if( th_id >= 8 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-8 ] ); +#if (WARP == 32) + if( th_id >= 16 ) sh_data[th_id] = OP_BEST( sh_data[th_id], sh_data[th_id-16] ); +#endif + return sh_data[th_id]; +} + +inline void reduce_best_local ( __local volatile real2_t* sh_data ) { + // perform scan at warp level + real2_t res = reduce_best_warp( sh_data + WARP_FST ); + barrier( CLK_LOCAL_MEM_FENCE ); + + // gather per-warp results in the first WARP elements + if ( TH_ID == WARP_LST ) { + sh_data[ WARP_ID ] = res; + } + barrier(CLK_LOCAL_MEM_FENCE); + + if( TH_ID < WARP ) { + reduce_best_warp( sh_data ); + } + barrier(CLK_LOCAL_MEM_FENCE); +} + + +__kernel void +redbest_ker1 ( + __global real_t *arr, + __global uint *res_ind, + __global real_t *res_val, + uint offset, + uint N, + uint U +) { + __local real2_t locred[ LWG_FB ]; + + arr += offset; + + real2_t seqbest = (real2_t) ( 0.0F, -INFTY ); + + uint i = get_group_id(0) * (U * get_local_size(0)) + get_local_id(0); + + + //uint B = min( i + (U * get_local_size(0)), N ); + uint B = i + (U * get_local_size(0)); + if( B > N ) { B = N; } + + for( ; i < B; i += get_local_size(0) ) { + real2_t cur = (real2_t) ( (real_t)i, arr[i] ); + seqbest = OP_BEST(seqbest, cur); + } + + locred[ get_local_id(0) ] = seqbest; + barrier(CLK_LOCAL_MEM_FENCE); + + reduce_best_local ( locred ); + + if ( get_local_id(0) == get_local_size(0) - 1 ) { + real2_t res = locred[WARP-1]; + res_ind[ get_group_id(0) ] = (uint) res.x; + res_val[ get_group_id(0) ] = res.y; + } +} + +/** + * Assumes we have to reduce exactly one local workgroup. + */ +__kernel void +redbest_ker2 ( + __global uint *arr_ind, + __global real_t *arr_val, + uint N +) { + __local real2_t locred[ LWG_FB ]; + + uint th_id = get_local_id(0); + + if ( th_id >= N ) { + real2_t tmp = (real2_t) ( 0.0F, -INFTY ); + locred[ th_id ] = tmp; + } else { + real2_t tmp = (real2_t) ( (real_t)arr_ind[th_id], arr_val[th_id] ); + locred[ th_id ] = tmp; + } + + barrier(CLK_LOCAL_MEM_FENCE); + reduce_best_local( locred ); + + if ( th_id == get_local_size(0) - 1 ) { + real2_t res = locred[ WARP-1 ]; + arr_ind[ 0 ] = (uint) res.x; + arr_val[ 0 ] = res.y; + } +} + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/CalibKers.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/CalibKers.cl new file mode 100644 index 0000000..46fc053 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/CalibKers.cl @@ -0,0 +1,467 @@ +// BOP is a generic binary associative operator, +// e.g., +, *, AND, OR +//#define BOP(a,b) ( (a)+(b) ) + +#include "real.h" +#include "KerConsts.h" + +#define TH_ID (get_local_id(0)) +#define WARP_ID (TH_ID >> lgWARP) +#define WARP_FST (WARP_ID << lgWARP) +#define WARP_LST (WARP_FST + (WARP-1)) + +inline real_t minR(real_t a, real_t b) { return ( (a <= b) ? a : b ); } +inline real_t maxR(real_t a, real_t b) { return ( (a <= b) ? b : a ); } + +#include "GenAlg.cl" +#include "BestIndValRedKer.cl" + +/******************************************************/ +/********* EVAL_GENOME KERNELS and HELPERS ************/ +/******************************************************/ + +/** Assumes global shape has the following layout: + * 1. flags, i.e., 1 if start of segment, -1 if iddle thread, and 0 otherwise + * 2. iota(n_schedi) + * 3. the swaption index + * 4. the size of the current segment + * Local shape has the following structure: + * 1. flags as uchar, where 1 denote the start of a segment, + * 2. cond as uchar, where 0 denotes thread is active, + * 3. index as short in iota(n_schedi), + * 4. swaption's global index as short + * 5. size fo the current segment as short + */ +inline +bool fillShapeMeta(__global short* shape, + __local short* sh_mem, + uint Nshp +) { + bool iddle = false; + uint loc_ind = TH_ID, glb_ind = get_global_id(0); // ignore global dimension 1 + short tmp = shape[ glb_ind ]; + + { // fill the boolean part! + __local uchar* shape_meta = (__local uchar*) sh_mem; + + shape_meta[ loc_ind ] = ( tmp != 0 ) ? (uchar) 1 : (uchar) 0; + loc_ind += get_local_size(0); + shape_meta[ loc_ind ] = (uchar) 0; + } + + glb_ind += Nshp; + sh_mem[ loc_ind ] = shape[ glb_ind ]; // setting iota(n_schedi) + + loc_ind += get_local_size(0); + glb_ind += Nshp; + sh_mem[ loc_ind ] = shape[ glb_ind ]; // setting the swaption index + + loc_ind += get_local_size(0); + glb_ind += Nshp; + tmp = shape[ glb_ind ]; + if( tmp < 0 ) { iddle = true; tmp = -tmp; } + sh_mem[loc_ind] = tmp; + + barrier(CLK_LOCAL_MEM_FENCE); + return iddle; +} + +inline +short getIotaInd (__local short* shape) { + return shape[ TH_ID + get_local_size(0) ]; +} +inline +short getSwapGlbInd(__local short* shape) { + return shape[ (get_local_size(0) << 1) + TH_ID ]; +} +inline +short getSwapLocInd(__local short* shape) { + short res = getSwapGlbInd(shape) - shape[ get_local_size(0) << 1 ]; + return res; +} +inline +short getSgmSize (__local short* shape ) { + return shape[ (get_local_size(0) << 1) + get_local_size(0) + TH_ID ]; +} + +#include "Date.cl" +#include "G2ppUtil.cl" +#include "Reductions.cl" +#include "ExactYhat.cl" + + +/** + * Two-dimensional kernel: + * 1. the outer dimension is POP_SIZE, + * 2. the inner dimension is Nshp, i.e., an approximation + * (with idde threads) of the flattened parallelism + * of the loop of count `NUM_SWAP_QUOTES'. + */ + +__kernel __attribute__((reqd_work_group_size(LWG_EG, 1, 1))) +void eval_genome_main ( + __global short *glb_shape, + __global real_t *SwaptionQuotes, + __global real_t *genomes, + __global real_t *glb_arrs, // ci ++ t1_cs ++ scale ++ bbi + __global real_t *new_quote_price, // [POP_SIZE * NUM_SWAP_QUOTES * 2] + __global real_t *interm_scalars, // [POP_SIZE * NUM_SWAP_QUOTES * 8] + // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, + // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } + uint Nswap, + uint Npop, + uint Nshp +) { + real4_t tmp4; + + __local short shape_meta [ (LWG_EG << 2) ]; + __local real4_t sh_mem4 [ LWG_EG + (LWG_EG >> 1) ]; + + bool iddle = fillShapeMeta( glb_shape, shape_meta, Nshp ); + + real_t swap_freq = 1.0, maturity = 1.0, tmat0 = 1.0; uint n_schedi; + if( !iddle ) { + int ttt = getSwapGlbInd(shape_meta); + swap_freq = SwaptionQuotes[ (ttt<<2) + 1 ]; + maturity = add_years( TODAY, SwaptionQuotes[ (ttt<<2) ] ); + n_schedi = (uint) (12.0 * SwaptionQuotes[ (ttt<<2) + 2 ] / swap_freq); + tmat0 = date_act_365( maturity, TODAY ); + } + + real_t strike, beg_date, end_date; + { // BLACK PRICE COMPUTATION. + __local uchar* flags = (__local uchar*) shape_meta; + + tmp4 = (real4_t) (0.0, MAX_DATE, MIN_DATE, 1.0); + if(!iddle) { + tmp4.w = (real_t) getIotaInd(shape_meta); // i + tmp4.y = add_months( maturity, swap_freq*tmp4.w ); // t0 + tmp4.z = add_months( tmp4.y, swap_freq ); // tn + tmp4.x = zc(tmp4.z) * date_act_365(tmp4.z,tmp4.y); // lvl + } + beg_date = tmp4.y; end_date = tmp4.z; + + sh_mem4[ TH_ID ] = tmp4; + barrier(CLK_LOCAL_MEM_FENCE); + segm_reduce_plusminmax( sh_mem4, flags ); // ToDo 2 + + int last_ind = TH_ID - getIotaInd( shape_meta ); + if(!iddle) last_ind += n_schedi - 1; + tmp4 = sh_mem4[last_ind]; // the reduction result! + barrier(CLK_LOCAL_MEM_FENCE); + + strike = ( zc(tmp4.y) - zc(tmp4.z) ) / tmp4.x; + if( flags[TH_ID] && (!iddle) ) { + // if thread is the start of a segment + // write new_quote to global memory! + int ttt = getSwapGlbInd(shape_meta); + tmp4.y = 0.5 * SwaptionQuotes[ (ttt<<2) + 3 ] * tmat0; + // was get_group_id(1) + new_quote_price[ get_global_id(1)*Nswap + ttt ] = + tmp4.x * strike * ( uGaussian_P(tmp4.y) - uGaussian_P(-tmp4.y) ); + } + } // END BLACK PRICE. + + { // PRICER OF SWAPTION COMPUTATION + + real_t y0, y1, eps, eps_contrib, mux, t4, t1_cs_first; + { + real_t a, b, rho, nu, sigma; + { + uint tmp_ind = get_global_id(1) + Npop; + uint Npop2 = (Npop << 1); + a = genomes[ tmp_ind ]; tmp_ind += Npop2; + b = genomes[ tmp_ind ]; tmp_ind += Npop2; + rho = genomes[ tmp_ind ]; tmp_ind += Npop2; + nu = genomes[ tmp_ind ]; tmp_ind += Npop2; + sigma = genomes[ tmp_ind ]; tmp_ind += Npop2; + } +// + { + real_t v0_mat, v0_end, vt_end, baii, bbii, tmp; + tmp4 = bigv( a, b, rho, nu, sigma, tmat0 ); + v0_mat = tmp4.x; +// + tmp = date_act_365(end_date, TODAY); + tmp4 = bigv( a, b, rho, nu, sigma, tmp ); + v0_end = tmp4.x; +// + tmp = date_act_365(end_date, maturity); + tmp4 = bigv( a, b, rho, nu, sigma, tmp ); + vt_end = tmp4.x; + //baii = tmp4.y; + //bbii = tmp4.z; + tmp4.w = 0.5 * ( vt_end - v0_end + v0_mat ); // expo_aici + tmp4.x = date_act_365( end_date, beg_date ) * strike; // res + } +// + { + //bool is_first = ((__local uchar*)shape_meta)[TH_ID] && (!iddle); + bool is_first = (!iddle) && ( (TH_ID == get_local_size(0)-1) || (((__local uchar*)shape_meta)[TH_ID+1]==1) ); // actually is_last! + real_t muy, rhoxy, sigmax, sigmay, rhoxyc, rhoxycs, zc_mat, tmp1, tmp2; + uint gind = get_global_id(1)*Nswap + getSwapGlbInd(shape_meta), offset = Npop*Nswap; // was get_group_id(1) +// + mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); + if(is_first) interm_scalars[ gind ] = mux; gind += offset; +// + muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); + if(is_first) interm_scalars[ gind ] = muy; gind += offset; +// + tmp1 = sqrt( (real_t)b_fun(2.0*a, tmat0) ); // sqrt_bfun_a + sigmax = sigma * tmp1; + if(is_first) interm_scalars[ gind ] = sqrt((real_t)2.0) * sigmax; gind += offset; +// + tmp2 = sqrt( (real_t)b_fun(2.0*b, tmat0) ); // sqrt_bfun_b + sigmay = nu * tmp2; + rhoxy = rho * b_fun(a+b, tmat0) / (tmp1 * tmp2); + t4 = (rhoxy * sigmay) / sigmax; +// + rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel + rhoxycs = sqrt( (real_t)rhoxyc ); // used in reduction kernel + if(is_first) interm_scalars[ gind ] = rhoxy / (sigmax*rhoxycs); gind += offset; + if(is_first) interm_scalars[ gind ] = sigmay * rhoxycs; gind += offset; +// + zc_mat = zc(maturity); + if(is_first) tmp4.x += 1.0; //cii + tmp4.x *= zc(end_date) / zc_mat; // fact_aici + if(is_first) interm_scalars[ gind ] = zc_mat; gind += offset; +// + t1_cs_first = tmp4.z * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*tmp4.z) ); + eps = 0.5 * sigmax; + eps_contrib = sigmay * (rhoxy * eps / sigmax); + y0 = sigmay * KKK * rhoxycs; + y1 = muy - y0; + y0 += muy - ( rhoxyc / b ); + } + } + + { + { // save to global arrays, ci, t1_cs, scale, bbi, and + // store (aici, baii, bbii, log_aici) in tmp4! + uint gind = get_global_id(1) * Nshp + get_global_id(0), offset = Nshp * Npop; + real_t fact_aici = tmp4.x; + + if( !iddle ) glb_arrs[gind] = fact_aici; gind += offset; // ci [i] + if( !iddle ) glb_arrs[gind] = t1_cs_first + tmp4.w; gind += offset; // t1_cs[i] + if( !iddle ) glb_arrs[gind] = - ( tmp4.y + tmp4.z * t4 ); gind += offset; // scale[i] + if( !iddle ) glb_arrs[gind] = tmp4.z; // bbi [i] + + tmp4.x *= exp(tmp4.w); // aici + tmp4.w += log(fact_aici); // log_aici + + sh_mem4[ TH_ID ] = tmp4; + barrier(CLK_LOCAL_MEM_FENCE); + } + + { // finally call `exactYhat', and store `f' and `df' to global memory. + real_t f, g, h, df; + uint gind = getSwapGlbInd(shape_meta); + __local uchar* flags = (__local uchar*)shape_meta; + //uint n_schedi = (iddle) ? 1 : (uint)(12.0 * SwaptionQuotes[ (gind<<2) + 2 ] / swap_freq); + + f = exactYhat( iddle, flags, n_schedi, y0, y1, sh_mem4, mux ); + + if( flags[TH_ID] && (!iddle) ) { // start of segment + uint offset = Npop*Nswap; + gind += get_global_id(1)*Nswap + 6*offset; // was get_group_id(1) + interm_scalars[ gind ] = f; + gind += offset; + } + + y0 += eps_contrib; + y1 += eps_contrib; + mux+= eps; + g = exactYhat( iddle, flags, n_schedi, y0, y1, sh_mem4, mux ); + + y0 -= 2.0*eps_contrib; + y1 -= 2.0*eps_contrib; + mux-= 2.0*eps; + h = exactYhat( iddle, flags, n_schedi, y0, y1, sh_mem4, mux ); + + if( flags[TH_ID] && (!iddle) ) { // start of segment + interm_scalars[ gind ] = 0.5 * ( g - h ) / eps; // i.e., df + } + } + } + } +} + +/********************************************************/ +/*************** Main Reduction kernel 1 ****************/ +/********************************************************/ +/** + * Two-dimensional kernel: + * 1. the outermost dimension is POP_SIZE, + * 2. the middle dimension is Gauss_DIM + * 2. the inner dimension is Nshp, i.e., an approximation + * (with idde threads) of the flattened parallelism + * of the loop of count `NUM_SWAP_QUOTES'. + */ + +__kernel __attribute__((reqd_work_group_size(LWG_EG, 1, 1))) +void eval_genome_red1 ( + __global short *glb_shape, + __constant real_t *gauss_coefs, // [Gauss_DIM] + __constant real_t *gauss_weights, // [Gauss_DIM] + + __global real_t *glb_arrs, // ci ++ t1_cs ++ scale ++ bbi + __global real_t *interm_scalars, // [POP_SIZE * NUM_SWAP_QUOTES * 8] + // { mux, muy, sqrt_sigmax = sqrt((real_t)2.0) * sigmax, + // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } + + __global real_t *accum0, // [ POP_SIZE * NUM_SWAP_QUOTES * Gauss_DIM ] + + uint Nswap, + uint Nshp +) { + __local short shape_meta [ LWG_EG << 2 ]; + __local real_t sh_mem [ LWG_EG ]; + + bool iddle; + { + iddle = fillShapeMeta( glb_shape, shape_meta, Nshp ); + } + + real_t x_quad = gauss_coefs [get_global_id(1)]; + + real_t sigmay_rhoxycs, x, h1; + if(!iddle){ + real_t mux, muy, sqrt2sigmax, t2, f, df, yhat_x; // Npop == POP_SIZE = get_global_size(2) + uint gind = get_global_id(2) * Nswap + getSwapGlbInd(shape_meta), offset = get_global_size(2) * Nswap; + + mux = interm_scalars[ gind ]; gind += offset; + muy = interm_scalars[ gind ]; gind += offset; + + // x = sqrt2sigmax * x_quad + mux; + sqrt2sigmax = interm_scalars[ gind ]; gind += offset; // + x = sqrt2sigmax * x_quad + mux; + + t2 = interm_scalars[ gind ]; gind += offset; + + sigmay_rhoxycs = interm_scalars[ gind ]; gind += offset + offset; + f = interm_scalars[ gind ]; gind += offset; + df = interm_scalars[ gind ]; + + yhat_x = f + df*(x - mux); + h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); + } + + if(!iddle){ + uint gind = get_global_id(2) * Nshp + get_global_id(0), offset = Nshp * get_global_size(2); + gind += 3 * offset; + real_t bbi = glb_arrs[gind]; gind -= offset; + real_t h2 = h1 + bbi * sigmay_rhoxycs; + + real_t scale = glb_arrs[gind]; gind -= offset; + real_t t1_cs = glb_arrs[gind]; gind -= offset; + real_t expo_aici = t1_cs + scale*x; + + real_t expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); + + x = glb_arrs[gind] * expo_part; + } + + { // segmented reduce with operator plus the x's + + __local uchar* flags = (__local uchar*) shape_meta; + bool is_last = (!iddle) && ( (TH_ID == get_local_size(0)-1) || ( flags[TH_ID+1] == 1) ); + + sh_mem[TH_ID] = (iddle) ? 0.0 : x; + barrier(CLK_LOCAL_MEM_FENCE); + + segm_reduce_plus( sh_mem, flags ); + + if( is_last ) { + real_t accum = sh_mem[TH_ID]; + real_t tmp = sqrt((real_t)2.0) * x_quad; //(x - mux) / sigmax; + tmp = exp( (real_t)- 0.5 * tmp * tmp ); + + real_t w_quad = gauss_weights[get_global_id(1)]; + + real_t res = w_quad * tmp * ( uGaussian_P(-h1) - accum ); + + //uint GaussDIM = get_global_size(1); +#if 0 + uint gind = get_global_id(2) * get_global_size(1) * Nswap + + getSwapGlbInd(shape_meta) * get_global_size(1) + get_global_id(1) ; + accum0[gind] = res; +#else + // accum0 is put it in transposed form, i.e., + // accum0[ j * Nswap + ttt ] and is used in + // this way by the next kernel + uint gind = get_global_id(2) * get_global_size(1) * Nswap + + get_global_id(1) * Nswap + getSwapGlbInd(shape_meta); + accum0[gind] = res; +#endif + } + } +} + + + +/********************************************************/ +/*************** Main Reduction kernel 2 ****************/ +/********************************************************/ +inline real_t cauchy_pdf( real_t z, real_t mu, real_t gamma ) { + real_t x = (z-mu) / gamma; + return 1.0 / ( PI * gamma * (1.0+x*x) ); +} +inline real_t logLikelihood_cauchy( real_t y_ref, real_t y ) { + real_t LLHOOD_CAUCHY_OFFS = 5.0; + real_t gamma = ( fabs(y_ref) / 50.0 ) * LLHOOD_CAUCHY_OFFS + 0.01; + real_t pdfs = cauchy_pdf( y, y_ref, gamma ); + pdfs += 1.0e-20; // avoid NaNs + return log(pdfs); +} + +/** + * Two-dimensional kernel: + * 1. the outermost global dimension is POP_SIZE, + * 2. the innermost global dimension is equal to the local + * dimension, i.e., LWG_EG, which is an overapproximation + * of NUM_SWAP_QUOTES. + * Each local groups process exactly NUM_SWAP_QUOTES elements, + * and the rest of the htreads are iddle. + * This is taking a shortcut to implement reduce in a regular fashion. + */ + +__kernel __attribute__((reqd_work_group_size(LWG_EG, 1, 1))) +void eval_genome_red2 ( + __global real_t *genomes, + __global real_t *interm_scalars, // [POP_SIZE * NUM_SWAP_QUOTES * 8] + // { mux, muy, sqrt_sigmax = sqrt((real_t)2.0) * sigmax, + // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } + __global real_t *accum0, // [ POP_SIZE * NUM_SWAP_QUOTES * Gauss_DIM ] + __global real_t *new_quote_price, // [POP_SIZE * NUM_SWAP_QUOTES * 2] + + uint Nswap, + uint GaussDIM +) { + __local real_t sh_mem [ LWG_EG ]; + + bool iddle = ( TH_ID >= Nswap ); + + real_t lik = 0.0; + if (!iddle) { + real_t accum = 0.0; + uint gid = get_global_id(1) * GaussDIM * Nswap + get_global_id(0); + for( uint j = 0; j < GaussDIM; j++, gid += Nswap ) { + accum += accum0[ gid ]; + } + + gid = get_global_id(1) * Nswap + TH_ID; + real_t zc_mat = interm_scalars[ gid + (5 * get_global_size(1) * Nswap) ]; + + real_t nprice = zc_mat * ( accum / sqrt( PI ) ); + new_quote_price[ gid + get_global_size(1)*Nswap ] = nprice; + + lik = logLikelihood_cauchy( new_quote_price[gid], nprice ); + } + + sh_mem[ TH_ID ] = lik; + barrier(CLK_LOCAL_MEM_FENCE); + + real_t rms = reduce_reg_plus( sh_mem ); + + if(TH_ID == 0) genomes[ 11*get_global_size(1) + get_global_id(1) ] = rms; +} diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Date.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Date.cl new file mode 100644 index 0000000..7159857 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Date.cl @@ -0,0 +1,147 @@ +////////////////////////////////////////////////////// +//// Date: Gregorian calendar +////////////////////////////////////////////////////// +#ifndef GREG_CALEND +#define GREG_CALEND + +#define MINUTES_IN_DAY 1440 // hours_in_day * 60; +#define MINUTES_TO_NOON 720 // (hours_in_day / 2) * 60; + +typedef struct DDD{ + int year; + int month; + int day; + int hour; + int min; +} Date; + +Date mkDate(int y, int mo, int d, int h, int mn) { + Date date; + date.year = y; + date.month = mo; + date.day = d; + date.hour = h; + date.min = mn; + return date; +} + +inline +int MOD(int x, int y) { + return ( x - (x/y)*y ); +} + +inline +int date_of_gregorian( Date date ) { + int ym; + if(date.month == 1 || date.month == 2) { + ym = ( 1461 * ( date.year + 4800 - 1 ) ) / 4 + + ( 367 * ( date.month + 10 ) ) / 12 - + ( 3 * ( ( date.year + 4900 - 1 ) / 100 ) ) / 4; + } else { + ym = ( 1461 * ( date.year + 4800 ) ) / 4 + + ( 367 * ( date.month - 2 ) ) / 12 - + ( 3 * ( ( date.year + 4900 ) / 100 ) ) / 4; + } + + int tmp = ym + date.day - 32075 - 2444238; + + return tmp * MINUTES_IN_DAY + date.hour * 60 + date.min; +} + +inline +Date gregorian_of_date ( int minutes_since_epoch ) { + int jul, l, n, i, j, d, m, y, daytime; + + jul = minutes_since_epoch / MINUTES_IN_DAY; + l = jul + 68569 + 2444238; + n = ( 4 * l ) / 146097; + l = l - ( 146097 * n + 3 ) / 4; + i = ( 4000 * ( l + 1 ) ) / 1461001; + + l = l - ( 1461 * i ) / 4 + 31; + j = ( 80 * l ) / 2447; + d = l - ( 2447 * j ) / 80; + l = j / 11; + + m = j + 2 - ( 12 * l ); + y = 100 * ( n - 49 ) + i + l; + + daytime = MOD( minutes_since_epoch, MINUTES_IN_DAY ); + +// if ( daytime == MINUTES_TO_NOON ) return Date(y,m,d,12,0); +// else return Date(y,m,d, daytime / 60, MOD(daytime, 60)); + + return mkDate(y,m,d, daytime / 60, MOD(daytime, 60)); +} + +inline +bool check_date(int year, int month, int day) { + bool tmp1, tmp2, tmp3; + + tmp1 = ( 1 <= day && 1 <= month && month <= 12 && 1980 <= year && year <= 2299 ); + tmp2 = ( day <= 28 ); + + if ( month == 2 ) { + tmp3 = ( day == 29 && MOD(year, 4) == 0 && ( year == 2000 || (! (MOD(year, 100) == 0)) ) ); + } else if ( month == 4 || month == 6 || month == 9 || month == 11 ) { + tmp3 = ( day <= 30 ); + } else { + tmp3 = ( day <= 31 ); + } + + return tmp1 && (tmp2 || tmp3); +} + +inline +real_t days_between(real_t t1, real_t t2) { + return ( (t1 - t2) / MINUTES_IN_DAY ); +} + +inline +real_t date_act_365(real_t t1, real_t t2) { + return ( days_between(t1, t2) / 365.0F ); +} + +inline +bool leap(int y) { + return ( MOD(y,4) == 0 && ( ( MOD(y,100)!=0 ) || (MOD(y,400)==0) ) ); +} + +inline +int end_of_month( int year, int month ) { + bool leap_year = leap(year); + if ( month == 2 && leap_year ) return 29; + else if ( month == 2 ) return 28; + else if ( month == 4 || month == 6 || month == 9 || month == 11 ) return 30; + else return 31; +} + +inline +real_t add_months ( real_t time, real_t rnbmonths ) { + int nbmonths = convert_int(rnbmonths); //(int) rnbmonths; + Date date = gregorian_of_date( convert_int( time ) ); + + date.month += nbmonths; + date.year += (date.month-1) / 12; + date.month = MOD( date.month-1, 12 ) + 1; + + if ( date.month <= 0 ) { date.year -= 1; date.month += 12; } + + { // date.day = min( date.day, end_of_month(date.year, date.month) ); + int tmp = end_of_month(date.year, date.month); + if(date.day > tmp) date.day = tmp; + } + + date.hour = 12; + date.min = 0; + + return (real_t) ( date_of_gregorian( date ) ); +} + +inline +real_t add_years( real_t date, real_t nbyears ) { + return add_months( date, nbyears * 12.0F ); +} + +#endif // ifndef GREG_CALEND + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/ExactYhat.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/ExactYhat.cl new file mode 100644 index 0000000..c054fd9 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/ExactYhat.cl @@ -0,0 +1,314 @@ +// reduction with + +real_t to_solve( bool iddle, + uint n_schedi, + __local uchar* flags, + __local real_t * sh_mem, + + real_t scale, + real_t bbi, + real_t yhat +) { + real_t accum; + sh_mem[TH_ID] = (iddle) ? 0.0 : scale * exp( - bbi * yhat ); + barrier(CLK_LOCAL_MEM_FENCE); + + segm_reduce_plus( sh_mem, flags ); // ToDo 2 + + int last_ind = TH_ID - getIotaInd( (__local short*)flags ); + if(!iddle) last_ind += n_schedi - 1; + + accum = sh_mem[last_ind]; + barrier(CLK_LOCAL_MEM_FENCE); + + return accum - 1.0; +} + + +/** + * root finding by Brent's method. + */ +//real2_t tmp2 = rootFinding_Brent(iddle, shape, sh_mem4, scales, uplo.y, uplo.x, 1.0e-4, 1000); +//rootFinding_Brent(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); +inline +real2_t rootFinding_Brent( bool iddle, + uint n_schedi, + __local uchar* flags, + __local real_t * sh_mem, + real_t bbi, //sh_mem4[TH_ID].z; + real_t scale, + real_t a, //lb, + real_t b, //ub, + real_t tol, + uint iter_max + // (root, fb) : (real_t, real_t) +) { + real2_t res; + + real_t fa = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, a); + real_t fb = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, b); + + if( (!iddle) && fa*fb >= 0.0 ) { + res.x = 0.0; + res.y = ( a >= 0.0 ) ? INFTY : -INFTY; + iddle = true; + } + + if( fabs(fa) < fabs(fb) ) { real_t tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } + + real_t c = a, fc = fa; + bool mflag = true; + real_t d = 0.0; + + uchar ok = 0; int i = 0; + do { + { // reduce with && global termination + ok = ( fb == 0.0 || fabs(b-a) < tol || i >= iter_max ); + + if( ok ) { + if( !iddle ) { + res.x = b; + res.y = fb; + } + iddle = true; + } + + flags[TH_ID+get_local_size(0)] = iddle; + barrier(CLK_LOCAL_MEM_FENCE); + ok = reduce_reg_and( flags + get_local_size(0) ); + //barrier(CLK_LOCAL_MEM_FENCE); + } + i ++; + + // the loop's body + if( !ok ) { + real_t s; + if( !iddle ) { + if( fa == fc || fb == fc ) { + s = b - fb * (b - a) / (fb - fa); + } else { + real_t s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); + real_t s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); + real_t s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); + s = s1 + s2 + s3; + } + + bool big_cond = + ( (3.0 * a + b) /4.0 > s || s > b) || + ( mflag && fabs(b-c)/2.0 <= fabs(s-b) ) || + ( !mflag && fabs(c-d)/2.0 <= fabs(s-b) ) || + ( mflag && fabs(b-c) <= fabs(tol) ) || + ( !mflag && fabs(c-d) <= fabs(tol) ) ; + + if ( big_cond ) { + mflag = true; + s = (a + b) / 2.0; + } else { + mflag = false; + } + } + real_t fs = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, s); + + if( !iddle ) { + // d is assigned for the first time here: + // it's not used above because mflag is set + d = c; + c = b; fc = fb; + + if( fa*fs < 0.0 ) { b = s; fb = fs; } + else { a = s; fa = fs; } + + if( fabs(fa) < fabs(fb) ) { + real_t tmp; + tmp = a; a = b; b = tmp; + tmp = fa; fa = fb; fb = tmp; + } + } + } + } while (!ok); + + return res; +} + + +/*********************************************/ +/*********************************************/ + +inline +real2_t rootBisection( bool iddle, + uint n_schedi, + __local uchar* flags, + __local real_t * sh_mem, + real_t bbi, //sh_mem4[TH_ID].z; + real_t scale, + real_t a, //lb, + real_t b, //ub, + real_t tol, + uint iter_max + // (root, fb) : (real_t, real_t) +) { + real2_t res; + + real_t fa = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, a); + real_t fb = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, b); + + if( (!iddle) && fa*fb >= 0.0 ) { + res.x = 0.0; + res.y = ( a >= 0.0 ) ? INFTY : -INFTY; + iddle = true; + } + + real_t x = b, fx = fb; + + uchar ok = 0; int i = 0; + do { + { // reduce with && global termination + ok = ( fx == 0.0 || fabs(b-a) < tol || i >= iter_max ); + + if( ok ) { + if( !iddle ) { + res.x = x; + res.y = fx; + } + iddle = true; + } + + flags[TH_ID+get_local_size(0)] = iddle; + barrier(CLK_LOCAL_MEM_FENCE); + ok = reduce_reg_and( flags + get_local_size(0) ); + //barrier(CLK_LOCAL_MEM_FENCE); + } + i ++; + + // the loop's body + if( !ok ) { + real_t s; + + x=(a+b)/2.0; + + real_t fx = to_solve(iddle, n_schedi, flags, sh_mem, scale, bbi, x); + + if( !iddle ) { + if ( fa*fx > 0.0 ) { a = x; fa = fx; } + else { b = x; } + } + } + } while (!ok); + + return res; +} + + +/********************************************/ +/********************************************/ + + +/** + * Computes Yhat + */ +real_t exactYhat( bool iddle, + __local uchar* flags, + uint n_schedi, + real_t y0, + real_t y1, + __local real4_t* sh_mem4, + real_t x +) { + real_t res = 0.0, scales; + real2_t uplo; + + { // the first reduction (+,max) + bool is_last; short lind; + __local real2_t* sh_mem2 = (__local real2_t*) (sh_mem4 + LWG_EG); + + if( iddle ) { + uplo = (real2_t) ( 0.0, -INFTY ); + } else { + real4_t tmp4 = sh_mem4[ TH_ID ]; + real_t baix = tmp4.y * x; + + uplo.x = tmp4.x * exp( -baix ); + uplo.y = ( tmp4.w - baix ) / tmp4.z; + } + scales = uplo.x; + + barrier(CLK_LOCAL_MEM_FENCE); + sh_mem2[ TH_ID ] = uplo; + barrier(CLK_LOCAL_MEM_FENCE); + + segm_reduce_plusmax( sh_mem2, flags ); // ToDo: Fix this please! + + int last_ind = TH_ID - getIotaInd( (__local short*) flags ); + if(!iddle) last_ind += n_schedi - 1; + uplo = sh_mem2[last_ind]; // the reduction result! + barrier(CLK_LOCAL_MEM_FENCE); + } + +// CHECKING uplo + + if ( n_schedi == 1 ) { + res = uplo.y; + iddle = true; + } + + if(!iddle) { // adjust `up' + int lfind = TH_ID - getIotaInd( (__local short*)flags ) + n_schedi - 1; + real_t log_s = log(uplo.x); + real_t tmp = log_s / sh_mem4[ lfind ].z; //bbi[n_schedi-1]; + lfind += 1 - n_schedi; + + if ( tmp <= 0.0 ) { + uplo.x = tmp; + } else { + tmp = log_s / sh_mem4[lfind].z; // bbi[0]; + if ( 0.0 <= tmp ) uplo.x = tmp; + else uplo.x = - INFTY; + } + } + +// const real_t yl = lo - EPS; +// const real_t yu = up + EPS; + if ( (!iddle) && (y1 <= uplo.y - EPS) ) { + // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS + + res = y1 + 1.0; + iddle = true; + } else if ( (!iddle) && (uplo.x + EPS <= y0) ) { + // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) + + res = y0 - 1.0; + iddle = true; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + { + uplo.x = minR( uplo.x + EPS, y1 ); + uplo.y = maxR( uplo.y - EPS, y0 ); + // tmp2 = (root, error); //UINT iter; + +#if 1 + real2_t tmp2 = rootFinding_Brent( + iddle, n_schedi, flags, (__local real_t*) (sh_mem4+LWG_EG), + sh_mem4[TH_ID].z, scales, uplo.y, uplo.x, 1.0e-4, 1000 + ); +#else + + real2_t tmp2 = rootBisection( + iddle, n_schedi, flags, (__local real_t*) (sh_mem4+LWG_EG), + sh_mem4[TH_ID].z, scales, uplo.y, uplo.x, 1.0e-4, 1000 + ); + + +#endif + + if( !iddle ) { + res = ( tmp2.y == -INFTY ) ? + y0 - 1.0 : + ( tmp2.y == INFTY ) ? y1 + 1.0 : tmp2.x; + } + } + + return res; +} + + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/G2ppUtil.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/G2ppUtil.cl new file mode 100644 index 0000000..0f2a482 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/G2ppUtil.cl @@ -0,0 +1,231 @@ +//////////////////////////////////////////////////////////////////// +///// Trivial (w.r.t. parallelism) Helper Functions for G2PP +//////////////////////////////////////////////////////////////////// + +#ifndef G2PP_UTIL +#define G2PP_UTIL + +//////////////////////////////////// +/// MATH RELATED +//////////////////////////////////// + +//------------------------------------------------------------------------- +// polynomial expansion of the erf() function, with error<=1.5e-7 +// formula 7.1.26 (page 300), Handbook of Mathematical Functions, Abramowitz and Stegun +// http://people.math.sfu.ca/~cbm/aands/frameindex.htm + +inline +real_t erff1( real_t x ) { + real_t poly = 0.0F, t, t2; + + t = 1.0 / (1.0 + 0.3275911*x); + poly += 0.254829592 * t; + + t2 = t * t; + poly += (-0.284496736) * t2; + poly += 1.421413741 * t * t2; + + t2 = t2 * t2; + poly += (-1.453152027) * t2; + poly += 1.061405429 * t * t2; + + return ( 1.0 - poly * exp(-(x*x)) ); + +// real_t p = 0.3275911; +// real_t a1 = 0.254829592, a2 = -0.284496736, a3 = 1.421413741, a4 = -1.453152027, a5 = 1.061405429; +// +// real_t t = 1.0/(1.0+p*x); +// real_t t2 = t * t; +// real_t t3 = t * t2; +// real_t t4 = t2 * t2; +// real_t t5 = t2 * t3; +// return ( 1.0 - (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5) * exp(-(x*x)) ); + +} + +//------------------------------------------------------------------------- +// Cumulative Distribution Function for a standard normal distribution + +inline +real_t uGaussian_P( real_t x ) { + real_t u = x / sqrt((real_t)2.0); + real_t e = ( u < 0.0 ) ? -erff1(-u) : erff1(u); + + return ( 0.5 * (1.0 + e) ); +} + +inline +real_t erff_poly_only( real_t x ) { + real_t poly = 0.0, t, t2; + + t = 1.0 / (1.0 + 0.3275911*x); + poly += 0.254829592 * t; + + t2 = t * t; + poly += (-0.284496736) * t2; + poly += 1.421413741 * t * t2; + + t2 = t2 * t2; + poly += (-1.453152027) * t2; + poly += 1.061405429 * t * t2; + + return poly; +} + +inline +real_t uGaussian_P_withExpFactor( real_t x, real_t exp_factor ) { + real_t u = fabs( x / sqrt((real_t)2.0) ); + real_t e = erff_poly_only(u); + + real_t res = 0.5 * e * exp(exp_factor-u*u); + + if( x >= 0.0 ) { + res = exp(exp_factor) - res; + } + + return res; +} + +///////////////////////// +//// G2PP Utilities +///////////////////////// + +inline +real_t zc( real_t t ) { + return exp( (real_t)(- R * date_act_365( t, TODAY )) ); +} + +inline +real_t b_fun( real_t z0, real_t tau ) { + return ( 1.0 - exp(-z0*tau) ) / z0; +} + +inline +real_t t_fun( real_t sigma, real_t x0, real_t tau ) { + real_t expxtau = exp( -x0*tau ) ; + real_t exp2xtau = expxtau*expxtau; + + return sigma*sigma/(x0*x0) * ( tau + 2.0/x0*expxtau-1.0/(2.0*x0)*exp2xtau-3.0/(2.0*x0) ); +} + + +/////////////////////////////////////////////////////////////////// +// the first parameter `genome' is the five-genes genome used in +// the genetic algorithms that models the interest rate +// the second parameter is the time +// the result is V in Brigo and Mercurio's book page 148. +// \var(\int_t^T [x(u)+y(u)]du) +/////////////////////////////////////////////////////////////////// +//res = (v, bai, bbi, _) +inline +real4_t bigv( real_t g_a, + real_t g_b, + real_t g_rho, + real_t g_nu, + real_t g_sig, + real_t tau +) { + real4_t res4; + + res4.w = g_sig; //(g_sig == 0.0) ? 1.0e-10 : g_sig; // g_sigma + res4.y = b_fun(g_a, tau); + res4.z = b_fun(g_b, tau); + res4.x = t_fun(res4.w, g_a,tau); + res4.x+= t_fun(g_nu, g_b,tau); + res4.x+= 2.0 * g_rho * g_nu * res4.w / (g_a * g_b) * + ( tau - res4.y - res4.z + b_fun(g_a+g_b, tau) ); + + return res4; +} + + +/////////////////////////////////////////////////////////////////// +// the first parameter `genome' is the five-genes genome used in +// the genetic algorithms that models the interest rate +// the other parameter are times: today, maturity, and the +// lower and upper bound of the considered time interval +// +// the result is: x drift term in tmat-forward measure +/////////////////////////////////////////////////////////////////// +inline +real_t bigmx( real_t a, + real_t b, + real_t rho, + real_t nu, + real_t sigma, // ends genome + real_t today, + real_t tmat, + real_t s, + real_t t +) { + real_t ts = date_act_365(t, s) ; + real_t tmatt = date_act_365(tmat, t) ; + + real_t tmat0 = date_act_365(tmat, today); + real_t tmats = date_act_365(tmat, s) ; + real_t t0 = date_act_365(t, today); + real_t s0 = date_act_365(s, today); + + real_t tmp, res = 0.0; + + tmp = (sigma*sigma)/(a*a)+(sigma*rho*nu)/(a*b); + tmp *= ( 1.0 - exp(- a * ts) ); + res += tmp; + + tmp = sigma * sigma / (2.0 * a * a); + tmp *= exp(- a * tmatt) - exp(- a * (tmats + ts)); + res -= tmp; + + tmp = rho * sigma * nu / (b * (a + b)); + tmp *= exp(-b * tmatt) - exp(-b*tmat0 - a*t0 + (a+b)*s0); + res -= tmp; + + return res; +} + + +/////////////////////////////////////////////////////////////////// +// the first parameter `genome' is the five-genes genome used in +// the genetic algorithms that models the interest rate +// the other parameter are times: today, maturity, and the +// lower and upper bound of the considered time interval +// +// the result is: y drift term in tmat-forward measure +/////////////////////////////////////////////////////////////////// +inline +real_t bigmy( real_t a, + real_t b, + real_t rho, + real_t nu, + real_t sigma, // ends genome + real_t today, + real_t tmat, + real_t s, + real_t t +) { + real_t ts = date_act_365(t, s ); + real_t tmatt = date_act_365(tmat, t ); + real_t tmat0 = date_act_365(tmat, today); + real_t tmats = date_act_365(tmat, s ); + real_t t0 = date_act_365(t, today); + real_t s0 = date_act_365(s, today); + + real_t tmp, res = 0.0; + + tmp = nu*nu/(b*b)+sigma*rho*nu/(a*b); + tmp *= 1.0 - exp(-b * ts); + res += tmp; + + tmp = nu * nu / (2.0 * b * b); + tmp *= exp(-b * tmatt) - exp(-b * (tmats + ts)); + res -= tmp; + + tmp = sigma * rho * nu / (a * (a + b)); + tmp *= exp(-a * tmatt) - exp(-a*tmat0 - b*t0 + (a+b)*s0); + res -= tmp; + + return res; +} + +#endif // ifndef G2PP_UTIL + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/GenAlg.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/GenAlg.cl new file mode 100644 index 0000000..508a5a1 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/GenAlg.cl @@ -0,0 +1,313 @@ +// Various Kinds of Regular and Segmented Reduction +#ifndef GEN_ALG_KERNELS +#define GEN_ALG_KERNELS + +real_t getSobolNum( uint n, __constant int* SOBOL_DIR_VCT ) { + int n_gray = (n >> 1) ^ n; + int res = 0; + for( int i=0; i < SOBOL_BITS_NUM; i++ ) { + int t = (1 << i); + bool cond = ( (n_gray & t) == t ); + if ( cond ) { + res = res ^ SOBOL_DIR_VCT[i]; + } + } + real_t rres = ((real_t)res) / ( (1< 0.0F ) ? (backward_range / forward_range) : 1.0F; + + // assign p' + real_t diff = amplitude * r01 - semiamplitude; + return (real2_t) (gene + diff, bf_fact); +} + +inline +real_t constrain_gene( real_t gene, real_t lb, real_t ub ) { + return maxR( lb, minR( ub, gene ) ); +} + +/*******************************************/ +/********** MUTATE DIMs KERNEL ***********/ +/*******************************************/ + +/** + * One-Dimensional Kernel: + * Dimension is POP_SIZE (LWG = GWG) + */ +__kernel void +mutate_dims ( __global real_t* genomes, //[13, POP_SIZE] + __constant real_t* lub, //[2, 5]. i.e., [lower,upper] gene range + __constant int * SOBOL_DIR_VCT, //[SOBOL_BITS_NUM == 30] + uint sob_offset, + uint dim_j, + real_t amplitude_ratio, // = MOVES_UNIF_AMPL_RATIO + uint Npop // POP_SIZE +) { + uint gid = get_global_id(0); +#if (SOBOL_TRANSP == 1) + uint gidr = gid*5 + sob_offset; +#else + uint gidr = gid + sob_offset; +#endif + uint offset = ( Npop << 1 ); + real_t fb_rat = 1.0F; + real2_t tmp; + + if( gid < Npop ) { + gid += Npop; + for(int i=0; i < 5; i++) { + real_t lb = lub[i], ub = lub[i+5]; + real_t r01 = getSobolNum(gidr, SOBOL_DIR_VCT); + + real_t ampl = (dim_j > 4 || dim_j == i) ? amplitude_ratio : 0.0F; + tmp = mutate_helper( genomes[gid-Npop], genomes[gid], + lb, ub, r01, ampl ); + + real_t val = constrain_gene(tmp.x, lb, ub); + genomes[gid] = val; //(i == 2 && val == 0.0) ? EPS0 : val; + + fb_rat *= tmp.y; + gid += offset; +#if (SOBOL_TRANSP == 1) + gidr += 1; +#else + gidr += Npop; +#endif + } + gid += Npop; + genomes[gid] = fb_rat; + } +} + + +/**********************************************/ +/************* Crossover MCMC_DE **************/ +/**********************************************/ + +inline real_t getRandUnifNorm(real_t r) { + return r; +} +//Returns a (pseudo) random integer in [0, ub) +inline uint getRandIntNorm(uint ub, real_t r01) { + return (uint) (r01 * ub); +} + +inline +real_t perturbation( real_t gene, + real_t gene_k, + real_t gene_l, + real_t r01, + real_t lb, + real_t ub, + real_t gamma1, + real_t amplitude_ratio //= MOVES_UNIF_AMPL_RATIO +) { + real_t amplitude = fabs( (ub - lb) * amplitude_ratio ); + real_t semiamplitude = amplitude / 2.0F; + real_t perturb = ( amplitude * r01 - semiamplitude ); + return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); +} + +/** + * Crossover + * One-Dimensional of size POP_SIZE = LWG = GWG + */ +__kernel void +mcmc_DE( __global real_t *genomes, + __constant real_t *lub, // [2, 5]. i.e., [lower,upper] gene range + __constant int *SOBOL_DIR_VCT, // [SOBOL_BITS_NUM == 30] + uint sob_offset, + real_t gamma_avg, // 2.38 / sqrt(2.0*GENOME_DIM), + real_t ampl_ratio, // 0.1 * MOVES_UNIF_AMPL_RATIO + uint Npop +) { + real_t r01; + uint gid = get_global_id(0); + +#if (SOBOL_TRANSP == 1) + uint gidr = gid*8 + sob_offset; + uint rinc = 1; +#else + uint gidr = gid + sob_offset; + uint rinc = Npop; +#endif + + uint offset = ( Npop << 1 ); + + if( gid < Npop ) { + uint cand_UB = Npop - 1; + r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); gidr += rinc; + uint k = getRandIntNorm( cand_UB, r01 ); + if ( k == gid ) { + k = cand_UB; + cand_UB -= 1; + } + + r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); gidr += rinc; + uint l = getRandIntNorm( cand_UB, r01 ); + if ( l == gid || l == k ) { + l = cand_UB; + } + + // proposal + // gamma: integrated out from the adviced Multivariate Gaussian with Gaussian target (Braak, 2006) + // random.uniform: is it supposed to be Sobol or such ? Does C++ rand() works? + // gamma = N.random.uniform( gamma_avg-0.5, gamma_avg+0.5 ) + r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); gidr += rinc; + real_t gamma1 = gamma_avg - 0.5F + getRandUnifNorm( r01 ); + + for( int j = 0; j < 5; j ++ ) { + real_t lb = lub[j], ub = lub[j+5]; + + r01 = getSobolNum(gidr, SOBOL_DIR_VCT ); + real_t val = perturbation ( genomes[gid], genomes[k], genomes[l], r01, lb, ub, gamma1, ampl_ratio ); + val = constrain_gene( val, lb, ub ); + + genomes[ gid + Npop ] = val; //( j == 2 && val == 0.0 ) ? EPS0 : val; + + gidr += rinc; + gid += offset; + k += offset; + l += offset; + } + + gid += offset; + genomes[gid] = 1.0F; // TODO: fix + } +} + + +#endif // GEN_ALG_KERNELS + diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Reductions.cl b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Reductions.cl new file mode 100644 index 0000000..f9026a1 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SrcCL/Reductions.cl @@ -0,0 +1,380 @@ +// Various Kinds of Regular and Segmented Reduction +#ifndef REDUCTION_KERNELS +#define REDUCTION_KERNELS + +/*************************************************/ +/*** Regular Total Reduction With Operator AND ***/ +/*************************************************/ + +inline +uchar reduce_reg_and_warp( + __local volatile uchar* sh_data +) { + const uint th_id = get_local_id(0) & (WARP-1); + + if( th_id >= 1 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-1 ]; + if( th_id >= 2 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-2 ]; + if( th_id >= 4 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-4 ]; + if( th_id >= 8 ) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-8 ]; +#if (WARP == 32) + if( th_id >= 16) sh_data[th_id] = sh_data[th_id] && sh_data[th_id-16]; +#endif + return sh_data[th_id]; +} + +inline +uchar reduce_reg_and ( __local volatile uchar* sh_data ) { + // perform scan at warp level + uchar res = reduce_reg_and_warp( sh_data + WARP_FST ); + barrier( CLK_LOCAL_MEM_FENCE ); + + // gather per-warp results in the first WARP elements + if ( TH_ID == WARP_LST ) { + sh_data[ WARP_ID ] = res; + } + barrier(CLK_LOCAL_MEM_FENCE); + + if( TH_ID < WARP ) { + reduce_reg_and_warp( sh_data ); + } + barrier(CLK_LOCAL_MEM_FENCE); +#if 0 + if( WARP_ID != 0 ) { + res = res && sh_data[ WARP_ID-1 ]; + } + barrier(CLK_LOCAL_MEM_FENCE); + + sh_data[TH_ID] = res; + + barrier(CLK_LOCAL_MEM_FENCE); + + res = sh_data[ get_local_size(0) - 1 ]; + barrier(CLK_LOCAL_MEM_FENCE); + return res; +#else + res = sh_data[ (get_local_size(0) >> lgWARP) - 1 ]; //sh_data[WARP-1]; + barrier(CLK_LOCAL_MEM_FENCE); + return res; +#endif +} + +/*************************************************/ +/*** Regular Total Reduction With Operator PLUS***/ +/*************************************************/ + +inline +real_t reduce_reg_plus_warp( + __local volatile real_t* sh_data +) { + const uint th_id = get_local_id(0) & (WARP-1); + + if( th_id >= 1 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-1 ]; + if( th_id >= 2 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-2 ]; + if( th_id >= 4 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-4 ]; + if( th_id >= 8 ) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-8 ]; +#if (WARP == 32) + if( th_id >= 16) sh_data[th_id] = sh_data[th_id] + sh_data[th_id-16]; +#endif + return sh_data[th_id]; +} + +inline +real_t reduce_reg_plus ( __local volatile real_t* sh_data ) { + // perform scan at warp level + real_t res = reduce_reg_plus_warp( sh_data + WARP_FST ); + barrier( CLK_LOCAL_MEM_FENCE ); + + // gather per-warp results in the first WARP elements + if ( TH_ID == WARP_LST ) { + sh_data[ WARP_ID ] = res; + } + barrier(CLK_LOCAL_MEM_FENCE); + + if( TH_ID < WARP ) { + reduce_reg_plus_warp( sh_data ); + } + barrier(CLK_LOCAL_MEM_FENCE); + + if( WARP_ID != 0 ) { + res = res + sh_data[ WARP_ID-1 ]; + } + barrier(CLK_LOCAL_MEM_FENCE); + + sh_data[TH_ID] = res; + barrier(CLK_LOCAL_MEM_FENCE); + +// res = sh_data[ get_local_size(0) - 1 ]; +// barrier(CLK_LOCAL_MEM_FENCE); +// return res; + + return sh_data[ get_local_size(0) - 1 ]; +} + +/*************************************************/ +/*** Irregular, Segmented Reduction With Op. + ***/ +/*************************************************/ + +inline real_t segm_reduce_plus_warp( + __local volatile real_t* ptr, + __local volatile uchar* hd ) { + const uint th_id = TH_ID & (WARP-1); + + if( th_id >= 1 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-1] + ptr[th_id]; + hd [th_id] = hd[th_id - 1] | hd[th_id]; + } + if( th_id >= 2 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-2] + ptr[th_id]; + hd [th_id] = hd[th_id - 2] | hd[th_id]; + } + if( th_id >= 4 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-4] + ptr[th_id]; + hd [th_id] = hd[th_id - 4] | hd[th_id]; + } + if( th_id >= 8 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-8] + ptr[th_id]; + hd [th_id] = hd[th_id - 8] | hd[th_id]; + } +#if (WARP == 32) + if( th_id >= 16 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : ptr[th_id-16]+ ptr[th_id]; + hd [th_id] = hd[th_id - 16] | hd[th_id]; + } +#endif + return ptr[th_id]; +} + +inline void segm_reduce_plus( + __local volatile real_t *ptr, + __local volatile uchar *hd +) { + // 1a: record whether this warp begins + // with an ``open'' segment. + uchar th_flag = hd[ TH_ID ]; + bool warp_is_open = ( hd[WARP_FST] == 0 ); + barrier(CLK_LOCAL_MEM_FENCE); + + // 1b: intra-warp segmented scan for each warp + real_t val = segm_reduce_plus_warp( ptr + WARP_FST, hd + WARP_FST ); + + // 2a: the last value is the correct partial result + real_t warp_total = ptr[WARP_LST]; + + // 2b: warp_flag is the OR-reduction of the flags + // in a warp, and is computed indirectly from + // the mindex in hd[] + bool warp_flag = hd[WARP_LST]!=0 || !warp_is_open; + bool will_accum= warp_is_open && (hd[TH_ID] == 0); + + barrier(CLK_LOCAL_MEM_FENCE); + + // 2c: the last thread in a warp writes partial results + if( TH_ID == WARP_LST ) { + ptr[WARP_ID] = warp_total; + hd [WARP_ID] = warp_flag; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // 3: one warp scans the per-warp results + if( WARP_ID == 0 ) { + segm_reduce_plus_warp( ptr + WARP_FST, hd + WARP_FST ); + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // 4: accumulate results from step 3: + if ( WARP_ID != 0 && will_accum ) { + val = val + ptr[ WARP_ID-1 ]; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + ptr[TH_ID] = val; + hd [TH_ID] = th_flag; + + barrier(CLK_LOCAL_MEM_FENCE); +} + +/****************************************************/ +/*** Irregular, Segmented Reduce With Op. (+,max) ***/ +/****************************************************/ + +inline real2_t OP_PLUS_MAX(real2_t a, real2_t b) { + return (real2_t) ( a.x + b.x, maxR(a.y, b.y) ); +} + +inline real2_t segm_reduce_plusmax_warp( + __local volatile real2_t* ptr, + __local volatile uchar* hd ) { + const uint th_id = TH_ID & (WARP-1); + + if( th_id >= 1 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-1], ptr[th_id]); + hd [th_id] = hd[th_id - 1] | hd[th_id]; + } + if( th_id >= 2 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-2], ptr[th_id]); + hd [th_id] = hd[th_id - 2] | hd[th_id]; + } + if( th_id >= 4 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-4], ptr[th_id]); + hd [th_id] = hd[th_id - 4] | hd[th_id]; + } + if( th_id >= 8 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-8], ptr[th_id]); + hd [th_id] = hd[th_id - 8] | hd[th_id]; + } +#if (WARP == 32) + if( th_id >= 16 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MAX(ptr[th_id-16], ptr[th_id]); + hd [th_id] = hd[th_id - 16] | hd[th_id]; + } +#endif + return ptr[th_id]; +} + +inline void segm_reduce_plusmax( + __local volatile real2_t *ptr, + __local volatile uchar *hd +) { + // 1a: record whether this warp begins + // with an ``open'' segment. + uchar th_flag = hd[ TH_ID ]; + bool warp_is_open = ( hd[WARP_FST] == 0 ); + barrier(CLK_LOCAL_MEM_FENCE); + + // 1b: intra-warp segmented scan for each warp + real2_t val = segm_reduce_plusmax_warp( ptr + WARP_FST, hd + WARP_FST ); + + // 2a: the last value is the correct partial result + real2_t warp_total = ptr[WARP_LST]; + + // 2b: warp_flag is the OR-reduction of the flags + // in a warp, and is computed indirectly from + // the mindex in hd[] + bool warp_flag = hd[WARP_LST]!=0 || !warp_is_open; + bool will_accum= warp_is_open && (hd[TH_ID] == 0); + + barrier(CLK_LOCAL_MEM_FENCE); + + // 2c: the last thread in a warp writes partial results + if( TH_ID == WARP_LST ) { + ptr[WARP_ID] = warp_total; + hd [WARP_ID] = warp_flag; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // 3: one warp scans the per-warp results + if( WARP_ID == 0 ) { + segm_reduce_plusmax_warp( ptr + WARP_FST, hd + WARP_FST ); + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // 4: accumulate results from step 3: + if ( WARP_ID != 0 && will_accum ) { + val = OP_PLUS_MAX( val, ptr[ WARP_ID-1 ] ); + } + + barrier(CLK_LOCAL_MEM_FENCE); + + ptr[TH_ID] = val; + hd [TH_ID] = th_flag; + + barrier(CLK_LOCAL_MEM_FENCE); +} + + +/****************************************************/ +/*** Irregular, Segmented Reduce With Op. (+,max) ***/ +/****************************************************/ + +inline real4_t OP_PLUS_MIN_MAX( real4_t a, real4_t b ) { + return ( real4_t ) ( a.x + b.x, minR(a.y, b.y), maxR(a.z, b.z), 1.0 ); +} + +inline real4_t segm_reduce_plusminmax_warp( + __local volatile real4_t* ptr, + __local volatile uchar* hd ) { + const uint th_id = TH_ID & (WARP-1); + + if( th_id >= 1 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-1], ptr[th_id]); + hd [th_id] = hd[th_id - 1] | hd[th_id]; + } + if( th_id >= 2 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-2], ptr[th_id]); + hd [th_id] = hd[th_id - 2] | hd[th_id]; + } + if( th_id >= 4 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-4], ptr[th_id]); + hd [th_id] = hd[th_id - 4] | hd[th_id]; + } + if( th_id >= 8 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-8], ptr[th_id]); + hd [th_id] = hd[th_id - 8] | hd[th_id]; + } +#if (WARP == 32) + if( th_id >= 16 ) { + ptr[th_id] = hd[th_id] ? ptr[th_id] : OP_PLUS_MIN_MAX(ptr[th_id-16], ptr[th_id]); + hd [th_id] = hd[th_id - 16] | hd[th_id]; + } +#endif + return ptr[th_id]; +} + +inline void segm_reduce_plusminmax( + __local volatile real4_t *ptr, + __local volatile uchar *hd +) { + // 1a: record whether this warp begins + // with an ``open'' segment. + uchar th_flag = hd[ TH_ID ]; + bool warp_is_open = ( hd[WARP_FST] == 0 ); + barrier(CLK_LOCAL_MEM_FENCE); + + // 1b: intra-warp segmented scan for each warp + real4_t val = segm_reduce_plusminmax_warp( ptr + WARP_FST, hd + WARP_FST ); + + // 2a: the last value is the correct partial result + real4_t warp_total = ptr[WARP_LST]; + + // 2b: warp_flag is the OR-reduction of the flags + // in a warp, and is computed indirectly from + // the mindex in hd[] + bool warp_flag = hd[WARP_LST]!=0 || !warp_is_open; + bool will_accum= warp_is_open && (hd[TH_ID] == 0); + + barrier(CLK_LOCAL_MEM_FENCE); + + // 2c: the last thread in a warp writes partial results + if( TH_ID == WARP_LST ) { + ptr[WARP_ID] = warp_total; + hd [WARP_ID] = warp_flag; + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // 3: one warp scans the per-warp results + if( WARP_ID == 0 ) { + segm_reduce_plusminmax_warp( ptr + WARP_FST, hd + WARP_FST ); + } + + barrier(CLK_LOCAL_MEM_FENCE); + + // 4: accumulate results from step 3: + if ( WARP_ID != 0 && will_accum ) { + val = OP_PLUS_MIN_MAX( val, ptr[ WARP_ID-1 ] ); + } + + barrier(CLK_LOCAL_MEM_FENCE); + + ptr[TH_ID] = val; + hd [TH_ID] = th_flag; + + barrier(CLK_LOCAL_MEM_FENCE); +} + +#endif // REDUCTION_KERNELS diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp new file mode 100644 index 0000000..7bdd251 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp @@ -0,0 +1,64 @@ +/****************************************/ +/*** Translated to C++ & parallelized ***/ +/*** in OpenCL by Cosmin E. Oancea ***/ +/*** from an original OCaml code ***/ +/*** (sequential) by LexiFi ***/ +/*** and a sequential Python implem ***/ +/*** using a different genetic alg.***/ +/*** by Christian Andreetta ***/ +/****************************************/ + + +#include "Util.h" +#include "Constants.h" +#include "ParseInput.h" +#include "GenAlgFlat.h" +#include "WriteResult.h" + +int main() +{ + real_t wg_a = 0.0, wg_b = 0.0, wg_sigma = 0.0, + wg_nu = 0.0, wg_rho = 0.0, wg_logLik = 0.0; + real_t* calib_arr = NULL; + + printf("\n// Running GPU-Parallel Swaption-Calibration Benchmark\n"); + + readDataSet( POP_SIZE, MCMC_LOOPS, + NUM_SWAP_QUOTES, SwaptionQuotes, + NUM_HERMITE, HermiteCoeffs, HermiteWeights, + NUM_SOBOL_BITS, SobolDirVct + ); + + unsigned long int elapsed_usec = 0; + { // Main Computational Kernel + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + calib_arr = mainKernelGPU(wg_a, wg_b, wg_sigma, wg_nu, wg_rho, wg_logLik); + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; + } + + { // writeback of the result + FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); + FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); + const int Ps = get_CPU_num_threads(); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + + writeResult(result, + wg_a, + wg_b, + wg_sigma, + wg_nu, + wg_rho, + wg_logLik, + calib_arr); + + fclose(result); + } + + return 0; +} diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h b/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h new file mode 100644 index 0000000..864bc1c --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h @@ -0,0 +1,287 @@ +#ifndef GPGPU_UTILITIES +#define GPGPU_UTILITIES + +#include "SDK_stub.h" + +/************************/ +/*** Helper Functions ***/ +/************************/ +bool is_pow2(uint n) { + uint c = 1; + while(c < n) { + c = c << 1; + } + return (c == n); +} + + +struct CpuArrays { + // size of the shape array + const uint SS; + + // shape of the irregular arrays for one genome + short* shape; + + // [13 * POP_SIZE] = + // { a, a_p, b, b_p, rho, rho_p, nu, nu_p, + // sigma, sigma_p, logLik, logLik_p, bf_rat } + real_t* genomes; + + // [ 4 * SS * POP_SIZE ] + real_t* ci_t1cs_scale; + + // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] + real_t* new_quote_price; + + // [ NUM_SWAP_QUOTES*NUM_HERMITE ] + real_t* accum0; + + // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] + // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, + // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } + real_t* scalars; + + real_t gene_ranges[10]; + + CpuArrays (const uint n, short* shp) : SS(n) { + shape = shp; + + genomes = new real_t[ 13 * POP_SIZE ]; + ci_t1cs_scale = new real_t[ 4 * SS * POP_SIZE ]; + scalars = new real_t[ 8 * NUM_SWAP_QUOTES * POP_SIZE ]; + + new_quote_price = new real_t [ 2 * NUM_SWAP_QUOTES * POP_SIZE ]; + accum0 = new real_t [ NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE ]; + + for(int i=0; i<5; i++) { gene_ranges[i] = g_mins[i]; } + for(int i=0; i<5; i++) { gene_ranges[i+5] = g_maxs[i]; } + } + + void releaseResources() { + delete[] shape; + delete[] genomes; + delete[] ci_t1cs_scale; + delete[] scalars; + delete[] new_quote_price; + delete[] accum0; + } + + // genome helpers + real_t* get_a () { return genomes; } + real_t* get_b () { return genomes + POP_SIZE*2; } + real_t* get_rho () { return genomes + POP_SIZE*4; } + real_t* get_nu () { return genomes + POP_SIZE*6; } + real_t* get_sigma () { return genomes + POP_SIZE*8; } + real_t* get_logLik() { return genomes + POP_SIZE*10;} + real_t* get_bf_rat() { return genomes + POP_SIZE*12;} + + // get the shape of the irregular array (for one genome) + short* get_shape (){ return shape; } + + // get the start iterator into arrays ci, t1cs, scale for genome i + real_t* get_ci (int i) { return ci_t1cs_scale + SS*i; } + real_t* get_t1cs (int i) { return ci_t1cs_scale + SS*i + SS*POP_SIZE; } + real_t* get_scale (int i) { return ci_t1cs_scale + SS*i + 2*SS*POP_SIZE; } + real_t* get_bbi (int i) { return ci_t1cs_scale + SS*i + 3*SS*POP_SIZE; } + + // get the start iterator into array-expanded scalars for genome i + real_t* get_mux (int i) { return scalars + i * NUM_SWAP_QUOTES ; } + real_t* get_muy (int i) { return scalars + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_sqsigx(int i) { return scalars + i * NUM_SWAP_QUOTES + 2 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_t2 (int i) { return scalars + i * NUM_SWAP_QUOTES + 3 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_sigrho(int i) { return scalars + i * NUM_SWAP_QUOTES + 4 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_zcmat (int i) { return scalars + i * NUM_SWAP_QUOTES + 5 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_f (int i) { return scalars + i * NUM_SWAP_QUOTES + 6 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_df (int i) { return scalars + i * NUM_SWAP_QUOTES + 7 * NUM_SWAP_QUOTES * POP_SIZE; } + + // get the quotes prices for genome i + real_t* get_quote (int i) { return new_quote_price + i * NUM_SWAP_QUOTES; } + real_t* get_price (int i) { return new_quote_price + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } + + // get the accumulator for the irregular array for genome i + real_t* get_accum (int i) { return accum0 + i * NUM_SWAP_QUOTES * NUM_HERMITE; } +}; + +/**************************************/ +/*** OpenCL related Data Structures ***/ +/**************************************/ +struct OclBuffers { + // Used for BestFit reduction (size LWG_FB) + cl_mem best_ind; + cl_mem best_val; + + cl_mem shape; // [ SS * 4 ] + cl_mem swap_quotes; // [ NUM_SWAP_QUOTES * 4 ] + cl_mem genomes; // [13 * POP_SIZE] + cl_mem ci_t1cs_scale; // [ 4 * SS * POP_SIZE ] + cl_mem new_quote_price; // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] + cl_mem accum0; // [ NUM_SWAP_QUOTES * NUM_HERMITE ] + cl_mem scalars; // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] + + cl_mem gauss_coefs; + cl_mem gauss_weights; + + cl_mem gene_ranges; + cl_mem sobol_dir_vct; + + cl_mem accept_cond; + + + void releaseResources ( ) { + shrLog(stdlog, "Release oclBuffers ... "); + + clReleaseMemObject( best_ind ); + clReleaseMemObject( best_val ); + + clReleaseMemObject( shape ); + clReleaseMemObject( swap_quotes ); + + clReleaseMemObject( genomes ); + clReleaseMemObject( ci_t1cs_scale ); + clReleaseMemObject( new_quote_price ); + clReleaseMemObject( accum0 ); + clReleaseMemObject( scalars ); + + clReleaseMemObject( gauss_coefs ); + clReleaseMemObject( gauss_weights ); + + clReleaseMemObject( gene_ranges ); + clReleaseMemObject( sobol_dir_vct ); + + clReleaseMemObject( accept_cond ); + } +}; + +struct OclObjects { + UINT dev_id; + + cl_command_queue cmdQueue[16]; // OpenCL command queue + cl_context context; // OpenCL context + cl_device_id* devices; // OpenCL device list + cl_program program; // OpenCL program + + cl_command_queue& getCommandQueue() { + return cmdQueue[dev_id]; + } + void releaseResources ( ) { + shrLog(stdlog, "Release OpenCL objects ..."); + clReleaseProgram ( program ); + clReleaseCommandQueue( getCommandQueue() ); + free(devices); + clReleaseContext( context ); + } +}; + + +/******************************************/ +/*** Filling the OpenCL data structures ***/ +/******************************************/ +void compileGPUprog( OclObjects& objs ) { + char compile_option[1024]; + +#ifdef MAC + // Build the program with 'mad' Optimization option + char flags[] = "-cl-mad-enable -DMAC "; +#else + char flags[] = ""; +#endif + + sprintf( compile_option, "%s -D lgWARP=%d -D TODAY=%10f -D LWG_FB=%d -D INFTY=%f -D MAX_DATE=%f -D MIN_DATE=%f -D SOBOL_BITS_NUM=%d -D%s -I%s/include -I%s/include -I%s/SrcCL", + flags, lgWARP, TODAY, LWG_FB, INFTY, MAX_DATE, MIN_DATE, NUM_SOBOL_BITS, + REAL_FLAG, + HIPERMARK_BENCHMARK_LIB_DIR, HIPERMARK_LIB_DIR, IMPLEMENTATION_DIR); + + fprintf(stderr, "compiling like this: %s\n", compile_option); + objs.dev_id = 0; + cl_uint nDevice; + build_for_GPU( + objs.context, + objs.cmdQueue, + nDevice, + objs.devices, + objs.program, + objs.dev_id, + compile_option, + "", + "SrcCL/CalibKers" + ); +} + +void makeOclBuffers ( CpuArrays& cpu_arrs, OclObjects& ocl_objs, OclBuffers& ocl_arrs ) { + cl_int ciErr, ciErr2; + size_t cur_size; + cl_command_queue& cmd_queue = ocl_objs.getCommandQueue(); + + cur_size = LWG_FB * sizeof(real_t); + ocl_arrs.best_val = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2); ciErr |= ciErr2; + + cur_size = LWG_FB * sizeof(uint); + ocl_arrs.best_ind = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2); ciErr |= ciErr2; + + // for the main kernel(s) + cur_size = 4 * cpu_arrs.SS * sizeof(short); + ocl_arrs.shape = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.shape, CL_TRUE, 0, cur_size, cpu_arrs.shape, 0, NULL, NULL); + + // swaption quotes + cur_size = 4 * NUM_SWAP_QUOTES * sizeof(real_t); + ocl_arrs.swap_quotes = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.swap_quotes, CL_TRUE, 0, cur_size, SwaptionQuotes, 0, NULL, NULL); + + // gene ranges + cur_size = 10 * sizeof(real_t); + ocl_arrs.gene_ranges = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.gene_ranges, CL_TRUE, 0, cur_size, cpu_arrs.gene_ranges, 0, NULL, NULL); + + // sobol direction vector + cur_size = 30 * sizeof(real_t); + ocl_arrs.sobol_dir_vct = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.sobol_dir_vct, CL_TRUE, 0, cur_size, SobolDirVct, 0, NULL, NULL); + + // acceptance condition + cur_size = POP_SIZE * sizeof(unsigned char); + ocl_arrs.accept_cond = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + + // GaussHermite coefficients and weights! + cur_size = NUM_HERMITE * sizeof(real_t); + ocl_arrs.gauss_coefs = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.gauss_coefs, CL_TRUE, 0, cur_size, HermiteCoeffs, 0, NULL, NULL); + ocl_arrs.gauss_weights = clCreateBuffer( ocl_objs.context, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; + ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.gauss_weights, CL_TRUE, 0, cur_size, HermiteWeights, 0, NULL, NULL); + + cur_size = 13 * POP_SIZE * sizeof(real_t); + ocl_arrs.genomes = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; +// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.genomes, CL_TRUE, 0, cur_size, cpu_arrs.genomes, 0, NULL, NULL); + + cur_size = 4 * cpu_arrs.SS * POP_SIZE * sizeof(real_t); + ocl_arrs.ci_t1cs_scale = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; +// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.ci_t1cs_scale, CL_TRUE, 0, cur_size, cpu_arrs.ci_t1cs_scale, 0, NULL, NULL); + + cur_size = 2 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(real_t); + ocl_arrs.new_quote_price = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; +// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.new_quote_price, CL_TRUE, 0, cur_size, cpu_arrs.new_quote_price, 0, NULL, NULL); + + cur_size = 8 * NUM_SWAP_QUOTES * POP_SIZE * sizeof(real_t); + ocl_arrs.scalars = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; +// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.scalars, CL_TRUE, 0, cur_size, cpu_arrs.scalars, 0, NULL, NULL); + + cur_size = NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE * sizeof(real_t); + ocl_arrs.accum0 = clCreateBuffer( ocl_objs.context, CL_MEM_READ_WRITE, cur_size, NULL, &ciErr2 ); ciErr |= ciErr2; +// ciErr |= clEnqueueWriteBuffer(cmd_queue, ocl_arrs.accum0, CL_TRUE, 0, cur_size, cpu_arrs.accum0, 0, NULL, NULL); + + oclCheckError(ciErr, CL_SUCCESS); +} + +void initGPUresources ( CpuArrays& cpu_arrs, OclObjects& ocl_objs, OclBuffers& ocl_arrs ) { + compileGPUprog ( ocl_objs ); + makeOclBuffers ( cpu_arrs, ocl_objs, ocl_arrs ); +} + +void releaseGPUresources( OclObjects& ocl_objs, OclBuffers& ocl_arrs ) { + fprintf(stderr, "Releasing GPU Resources ... "); + ocl_arrs.releaseResources(); + ocl_objs.releaseResources(); + fprintf(stderr, "OK!\n"); +} + +#endif // GPGPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/static_configuration_template.json b/benchmarks/InterestCalib/implementations/cpp_opencl/static_configuration_template.json new file mode 100644 index 0000000..00bdffb --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/static_configuration_template.json @@ -0,0 +1,3 @@ +{ + "REAL_TYPE" : ["float", "double"] +} diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h b/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h index 5f324a4..1e11294 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/G2PPorig.h @@ -8,10 +8,10 @@ #include "GenAlgUtil.h" -REAL to_solve_orig( const UINT& N, +real_t to_solve_orig( const UINT& N, const IntermElem* tmp_arrs, - const REAL& yhat ) { - REAL accum = 0.0; + const real_t& yhat ) { + real_t accum = 0.0; for( UINT i = 0; i < N; i++ ) { accum += tmp_arrs[i].hat_scale * exp( - tmp_arrs[i].bbi * yhat ); } @@ -25,20 +25,20 @@ REAL to_solve_orig( const UINT& N, void rootFinding_Brent_orig ( const UINT& N, IntermElem* tmp_arrs, - const REAL& lb, - const REAL& ub, - const REAL& toll, + const real_t& lb, + const real_t& ub, + const real_t& toll, const UINT& it_mx, - REAL& root, // result + real_t& root, // result UINT& it, - REAL& fb + real_t& fb ) { - const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; - const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; + const real_t tol = (toll <= 0.0) ? 1.0e-9 : toll; + const real_t iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; - REAL a = lb, b = ub; + real_t a = lb, b = ub; - REAL fa = to_solve_orig(N, tmp_arrs, a); + real_t fa = to_solve_orig(N, tmp_arrs, a); fb = to_solve_orig(N, tmp_arrs, b); if( fa*fb >= 0.0 ) { @@ -48,22 +48,22 @@ void rootFinding_Brent_orig ( return; } - if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } + if( fabs(fa) < fabs(fb) ) { real_t tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } - REAL c = a, fc = fa; + real_t c = a, fc = fa; bool mflag = true; - REAL d = 0.0; + real_t d = 0.0; it = 0; for( UINT i = 0; i < iter_max; i++ ) { if ( fb != 0.0 && fabs(b-a) >= tol ) { - REAL s; + real_t s; if( fa == fc || fb == fc ) { s = b - fb * (b - a) / (fb - fa); } else { - REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); - REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); - REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); + real_t s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); + real_t s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); + real_t s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); s = s1 + s2 + s3; } @@ -78,7 +78,7 @@ void rootFinding_Brent_orig ( mflag = false; } - REAL fs = to_solve_orig(N, tmp_arrs, s); + real_t fs = to_solve_orig(N, tmp_arrs, s); // d is assigned for the first time here: // it's not used above because mflag is set @@ -89,7 +89,7 @@ void rootFinding_Brent_orig ( else { a = s; fa = fs; } if( fabs(fa) < fabs(fb) ) { - REAL tmp; + real_t tmp; tmp = a; a = b; b = tmp; tmp = fa; fa = fb; fb = tmp; } @@ -108,29 +108,29 @@ void rootFinding_Brent_orig ( //return BrentRes(b, it, fb); } -REAL exactYhatOrig( +real_t exactYhatOrig( const UINT& n_schedi, - const REAL& b, // scals begins - const REAL& sigmax, - const REAL& sigmay, - const REAL& rhoxy, - const REAL& rhoxyc, - const REAL& rhoxycs, - const REAL& mux, - const REAL& muy, // scals ends + const real_t& b, // scals begins + const real_t& sigmax, + const real_t& sigmay, + const real_t& rhoxy, + const real_t& rhoxyc, + const real_t& rhoxycs, + const real_t& mux, + const real_t& muy, // scals ends IntermElem* tmp_arrs, - const REAL& x // output + const real_t& x // output ) { // ugaussian_Pinv(k)=1.0e~4 - const REAL k = - 3.71901648545568; + const real_t k = - 3.71901648545568; - REAL up = 0.0, lo = -INFTY; + real_t up = 0.0, lo = -INFTY; for( UINT i = 0; i < n_schedi; i++ ) { - REAL baix = tmp_arrs[i].bai * x; + real_t baix = tmp_arrs[i].bai * x; - REAL up_term = tmp_arrs[i].aici * exp( -baix ); + real_t up_term = tmp_arrs[i].aici * exp( -baix ); tmp_arrs[i].hat_scale = up_term; up += up_term; lo = std::max( lo, ( tmp_arrs[i].log_aici - baix ) / tmp_arrs[i].bbi ); @@ -138,8 +138,8 @@ REAL exactYhatOrig( // CHECKING uplo!!!! - const REAL log_s = log(up); - REAL tmp = log_s / tmp_arrs[n_schedi-1].bbi; + const real_t log_s = log(up); + real_t tmp = log_s / tmp_arrs[n_schedi-1].bbi; if ( tmp <= 0.0 ) { up = tmp; @@ -149,20 +149,20 @@ REAL exactYhatOrig( else up = - INFTY; } - const REAL yl = lo - EPS; - const REAL yu = up + EPS; + const real_t yl = lo - EPS; + const real_t yu = up + EPS; - const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; - const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; + const real_t y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; + const real_t y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; - REAL res; + real_t res; if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) else { - const REAL root_lb = std::max( yl, y0 ); - const REAL root_ub = std::min( yu, y1 ); + const real_t root_lb = std::max( yl, y0 ); + const real_t root_ub = std::min( yu, y1 ); - REAL root, error; UINT iter; + real_t root, error; UINT iter; rootFinding_Brent_orig(n_schedi, tmp_arrs, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h b/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h index a99d977..c7ce807 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Genome.h @@ -28,28 +28,28 @@ * Genome min/max ranges and proposed initial values (not used) * { g_a, g_b, g_rho, g_nu, g_sigma } */ -const REAL g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; -const REAL g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; -const REAL g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; -//const REAL Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; +const real_t g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; +const real_t g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; +const real_t g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; +//const real_t Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; /** * perturbing a genome; requires one random uniform number in [0,1) */ inline -REAL perturbation( - const REAL gene, - const REAL gene_k, - const REAL gene_l, +real_t perturbation( + const real_t gene, + const real_t gene_k, + const real_t gene_l, const UINT i, - const REAL gamma1, - const REAL amplitude_ratio + const real_t gamma1, + const real_t amplitude_ratio ) { - REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - REAL semiamplitude = amplitude / 2.0; - REAL r01 = getRandRandNorm(); - REAL perturb = ( amplitude * r01 - semiamplitude ); + real_t amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + real_t semiamplitude = amplitude / 2.0; + real_t r01 = getRandRandNorm(); + real_t perturb = ( amplitude * r01 - semiamplitude ); return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); } @@ -58,7 +58,7 @@ REAL perturbation( * contraining gene i to be within accepted bounds! */ inline -REAL constrain_dim1( const int i, const REAL gene ) { +real_t constrain_dim1( const int i, const real_t gene ) { return std::max( g_mins[i], std::min( g_maxs[i], gene ) ); } @@ -66,12 +66,12 @@ REAL constrain_dim1( const int i, const REAL gene ) { /** * Helper mutate function: requires one uniform random number */ -Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int i, const REAL amplitude_ratio ) { - REAL forward_range, backward_range; - REAL tmp_min_max, tmp_max_min; +Tuple mutate_helper( const real_t gene, const real_t gene_prop, const int i, const real_t amplitude_ratio ) { + real_t forward_range, backward_range; + real_t tmp_min_max, tmp_max_min; - const REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - const REAL semiamplitude = amplitude / 2.0; + const real_t amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + const real_t semiamplitude = amplitude / 2.0; tmp_min_max = std::min( g_maxs[i], gene + semiamplitude ); tmp_max_min = std::max( g_mins[i], gene - semiamplitude ); @@ -81,32 +81,32 @@ Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int tmp_max_min = std::max( g_mins[i], gene_prop - semiamplitude ); backward_range = tmp_min_max - tmp_max_min; - const REAL bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; + const real_t bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; // assign p' - REAL r01 = getRandRandNorm(); - REAL diff = amplitude * r01 - semiamplitude; - return Tuple(gene + diff, bf_fact); + real_t r01 = getRandRandNorm(); + real_t diff = amplitude * r01 - semiamplitude; + return Tuple(gene + diff, bf_fact); } struct Genome { - REAL a; - REAL b; - REAL rho; - REAL nu; - REAL sigma; - REAL logLik; - REAL fbRat; - REAL padding; + real_t a; + real_t b; + real_t rho; + real_t nu; + real_t sigma; + real_t logLik; + real_t fbRat; + real_t padding; Genome() { this->a = 0.0; this->b = 0.0; this->rho = 0.0; this->nu = 0.0; this->sigma = 0.0; this->logLik = 0.0; this->fbRat = 0.0; } - Genome( const REAL a, const REAL b, const REAL rho, const REAL nu, - const REAL sigma, const REAL logLik, const REAL fbRat) { + Genome( const real_t a, const real_t b, const real_t rho, const real_t nu, + const real_t sigma, const real_t logLik, const real_t fbRat) { this->a = a; this->b = b; this->rho = rho; this->nu = nu; this->sigma = sigma; this->logLik = logLik; this->fbRat = fbRat; @@ -131,9 +131,9 @@ struct Genome { * done for all types of crossover/mutation/etc */ void mutate_dims_all( const Genome& orig, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { - REAL fb_rat = 1.0; - Tuple tmp(EPS0, 1.0); + const real_t amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { + real_t fb_rat = 1.0; + Tuple tmp(EPS0, 1.0); tmp = mutate_helper( orig.a, this->a, 0, amplitude_ratio ); this->a = constrain_dim1(0, tmp.fst); @@ -166,11 +166,11 @@ struct Genome { */ void mutate_dims_one( const Genome& orig, const int dim_j, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO + const real_t amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { - REAL fb_rat = 1.0; + real_t fb_rat = 1.0; - Tuple tmp(EPS0, 1.0); + Tuple tmp(EPS0, 1.0); tmp = mutate_helper( orig.a, this->a, 0, (dim_j == 0) ? amplitude_ratio : 0.0 ); this->a = constrain_dim1(0, tmp.fst); fb_rat *= tmp.snd; @@ -200,13 +200,13 @@ struct Genome { void mcmc_DE( const Genome& orig, const Genome& gene_k, const Genome& gene_l, - const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), - const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO + const real_t gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), + const real_t ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO ) { // proposal // gamma: integrated out from the adviced // Multivariate Gaussian with Gaussian target (Braak, 2006) - REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); + real_t gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); this->a = constrain_dim1( 0, perturbation( orig.a, gene_k.a, gene_l.a, 0, gamma1, ampl_ratio ) ); this->b = constrain_dim1( 1, perturbation( orig.b, gene_k.b, gene_l.b, 1, gamma1, ampl_ratio ) ); diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile index 14669d4..b2cc929 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile @@ -19,6 +19,9 @@ default: $(EXECUTABLE) %.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< +$(EXECUTABLE): $(OBJECTS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) + clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp index 84d002b..b29ba4e 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp @@ -11,6 +11,7 @@ #include "Constants.h" #include "ParseInput.h" #include "GenAlgFlat.h" +#include "WriteResult.h" int main() { @@ -45,17 +46,17 @@ int main() fclose(runtime); writeResult(result, - wg_a, - wg_b, - wg_sigma, - wg_nu, - wg_rho, - wg_logLik, + gene.a, + gene.b, + gene.sigma, + gene.nu, + gene.rho, + gene.logLik, calib_arr); fclose(result); } - return 1; + return 0; } diff --git a/benchmarks/InterestCalib/lib/include/Candidate.h b/benchmarks/InterestCalib/lib/include/Candidate.h index 336e1d5..4916ef2 100644 --- a/benchmarks/InterestCalib/lib/include/Candidate.h +++ b/benchmarks/InterestCalib/lib/include/Candidate.h @@ -27,28 +27,28 @@ * Genome min/max ranges and proposed initial values (not used) * { g_a, g_b, g_rho, g_nu, g_sigma } */ -const REAL g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; -const REAL g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; -const REAL g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; -//const REAL Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; +const real_t g_mins [GENOME_DIM] = { EPS0, EPS0, -1.0+EPS0, EPS0, EPS0 }; +const real_t g_maxs [GENOME_DIM] = { 1.0-EPS0, 1.0-EPS0, 1.0-EPS0, 0.2, 0.2 }; +const real_t g_inis [GENOME_DIM] = { 0.02, 0.02, 0.0, 0.01, 0.04 }; +//const real_t Candidate::p_ref[GENOME_DIM] = { 1.0, -2.0, 0.5, -0.3, -0.5, 0.1 }; /** * perturbing a genome; requires one random uniform number in [0,1) */ inline -REAL perturbation( - const REAL gene, - const REAL gene_k, - const REAL gene_l, +real_t perturbation( + const real_t gene, + const real_t gene_k, + const real_t gene_l, const UINT i, - const REAL gamma1, - const REAL amplitude_ratio + const real_t gamma1, + const real_t amplitude_ratio ) { - REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - REAL semiamplitude = amplitude / 2.0; - REAL r01 = getRandRandNorm(); - REAL perturb = ( amplitude * r01 - semiamplitude ); + real_t amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + real_t semiamplitude = amplitude / 2.0; + real_t r01 = getRandRandNorm(); + real_t perturb = ( amplitude * r01 - semiamplitude ); return ( gene + perturb + gamma1 * ( gene_k - gene_l ) ); } @@ -57,7 +57,7 @@ REAL perturbation( * contraining gene i to be within accepted bounds! */ inline -REAL constrain_dim1( const int i, const REAL gene ) { +real_t constrain_dim1( const int i, const real_t gene ) { return std::max( g_mins[i], std::min( g_maxs[i], gene ) ); } @@ -65,12 +65,12 @@ REAL constrain_dim1( const int i, const REAL gene ) { * accepting the proposal */ void accept(const int i, - REAL* g_a, // genome begins - REAL* g_b, - REAL* g_rho, - REAL* g_nu, - REAL* g_sigma, - REAL* logLik + real_t* g_a, // genome begins + real_t* g_b, + real_t* g_rho, + real_t* g_nu, + real_t* g_sigma, + real_t* logLik ) { g_a [i] = g_a [i+POP_SIZE]; g_b [i] = g_b [i+POP_SIZE]; @@ -83,12 +83,12 @@ void accept(const int i, /** * Helper mutate function: requires one uniform random number */ -Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int i, const REAL amplitude_ratio ) { - REAL forward_range, backward_range; - REAL tmp_min_max, tmp_max_min; +Tuple mutate_helper( const real_t gene, const real_t gene_prop, const int i, const real_t amplitude_ratio ) { + real_t forward_range, backward_range; + real_t tmp_min_max, tmp_max_min; - const REAL amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); - const REAL semiamplitude = amplitude / 2.0; + const real_t amplitude = fabs( (g_maxs[i] - g_mins[i]) * amplitude_ratio ); + const real_t semiamplitude = amplitude / 2.0; tmp_min_max = std::min( g_maxs[i], gene + semiamplitude ); tmp_max_min = std::max( g_mins[i], gene - semiamplitude ); @@ -98,12 +98,12 @@ Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int tmp_max_min = std::max( g_mins[i], gene_prop - semiamplitude ); backward_range = tmp_min_max - tmp_max_min; - const REAL bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; + const real_t bf_fact = ( semiamplitude > 0.0 ) ? (backward_range / forward_range) : 1.0; // assign p' - REAL r01 = getRandRandNorm(); - REAL diff = amplitude * r01 - semiamplitude; - return Tuple(gene + diff, bf_fact); + real_t r01 = getRandRandNorm(); + real_t diff = amplitude * r01 - semiamplitude; + return Tuple(gene + diff, bf_fact); } /** @@ -112,17 +112,17 @@ Tuple mutate_helper( const REAL gene, const REAL gene_prop, const int * I took out the evaluation of the proposal, since it should be * done for all types of crossover/mutation/etc */ -void mutate_dims_all( REAL* g_a, // genome begins - REAL* g_b, - REAL* g_rho, - REAL* g_nu, - REAL* g_sigma, - REAL* g_fb_rat, +void mutate_dims_all( real_t* g_a, // genome begins + real_t* g_b, + real_t* g_rho, + real_t* g_nu, + real_t* g_sigma, + real_t* g_fb_rat, const int i, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { - REAL fb_rat = 1.0; + const real_t amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { + real_t fb_rat = 1.0; - Tuple tmp(EPS0, 1.0); + Tuple tmp(EPS0, 1.0); tmp = mutate_helper( g_a [i], g_a [i+POP_SIZE], 0, amplitude_ratio ); g_a [i + POP_SIZE] = constrain_dim1(0, tmp.fst); fb_rat *= tmp.snd; @@ -148,19 +148,19 @@ void mutate_dims_all( REAL* g_a, // genome begins * all population. Memory coalescence? * Requires POP_SIZE random uniform numbers! */ -void mutate_dims_one( REAL* g_a, // genome begins - REAL* g_b, - REAL* g_rho, - REAL* g_nu, - REAL* g_sigma, - REAL* g_fb_rat, +void mutate_dims_one( real_t* g_a, // genome begins + real_t* g_b, + real_t* g_rho, + real_t* g_nu, + real_t* g_sigma, + real_t* g_fb_rat, const int i, const int dim_j, - const REAL amplitude_ratio = MOVES_UNIF_AMPL_RATIO + const real_t amplitude_ratio = MOVES_UNIF_AMPL_RATIO ) { - REAL fb_rat = 1.0; + real_t fb_rat = 1.0; - Tuple tmp(EPS0, 1.0); + Tuple tmp(EPS0, 1.0); tmp = mutate_helper( g_a [i], g_a [i+POP_SIZE], 0, (dim_j == 0) ? amplitude_ratio : 0.0 ); g_a [i + POP_SIZE] = constrain_dim1(0, tmp.fst); fb_rat *= tmp.snd; @@ -183,15 +183,15 @@ void mutate_dims_one( REAL* g_a, // genome begins * Crossover * Requires a vector of size [ POP_SIZE*8 ] of random uniform numbers. */ -void mcmc_DE( REAL* g_a, // genome begins - REAL* g_b, - REAL* g_rho, - REAL* g_nu, - REAL* g_sigma, // genome ends - REAL* bf_rat, // fwd_bwd_ratio +void mcmc_DE( real_t* g_a, // genome begins + real_t* g_b, + real_t* g_rho, + real_t* g_nu, + real_t* g_sigma, // genome ends + real_t* bf_rat, // fwd_bwd_ratio const int j, - const REAL gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), - const REAL ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO + const real_t gamma_avg = 2.38 / sqrt(2.0*GENOME_DIM), + const real_t ampl_ratio = 0.1 * MOVES_UNIF_AMPL_RATIO ) { UINT cand_UB = POP_SIZE - 1; UINT k = getRandIntNorm(cand_UB); // random in [0,pop_size-1) @@ -207,7 +207,7 @@ void mcmc_DE( REAL* g_a, // genome begins // proposal // gamma: integrated out from the adviced // Multivariate Gaussian with Gaussian target (Braak, 2006) - REAL gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); + real_t gamma1 = gamma_avg - 0.5 + getRandUnifNorm(); g_a [j + POP_SIZE] = constrain_dim1( 0, perturbation( g_a [j], g_a [k], g_a [l], 0, gamma1, ampl_ratio ) ); g_b [j + POP_SIZE] = constrain_dim1( 1, perturbation( g_b [j], g_b [k], g_b [l], 1, gamma1, ampl_ratio ) ); diff --git a/benchmarks/InterestCalib/lib/include/Date.h b/benchmarks/InterestCalib/lib/include/Date.h index ba21834..39beace 100644 --- a/benchmarks/InterestCalib/lib/include/Date.h +++ b/benchmarks/InterestCalib/lib/include/Date.h @@ -74,12 +74,12 @@ bool check_date(const int& year, const int& month, const int& day) { return tmp1 && (tmp2 || tmp3); } -REAL days_between(const REAL& t1, const REAL& t2) { - REAL diff = static_cast(t1 - t2); +real_t days_between(const real_t& t1, const real_t& t2) { + real_t diff = static_cast(t1 - t2); return diff / minutes_in_day; } -REAL date_act_365(const REAL& t1, const REAL& t2) { +real_t date_act_365(const real_t& t1, const real_t& t2) { return days_between(t1, t2) / 365.0; } @@ -96,7 +96,7 @@ int end_of_month( const int& year, const int& month ) { else return 31; } -REAL add_months ( const REAL& time, const REAL& rnbmonths ) { +real_t add_months ( const real_t& time, const real_t& rnbmonths ) { int nbmonths = static_cast( rnbmonths ); Date date = gregorian_of_date( static_cast ( time ) ); @@ -113,15 +113,15 @@ REAL add_months ( const REAL& time, const REAL& rnbmonths ) { date.min = 0; } - return static_cast( date_of_gregorian( date ) ); + return static_cast( date_of_gregorian( date ) ); } -REAL add_years( const REAL& date, const REAL& nbyears ) { +real_t add_years( const real_t& date, const real_t& nbyears ) { return add_months( date, nbyears * 12.0 ); } void test_dates() { - REAL tmp; + real_t tmp; fprintf(stderr, "add_months(min_date,1)==48240 : "); tmp = add_months(MIN_DATE, 1.0); diff --git a/benchmarks/InterestCalib/lib/include/EvalGenomeInl.h b/benchmarks/InterestCalib/lib/include/EvalGenomeInl.h index 6adc3d3..360ce9c 100644 --- a/benchmarks/InterestCalib/lib/include/EvalGenomeInl.h +++ b/benchmarks/InterestCalib/lib/include/EvalGenomeInl.h @@ -9,28 +9,28 @@ /** * MOST IMPORTANTLY: GENOME EVALUATION By Pricer of Swaption & BLACK PRICE */ -REAL eval_genome( const REAL a, - const REAL b, - const REAL rho, - const REAL nu, - const REAL sigma, +real_t eval_genome( const real_t a, + const real_t b, + const real_t rho, + const real_t nu, + const real_t sigma, - REAL* anew_quote, // [NUM_SWAP_QUOTES] - REAL* anew_price, // [NUM_SWAP_QUOTES] + real_t* anew_quote, // [NUM_SWAP_QUOTES] + real_t* anew_price, // [NUM_SWAP_QUOTES] const int N, short* flags, // [N] int * start_inds // [NUM_SWAP_QUOTES] ) { - REAL rms = 0.0; + real_t rms = 0.0; bool sanity = true; // expand the irregular arrays - REAL *irreg_arrays = new REAL[8 * N]; - REAL *gbai, *gbbi, *gaici, *glog_aici, *gci, *gt1_cs, *gscale, *ghat_scale; + real_t *irreg_arrays = new real_t[8 * N]; + real_t *gbai, *gbbi, *gaici, *glog_aici, *gci, *gt1_cs, *gscale, *ghat_scale; { // map intermediary arrays - REAL* ptr = irreg_arrays; + real_t* ptr = irreg_arrays; gbai = ptr; ptr += N; gbbi = ptr; ptr += N; gaici = ptr; ptr += N; @@ -43,32 +43,32 @@ REAL eval_genome( const REAL a, // BIG KERNEL for( UINT ttt = 0; ttt < NUM_SWAP_QUOTES; ttt++ ) { - const REAL mat_year = SwaptionQuotes[4*ttt + 0]; - const REAL swap_freq = SwaptionQuotes[4*ttt + 1]; - const REAL term_year = SwaptionQuotes[4*ttt + 2]; - const REAL quote = SwaptionQuotes[4*ttt + 3]; + const real_t mat_year = SwaptionQuotes[4*ttt + 0]; + const real_t swap_freq = SwaptionQuotes[4*ttt + 1]; + const real_t term_year = SwaptionQuotes[4*ttt + 2]; + const real_t quote = SwaptionQuotes[4*ttt + 3]; // adjust temporary array const int beg_ind = start_inds[ttt]; - REAL *ci = gci + beg_ind, *bai = gbai + beg_ind, *bbi = gbbi + beg_ind, *aici = gaici + beg_ind; - REAL *log_aici = glog_aici + beg_ind, *t1_cs = gt1_cs + beg_ind, *scale = gscale + beg_ind; - REAL *hat_scale = ghat_scale + beg_ind; + real_t *ci = gci + beg_ind, *bai = gbai + beg_ind, *bbi = gbbi + beg_ind, *aici = gaici + beg_ind; + real_t *log_aici = glog_aici + beg_ind, *t1_cs = gt1_cs + beg_ind, *scale = gscale + beg_ind; + real_t *hat_scale = ghat_scale + beg_ind; // new_quote does not have to be computed all the time, does it? // it can just be computed once and indexed into an array ... - //const REAL new_quote = black_price ( TODAY, mat_year, swap_freq, term_year, quote ); + //const real_t new_quote = black_price ( TODAY, mat_year, swap_freq, term_year, quote ); - const REAL maturity = add_years( TODAY, mat_year ); + const real_t maturity = add_years( TODAY, mat_year ); const UINT n_schedi = static_cast(12.0 * term_year / swap_freq); - const REAL tmat0 = date_act_365( maturity, TODAY ); + const real_t tmat0 = date_act_365( maturity, TODAY ); - REAL strike; // new_quote, + real_t strike; // new_quote, { // BLACK PRICE computation - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; + real_t lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; for(UINT i = 0; i < n_schedi; i++) { // reduce o map => in local memory - const REAL a1 = add_months( maturity, swap_freq*i ); - const REAL a2 = add_months( a1, swap_freq ); + const real_t a1 = add_months( maturity, swap_freq*i ); + const real_t a2 = add_months( a1, swap_freq ); // Reduction( lvl: +, t0 : min, tn : max ) lvl += zc(a2) * date_act_365(a2, a1); @@ -77,49 +77,49 @@ REAL eval_genome( const REAL a, } strike = ( zc(t0) - zc(tn) ) / lvl; - const REAL d1 = 0.5 * quote * tmat0; + const real_t d1 = 0.5 * quote * tmat0; anew_quote[ttt] = lvl * strike * ( uGaussian_P(d1) - uGaussian_P(-d1) ); } // END BLACK PRICE - //const REAL new_price = pricer_of_swaption( TODAY, mat_year, swap_freq, term_year, g_a, g_b, g_rho, g_nu, g_sigma); - //REAL new_price; + //const real_t new_price = pricer_of_swaption( TODAY, mat_year, swap_freq, term_year, g_a, g_b, g_rho, g_nu, g_sigma); + //real_t new_price; { // PRICER OF SWAPTION COMPUTATION - REAL v0_mat, dummy1, dummy2; + real_t v0_mat, dummy1, dummy2; bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); // - const REAL mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); - const REAL muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); + const real_t mux = - bigmx( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); + const real_t muy = - bigmy( a, b, rho, nu, sigma, TODAY, maturity, TODAY, maturity ); // - const REAL zc_mat = zc(maturity); + const real_t zc_mat = zc(maturity); // - const REAL sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); - const REAL sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); - const REAL rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); - const REAL sigmax = sigma * sqrt_bfun_a; - const REAL sigmay = nu * sqrt_bfun_b; - - const REAL rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel - const REAL rhoxycs = sqrt( rhoxyc ); // used in reduction kernel - const REAL sigmay_rhoxycs = sigmay * rhoxycs; - const REAL t4 = (rhoxy * sigmay) / sigmax; + const real_t sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); + const real_t sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); + const real_t rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); + const real_t sigmax = sigma * sqrt_bfun_a; + const real_t sigmay = nu * sqrt_bfun_b; + + const real_t rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel + const real_t rhoxycs = sqrt( rhoxyc ); // used in reduction kernel + const real_t sigmay_rhoxycs = sigmay * rhoxycs; + const real_t t4 = (rhoxy * sigmay) / sigmax; // for( UINT i = 0; i < n_schedi; i++ ) { - const REAL beg_date = add_months( maturity, swap_freq*i ); //scheduleix[i]; - const REAL end_date = add_months( beg_date, swap_freq ); //scheduleiy[i]; - const REAL res = date_act_365( end_date, beg_date ) * strike; + const real_t beg_date = add_months( maturity, swap_freq*i ); //scheduleix[i]; + const real_t end_date = add_months( beg_date, swap_freq ); //scheduleiy[i]; + const real_t res = date_act_365( end_date, beg_date ) * strike; - const REAL cii = ( i == n_schedi-1 ) ? 1.0 + res : res; + const real_t cii = ( i == n_schedi-1 ) ? 1.0 + res : res; - REAL v0_end, vt_end, baii, bbii, date_tod1, date_tod2; + real_t v0_end, vt_end, baii, bbii, date_tod1, date_tod2; date_tod1 = date_act_365(end_date, TODAY); bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); date_tod2 = date_act_365(end_date, maturity); bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); - const REAL expo_aici = 0.5 * (vt_end - v0_end + v0_mat); - const REAL fact_aici = cii * zc(end_date) / zc_mat; + const real_t expo_aici = 0.5 * (vt_end - v0_end + v0_mat); + const real_t fact_aici = cii * zc(end_date) / zc_mat; ci [i] = fact_aici; // reuse the space to hold the factor of t1_cs t1_cs [i] = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; // hold only the exponent of the original t1_cs; @@ -134,45 +134,45 @@ REAL eval_genome( const REAL a, assert(sanity && "Nan aici in pricer of swaption. Exiting!\n"); } // - const REAL eps = 0.5 * sigmax; + const real_t eps = 0.5 * sigmax; - const REAL f = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + const real_t f = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux ); - const REAL g = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + const real_t g = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux + eps ); - const REAL h = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, + const real_t h = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux - eps ); - const REAL df = 0.5 * ( g - h ) / eps; + const real_t df = 0.5 * ( g - h ) / eps; - const REAL sqrt2sigmax = sqrt(2.0) * sigmax;; - const REAL t2 = rhoxy / (sigmax*rhoxycs);; + const real_t sqrt2sigmax = sqrt(2.0) * sigmax;; + const real_t t2 = rhoxy / (sigmax*rhoxycs);; - REAL accum = 0.0; + real_t accum = 0.0; for( UINT j = 0; j < NUM_HERMITE; j++ ) { - const REAL x_quad = HermiteCoeffs [j]; - const REAL w_quad = HermiteWeights[j]; + const real_t x_quad = HermiteCoeffs [j]; + const real_t w_quad = HermiteWeights[j]; - const REAL x = sqrt2sigmax * x_quad + mux; - const REAL yhat_x = f + df*(x - mux); - const REAL h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); + const real_t x = sqrt2sigmax * x_quad + mux; + const real_t yhat_x = f + df*(x - mux); + const real_t h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); - REAL accum1 = 0.0; + real_t accum1 = 0.0; for( UINT i = 0; i < n_schedi; i++ ) { - const REAL h2 = h1 + bbi[i] * sigmay_rhoxycs; + const real_t h2 = h1 + bbi[i] * sigmay_rhoxycs; - const REAL expo_aici = t1_cs[i] + scale[i]*x; - const REAL fact_aici = ci[i]; + const real_t expo_aici = t1_cs[i] + scale[i]*x; + const real_t fact_aici = ci[i]; // accum1 += fact_aici * exp(expo_aici) * uGaussian_P(-h2); - const REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); + const real_t expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); accum1 += fact_aici * expo_part; } sanity = ! ( isnan(accum1) || isinf(accum1) ); assert(sanity && "Nan accum1 in pricer of swaption. Exiting!\n"); - REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; - const REAL t1 = exp( - 0.5 * tmp * tmp ); + real_t tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; + const real_t t1 = exp( - 0.5 * tmp * tmp ); accum += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); } @@ -182,9 +182,9 @@ REAL eval_genome( const REAL a, anew_price[ttt] = zc_mat * ( accum / sqrt( PI ) ); -// const REAL tmp = (anew_price[ttt] - anew_quote[ttt]) / anew_quote[ttt]; +// const real_t tmp = (anew_price[ttt] - anew_quote[ttt]) / anew_quote[ttt]; // rms += tmp * tmp; - const REAL lik = logLikelihood( anew_quote[ttt], anew_price[ttt] ); + const real_t lik = logLikelihood( anew_quote[ttt], anew_price[ttt] ); rms += lik; } } diff --git a/benchmarks/InterestCalib/lib/include/G2PP.h b/benchmarks/InterestCalib/lib/include/G2PP.h index e9d3b0b..bd9105f 100644 --- a/benchmarks/InterestCalib/lib/include/G2PP.h +++ b/benchmarks/InterestCalib/lib/include/G2PP.h @@ -12,33 +12,33 @@ // Root finder ////////////////////////// -REAL exactYhat( const UINT& n_schedi, - - const REAL& b, // scals begins - const REAL& sigmax, - const REAL& sigmay, - const REAL& rhoxy, - const REAL& rhoxyc, - const REAL& rhoxycs, - const REAL& mux, - const REAL& muy, // scals ends - - const REAL* bai, // babaicis begins - const REAL* bbi, - const REAL* aici, - const REAL* log_aici, // babaicis ends - - REAL* scales, - const REAL& x +real_t exactYhat( const UINT& n_schedi, + + const real_t& b, // scals begins + const real_t& sigmax, + const real_t& sigmay, + const real_t& rhoxy, + const real_t& rhoxyc, + const real_t& rhoxycs, + const real_t& mux, + const real_t& muy, // scals ends + + const real_t* bai, // babaicis begins + const real_t* bbi, + const real_t* aici, + const real_t* log_aici, // babaicis ends + + real_t* scales, + const real_t& x ) { // ugaussian_Pinv(k)=1.0e~4 - const REAL k = - 3.71901648545568; + const real_t k = - 3.71901648545568; - REAL up = 0.0, lo = -INFTY; + real_t up = 0.0, lo = -INFTY; for( UINT i = 0; i < n_schedi; i++ ) { - REAL baix = bai[i] * x; + real_t baix = bai[i] * x; - REAL up_term = aici[i] * exp( -baix ); + real_t up_term = aici[i] * exp( -baix ); scales[i] = up_term; up += up_term; lo = std::max( lo, ( log_aici[i] - baix ) / bbi[i] ); @@ -50,8 +50,8 @@ REAL exactYhat( const UINT& n_schedi, // CHECKING uplo!!!! - const REAL log_s = log(up); - REAL tmp = log_s / bbi[n_schedi-1]; + const real_t log_s = log(up); + real_t tmp = log_s / bbi[n_schedi-1]; if ( tmp <= 0.0 ) { up = tmp; @@ -61,20 +61,20 @@ REAL exactYhat( const UINT& n_schedi, else up = - INFTY; } - const REAL yl = lo - EPS; - const REAL yu = up + EPS; + const real_t yl = lo - EPS; + const real_t yu = up + EPS; - const REAL y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; - const REAL y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; + const real_t y0 = sigmay * ( rhoxy * (x-mux) / sigmax + k * rhoxycs ) - rhoxyc/b + muy; + const real_t y1 = sigmay * ( rhoxy * (x-mux) / sigmax - k * rhoxycs ) + muy; - REAL res; + real_t res; if ( y1 <= yl ) res = y1 + 1.0; // yhat is greater than y1 => 1 - phi(h_i(x, yhat)) < EPS else if ( yu <= y0 ) res = y0 - 1.0; // yhat is lower than y0 => phi(h_i(x, yhat)) < EPS) else { - const REAL root_lb = std::max( yl, y0 ); - const REAL root_ub = std::min( yu, y1 ); + const real_t root_lb = std::max( yl, y0 ); + const real_t root_ub = std::min( yu, y1 ); - REAL root, error; UINT iter; + real_t root, error; UINT iter; rootFinding_Brent(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); //rootBisection(1, n_schedi, scales, bbi, root_lb, root_ub, 1.0e-4, 1000, root, iter, error); @@ -101,47 +101,47 @@ REAL exactYhat( const UINT& n_schedi, // return res,ba,bb ////////////// -REAL pricer_of_swaption( const REAL& today, +real_t pricer_of_swaption( const real_t& today, - const REAL& sw_mat, // swaptionQuote begins ... - const REAL& sw_freq, - const REAL& sw_ty, // swaptionQuote ends. - - const REAL& a, // genome begins ... - const REAL& b, - const REAL& rho, - const REAL& nu, - const REAL& sigma // genome ends. + const real_t& sw_mat, // swaptionQuote begins ... + const real_t& sw_freq, + const real_t& sw_ty, // swaptionQuote ends. + + const real_t& a, // genome begins ... + const real_t& b, + const real_t& rho, + const real_t& nu, + const real_t& sigma // genome ends. ) { //SwapOfSwap sos = extended_swaption_of_swaption(sw_mat, sw_freq, sw_ty); - const REAL maturity = add_years( TODAY, sw_mat ); + const real_t maturity = add_years( TODAY, sw_mat ); const UINT n_schedi = static_cast(12.0 * sw_ty / sw_freq); // - const REAL tmat0 = date_act_365( maturity, today ); // BIG BUG -- was TODAY - REAL v0_mat, dummy1, dummy2; + const real_t tmat0 = date_act_365( maturity, today ); // BIG BUG -- was TODAY + real_t v0_mat, dummy1, dummy2; bigv( a, b, rho, nu, sigma, tmat0, v0_mat, dummy1, dummy2); // - const REAL mux = - bigmx( a, b, rho, nu, sigma, today, maturity, today, maturity ); - const REAL muy = - bigmy( a, b, rho, nu, sigma, today, maturity, today, maturity ); + const real_t mux = - bigmx( a, b, rho, nu, sigma, today, maturity, today, maturity ); + const real_t muy = - bigmy( a, b, rho, nu, sigma, today, maturity, today, maturity ); // - const REAL zc_mat = zc(maturity); + const real_t zc_mat = zc(maturity); // - const REAL sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); - const REAL sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); - const REAL rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); - const REAL sigmax = sigma * sqrt_bfun_a; - const REAL sigmay = nu * sqrt_bfun_b; - - const REAL rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel - const REAL rhoxycs = sqrt( rhoxyc ); // used in reduction kernel - const REAL sigmay_rhoxycs = sigmay * rhoxycs; - const REAL t4 = (rhoxy * sigmay) / sigmax; + const real_t sqrt_bfun_a = sqrt( b_fun(2.0*a, tmat0) ); + const real_t sqrt_bfun_b = sqrt( b_fun(2.0*b, tmat0) ); + const real_t rhoxy = rho * b_fun(a+b, tmat0) / (sqrt_bfun_a * sqrt_bfun_b); + const real_t sigmax = sigma * sqrt_bfun_a; + const real_t sigmay = nu * sqrt_bfun_b; + + const real_t rhoxyc = 1.0 - rhoxy * rhoxy; // used in reduction kernel + const real_t rhoxycs = sqrt( rhoxyc ); // used in reduction kernel + const real_t sigmay_rhoxycs = sigmay * rhoxycs; + const real_t t4 = (rhoxy * sigmay) / sigmax; // - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; + real_t lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; for( UINT i = 0; i < n_schedi; i++ ) { - REAL a1 = add_months( maturity, sw_freq*i ); + real_t a1 = add_months( maturity, sw_freq*i ); //sos.swap_sched1[i] = a1; - REAL a2 = add_months( a1, sw_freq ); + real_t a2 = add_months( a1, sw_freq ); //sos.swap_sched2[i] = a2; // Reduction( lvl: +, t0 : min, tn : max ) @@ -150,32 +150,32 @@ REAL pricer_of_swaption( const REAL& today, tn = std::max(tn, a2); } - const REAL strike = ( zc(t0) - zc(tn) ) / lvl; + const real_t strike = ( zc(t0) - zc(tn) ) / lvl; // - REAL* ci = new REAL[n_schedi]; - REAL* bai = new REAL[n_schedi]; - REAL* bbi = new REAL[n_schedi]; - REAL* aici = new REAL[n_schedi]; - REAL* log_aici = new REAL[n_schedi]; - REAL* t1_cs = new REAL[n_schedi]; - REAL* scale = new REAL[n_schedi]; - REAL* hat_scale= new REAL[n_schedi]; + real_t* ci = new real_t[n_schedi]; + real_t* bai = new real_t[n_schedi]; + real_t* bbi = new real_t[n_schedi]; + real_t* aici = new real_t[n_schedi]; + real_t* log_aici = new real_t[n_schedi]; + real_t* t1_cs = new real_t[n_schedi]; + real_t* scale = new real_t[n_schedi]; + real_t* hat_scale= new real_t[n_schedi]; for( UINT i = 0; i < n_schedi; i++ ) { - const REAL beg_date = add_months( maturity, sw_freq*i ); //scheduleix[i]; - const REAL end_date = add_months( beg_date, sw_freq ); //scheduleiy[i]; - const REAL res = date_act_365( end_date, beg_date ) * strike; + const real_t beg_date = add_months( maturity, sw_freq*i ); //scheduleix[i]; + const real_t end_date = add_months( beg_date, sw_freq ); //scheduleiy[i]; + const real_t res = date_act_365( end_date, beg_date ) * strike; - const REAL cii = ( i == n_schedi-1 ) ? 1.0 + res : res; + const real_t cii = ( i == n_schedi-1 ) ? 1.0 + res : res; - REAL v0_end, vt_end, baii, bbii, date_tod1, date_tod2; + real_t v0_end, vt_end, baii, bbii, date_tod1, date_tod2; date_tod1 = date_act_365(end_date, today); bigv( a, b, rho, nu, sigma, date_tod1, v0_end, dummy1, dummy2 ); date_tod2 = date_act_365(end_date, maturity); bigv( a, b, rho, nu, sigma, date_tod2, vt_end, baii, bbii ); - const REAL expo_aici = 0.5 * (vt_end - v0_end + v0_mat); - const REAL fact_aici = cii * zc(end_date) / zc_mat; + const real_t expo_aici = 0.5 * (vt_end - v0_end + v0_mat); + const real_t fact_aici = cii * zc(end_date) / zc_mat; ci [i] = fact_aici; // reuse the space to hold the factor of t1_cs t1_cs [i] = bbii * (mux * t4 - (muy - 0.5*rhoxyc*sigmay*sigmay*bbii) ) + expo_aici; // hold only the exponent of the original t1_cs; @@ -191,39 +191,39 @@ REAL pricer_of_swaption( const REAL& today, } // - const REAL eps = 0.5 * sigmax; + const real_t eps = 0.5 * sigmax; - const REAL f = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux ); - const REAL g = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux + eps ); - const REAL h = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux - eps ); - const REAL df = 0.5 * ( g - h ) / eps; + const real_t f = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux ); + const real_t g = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux + eps ); + const real_t h = exactYhat( n_schedi, b, sigmax, sigmay, rhoxy, rhoxyc, rhoxycs, mux, muy, bai, bbi, aici, log_aici, hat_scale, mux - eps ); + const real_t df = 0.5 * ( g - h ) / eps; // AT this point we need: // scalars: sqrt2sigmax, t2, f, df, mux, muy, sigmay_rhoxycs, zc_mat // arrays : t1_cs, bbi, scale, ci - const REAL sqrt2sigmax = sqrt(2.0) * sigmax; - const REAL t2 = rhoxy / (sigmax*rhoxycs); + const real_t sqrt2sigmax = sqrt(2.0) * sigmax; + const real_t t2 = rhoxy / (sigmax*rhoxycs); // t2 * (sqrt2sigmax * x_quad) -> sqrt(2.0) * rhoxy / rhoxycs * xquad - REAL accum0 = 0.0; + real_t accum0 = 0.0; for( UINT j = 0; j < NUM_HERMITE; j++ ) { - const REAL x_quad = HermiteCoeffs [j]; - const REAL w_quad = HermiteWeights[j]; + const real_t x_quad = HermiteCoeffs [j]; + const real_t w_quad = HermiteWeights[j]; - const REAL x = sqrt2sigmax * x_quad + mux; + const real_t x = sqrt2sigmax * x_quad + mux; - const REAL yhat_x = f + df*(x - mux); - const REAL h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); + const real_t yhat_x = f + df*(x - mux); + const real_t h1 = ( (yhat_x - muy) / sigmay_rhoxycs ) - t2*( x - mux ); - REAL accum1 = 0.0; + real_t accum1 = 0.0; for( UINT i = 0; i < n_schedi; i++ ) { - const REAL h2 = h1 + bbi[i] * sigmay_rhoxycs; + const real_t h2 = h1 + bbi[i] * sigmay_rhoxycs; - const REAL expo_aici = t1_cs[i] + scale[i]*x; - const REAL fact_aici = ci[i]; + const real_t expo_aici = t1_cs[i] + scale[i]*x; + const real_t fact_aici = ci[i]; // accum1 += fact_aici * exp(expo_aici) * uGaussian_P(-h2); - const REAL expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); + const real_t expo_part = uGaussian_P_withExpFactor( -h2, expo_aici ); accum1 += fact_aici * expo_part; if( isnan(accum1) || isinf(accum1) ) { @@ -235,8 +235,8 @@ REAL pricer_of_swaption( const REAL& today, } } - REAL tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; - const REAL t1 = exp( - 0.5 * tmp * tmp ); + real_t tmp = sqrt(2.0) * x_quad; //(x - mux) / sigmax; + const real_t t1 = exp( - 0.5 * tmp * tmp ); accum0 += w_quad * t1 * ( uGaussian_P(-h1) - accum1 ); } @@ -258,20 +258,20 @@ REAL pricer_of_swaption( const REAL& today, //// Pricer for one genome: //// //////////////////////////////// -REAL pricer (const REAL a = 0.02453, const REAL b = 0.98376, const REAL rho = -0.82400, const REAL nu = 0.11830, const REAL sigma = 0.02398) { +real_t pricer (const real_t a = 0.02453, const real_t b = 0.98376, const real_t rho = -0.82400, const real_t nu = 0.11830, const real_t sigma = 0.02398) { //let genome = {0.02453, 0.98376, ~0.82400, 0.11830, 0.02398} in - REAL rms = 0.0, logLik = 0.0; + real_t rms = 0.0, logLik = 0.0; for( UINT i = 0; i < NUM_SWAP_QUOTES; i++ ) { - const REAL mat_year = SwaptionQuotes[4*i+0]; - const REAL swap_freq = SwaptionQuotes[4*i+1]; - const REAL term_year = SwaptionQuotes[4*i+2]; - const REAL quote = SwaptionQuotes[4*i+3]; + const real_t mat_year = SwaptionQuotes[4*i+0]; + const real_t swap_freq = SwaptionQuotes[4*i+1]; + const real_t term_year = SwaptionQuotes[4*i+2]; + const real_t quote = SwaptionQuotes[4*i+3]; - const REAL g2pp_price = pricer_of_swaption( TODAY, mat_year, swap_freq, term_year, a, b, rho, nu, sigma); - const REAL market_price = black_price ( TODAY, mat_year, swap_freq, term_year, quote ); + const real_t g2pp_price = pricer_of_swaption( TODAY, mat_year, swap_freq, term_year, a, b, rho, nu, sigma); + const real_t market_price = black_price ( TODAY, mat_year, swap_freq, term_year, quote ); - const REAL tmp = (g2pp_price - market_price) / market_price; + const real_t tmp = (g2pp_price - market_price) / market_price; rms += tmp * tmp; logLik += logLikelihood( market_price, g2pp_price ); } @@ -297,18 +297,18 @@ REAL pricer (const REAL a = 0.02453, const REAL b = 0.98376, const REAL rho = -0 void test_pricer_of_swaption() { - const REAL a = 0.02453; - const REAL b = 0.98376; - const REAL rho = -0.82400; - const REAL nu = 0.11830; - const REAL sigma = 0.02398; + const real_t a = 0.02453; + const real_t b = 0.98376; + const real_t rho = -0.82400; + const real_t nu = 0.11830; + const real_t sigma = 0.02398; // (maturity, frequency, term) = swaption - REAL maturity = 10.0; - REAL freq = 6.0; - REAL term = 4.0; + real_t maturity = 10.0; + real_t freq = 6.0; + real_t term = 4.0; - const REAL price1 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma); + const real_t price1 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma); printf("Pricer_of_swaption test I = 657.82158867845 : "); if( equalEps(price1, 657.82158867845) ) printf(" SUCCESS!\n\n"); else printf("%f FAILS!\n\n", price1); @@ -318,7 +318,7 @@ void test_pricer_of_swaption() { freq = 6.0; term = 30.0; - const REAL price2 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma ); + const real_t price2 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma ); printf("Pricer_of_swaption test II = 1902.97628191498 : "); if( equalEps(price2, 1902.97628191498) ) printf(" SUCCESS!\n\n"); else printf("%f FAILS!\n\n", price2); @@ -329,7 +329,7 @@ void test_pricer_of_swaption() { freq = 6.0; term = 25.0; - const REAL price3 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma ); + const real_t price3 = 1.0e4 * pricer_of_swaption( TODAY, maturity, freq, term, a, b, rho, nu, sigma ); printf("Pricer_of_swaption test III = 1840.859126408099 : "); if( equalEps(price3, 1840.859126408099) ) printf(" SUCCESS!\n\n"); else printf("%f FAILS!\n\n", price3); diff --git a/benchmarks/InterestCalib/lib/include/G2ppUtil.h b/benchmarks/InterestCalib/lib/include/G2ppUtil.h index fae53f9..0666314 100644 --- a/benchmarks/InterestCalib/lib/include/G2ppUtil.h +++ b/benchmarks/InterestCalib/lib/include/G2ppUtil.h @@ -5,34 +5,34 @@ #include "Constants.h" #include "MathModule.h" -REAL zc( const REAL& t ) { +real_t zc( const real_t& t ) { return exp( - R * date_act_365( t, TODAY ) ); } /** -Triple accumSched( Triple xx, Triple yy ) { - REAL x = xx.fst, d1 = xx.snd, d2 = xx.thrd, y = yy.fst, tf = yy.snd, tp = yy.thrd; - return Triple( x + zc(tp) * date_act_365(tp, tf), std::min(d1,tf), std::max(d2,tp) ); +Triple accumSched( Triple xx, Triple yy ) { + real_t x = xx.fst, d1 = xx.snd, d2 = xx.thrd, y = yy.fst, tf = yy.snd, tp = yy.thrd; + return Triple( x + zc(tp) * date_act_365(tp, tf), std::min(d1,tf), std::max(d2,tp) ); } **/ SwapOfSwap extended_swaption_of_swaption( - const REAL& sw_mat, - const REAL& freq, - const REAL& sw_ty + const real_t& sw_mat, + const real_t& freq, + const real_t& sw_ty ) { - const REAL maturity = add_years( TODAY, sw_mat ); + const real_t maturity = add_years( TODAY, sw_mat ); const UINT nschedule = static_cast(12.0 * sw_ty / freq); SwapOfSwap sos(nschedule); - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; + real_t lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; for(UINT i=0; i= EPS ) ? x : ( x >= 0.0 ) ? EPS : -EPS; - const REAL expxtau = exp( -x0*tau ) ; - const REAL exp2xtau = expxtau*expxtau; +real_t t_fun( const real_t& sigma, const real_t& x0, const real_t& tau ) { + //const real_t x0 = ( fabs(x) >= EPS ) ? x : ( x >= 0.0 ) ? EPS : -EPS; + const real_t expxtau = exp( -x0*tau ) ; + const real_t exp2xtau = expxtau*expxtau; return sigma*sigma/(x0*x0) * ( tau + 2.0/x0*expxtau-1.0/(2.0*x0)*exp2xtau-3.0/(2.0*x0) ); } @@ -69,17 +69,17 @@ REAL t_fun( const REAL& sigma, const REAL& x0, const REAL& tau ) { // the result is V in Brigo and Mercurio's book page 148. // \var(\int_t^T [x(u)+y(u)]du) /////////////////////////////////////////////////////////////////// -void bigv( const REAL& g_a, - const REAL& g_b, - const REAL& g_rho, - const REAL& g_nu, - const REAL& g_sig, - const REAL& tau, - REAL& v, - REAL& bai, - REAL& bbi +void bigv( const real_t& g_a, + const real_t& g_b, + const real_t& g_rho, + const real_t& g_nu, + const real_t& g_sig, + const real_t& tau, + real_t& v, + real_t& bai, + real_t& bbi ) { - const REAL g_sigma = g_sig; //(g_sig == 0.0) ? 1.0e-10 : g_sig; + const real_t g_sigma = g_sig; //(g_sig == 0.0) ? 1.0e-10 : g_sig; bai = b_fun(g_a, tau); bbi = b_fun(g_b, tau); @@ -98,25 +98,25 @@ void bigv( const REAL& g_a, // // the result is: x drift term in tmat-forward measure /////////////////////////////////////////////////////////////////// -REAL bigmx( const REAL& a, - const REAL& b, - const REAL& rho, - const REAL& nu, - const REAL& sigma, // ends genome - const REAL& today, - const REAL& tmat, - const REAL& s, - const REAL& t +real_t bigmx( const real_t& a, + const real_t& b, + const real_t& rho, + const real_t& nu, + const real_t& sigma, // ends genome + const real_t& today, + const real_t& tmat, + const real_t& s, + const real_t& t ) { - const REAL ts = date_act_365(t, s) ; - const REAL tmatt = date_act_365(tmat, t) ; + const real_t ts = date_act_365(t, s) ; + const real_t tmatt = date_act_365(tmat, t) ; - const REAL tmat0 = date_act_365(tmat, today); - const REAL tmats = date_act_365(tmat, s) ; - const REAL t0 = date_act_365(t, today); - const REAL s0 = date_act_365(s, today); + const real_t tmat0 = date_act_365(tmat, today); + const real_t tmats = date_act_365(tmat, s) ; + const real_t t0 = date_act_365(t, today); + const real_t s0 = date_act_365(s, today); - REAL tmp, res = 0.0; + real_t tmp, res = 0.0; tmp = (sigma*sigma)/(a*a)+(sigma*rho*nu)/(a*b); tmp *= ( 1.0 - exp(- a * ts) ); @@ -143,24 +143,24 @@ REAL bigmx( const REAL& a, // the result is: y drift term in tmat-forward measure /////////////////////////////////////////////////////////////////// -REAL bigmy( const REAL& a, - const REAL& b, - const REAL& rho, - const REAL& nu, - const REAL& sigma, // ends genome - const REAL& today, - const REAL& tmat, - const REAL& s, - const REAL& t +real_t bigmy( const real_t& a, + const real_t& b, + const real_t& rho, + const real_t& nu, + const real_t& sigma, // ends genome + const real_t& today, + const real_t& tmat, + const real_t& s, + const real_t& t ) { - const REAL ts = date_act_365(t, s) ; - const REAL tmatt = date_act_365(tmat, t) ; - const REAL tmat0 = date_act_365(tmat, today); - const REAL tmats = date_act_365(tmat, s) ; - const REAL t0 = date_act_365(t, today); - const REAL s0 = date_act_365(s, today); + const real_t ts = date_act_365(t, s) ; + const real_t tmatt = date_act_365(tmat, t) ; + const real_t tmat0 = date_act_365(tmat, today); + const real_t tmats = date_act_365(tmat, s) ; + const real_t t0 = date_act_365(t, today); + const real_t s0 = date_act_365(s, today); - REAL tmp, res = 0.0; + real_t tmp, res = 0.0; tmp = nu*nu/(b*b)+sigma*rho*nu/(a*b); tmp *= 1.0 - exp(-b * ts); @@ -178,23 +178,23 @@ REAL bigmy( const REAL& a, } -REAL black_price ( const REAL& today, - const REAL& sw_mat, // swaption.1 - const REAL& freq, // swaption.2 - const REAL& sw_ty, // swaption.3 - const REAL& vol +real_t black_price ( const real_t& today, + const real_t& sw_mat, // swaption.1 + const real_t& freq, // swaption.2 + const real_t& sw_ty, // swaption.3 + const real_t& vol ) { // inlined extended_swaption_of_swaptions - const REAL maturity = add_years( TODAY, sw_mat ); + const real_t maturity = add_years( TODAY, sw_mat ); const UINT nschedule = static_cast(12.0 * sw_ty / freq); - const REAL sqrtt = date_act_365( maturity, today ); + const real_t sqrtt = date_act_365( maturity, today ); // morally equivalent to `swap_schedule2lvl(swap_schedule)' but in map-reduce form!! - REAL lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; + real_t lvl = 0.0, t0 = MAX_DATE, tn = MIN_DATE; for(UINT i=0; i> 1) ^ n; int res = 0; for( int i=0; i < NUM_SOBOL_BITS; i++ ) { @@ -19,7 +19,7 @@ REAL getSobolNum( uint n ) { res = res ^ SobolDirVct[i]; } } - REAL rres = static_cast(res) / ( (1<(res) / ( (1<= 1.0 || rres < 0 ) { printf("sobol(%d) = %f. Exiting!\n", n, rres); exit(0);} return rres; } @@ -27,23 +27,23 @@ REAL getSobolNum( uint n ) { //unsigned int rand_count = 1; uint sobol_offset = 1; //11; -REAL getRandRandNorm() { +real_t getRandRandNorm() { #if WITH_SOBOL return getSobolNum( sobol_offset++ ); #endif double r = static_cast(std::rand()); // drand48() double d = static_cast(RAND_MAX)+0.1; - return static_cast(r / d); + return static_cast(r / d); } -REAL getRandUnifNorm() { +real_t getRandUnifNorm() { return getRandRandNorm(); - //return static_cast(drand48()); + //return static_cast(drand48()); } //Returns a (pseudo) random integer in [0, ub) UINT getRandIntNorm(long int ub) { - REAL r01 = getRandRandNorm(); + real_t r01 = getRandRandNorm(); return static_cast(r01 * ub); } @@ -54,38 +54,38 @@ UINT getRandIntNorm(long int ub) { /********************************************/ //========================================================================= -const REAL sqrtTwoPi = sqrt(2*PI); +const real_t sqrtTwoPi = sqrt(2*PI); -REAL normal_pdf( const REAL& z, const REAL& mu, const REAL& sigma ) { - REAL sigmap = fabs(sigma); - REAL res = 1.0 / (sigmap * sqrtTwoPi); - REAL ecf = (z-mu) * (z-mu) / (2.0 * sigmap * sigmap); +real_t normal_pdf( const real_t& z, const real_t& mu, const real_t& sigma ) { + real_t sigmap = fabs(sigma); + real_t res = 1.0 / (sigmap * sqrtTwoPi); + real_t ecf = (z-mu) * (z-mu) / (2.0 * sigmap * sigmap); return res * exp( -ecf ); } -REAL cauchy_pdf( const REAL& z, const REAL mu = 0.0, const REAL gamma = 4.0) { - REAL x = (z-mu) / gamma; +real_t cauchy_pdf( const real_t& z, const real_t mu = 0.0, const real_t gamma = 4.0) { + real_t x = (z-mu) / gamma; return 1.0 / ( PI * gamma * (1+x*x) ); } -REAL logLikelihood_normal(const REAL& y_ref, const REAL& y) { - //REAL mu = y_ref; - REAL sigma = (y_ref / 50.0) * LLHOOD_NORMAL_OFFS; - REAL pdfs = normal_pdf( y, y_ref, sigma ); +real_t logLikelihood_normal(const real_t& y_ref, const real_t& y) { + //real_t mu = y_ref; + real_t sigma = (y_ref / 50.0) * LLHOOD_NORMAL_OFFS; + real_t pdfs = normal_pdf( y, y_ref, sigma ); pdfs += 1.0e-20; // avoid NaNs return log(pdfs); } -REAL logLikelihood_cauchy(const REAL& y_ref, const REAL& y) { - REAL gamma = ( fabs(y_ref) / 50.0 ) * LLHOOD_CAUCHY_OFFS + 0.01; - REAL pdfs = cauchy_pdf( y, y_ref, gamma ); +real_t logLikelihood_cauchy(const real_t& y_ref, const real_t& y) { + real_t gamma = ( fabs(y_ref) / 50.0 ) * LLHOOD_CAUCHY_OFFS + 0.01; + real_t pdfs = cauchy_pdf( y, y_ref, gamma ); pdfs += 1.0e-20; // avoid NaNs return log(pdfs); } -REAL logLikelihood(const REAL& y_ref, const REAL& y) { +real_t logLikelihood(const real_t& y_ref, const real_t& y) { if ( LLHOOD_TYPE == NORMAL ) return logLikelihood_normal(y_ref, y); else/* LLHOOD_TYPE == CAUCHY */return logLikelihood_cauchy(y_ref, y); } diff --git a/benchmarks/InterestCalib/lib/include/IrregShape.h b/benchmarks/InterestCalib/lib/include/IrregShape.h index 9703fac..107e08b 100644 --- a/benchmarks/InterestCalib/lib/include/IrregShape.h +++ b/benchmarks/InterestCalib/lib/include/IrregShape.h @@ -53,7 +53,7 @@ short* getIregShapeAdjusted( const int LWG, } N = Ncur; - REAL overhead = ((REAL)Ncur)/(Ncur-tot_iddle_thds); + real_t overhead = ((real_t)Ncur)/(Ncur-tot_iddle_thds); overhead = (overhead - 1.0) * 100.0; // printf("Summary: Ncurr: %d, tot_iddle_thds: %d, overhead: %f percent\n", diff --git a/benchmarks/InterestCalib/lib/include/KerConsts.h b/benchmarks/InterestCalib/lib/include/KerConsts.h index ca3256c..94c84c2 100644 --- a/benchmarks/InterestCalib/lib/include/KerConsts.h +++ b/benchmarks/InterestCalib/lib/include/KerConsts.h @@ -32,9 +32,9 @@ /*********************************************/ #if REAL_IS_FLOAT - #define EPS0 (0.3e-2) - #define EPS (0.2e-4) - #define PI (3.14159265358) + #define EPS0 (0.3e-2F) + #define EPS (0.2e-4F) + #define PI (3.14159265358F) #else #define EPS0 (1.0e-3) diff --git a/benchmarks/InterestCalib/lib/include/MathModule.h b/benchmarks/InterestCalib/lib/include/MathModule.h index db7ecf6..55dc3c0 100644 --- a/benchmarks/InterestCalib/lib/include/MathModule.h +++ b/benchmarks/InterestCalib/lib/include/MathModule.h @@ -12,15 +12,15 @@ // formula 7.1.26 (page 300), Handbook of Mathematical Functions, Abramowitz and Stegun // http://people.math.sfu.ca/~cbm/aands/frameindex.htm -REAL erff1( const REAL& x ) { - const REAL p = 0.3275911; - const REAL a1 = 0.254829592, a2 = -0.284496736, a3 = 1.421413741, a4 = -1.453152027, a5 = 1.061405429; +real_t erff1( const real_t& x ) { + const real_t p = 0.3275911; + const real_t a1 = 0.254829592, a2 = -0.284496736, a3 = 1.421413741, a4 = -1.453152027, a5 = 1.061405429; - const REAL t = 1.0/(1.0+p*x); - const REAL t2 = t * t; - const REAL t3 = t * t2; - const REAL t4 = t2 * t2; - const REAL t5 = t2 * t3; + const real_t t = 1.0/(1.0+p*x); + const real_t t2 = t * t; + const real_t t3 = t * t2; + const real_t t4 = t2 * t2; + const real_t t5 = t2 * t3; return ( 1.0 - (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5) * exp(-(x*x)) ); } @@ -28,35 +28,35 @@ REAL erff1( const REAL& x ) { //------------------------------------------------------------------------- // Cumulative Distribution Function for a standard normal distribution -REAL uGaussian_P( const REAL& x ) { - const REAL u = x / sqrt(2.0); - const REAL e = ( u < 0.0 ) ? -erff1(-u) : erff1(u); +real_t uGaussian_P( const real_t& x ) { + const real_t u = x / sqrt(2.0); + const real_t e = ( u < 0.0 ) ? -erff1(-u) : erff1(u); return ( 0.5 * (1.0 + e) ); } -REAL erff_poly_only( const REAL& x ) { - const REAL p = 0.3275911; - const REAL a1 = 0.254829592, a2 = -0.284496736, a3 = 1.421413741, a4 = -1.453152027, a5 = 1.061405429; +real_t erff_poly_only( const real_t& x ) { + const real_t p = 0.3275911; + const real_t a1 = 0.254829592, a2 = -0.284496736, a3 = 1.421413741, a4 = -1.453152027, a5 = 1.061405429; - const REAL t = 1.0/(1.0+p*x); - const REAL t2 = t * t; - const REAL t3 = t * t2; - const REAL t4 = t2 * t2; - const REAL t5 = t2 * t3; + const real_t t = 1.0/(1.0+p*x); + const real_t t2 = t * t; + const real_t t3 = t * t2; + const real_t t4 = t2 * t2; + const real_t t5 = t2 * t3; - const REAL res = (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5); + const real_t res = (a1*t + a2*t2 + a3*t3 + a4*t4 + a5*t5); return res; // erff was: ( 1.0 - res * exp(-(x*x)) ); } -REAL uGaussian_P_withExpFactor( const REAL& x, const REAL exp_factor ) { - const REAL u = fabs( x / sqrt(2.0) ); - const REAL e = erff_poly_only(u); +real_t uGaussian_P_withExpFactor( const real_t& x, const real_t exp_factor ) { + const real_t u = fabs( x / sqrt(2.0) ); + const real_t e = erff_poly_only(u); - REAL res = 0.5 * e * exp(exp_factor-u*u); + real_t res = 0.5 * e * exp(exp_factor-u*u); if( x >= 0.0 ) { res = exp(exp_factor) - res; @@ -73,10 +73,10 @@ REAL uGaussian_P_withExpFactor( const REAL& x, const REAL exp_factor ) { // otherwise follows the real implementation //////////////////////////////////////////////////////////////////////// // N is the size of scales (bbi) -REAL to_solve( const UINT& fid, const UINT& N, const REAL* scales, const REAL* bbi, const REAL& yhat ) { +real_t to_solve( const UINT& fid, const UINT& N, const real_t* scales, const real_t* bbi, const real_t& yhat ) { if ( fid == 33 ) return (yhat+3.0)*(yhat-1.0)*(yhat-1.0); else { - REAL accum = 0.0; + real_t accum = 0.0; for( UINT i = 0; i < N; i++ ) { accum += scales[i] * exp( - bbi[i] * yhat ); } @@ -96,26 +96,26 @@ def bisection(f,lb,ub,N=50): void rootBisection( const UINT& fid, const UINT& N, - const REAL* scale, - const REAL* bbi, - const REAL& lb, - const REAL& ub, - const REAL& toll, + const real_t* scale, + const real_t* bbi, + const real_t& lb, + const real_t& ub, + const real_t& toll, const UINT& it_mx, - REAL& root, // result + real_t& root, // result UINT& it, - REAL& fb + real_t& fb ) { // IMPLEMENT THIS HERE!!! - const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; - const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; + const real_t tol = (toll <= 0.0) ? 1.0e-9 : toll; + const real_t iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; - REAL a = lb, b = ub; + real_t a = lb, b = ub; - REAL x, fx; + real_t x, fx; it = 0; - REAL fa = to_solve(fid, N, scale, bbi, a); + real_t fa = to_solve(fid, N, scale, bbi, a); fb = to_solve(fid, N, scale, bbi, b); if( fa*fb >= 0.0 ) { @@ -152,22 +152,22 @@ void rootBisection( void rootFinding_Brent ( const UINT& fid, const UINT& N, - const REAL* scale, - const REAL* bbi, - const REAL& lb, - const REAL& ub, - const REAL& toll, + const real_t* scale, + const real_t* bbi, + const real_t& lb, + const real_t& ub, + const real_t& toll, const UINT& it_mx, - REAL& root, // result + real_t& root, // result UINT& it, - REAL& fb + real_t& fb ) { - const REAL tol = (toll <= 0.0) ? 1.0e-9 : toll; - const REAL iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; + const real_t tol = (toll <= 0.0) ? 1.0e-9 : toll; + const real_t iter_max = (it_mx <= 0 ) ? IT_MAX : it_mx; - REAL a = lb, b = ub; + real_t a = lb, b = ub; - REAL fa = to_solve(fid, N, scale, bbi, a); + real_t fa = to_solve(fid, N, scale, bbi, a); fb = to_solve(fid, N, scale, bbi, b); if( fa*fb >= 0.0 ) { @@ -177,22 +177,22 @@ void rootFinding_Brent ( return; } - if( fabs(fa) < fabs(fb) ) { REAL tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } + if( fabs(fa) < fabs(fb) ) { real_t tmp = fa; fa = fb; fb = tmp; tmp = a; a = b; b = tmp; } - REAL c = a, fc = fa; + real_t c = a, fc = fa; bool mflag = true; - REAL d = 0.0; + real_t d = 0.0; it = 0; for( UINT i = 0; i < iter_max; i++ ) { if ( fb != 0.0 && fabs(b-a) >= tol ) { - REAL s; + real_t s; if( fa == fc || fb == fc ) { s = b - fb * (b - a) / (fb - fa); } else { - REAL s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); - REAL s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); - REAL s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); + real_t s1 = (a*fb*fc)/( (fa-fb)*(fa-fc) ); + real_t s2 = (b*fa*fc)/( (fb-fa)*(fb-fc) ); + real_t s3 = (c*fa*fb)/( (fc-fa)*(fc-fb) ); s = s1 + s2 + s3; } @@ -207,7 +207,7 @@ void rootFinding_Brent ( mflag = false; } - REAL fs = to_solve(fid, N, scale, bbi, s); + real_t fs = to_solve(fid, N, scale, bbi, s); // d is assigned for the first time here: // it's not used above because mflag is set @@ -218,7 +218,7 @@ void rootFinding_Brent ( else { a = s; fa = fs; } if( fabs(fa) < fabs(fb) ) { - REAL tmp; + real_t tmp; tmp = a; a = b; b = tmp; tmp = fa; fa = fb; fb = tmp; } @@ -243,9 +243,9 @@ void rootFinding_Brent ( int test_math() { // Rootfinder.brent (-4.) (4./.3.) (fun x -> (x+.3.)*.(x-.1.)**2.) 1e-4 == -3 printf("# Brent test: %f => ", -3.0); - REAL scale[1] = { 0.0 }, bbi[1] = { 0.0 }; + real_t scale[1] = { 0.0 }, bbi[1] = { 0.0 }; - REAL root, err; UINT it; + real_t root, err; UINT it; rootFinding_Brent(33, 1, scale, bbi, -4.0, 4.0/3.0, 0.0, 0, root, it, err); if( equalEps(root, -3.0) ) printf(" SUCCESS!\n\n"); else printf(" %f FAILS!\n\n", root); diff --git a/benchmarks/InterestCalib/lib/include/ParseInput.h b/benchmarks/InterestCalib/lib/include/ParseInput.h index efddda2..173356b 100644 --- a/benchmarks/InterestCalib/lib/include/ParseInput.h +++ b/benchmarks/InterestCalib/lib/include/ParseInput.h @@ -22,11 +22,11 @@ void readDataSet( UINT& pop_size, UINT& num_conv_iters, UINT& num_swap_quotes, - REAL*& swaption_quotes, // [num_swap_quotes,4] + real_t*& swaption_quotes, // [num_swap_quotes,4] UINT& num_hermitians, - REAL*& hermite_coefs, // [num_hermite] - REAL*& hermite_weights, // [num_hermite] + real_t*& hermite_coefs, // [num_hermite] + real_t*& hermite_weights, // [num_hermite] UINT& num_sobol_bits, int*& sobol_dirs_vct // [num_sobol_bits] @@ -50,7 +50,7 @@ void readDataSet( UINT& pop_size, atr_ok = num_swap_quotes > 0; assert(atr_ok && "Number of swaptions LESS or equal to ZERO!\n"); - if ( read_array(sizeof(REAL), read_real, (void**)&swaption_quotes, shape, 2) ) { + if ( read_array(sizeof(real_t), read_real, (void**)&swaption_quotes, shape, 2) ) { fprintf(stderr, "Syntax error when reading the swaption quotes.\n"); exit(1); } @@ -66,14 +66,14 @@ void readDataSet( UINT& pop_size, atr_ok = num_hermitians > 0; assert(atr_ok && "Number of hermitians LESS or equal to ZERO!\n"); - if ( read_array(sizeof(REAL), read_real, (void**)&hermite_coefs, shape, 1) ) { + if ( read_array(sizeof(real_t), read_real, (void**)&hermite_coefs, shape, 1) ) { fprintf(stderr, "Syntax error when reading the hermitian coeficients.\n"); exit(1); } atr_ok = ( shape[0] == num_hermitians ); assert(atr_ok && "Incorrect shape of the hermitian coefficients!"); - if ( read_array(sizeof(REAL), read_real, (void**)&hermite_weights, shape, 1) ) { + if ( read_array(sizeof(real_t), read_real, (void**)&hermite_weights, shape, 1) ) { fprintf(stderr, "Syntax error when reading the hermitian weights.\n"); exit(1); } diff --git a/benchmarks/InterestCalib/lib/include/WriteResult.h b/benchmarks/InterestCalib/lib/include/WriteResult.h index a263cdc..93c9453 100644 --- a/benchmarks/InterestCalib/lib/include/WriteResult.h +++ b/benchmarks/InterestCalib/lib/include/WriteResult.h @@ -4,19 +4,19 @@ #include /* Writes trailing comma and newline. */ -void writeRealField(FILE *stream, const char* field, REAL x) +void writeRealField(FILE *stream, const char* field, real_t x) { fprintf(stream, "\"%s\": %f,\n", field, x); } void writeResult(FILE *stream, - REAL a, - REAL b, - REAL sigma, - REAL nu, - REAL rho, - REAL logLik, - REAL* calib_arr) + real_t a, + real_t b, + real_t sigma, + real_t nu, + real_t rho, + real_t logLik, + real_t* calib_arr) { /* Hackily manually generate JSON. It would be nice with some proper library support. */ diff --git a/lib/include/Utilities.cl b/lib/include/Utilities.cl index 28fbd06..dff4d53 100644 --- a/lib/include/Utilities.cl +++ b/lib/include/Utilities.cl @@ -125,7 +125,7 @@ TYPE segm_scan_reg_warp( **/ inline void segm_scan_reg_block ( - __local volatile REAL* sh_data, + __local volatile real_t* sh_data, uint sh_size, uint sgm_size ) { @@ -235,8 +235,8 @@ void segm_red_reg_block_K ( * ASSERTS: * 1. ptr & hd are adjusted for each warp */ -inline REAL segm_scan_warp( - __local volatile REAL* ptr, +inline real_t segm_scan_warp( + __local volatile real_t* ptr, __local volatile FLAG* hd ) { const uint th_id = TH_ID & (WARP-1); @@ -265,8 +265,8 @@ inline REAL segm_scan_warp( return ptr[th_id]; } -inline REAL segm_scan_block( - __local volatile REAL *ptr, +inline real_t segm_scan_block( + __local volatile real_t *ptr, __local volatile FLAG *hd ) { // 1a: record whether this warp begins @@ -276,10 +276,10 @@ inline REAL segm_scan_block( barrier(CLK_LOCAL_MEM_FENCE); // 1b: intra-warp segmented scan for each warp - REAL val = segm_scan_warp( ptr + WARP_FST, hd + WARP_FST ); + real_t val = segm_scan_warp( ptr + WARP_FST, hd + WARP_FST ); // 2a: the last value is the correct partial result - REAL warp_total = ptr[WARP_LST]; + real_t warp_total = ptr[WARP_LST]; // 2b: warp_flag is the OR-reduction of the flags // in a warp, and is computed indirectly from @@ -330,7 +330,7 @@ inline REAL segm_scan_block( * 2. size of ptr and hd is [K * local_group_size(0)] */ inline void segm_scan_block_K( - __local volatile REAL *ptr, + __local volatile real_t *ptr, __local volatile FLAG *hd , uint K , bool warp_level @@ -339,7 +339,7 @@ inline void segm_scan_block_K( segm_scan_block(ptr, hd); } else { uint th_idmK = TH_ID * K; - REAL reg_ptr[SEQ_ELMS]; + real_t reg_ptr[SEQ_ELMS]; bool reg_hd [SEQ_ELMS]; { // 1) each threads copies its elems in regs @@ -351,7 +351,7 @@ inline void segm_scan_block_K( { // 2) now write to shared memory local_group_size(0) elements FLAG flag; - REAL data; + real_t data; data = reg_ptr[K-1]; if ( reg_hd[K-1] == 0 ) { // the sum of the last segm @@ -375,7 +375,7 @@ inline void segm_scan_block_K( } { // 3) perform the segmented scan for get_local_size(0) elements - REAL accum; + real_t accum; if(warp_level) { segm_scan_warp ( ptr + WARP_FST, hd + WARP_FST ); @@ -410,15 +410,15 @@ inline void segm_scan_block_K( inline void ComparatorPrivate( uint *keyA, - REAL *valA, + real_t *valA, uint *keyB, - REAL *valB, + real_t *valB, uint arrowDir ){ if( (*keyA > *keyB) == arrowDir ){ uint t; t = *keyA; *keyA = *keyB; *keyB = t; - REAL r; + real_t r; r = *valA; *valA = *valB; *valB = r; } } @@ -426,15 +426,15 @@ inline void ComparatorPrivate( // volatile inline void ComparatorLocal( __local uint *keyA, - __local REAL *valA, + __local real_t *valA, __local uint *keyB, - __local REAL *valB, + __local real_t *valB, uint arrowDir ){ if( (*keyA > *keyB) == arrowDir ){ uint t; t = *keyA; *keyA = *keyB; *keyB = t; - REAL r; + real_t r; r = *valA; *valA = *valB; *valB = r; } } @@ -445,7 +445,7 @@ inline void ComparatorLocal( */ void bitonicSortLocal( __local volatile uint *l_key, - __local volatile REAL *l_val, + __local volatile real_t *l_val, uint arrayLength, uint sort_len //uint sortDir diff --git a/lib/setup.mk b/lib/setup.mk index d1a7026..abc1fa4 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -24,6 +24,6 @@ else INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include endif -CXXFLAGS += -DIMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION_DIR)"' +CXXFLAGS += -DIMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION)"' CXXFLAGS += -DHIPERMARK_BENCHMARK_LIB_DIR='"$(HIPERMARK_BENCHMARK_LIB_DIR)"' CXXFLAGS += -DHIPERMARK_LIB_DIR='"$(HIPERMARK_LIB_DIR)"' From f12dadf2822d3744a7118251ddbcb9089cd404a2 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 15:19:05 +0200 Subject: [PATCH 077/122] Change HIPERMARK_IMPLEMENTATION to HIPERMARK_IMPLEMENTATION_DIR. --- .../InterestCalib/implementations/cpp_opencl/Makefile | 4 ++-- .../InterestCalib/implementations/cpp_openmp/Makefile | 4 ++-- .../InterestCalib/implementations/cpp_openmp/instantiate | 4 ++-- .../InterestCalib/implementations/cpp_sequential/Makefile | 2 +- .../InterestCalib/implementations/haskell_lh/Makefile | 6 +++--- .../LocVolCalib/implementations/cpp_openclmp_all/Makefile | 4 ++-- .../LocVolCalib/implementations/cpp_openclmp_outer/Makefile | 4 ++-- .../LocVolCalib/implementations/cpp_openmp_naive/Makefile | 2 +- .../LocVolCalib/implementations/cpp_sequential/Makefile | 2 +- benchmarks/LocVolCalib/implementations/haskell_lh/Makefile | 4 ++-- .../OptionPricing/implementations/cpp_openmp/instantiate | 4 ++-- lib/setup.mk | 4 ++-- 12 files changed, 22 insertions(+), 22 deletions(-) diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile index fe484d2..3698123 100644 --- a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile @@ -27,11 +27,11 @@ EXECUTABLE =SwapCalib default: $(EXECUTABLE) -%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) - cp -r $(HIPERMARK_IMPLEMENTATION)/SrcCL . + cp -r $(HIPERMARK_IMPLEMENTATION_DIR)/SrcCL . $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) clean: diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile index f975376..0bc9d32 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile @@ -8,7 +8,7 @@ include $(HIPERMARK_LIB_DIR)/setup.mk INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include INCLUDES += -I$(HIPERMARK_LIB_DIR)/include -INCLUDES += -I$(HIPERMARK_IMPLEMENTATION) +INCLUDES += -I$(HIPERMARK_IMPLEMENTATION_DIR) #-fno-unsafe-math-optimizations -fno-finite-math-only #-fmath-errno -ftrapping-math -fno-rounding-math -fsignaling-nans @@ -19,7 +19,7 @@ EXECUTABLE =SwapCalib default: $(EXECUTABLE) -%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate b/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate index ee90c75..2e76ab2 100755 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate @@ -16,8 +16,8 @@ cp $HIPERMARK_BENCHMARK_LIB_DIR/include/EvalGenomeInl.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/G2PP.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/G2ppUtil.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/MathModule.h . -cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . -cp $HIPERMARK_IMPLEMENTATION/run . +cp $HIPERMARK_IMPLEMENTATION_DIR/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . +cp $HIPERMARK_IMPLEMENTATION_DIR/run . cp $HIPERMARK_LIB_DIR/include/Util.h . diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile index b2cc929..1b4da85 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile @@ -16,7 +16,7 @@ EXECUTABLE =SwapCalib default: $(EXECUTABLE) -%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile index df75451..5a66b3c 100644 --- a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile @@ -7,12 +7,12 @@ SOURCES = SwapCalib.hs EXECUTABLE = SwapCalib OBJECTS = SwapCalib.hi SwapCalib.o -GHC_FLAGS = -Wall -O2 -msse2 -rtsopts -i$(HIPERMARK_IMPLEMENTATION) +GHC_FLAGS = -Wall -O2 -msse2 -rtsopts -i$(HIPERMARK_IMPLEMENTATION_DIR) default: $(EXECUTABLE) -$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) - ghc $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) +$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) + ghc $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile index d7c9dec..ddba0b5 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile @@ -19,7 +19,7 @@ GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ -D CURR_DIR_PATH='"$(MAKE_DIR)"' -SOURCES_CPP =$(HIPERMARK_IMPLEMENTATION)/VolCalibAll.cpp +SOURCES_CPP =$(HIPERMARK_IMPLEMENTATION_DIR)/VolCalibAll.cpp HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h \ $(HIPERMARK_BENCHMARK_LIB_DIR)/Constants.h \ $(HIPERMARK_BENCHMARK_LIB_DIR)/ParseInput.h \ @@ -28,7 +28,7 @@ HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h \ EXECUTABLE =VolCalibAll $(EXECUTABLE): - cp $(HIPERMARK_IMPLEMENTATION)/*cl . + cp $(HIPERMARK_IMPLEMENTATION_DIR)/*cl . $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile index 55cb40f..fec72d5 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile @@ -19,7 +19,7 @@ GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ -D CURR_DIR_PATH='"$(MAKE_DIR)"' -SOURCES_CPP =$(HIPERMARK_IMPLEMENTATION)/VolCalibOuter.cpp +SOURCES_CPP =$(HIPERMARK_IMPLEMENTATION_DIR)/VolCalibOuter.cpp HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h \ $(HIPERMARK_BENCHMARK_LIB_DIR)/Constants.h \ $(HIPERMARK_BENCHMARK_LIB_DIR)/ParseInput.h \ @@ -28,7 +28,7 @@ HELPERS =PrepareKernels.h Vect_CPU.h Vect_GPU.h VolCalibInit.h \ EXECUTABLE =VolCalibOuter $(EXECUTABLE): - cp $(HIPERMARK_IMPLEMENTATION)/*cl . + cp $(HIPERMARK_IMPLEMENTATION_DIR)/*cl . $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile index f13edbc..119dd37 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile @@ -16,7 +16,7 @@ EXECUTABLE =VolCalibOrig default: $(EXECUTABLE) -%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) diff --git a/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile index 3743699..9f825b4 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile @@ -16,7 +16,7 @@ EXECUTABLE =VolCalibOrig default: $(EXECUTABLE) -%.o: $(HIPERMARK_IMPLEMENTATION)/%.cpp $(HELPERS) +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile index 618e7aa..6f5e944 100644 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile +++ b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile @@ -9,8 +9,8 @@ GHC_FLAGS = -Wall -O2 -msse2 -rtsopts default: $(EXECUTABLE) -$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) - ghc $(HIPERMARK_IMPLEMENTATION)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) +$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) + ghc $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) clean: rm $(EXECUTABLE) *o *hi diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate index 1617a61..009dae1 100755 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate @@ -8,8 +8,8 @@ cp $HIPERMARK_LIB_DIR/include/Util.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Constants.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Optimizations.h . cp $HIPERMARK_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $HIPERMARK_IMPLEMENTATION/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . -cp $HIPERMARK_IMPLEMENTATION/run . +cp $HIPERMARK_IMPLEMENTATION_DIR/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . +cp $HIPERMARK_IMPLEMENTATION_DIR/run . #$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data $HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk diff --git a/lib/setup.mk b/lib/setup.mk index abc1fa4..c064870 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -2,7 +2,7 @@ # variables will be missing. Set these to hopefully-working values to # support standalone compilation. HIPERMARK_BENCHMARK_LIB_DIR ?= ../../lib/ -HIPERMARK_IMPLEMENTATION ?= . +HIPERMARK_IMPLEMENTATION_DIR ?= . OS=$(shell uname -s) @@ -24,6 +24,6 @@ else INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include endif -CXXFLAGS += -DIMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION)"' +CXXFLAGS += -DIMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION_DIR)"' CXXFLAGS += -DHIPERMARK_BENCHMARK_LIB_DIR='"$(HIPERMARK_BENCHMARK_LIB_DIR)"' CXXFLAGS += -DHIPERMARK_LIB_DIR='"$(HIPERMARK_LIB_DIR)"' From 4f328ae95c14e8709b572d791fdeadc25bbf8619 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 21 Aug 2015 15:29:40 +0200 Subject: [PATCH 078/122] Renamed script to run LocVolCalib --- run_hipermark_CalibVolDiff | 9 --------- run_hipermark_LocVolCalib | 9 +++++++++ 2 files changed, 9 insertions(+), 9 deletions(-) delete mode 100755 run_hipermark_CalibVolDiff create mode 100755 run_hipermark_LocVolCalib diff --git a/run_hipermark_CalibVolDiff b/run_hipermark_CalibVolDiff deleted file mode 100755 index 173ca43..0000000 --- a/run_hipermark_CalibVolDiff +++ /dev/null @@ -1,9 +0,0 @@ -#!/bin/bash - -clear -echo Deleting all files in instantiations/CalibVolDiff -echo Running hipermark CalibVolDiff cpp_openmp_naive + cpp_sequential small + medium dataset, two times. -echo Storing all results in instantiations/ - -rm -rf instantiations/CalibVolDiff -../hipermark/hipermark instantiations/ 2 benchmarks/CalibVolDiff cpp_openmp_naive,cpp_sequential small,medium diff --git a/run_hipermark_LocVolCalib b/run_hipermark_LocVolCalib new file mode 100755 index 0000000..b79e650 --- /dev/null +++ b/run_hipermark_LocVolCalib @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/LocVolCalib +echo Running hipermark LocVolCalib cpp_openmp_naive + cpp_sequential medium dataset, two times. +echo Storing all results in instantiations/ + +rm -rf instantiations/LocVolCalib +../hipermark/hipermark instantiations/ 2 benchmarks/LocVolCalib cpp_openmp_naive,cpp_sequential medium From 722bb3f32d647bf6e739c90dd5d90435d6c6b474 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 15:42:27 +0200 Subject: [PATCH 079/122] Input reading fixes. --- .../implementations/cpp_openmp/Makefile | 1 + .../implementations/cpp_openmp/UtilCPU.h | 66 +++++++++---------- .../static_configuration_template.json | 3 + .../InterestCalib/lib/include/KerConsts.h | 10 --- .../InterestCalib/lib/include/ParseInput.h | 2 +- .../LocVolCalib/lib/include/ParseInput.h | 2 +- 6 files changed, 39 insertions(+), 45 deletions(-) create mode 100644 benchmarks/InterestCalib/implementations/cpp_openmp/static_configuration_template.json diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile index 0bc9d32..a97de36 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile @@ -5,6 +5,7 @@ HIPERMARK_LIB_DIR ?= ../../../../lib/ HIPERMARK_CONFIG_REAL_TYPE ?= double include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include INCLUDES += -I$(HIPERMARK_LIB_DIR)/include diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/UtilCPU.h b/benchmarks/InterestCalib/implementations/cpp_openmp/UtilCPU.h index 4ed4ec9..096451e 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/UtilCPU.h +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/UtilCPU.h @@ -23,33 +23,33 @@ struct CpuArrays { // [13 * POP_SIZE] = // { a, a_p, b, b_p, rho, rho_p, nu, nu_p, // sigma, sigma_p, logLik, logLik_p, bf_rat } - REAL* genomes; + real_t* genomes; // [ 4 * SS * POP_SIZE ] - REAL* ci_t1cs_scale; + real_t* ci_t1cs_scale; // [ 2 * NUM_SWAP_QUOTES * POP_SIZE ] - REAL* new_quote_price; + real_t* new_quote_price; // [ NUM_SWAP_QUOTES*NUM_HERMITE ] - REAL* accum0; + real_t* accum0; // [ 8 * NUM_SWAP_QUOTES * POP_SIZE ] // { mux, muy, sqrt_sigmax = sqrt(2.0) * sigmax, // t2 = rhoxy / (sigmax*rhoxycs), sigmay_rhoxycs, zc_mat, f, df } - REAL* scalars; + real_t* scalars; - REAL gene_ranges[10]; + real_t gene_ranges[10]; CpuArrays (const uint n, short* shp) : SS(n) { shape = shp; - genomes = new REAL[ 13 * POP_SIZE ]; - ci_t1cs_scale = new REAL[ 4 * SS * POP_SIZE ]; - scalars = new REAL[ 8 * NUM_SWAP_QUOTES * POP_SIZE ]; + genomes = new real_t[ 13 * POP_SIZE ]; + ci_t1cs_scale = new real_t[ 4 * SS * POP_SIZE ]; + scalars = new real_t[ 8 * NUM_SWAP_QUOTES * POP_SIZE ]; - new_quote_price = new REAL [ 2 * NUM_SWAP_QUOTES * POP_SIZE ]; - accum0 = new REAL [ NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE ]; + new_quote_price = new real_t [ 2 * NUM_SWAP_QUOTES * POP_SIZE ]; + accum0 = new real_t [ NUM_SWAP_QUOTES * NUM_HERMITE * POP_SIZE ]; for(int i=0; i<5; i++) { gene_ranges[i] = g_mins[i]; } for(int i=0; i<5; i++) { gene_ranges[i+5] = g_maxs[i]; } @@ -65,38 +65,38 @@ struct CpuArrays { } // genome helpers - REAL* get_a () { return genomes; } - REAL* get_b () { return genomes + POP_SIZE*2; } - REAL* get_rho () { return genomes + POP_SIZE*4; } - REAL* get_nu () { return genomes + POP_SIZE*6; } - REAL* get_sigma () { return genomes + POP_SIZE*8; } - REAL* get_logLik() { return genomes + POP_SIZE*10;} - REAL* get_bf_rat() { return genomes + POP_SIZE*12;} + real_t* get_a () { return genomes; } + real_t* get_b () { return genomes + POP_SIZE*2; } + real_t* get_rho () { return genomes + POP_SIZE*4; } + real_t* get_nu () { return genomes + POP_SIZE*6; } + real_t* get_sigma () { return genomes + POP_SIZE*8; } + real_t* get_logLik() { return genomes + POP_SIZE*10;} + real_t* get_bf_rat() { return genomes + POP_SIZE*12;} // get the shape of the irregular array (for one genome) short* get_shape (){ return shape; } // get the start iterator into arrays ci, t1cs, scale for genome i - REAL* get_ci (int i) { return ci_t1cs_scale + SS*i; } - REAL* get_t1cs (int i) { return ci_t1cs_scale + SS*i + SS*POP_SIZE; } - REAL* get_scale (int i) { return ci_t1cs_scale + SS*i + 2*SS*POP_SIZE; } - REAL* get_bbi (int i) { return ci_t1cs_scale + SS*i + 3*SS*POP_SIZE; } + real_t* get_ci (int i) { return ci_t1cs_scale + SS*i; } + real_t* get_t1cs (int i) { return ci_t1cs_scale + SS*i + SS*POP_SIZE; } + real_t* get_scale (int i) { return ci_t1cs_scale + SS*i + 2*SS*POP_SIZE; } + real_t* get_bbi (int i) { return ci_t1cs_scale + SS*i + 3*SS*POP_SIZE; } // get the start iterator into array-expanded scalars for genome i - REAL* get_mux (int i) { return scalars + i * NUM_SWAP_QUOTES ; } - REAL* get_muy (int i) { return scalars + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_sqsigx(int i) { return scalars + i * NUM_SWAP_QUOTES + 2 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_t2 (int i) { return scalars + i * NUM_SWAP_QUOTES + 3 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_sigrho(int i) { return scalars + i * NUM_SWAP_QUOTES + 4 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_zcmat (int i) { return scalars + i * NUM_SWAP_QUOTES + 5 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_f (int i) { return scalars + i * NUM_SWAP_QUOTES + 6 * NUM_SWAP_QUOTES * POP_SIZE; } - REAL* get_df (int i) { return scalars + i * NUM_SWAP_QUOTES + 7 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_mux (int i) { return scalars + i * NUM_SWAP_QUOTES ; } + real_t* get_muy (int i) { return scalars + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_sqsigx(int i) { return scalars + i * NUM_SWAP_QUOTES + 2 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_t2 (int i) { return scalars + i * NUM_SWAP_QUOTES + 3 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_sigrho(int i) { return scalars + i * NUM_SWAP_QUOTES + 4 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_zcmat (int i) { return scalars + i * NUM_SWAP_QUOTES + 5 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_f (int i) { return scalars + i * NUM_SWAP_QUOTES + 6 * NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_df (int i) { return scalars + i * NUM_SWAP_QUOTES + 7 * NUM_SWAP_QUOTES * POP_SIZE; } // get the quotes prices for genome i - REAL* get_quote (int i) { return new_quote_price + i * NUM_SWAP_QUOTES; } - REAL* get_price (int i) { return new_quote_price + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } + real_t* get_quote (int i) { return new_quote_price + i * NUM_SWAP_QUOTES; } + real_t* get_price (int i) { return new_quote_price + i * NUM_SWAP_QUOTES + NUM_SWAP_QUOTES * POP_SIZE; } // get the accumulator for the irregular array for genome i - REAL* get_accum (int i) { return accum0 + i * NUM_SWAP_QUOTES * NUM_HERMITE; } + real_t* get_accum (int i) { return accum0 + i * NUM_SWAP_QUOTES * NUM_HERMITE; } }; #endif // CPU_UTILITIES diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/static_configuration_template.json b/benchmarks/InterestCalib/implementations/cpp_openmp/static_configuration_template.json new file mode 100644 index 0000000..00bdffb --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/static_configuration_template.json @@ -0,0 +1,3 @@ +{ + "REAL_TYPE" : ["float", "double"] +} diff --git a/benchmarks/InterestCalib/lib/include/KerConsts.h b/benchmarks/InterestCalib/lib/include/KerConsts.h index 94c84c2..2433360 100644 --- a/benchmarks/InterestCalib/lib/include/KerConsts.h +++ b/benchmarks/InterestCalib/lib/include/KerConsts.h @@ -17,16 +17,6 @@ */ #define GPU_VERSION 2 -/** - * If WITH_FLOAT == 0 THEN double precision is used, - * Otherwise single float precision. - * - * If you modify this flag, DO NOT forget to perform - * a dummy change in file `SrcCL/CalibKers.cl', - * so that the cached version will be invalidated! - */ -#define WITH_FLOAT 1 - /*********************************************/ /*********************************************/ /*********************************************/ diff --git a/benchmarks/InterestCalib/lib/include/ParseInput.h b/benchmarks/InterestCalib/lib/include/ParseInput.h index 173356b..9cde8ba 100644 --- a/benchmarks/InterestCalib/lib/include/ParseInput.h +++ b/benchmarks/InterestCalib/lib/include/ParseInput.h @@ -9,7 +9,7 @@ //using namespace std; -#if WITH_FLOAT +#if REAL_IS_FLOAT #define read_real read_float #else #define read_real read_double diff --git a/benchmarks/LocVolCalib/lib/include/ParseInput.h b/benchmarks/LocVolCalib/lib/include/ParseInput.h index 8453724..f15135e 100644 --- a/benchmarks/LocVolCalib/lib/include/ParseInput.h +++ b/benchmarks/LocVolCalib/lib/include/ParseInput.h @@ -11,7 +11,7 @@ using namespace std; #include -#if WITH_FLOATS +#if REAL_IS_FLOAT #define read_real read_float #else #define read_real read_double From aee27a568df08a9c59858eb778fda9d6ada6b103 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 21 Aug 2015 15:53:30 +0200 Subject: [PATCH 080/122] Fix this dataset. --- benchmarks/InterestCalib/datasets/large/input.json | 4 ++-- benchmarks/InterestCalib/datasets/large/output.json | 12 ++++++------ 2 files changed, 8 insertions(+), 8 deletions(-) diff --git a/benchmarks/InterestCalib/datasets/large/input.json b/benchmarks/InterestCalib/datasets/large/input.json index 92db00c..7093357 100644 --- a/benchmarks/InterestCalib/datasets/large/input.json +++ b/benchmarks/InterestCalib/datasets/large/input.json @@ -1,6 +1,6 @@ { - "population_size": 256, - "convergence_iterations": 128, + "population_size": 128, + "convergence_iterations": 424, "num_swaption_quotes": 196, "swaption_quotes": [ diff --git a/benchmarks/InterestCalib/datasets/large/output.json b/benchmarks/InterestCalib/datasets/large/output.json index c21426d..a82736c 100644 --- a/benchmarks/InterestCalib/datasets/large/output.json +++ b/benchmarks/InterestCalib/datasets/large/output.json @@ -1,10 +1,10 @@ { - "a_field": 0.325608, - "b_field": 0.001000, - "sigma_field": 0.009058, - "nu_field": 0.018683, - "rho_field": -0.083963, - "lg_likelyhood": 624.116935, + "a_field": 0.023511, + "b_field": 0.964110, + "sigma_field": 0.025390, + "nu_field": 0.142763, + "rho_field": -0.912444, + "lg_likelyhood": 504.367344, "swaption_calibration_result": [ [ 74.172585 , 115.320470 , 35.681337 ], From f996688a39f85c07986350c3d45c6d4a36761bc0 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 11:43:50 +0200 Subject: [PATCH 081/122] First few OptionPricing implementations done. --- .../implementations/cpp_openmp/GenPricing.cpp | 28 +- .../implementations/cpp_openmp/Makefile | 41 +- .../dynamic_configuration_template.json | 1 + .../static_configuration_template.json | 4 + .../cpp_sequential/GenPricing.cpp | 151 +++ .../implementations/cpp_sequential/Makefile | 35 + .../static_configuration_template.json | 4 + .../implementations/haskell_lh/GenPricing.hs | 494 ++++++++ .../implementations/haskell_lh/Makefile | 26 + .../implementations/haskell_lh/Payoff3Cond.hs | 1105 +++++++++++++++++ .../OptionPricing/lib/include/Constants.h | 11 +- .../cpp_openmp => lib/include}/Contracts.h | 32 +- .../OptionPricing/lib/include/ParseInput.h | 34 +- .../cpp_openmp => lib/include}/SobolGaussBB.h | 38 +- 14 files changed, 1910 insertions(+), 94 deletions(-) create mode 100644 benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json create mode 100644 benchmarks/OptionPricing/implementations/cpp_openmp/static_configuration_template.json create mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp create mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/Makefile create mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/static_configuration_template.json create mode 100644 benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs create mode 100644 benchmarks/OptionPricing/implementations/haskell_lh/Makefile create mode 100644 benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs rename benchmarks/OptionPricing/{implementations/cpp_openmp => lib/include}/Contracts.h (97%) rename benchmarks/OptionPricing/{implementations/cpp_openmp => lib/include}/SobolGaussBB.h (88%) diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp index 72e58e3..7d6695f 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp @@ -21,8 +21,8 @@ double* run_CPUkernel( const int& Ps, // allocate for Ps threads const UINT Sd = do_padding( sob_dim ); UINT* sob_glb_vct = static_cast( malloc( Ps * Sd * sizeof(UINT)) ); - REAL* md_glb_vct = static_cast( malloc( Ps * Sd * sizeof(REAL)) ); - REAL* trj_glb_vct = static_cast( malloc( Ps * Sd * sizeof(REAL)) ); + real_t* md_glb_vct = static_cast( malloc( Ps * Sd * sizeof(real_t)) ); + real_t* trj_glb_vct = static_cast( malloc( Ps * Sd * sizeof(real_t)) ); const UINT Sv = do_padding( scals.num_models ); double* vhat_glb = static_cast( malloc( Ps * Sv * sizeof(double)) ); @@ -31,8 +31,8 @@ double* run_CPUkernel( const int& Ps, { UINT th_id = omp_get_thread_num(); UINT* sob_vct = sob_glb_vct + ( th_id * Sd ); - REAL* md_vct = md_glb_vct + ( th_id * Sd ); - REAL* trj_vct = trj_glb_vct + ( th_id * Sd ); + real_t* md_vct = md_glb_vct + ( th_id * Sd ); + real_t* trj_vct = trj_glb_vct + ( th_id * Sd ); double* vhat = vhat_glb + ( th_id * Sv ); for(int i = 0; i < scals.num_models; i ++) @@ -76,28 +76,28 @@ double* run_CPUkernel( const int& Ps, md_vct, trj_vct ); #ifdef FAST_BB - REAL* traj = md_vct; + real_t* traj = md_vct; #else - REAL* traj = trj_vct; //md_vct; + real_t* traj = trj_vct; //md_vct; #endif // compute trajectory for ( int m = 0; m < scals.num_models; m ++ ) { - REAL* md_c = md_arrs.md_c + ( m * num_under_sq ); - REAL* md_vols = md_arrs.md_vols + ( m * sob_dim ); - REAL* md_drifts = md_arrs.md_drifts + ( m * sob_dim ); - REAL* md_starts = md_arrs.md_starts + ( m * scals.num_under ); + real_t* md_c = md_arrs.md_c + ( m * num_under_sq ); + real_t* md_vols = md_arrs.md_vols + ( m * sob_dim ); + real_t* md_drifts = md_arrs.md_drifts + ( m * sob_dim ); + real_t* md_starts = md_arrs.md_starts + ( m * scals.num_under ); for( int i = 0; i < scals.num_dates; i ++ ) { for( int j = 0; j < scals.num_under; j ++ ) { - REAL temp = 0.0; + real_t temp = 0.0; int k = i*scals.num_under + j; for ( int l = 0; l <= j; l ++ ) { #ifdef FAST_BB - REAL md_val = trj_vct[i*scals.num_under + l]; + real_t md_val = trj_vct[i*scals.num_under + l]; #else - REAL md_val = md_vct [i*scals.num_under + l]; + real_t md_val = md_vct [i*scals.num_under + l]; #endif temp += md_c[j*scals.num_under + l] * md_val; } @@ -170,7 +170,7 @@ int main() { elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); - FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); + FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); fprintf(runtime, "%d\n", elapsed_usec / 1000); fclose(runtime); write_1Darr(result, prices, scals.num_models); diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile b/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile index e690441..7447ebf 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile @@ -1,32 +1,35 @@ -include setup.mk +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ -ifndef ($(HAVE_GPU)) -include platform.mk -endif +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double -INCLUDES += -I../includeC -GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include SOURCES_CPP =GenPricing.cpp -HELPERS =Contracts.h SobolGaussBB.h ../includeC/Constants.h ../includeC/Optimizations.h ../includeC/ParseInput.h -# XXX what about the boilerplate in ../includeC ??? +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h OBJECTS =GenPricing.o EXECUTABLE =GenPricing -default: cpu - -# TODO need redesign, probably use different executable names (or -# standardisation of "gpu" targets across all benchmarks) - -.cpp.o: $(SOURCES_CPP) $(HELPERS) - $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< +default: $(EXECUTABLE) -# The GPU version is in: ../CppOpenCL. This folder is CPU only! -gpu: $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< -cpu: $(OBJECTS) +$(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) clean: rm -f $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json new file mode 100644 index 0000000..14298aa --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json @@ -0,0 +1 @@ +{"NUM_THREADS": [1,2,3,4]} diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/static_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_openmp/static_configuration_template.json new file mode 100644 index 0000000..7742ccc --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/static_configuration_template.json @@ -0,0 +1,4 @@ +{ + "REAL_TYPE" : ["float", "double"] +} + diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp new file mode 100644 index 0000000..e52d301 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp @@ -0,0 +1,151 @@ +#define FAST_BB + +#include "ParseInput.h" +#include "SobolGaussBB.h" +#include "Contracts.h" + +double* run_CPUkernel( const LoopROScalars & scals, + const SobolArrays & sob_arrs, + const ModelArrays & md_arrs, + const BrowBridgeArrays& bb_arrs +) { + const UINT sob_dim = scals.num_under * scals.num_dates; + const UINT num_under_sq = scals.num_under * scals.num_under; + const int* sob_matT = sob_arrs.sobol_dirvcts; + + // allocate for Ps threads + const UINT Sd = do_padding( sob_dim ); + UINT* sob_vct = static_cast( malloc( Sd * sizeof(UINT)) ); + real_t* md_vct = static_cast( malloc( Sd * sizeof(real_t)) ); + real_t* trj_vct = static_cast( malloc( Sd * sizeof(real_t)) ); + + const UINT Sv = do_padding( scals.num_models ); + double* vhat = static_cast( malloc( Sv * sizeof(double)) ); + + // init the prices to 0 + for(int i = 0; i < scals.num_models; i ++) { + vhat[ i ] = 0.0; + } + + // Sobol number 0 is a vector of 0s. + for(int i = 0; i < sob_dim; i++) { + sob_vct[i] = 0; + } + + for( int i = 0; i < scals.num_mcits; i ++ ) { + + // Sobol strength-reduced (recurrence) formula. + sobolRec( sob_dim, scals.sobol_bits, sob_matT, i+1, sob_vct ); + + // transform the normal [0,1) to gaussian distribution [-inf, +inf] + uGaussian( scals.sob_norm_fact, sob_dim, sob_vct, md_vct ); + + // correlate the dates on each path using a Brownian Bridge + brownianBridge( scals.num_under, scals.num_dates, + bb_arrs.bb_inds, bb_arrs.bb_data, + md_vct, trj_vct ); + +#ifdef FAST_BB + real_t* traj = md_vct; +#else + real_t* traj = trj_vct; //md_vct; +#endif + + // compute trajectory + for ( int m = 0; m < scals.num_models; m ++ ) { + real_t* md_c = md_arrs.md_c + ( m * num_under_sq ); + real_t* md_vols = md_arrs.md_vols + ( m * sob_dim ); + real_t* md_drifts = md_arrs.md_drifts + ( m * sob_dim ); + real_t* md_starts = md_arrs.md_starts + ( m * scals.num_under ); + + for( int i = 0; i < scals.num_dates; i ++ ) { + for( int j = 0; j < scals.num_under; j ++ ) { + real_t temp = 0.0; + int k = i*scals.num_under + j; + + for ( int l = 0; l <= j; l ++ ) { +#ifdef FAST_BB + real_t md_val = trj_vct[i*scals.num_under + l]; +#else + real_t md_val = md_vct [i*scals.num_under + l]; +#endif + temp += md_c[j*scals.num_under + l] * md_val; + } + + temp = exp( temp*md_vols[k] + md_drifts[k] ); + + traj[k] = (k < scals.num_under) ? + md_starts[ k ] * temp : + traj[k - scals.num_under] * temp ; + } + } + + aggregDiscountedPayoff( m, scals.contract, + scals.num_under, + scals.num_cash_flows, + scals.num_det_pricers, + md_arrs.md_discts, + md_arrs.md_detvals, + traj, vhat ); + } + } + + + for(int i = 0; i < scals.num_models; i ++) { + vhat[i] = vhat[i] / scals.num_mcits; + } + + // clean-up! + free(sob_vct); + free( md_vct); + free(trj_vct); + + return vhat; +} + + +int main() { + LoopROScalars scals; + SobolArrays sob_arrs; + ModelArrays md_arrs; + BrowBridgeArrays bb_arrs; + + fprintf(stdout, "\n// Generic Pricing, Original Sequential Benchmark:\n"); + + readDataSet(scals, sob_arrs, md_arrs, bb_arrs); + + fprintf(stdout, "// Contract: %d, MC Its#: %d, #Underlyings: %d, #Path Dates: %d, chunk: %d\n\n", + scals.contract, scals.num_mcits, scals.num_under, scals.num_dates, scals.chunk ); + + double* prices; + unsigned long int elapsed_usec; + { // run kernel + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + + computeSobolFixIndex( sob_arrs, scals.chunk ); + { // do work and cleanup + prices = run_CPUkernel( scals, sob_arrs, md_arrs, bb_arrs ); + } + + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed_usec = t_diff.tv_sec*1e6+t_diff.tv_usec; + + md_arrs .cleanup(); + bb_arrs .cleanup(); + sob_arrs.cleanup(); + } + + { + FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); + FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); + fprintf(runtime, "%d\n", elapsed_usec / 1000); + fclose(runtime); + write_1Darr(result, prices, scals.num_models); + fclose(result); + } + + return 0; +} + diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile new file mode 100644 index 0000000..7808673 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile @@ -0,0 +1,35 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +SOURCES_CPP =GenPricing.cpp +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h +OBJECTS =GenPricing.o +EXECUTABLE =GenPricing + +default: $(EXECUTABLE) + +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< + +$(EXECUTABLE): $(OBJECTS) + $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) + +clean: + rm -f $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/static_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_sequential/static_configuration_template.json new file mode 100644 index 0000000..7742ccc --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/static_configuration_template.json @@ -0,0 +1,4 @@ +{ + "REAL_TYPE" : ["float", "double"] +} + diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs new file mode 100644 index 0000000..e348336 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs @@ -0,0 +1,494 @@ +module Main where + +import qualified Data.List +import Control.Applicative +import Control.Monad +import Data.Maybe +import System.Environment +import System.CPUTime + +------------------------------------ +--- Requires the installation of --- +--- Parsec package, i.e., --- +--- cabal install parsec --- +------------------------------------ + +import Text.Parsec hiding (optional, (<|>), token) +import Text.Parsec.String + +import Data.Bits +import Data.List hiding (tail) +import Prelude hiding (tail) + +--import Debug.Trace + +import Control.DeepSeq + +import Data.Vector.Unboxed(Vector) -- for gaussian approx +import qualified Data.Vector.Unboxed as V + +------------------------------ +--- Parser-related Helpers --- +------------------------------ +signed :: Parser String -> Parser String +signed p = (char '-' >> (('-':) <$> p)) <|> p + +whitespace :: Parser () +whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) + +lexeme :: Parser a -> Parser a +lexeme p = p <* whitespace + +token :: String -> Parser () +token = void . lexeme . string + +readInt :: Parser Int +readInt = lexeme $ read <$> signed (many1 digit) + +readDouble :: Parser Double +readDouble = lexeme $ read <$> signed (s2 <|> s1) + where s1 = do bef <- many1 digit + aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) + return $ bef ++ aft + s2 = (++) <$> (char '.' >> pure "0.") <*> many1 digit + +readArray :: Parser a -> Parser [a] +readArray p = lexeme $ between (token "[") (token "]") (p `sepBy` token ",") + +--------------------------------------------- +--- Definition of lish-homomorphic reduce --- +--- requires a binary associative op --- +--------------------------------------------- + +reduce :: (a -> a -> a) -> a -> [a] -> a +reduce bop ne lst = foldl bop ne lst + +--zip5 :: [a] -> [b] -> [c] -> [d] -> [e] -> [(a,b,c,d,e)] +--zip5 [] [] [] [] [] = [] +--zip5 (a:as) (b:bs) (c:cs) (d:ds) (e:es) = +-- (a,b,c,d,e) :: (zip5 as bs cs ds es) +--zip5 as bs cs ds es = [] + +--------------------------------------------- +--- Chunking Helpers --- +--------------------------------------------- +chunk :: Int -> [a] -> [[a]] +chunk _ [] = [] +chunk n arr = take n arr : chunk n (drop n arr) + +--------------------------------------------- +--- Sobol Quasi-random vector generation --- +--------------------------------------------- +grayCode :: Int -> Int +grayCode x = (x `shiftR` 1) `xor` x + +xorInds :: Int -> Int -> [Int] -> Int +xorInds bits_num n dir_vs = reduce xor 0 $ map (dir_vs!!) is + where bits = [0..bits_num-1] + is = filter (testBit $ grayCode n) bits + +sobolIndI :: Int -> [[Int]] -> Int -> [Int] +sobolIndI bits_num dir_vs n = + map (xorInds bits_num n) dir_vs + +sobolIndR :: Int -> [[Int]] -> Int -> [Double] +sobolIndR bits_num dir_vs n = + map ((/divisor) . fromIntegral) arri + where arri = sobolIndI bits_num dir_vs n + divisor = 2.0 ** fromIntegral bits_num + +lsb0 :: Int -> Int +lsb0 n = lsb0_help 0 n + where lsb0_help ell c | (c .&. 1 == 0) = ell + | otherwise = lsb0_help (ell+1) (c `shiftR` 1) + +sobolRecI :: Int -> [[Int]] -> [Int] -> Int -> [Int] +sobolRecI bits_num sob_dir_vs prev n = zipWith xor prev dir_vs + where dir_vs = map ( !! mybit ) sob_dir_vs + mybit = min (lsb0 n) (bits_num-1) + +sobolRecMapSeq :: Double -> Int -> [[Int]] -> (Int,Int) -> [[Double]] +sobolRecMapSeq sob_fact bits_num dir_vs (l, u) = + let a = sobolIndI bits_num dir_vs l + norm = ( * sob_fact ) . fromIntegral + in map (map norm) (scanl (sobolRecI bits_num dir_vs) a [l..u-1]) + -- this scanl is sequential (NOT parallel) + +------------------------------------------ +------------------------------------------ + +sobolRecMapPar :: Double -> Int -> [[Int]] -> (Int,Int) -> [[Double]] +sobolRecMapPar sob_fact bits_num dir_vs (lb_inc, ub_exc) = + let contribs = map (\k -> if (k==lb_inc) + then sobolIndI bits_num dir_vs lb_inc + else recM dir_vs (k-1) + ) [lb_inc..ub_exc] + vct_ints :: [[Int]] + vct_ints = Data.List.tail $ + scanl (zipWith xor) (replicate (length dir_vs) 0) contribs + -- this scanl is parallel (associative xor operator)! + in map (map (\x -> (fromIntegral x) * sob_fact)) vct_ints + +sobolRecI2 :: [[Int]] -> [Int] -> Int -> [Int] +sobolRecI2 sob_dirs prev i = + zipWith xor prev (recM sob_dirs i) + +recM :: [[Int]] -> Int -> [Int] +recM sob_dirs i = + let mybit = lsb0 i + in map (\row -> row !! mybit) sob_dirs + +------------------------------------------ +--- To-Gaussian Distribution Transform.--- +------------------------------------------ +polyAppr :: Double -> Double -> Double -> Double -> Double -> Double + -> Double -> Double -> Double -> Double -> Double -> Double + -> Double -> Double -> Double -> Double -> Double -> Double +polyAppr x a0 a1 a2 a3 a4 a5 a6 a7 b0 b1 b2 b3 b4 b5 b6 b7 = + (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0) / + (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) + + +-- same functionality as "polyAppr", but using vectors for constants +approx :: Double -> Vector Double -> Vector Double -> Double +approx x as bs = let seqreduce xs = V.foldr (\b c -> b + x*c) 0.0 xs + in seqreduce as / seqreduce bs + +smallcase :: Double -> Double +smallcase q = q * approx (0.180625 - q*q) small_as small_bs + +small_as :: Vector Double +small_as = V.fromList [ 3.387132872796366608 + , 133.14166789178437745 + , 1971.5909503065514427 + , 13731.693765509461125 + , 45921.953931549871457 + , 67265.770927008700853 + , 33430.575583588128105 + , 2509.0809287301226727 ] + +small_bs :: Vector Double +small_bs = V.fromList [ 1.0 + , 42.313330701600911252 + , 687.1870074920579083 + , 5394.1960214247511077 + , 21213.794301586595867 + , 39307.89580009271061 + , 28729.085735721942674 + , 5226.495278852854561 ] + +intermediate :: Double -> Double +intermediate q = approx (q-1.6) interm_as interm_bs + +interm_as :: Vector Double +interm_as = V.fromList [ 1.42343711074968357734 + , 4.6303378461565452959 + , 5.7694972214606914055 + , 3.64784832476320460504 + , 1.27045825245236838258 + , 0.24178072517745061177 + , 0.0227238449892691845833 + , 7.7454501427834140764e-4] + +interm_bs :: Vector Double +interm_bs = V.fromList [ 1.0 + , 2.05319162663775882187 + , 1.6763848301838038494 + , 0.68976733498510000455 + , 0.14810397642748007459 + , 0.0151986665636164571966 + , 5.475938084995344946e-4 + , 1.05075007164441684324e-9] + +tail :: Double -> Double +tail q = approx (q - 5.0) tail_as tail_bs + +tail_as :: Vector Double +tail_as = V.fromList [ 6.6579046435011037772 + , 5.4637849111641143699 + , 1.7848265399172913358 + , 0.29656057182850489123 + , 0.026532189526576123093 + , 0.0012426609473880784386 + , 2.71155556874348757815e-5 + , 2.01033439929228813265e-7] + +tail_bs :: Vector Double +tail_bs = V.fromList [ 1.0 + , 0.59983220655588793769 + , 0.13692988092273580531 + , 0.0148753612908506148525 + , 7.868691311456132591e-4 + , 1.8463183175100546818e-5 + , 1.4215117583164458887e-7 + , 2.04426310338993978564e-15] + + +ugaussianEl :: Double -> Double +ugaussianEl p = + if ((dp < 0.0) && (0.0 - dp <= 0.425)) || ((0.0 <= dp) && (dp <= 0.425)) + then smallcase dp + else let pp = if dp < 0.0 then dp + 0.5 else 0.5 - dp + r = sqrt $ -log pp + x = if r <= 5.0 then intermediate r else tail r + in if dp < 0.0 then 0.0 - x else x + where dp = p - 0.5 + +ugaussian :: [Double] -> [Double] +ugaussian = map ugaussianEl + +------------------------------------------ +--- Brownian-Bridge Implementation --- +------------------------------------------ +brownianBridgeDates :: Int -> [[Int]] -> [[Double]] -> [Double] -> [Double] +brownianBridgeDates num_dates bb_inds bb_data gauss = + let bbrow = update (replicate num_dates 0.0) + (bi!!0) (sd!!0 * gauss!!0) + bbrow' = foldl f bbrow $ drop 1 $ + zip3 (zip3 bi li ri) (zip3 sd lw rw) gauss + in zipWith (-) bbrow' (0.0:bbrow') + where [bi,li,ri] = map (map $ subtract 1) bb_inds + [sd,lw,rw] = bb_data + f bbrow ((l,j,k),(x,y,z),zi) = + let wk = bbrow !! k + tmp = z * wk + x * zi + in update bbrow l $ if (j + 1) == 0 + then tmp + else tmp + y * (bbrow!!j) + update a i v = take i a ++ [v] ++ drop (i+1) a + +brownianBridge :: Int -> Int -> [[Int]] -> [[Double]] -> [Double] -> [[Double]] +brownianBridge num_paths num_dates bb_inds bb_data gaussian_arr = + transpose $ map (brownianBridgeDates num_dates bb_inds bb_data) gauss2dT + where gauss2d = chunk num_paths gaussian_arr + gauss2dT = transpose gauss2d + +------------------------------------------ +--- Black-Scholes Implementation --- +------------------------------------------ +fftmp :: Int -> [[Double]] -> [Double] -> [Double] +fftmp num_paths md_c zi = map f [0..num_paths-1] + where f j = reduce (+) 0.0 $ zipWith (*) (take (j+1) zi) (take (j+1) $ md_c!!j) + +correlateDeltas :: Int -> [[Double]] -> [[Double]] -> [[Double]] +correlateDeltas num_paths md_c = map $ fftmp num_paths md_c + +combineVs :: [Double] -> [Double] -> [Double] -> [Double] +combineVs n_row vol_row dr_row = + zipWith (+) dr_row $ zipWith (*) n_row vol_row + +mkPrices :: [Double] -> [[Double]] -> [[Double]] -> [[Double]] -> [[Double]] +mkPrices md_starts md_vols md_drifts noises = + drop 1 $ scanl (zipWith (*)) md_starts e_rows + where e_rows = map (map exp) $ zipWith3 combineVs noises md_vols md_drifts + +blackScholes :: Int -> [[Double]] -> [[Double]] -> [[Double]] + -> [[Double]] -> [Double] -> [[Double]] +blackScholes num_paths bb_arr md_c md_vols md_drifts md_starts = + mkPrices md_starts md_vols md_drifts noises + where noises = correlateDeltas num_paths md_c bb_arr + + +------------------------------------------ +--- Payoff functions --- +------------------------------------------ +payoff :: Int -> [Double] -> [Double] -> [[Double]] -> Double +payoff contract md_disc md_detval xss = + if contract == 1 then payoff1 md_disc md_detval xss + else if contract == 2 then payoff2 md_disc xss + else if contract == 3 then payoff3 md_disc xss + else 0.0 + +payoff1 :: [Double] -> [Double] -> [[Double]] -> Double +payoff1 md_disc md_detvals xss = + let detval = head md_detvals + amount = ( (head (head xss)) - 4000.0 ) * detval + amount'= max 0.0 amount + in trajInner amount' 0 md_disc + +payoff2 :: [Double] -> [[Double]] -> Double +payoff2 md_disc xss + | 1.0 <= mins !! 0 = trajInner 1150.0 0 md_disc + | 1.0 <= mins !! 1 = trajInner 1300.0 1 md_disc + | 1.0 <= mins !! 2 = trajInner 1450.0 2 md_disc + | 1.0 <= mins !! 3 = trajInner 1600.0 3 md_disc + | 1.0 <= mins !! 4 = trajInner 1750.0 4 md_disc + | 0.75 < mins !! 4 = trajInner 1000.0 4 md_disc + | otherwise = trajInner (1000 * (mins!!4)) 4 md_disc + where divs = [ 1.0/3758.05, 1.0/11840.0, 1.0/1200.0 ] + xss_div = map (zipWith (*) divs) xss + mins = map minimum xss_div + + +payoff3 :: [Double] -> [[Double]] -> Double +payoff3 md_disc xss = + let underlyings (i,j) = (xss !! i) !! j + x3309 = ( reduce (||) False . map (reduce (||) False . zipWith (>=) [2630.6349999999998, 8288.0, 840.0]) ) xss +{- + x3309 = any (\ [x,y,z] -> or [ x <= 2630.6349999999998 + , y <= 8288.0 + , z <= 840.0]) + xss +-} + goto_40 = x3309 && + ( (underlyings(366,0) < 3758.05) || + (underlyings(366,2) < 1200.0 ) || + (underlyings(366,1) < 11840.0) ) + + price1 = trajInner 100.0 0 md_disc + + price2 = if goto_40 + then let m1 = min ((underlyings(366,2) / 1200.0 ) - 1.0) + ((underlyings(366,0) / 3758.05) - 1.0) + m2 = min ((underlyings(366,1) / 11840.0) - 1.0) m1 + amount = (1000.0 * (1.0 + m2 ) ) + in trajInner amount 1 md_disc + else trajInner 1000.0 1 md_disc + in price1 + price2 + + + +trajInner :: Double -> Int -> [Double] -> Double +trajInner amount i disc = amount * disc !! i + +-------------------------------------------- +-------------------------------------------- +-------------------------------------------- + + + +------------------------------------------- +--- Main Entry Point: price computation --- +------------------------------------------- + +--- Using only the (slightly inneficient) Sobol independent formula! --- +compute :: Int -> Int -> Int -> Int -> Int -> Int -> [[Int]] + -> [[[Double]]] -> [[[Double]]] -> [[[Double]]] + -> [[Double]] -> [[Double]] -> [[Double]] + -> [[Int]] -> [[Double]] + -> [Double] +compute contract num_mc_it num_dates num_under num_models num_bits + dir_vs md_cs md_vols md_drifts md_starts md_detvals + md_discts bb_inds bb_data = + + let sobol_mat = map (sobolIndR num_bits dir_vs) [1..num_mc_it] + gauss_mat = map ugaussian sobol_mat + bb_mat = map (brownianBridge num_under num_dates bb_inds bb_data) gauss_mat + + bs_mat = map (\bb_row -> zipWith4 (blackScholes num_under bb_row) md_cs md_vols md_drifts md_starts) bb_mat + payoffs = bs_mat `deepseq` map (\bs_row -> zipWith3 (payoff contract) md_discts md_detvals bs_row) bs_mat + + sum_prices= payoffs `deepseq` reduce (zipWith (+)) (replicate num_models 0.0) payoffs + prices = map (\sp -> sp / fromIntegral num_mc_it) sum_prices + in prices + + +--- Chunking the computation and using sobol-independent formula --- +--- for the first element and the more efficient sobol-recurrent --- +-- formula for the rest of elements --- +compute_chunk :: Int -> Int -> Int -> Int -> Int -> Int -> [[Int]] + -> [[[Double]]] -> [[[Double]]] -> [[[Double]]] + -> [[Double]] -> [[Double]] -> [[Double]] + -> [[Int ]] -> [[Double]] -> (Int,Int) + -> [Double] +compute_chunk contract num_mc_it num_dates num_under num_models num_bits + dir_vs md_cs md_vols md_drifts md_starts md_detvals + md_discts bb_inds bb_data (lb,ub) = + let sob_factor = 1.0 / (2.0 ** fromIntegral num_bits) + + sobol_mat = sobolRecMapPar sob_factor num_bits dir_vs (lb,ub) + gauss_mat = map ugaussian sobol_mat + bb_mat = map (brownianBridge num_under num_dates bb_inds bb_data) gauss_mat + bs_mat = map (\bb_row -> zipWith4 (blackScholes num_under bb_row) md_cs md_vols md_drifts md_starts) bb_mat + payoffs = bs_mat `deepseq` map (\bs_row -> zipWith3 (payoff contract) md_discts md_detvals bs_row) bs_mat + sum_prices= payoffs `deepseq` reduce (zipWith (+)) (replicate num_models 0.0) payoffs + prices = map (\sp -> sp / fromIntegral num_mc_it) sum_prices + in prices + +tiledSkeleton :: Int -> Int -> Int -> ((Int,Int) -> [Double]) -> [Double] +tiledSkeleton sob_dim num_mc_its chunk_sz fun = + let divides = num_mc_its `mod` chunk_sz == 0 + extra = if (divides) then [] else [num_mc_its] + iv = zip [1,chunk_sz+1..] ([chunk_sz, 2*chunk_sz .. num_mc_its] ++ extra ) + in (reduce (zipWith (+)) (replicate sob_dim 0.0) . map fun) iv +---------------------------------------------- +--- Formatting the Output of the Benchmark --- +---------------------------------------------- +validate :: [Double] -> [Double] -> (Int,Int,Int,Int) -> [String] +validate prices_ref prices info= + let errs = map abs $ zipWith (-) prices_ref prices + err = reduce max 0.0 errs + (contract,num_mc_it, num_dates, num_under) = info + in ["// Generic Pricing Haskell Benchmark (List-Homomorphism Style):", + "// Contract: " ++ show contract ++ ", MC Its#: " ++ show num_mc_it ++ + ", #Underlyings: " ++ show num_under ++ ", #Path Dates: " ++ + show num_dates, + ( if err <= 0.0005 + then "1\t\t// VALID Result," + else "0\t\t// INVALID Result," ), + "0\t\t// Runtime in microseconds,", + "1\t\t// CPU Threads,", + show prices ++ "\t// Generic Pricing Result."] + + +----------------------------------------- +--- Entry point for Generic Pricing --- +--- The only place where using Monads,--- +--- e.g., parsing Dataset from StdIn --- +----------------------------------------- +main :: IO () +main = do s <- getContents + case parse run "input" s of + Left e -> error $ show e + Right m -> do + (v, runtime) <- m + result <- getEnv "HIPERMARK_RESULT" + writeFile result $ show v + runtime_file <- getEnv "HIPERMARK_RUNTIME" + writeFile runtime_file $ show runtime + +-- either (error . show) print $ parse run "input" s + where run = do contract <- readInt + num_mc_it <- readInt + num_dates <- readInt + num_under <- readInt +{- + v <- compute contract num_mc_it num_dates num_under <$> + readInt <*> readInt <*> readInt2d <*> + readDouble3d <*> readDouble3d <*> readDouble3d <*> + readDouble2d <*> readDouble2d <*> readDouble2d <*> + readInt2d <*> readDouble2d +-} + + num_models<- readInt + num_bits <- readInt + sob_dirvs <- readInt2d + md_cs <- readDouble3d + md_vols <- readDouble3d + md_drifts <- readDouble3d + md_starts <- readDouble2d + md_detvals<- readDouble2d + md_discts <- readDouble2d + bb_inds <- readInt2d + bb_data <- readDouble2d + + let tiled_skel = tiledSkeleton (num_under*num_dates) num_mc_it 128 + let v = tiled_skel $ + compute_chunk + contract num_mc_it num_dates num_under num_models num_bits + sob_dirvs md_cs md_vols md_drifts md_starts md_detvals + md_discts bb_inds bb_data + + return $ do + start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + end <- v `deepseq` getCPUTime + return (v, (end - start) `div` 1000000000) + + + readInt2d = readArray $ readArray readInt + readDouble1d = readArray readDouble + readDouble2d = readArray $ readArray readDouble + readDouble3d = readArray $ readArray $ readArray readDouble + +-- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs +-- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/Makefile b/benchmarks/OptionPricing/implementations/haskell_lh/Makefile new file mode 100644 index 0000000..afdc764 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/haskell_lh/Makefile @@ -0,0 +1,26 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +include $(HIPERMARK_LIB_DIR)/setup.mk + +SOURCES = GenPricing.hs +EXECUTABLE = GenPricing +OBJECTS = GenPricing.hi GenPricing.o + +GHC_FLAGS = -Wall -O2 -msse2 -rtsopts -i$(HIPERMARK_IMPLEMENTATION) + +default: $(EXECUTABLE) + +$(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) + ghc $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) $(GHC_FLAGS) -o $(EXECUTABLE) + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs b/benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs new file mode 100644 index 0000000..136a27f --- /dev/null +++ b/benchmarks/OptionPricing/implementations/haskell_lh/Payoff3Cond.hs @@ -0,0 +1,1105 @@ +module Payoff3Cond where + +payoff3Cond :: [[Double]] -> Bool +payoff3Cond xss = + let underlyings (i,j) = (xss !! i) !! j + in (underlyings(0,0) <= 2630.6349999999998) || + (underlyings(0,2) <= 840.0) || + (underlyings(0,1) <= 8288.0) || + (underlyings(1,0) <= 2630.6349999999998) || + (underlyings(1,2) <= 840.0) || + (underlyings(1,1) <= 8288.0) || + (underlyings(2,0) <= 2630.6349999999998) || + (underlyings(2,2) <= 840.0) || + (underlyings(2,1) <= 8288.0) || + (underlyings(3,0) <= 2630.6349999999998) || + (underlyings(3,2) <= 840.0) || + (underlyings(3,1) <= 8288.0) || + (underlyings(4,0) <= 2630.6349999999998) || + (underlyings(4,2) <= 840.0) || + (underlyings(4,1) <= 8288.0) || + (underlyings(5,0) <= 2630.6349999999998) || + (underlyings(5,2) <= 840.0) || + (underlyings(5,1) <= 8288.0) || + (underlyings(6,0) <= 2630.6349999999998) || + (underlyings(6,2) <= 840.0) || + (underlyings(6,1) <= 8288.0) || + (underlyings(7,0) <= 2630.6349999999998) || + (underlyings(7,2) <= 840.0) || + (underlyings(7,1) <= 8288.0) || + (underlyings(8,0) <= 2630.6349999999998) || + (underlyings(8,2) <= 840.0) || + (underlyings(8,1) <= 8288.0) || + (underlyings(9,0) <= 2630.6349999999998) || + (underlyings(9,2) <= 840.0) || + (underlyings(9,1) <= 8288.0) || + (underlyings(10,0) <= 2630.6349999999998) || + (underlyings(10,2) <= 840.0) || + (underlyings(10,1) <= 8288.0) || + (underlyings(11,0) <= 2630.6349999999998) || + (underlyings(11,2) <= 840.0) || + (underlyings(11,1) <= 8288.0) || + (underlyings(12,0) <= 2630.6349999999998) || + (underlyings(12,2) <= 840.0) || + (underlyings(12,1) <= 8288.0) || + (underlyings(13,0) <= 2630.6349999999998) || + (underlyings(13,2) <= 840.0) || + (underlyings(13,1) <= 8288.0) || + (underlyings(14,0) <= 2630.6349999999998) || + (underlyings(14,2) <= 840.0) || + (underlyings(14,1) <= 8288.0) || + (underlyings(15,0) <= 2630.6349999999998) || + (underlyings(15,2) <= 840.0) || + (underlyings(15,1) <= 8288.0) || + (underlyings(16,0) <= 2630.6349999999998) || + (underlyings(16,2) <= 840.0) || + (underlyings(16,1) <= 8288.0) || + (underlyings(17,0) <= 2630.6349999999998) || + (underlyings(17,2) <= 840.0) || + (underlyings(17,1) <= 8288.0) || + (underlyings(18,0) <= 2630.6349999999998) || + (underlyings(18,2) <= 840.0) || + (underlyings(18,1) <= 8288.0) || + (underlyings(19,0) <= 2630.6349999999998) || + (underlyings(19,2) <= 840.0) || + (underlyings(19,1) <= 8288.0) || + (underlyings(20,0) <= 2630.6349999999998) || + (underlyings(20,2) <= 840.0) || + (underlyings(20,1) <= 8288.0) || + (underlyings(21,0) <= 2630.6349999999998) || + (underlyings(21,2) <= 840.0) || + (underlyings(21,1) <= 8288.0) || + (underlyings(22,0) <= 2630.6349999999998) || + (underlyings(22,2) <= 840.0) || + (underlyings(22,1) <= 8288.0) || + (underlyings(23,0) <= 2630.6349999999998) || + (underlyings(23,2) <= 840.0) || + (underlyings(23,1) <= 8288.0) || + (underlyings(24,0) <= 2630.6349999999998) || + (underlyings(24,2) <= 840.0) || + (underlyings(24,1) <= 8288.0) || + (underlyings(25,0) <= 2630.6349999999998) || + (underlyings(25,2) <= 840.0) || + (underlyings(25,1) <= 8288.0) || + (underlyings(26,0) <= 2630.6349999999998) || + (underlyings(26,2) <= 840.0) || + (underlyings(26,1) <= 8288.0) || + (underlyings(27,0) <= 2630.6349999999998) || + (underlyings(27,2) <= 840.0) || + (underlyings(27,1) <= 8288.0) || + (underlyings(28,0) <= 2630.6349999999998) || + (underlyings(28,2) <= 840.0) || + (underlyings(28,1) <= 8288.0) || + (underlyings(29,0) <= 2630.6349999999998) || + (underlyings(29,2) <= 840.0) || + (underlyings(29,1) <= 8288.0) || + (underlyings(30,0) <= 2630.6349999999998) || + (underlyings(30,2) <= 840.0) || + (underlyings(30,1) <= 8288.0) || + (underlyings(31,0) <= 2630.6349999999998) || + (underlyings(31,2) <= 840.0) || + (underlyings(31,1) <= 8288.0) || + (underlyings(32,0) <= 2630.6349999999998) || + (underlyings(32,2) <= 840.0) || + (underlyings(32,1) <= 8288.0) || + (underlyings(33,0) <= 2630.6349999999998) || + (underlyings(33,2) <= 840.0) || + (underlyings(33,1) <= 8288.0) || + (underlyings(34,0) <= 2630.6349999999998) || + (underlyings(34,2) <= 840.0) || + (underlyings(34,1) <= 8288.0) || + (underlyings(35,0) <= 2630.6349999999998) || + (underlyings(35,2) <= 840.0) || + (underlyings(35,1) <= 8288.0) || + (underlyings(36,0) <= 2630.6349999999998) || + (underlyings(36,2) <= 840.0) || + (underlyings(36,1) <= 8288.0) || + (underlyings(37,0) <= 2630.6349999999998) || + (underlyings(37,2) <= 840.0) || + (underlyings(37,1) <= 8288.0) || + (underlyings(38,0) <= 2630.6349999999998) || + (underlyings(38,2) <= 840.0) || + (underlyings(38,1) <= 8288.0) || + (underlyings(39,0) <= 2630.6349999999998) || + (underlyings(39,2) <= 840.0) || + (underlyings(39,1) <= 8288.0) || + (underlyings(40,0) <= 2630.6349999999998) || + (underlyings(40,2) <= 840.0) || + (underlyings(40,1) <= 8288.0) || + (underlyings(41,0) <= 2630.6349999999998) || + (underlyings(41,2) <= 840.0) || + (underlyings(41,1) <= 8288.0) || + (underlyings(42,0) <= 2630.6349999999998) || + (underlyings(42,2) <= 840.0) || + (underlyings(42,1) <= 8288.0) || + (underlyings(43,0) <= 2630.6349999999998) || + (underlyings(43,2) <= 840.0) || + (underlyings(43,1) <= 8288.0) || + (underlyings(44,0) <= 2630.6349999999998) || + (underlyings(44,2) <= 840.0) || + (underlyings(44,1) <= 8288.0) || + (underlyings(45,0) <= 2630.6349999999998) || + (underlyings(45,2) <= 840.0) || + (underlyings(45,1) <= 8288.0) || + (underlyings(46,0) <= 2630.6349999999998) || + (underlyings(46,2) <= 840.0) || + (underlyings(46,1) <= 8288.0) || + (underlyings(47,0) <= 2630.6349999999998) || + (underlyings(47,2) <= 840.0) || + (underlyings(47,1) <= 8288.0) || + (underlyings(48,0) <= 2630.6349999999998) || + (underlyings(48,2) <= 840.0) || + (underlyings(48,1) <= 8288.0) || + (underlyings(49,0) <= 2630.6349999999998) || + (underlyings(49,2) <= 840.0) || + (underlyings(49,1) <= 8288.0) || + (underlyings(50,0) <= 2630.6349999999998) || + (underlyings(50,2) <= 840.0) || + (underlyings(50,1) <= 8288.0) || + (underlyings(51,0) <= 2630.6349999999998) || + (underlyings(51,2) <= 840.0) || + (underlyings(51,1) <= 8288.0) || + (underlyings(52,0) <= 2630.6349999999998) || + (underlyings(52,2) <= 840.0) || + (underlyings(52,1) <= 8288.0) || + (underlyings(53,0) <= 2630.6349999999998) || + (underlyings(53,2) <= 840.0) || + (underlyings(53,1) <= 8288.0) || + (underlyings(54,0) <= 2630.6349999999998) || + (underlyings(54,2) <= 840.0) || + (underlyings(54,1) <= 8288.0) || + (underlyings(55,0) <= 2630.6349999999998) || + (underlyings(55,2) <= 840.0) || + (underlyings(55,1) <= 8288.0) || + (underlyings(56,0) <= 2630.6349999999998) || + (underlyings(56,2) <= 840.0) || + (underlyings(56,1) <= 8288.0) || + (underlyings(57,0) <= 2630.6349999999998) || + (underlyings(57,2) <= 840.0) || + (underlyings(57,1) <= 8288.0) || + (underlyings(58,0) <= 2630.6349999999998) || + (underlyings(58,2) <= 840.0) || + (underlyings(58,1) <= 8288.0) || + (underlyings(59,0) <= 2630.6349999999998) || + (underlyings(59,2) <= 840.0) || + (underlyings(59,1) <= 8288.0) || + (underlyings(60,0) <= 2630.6349999999998) || + (underlyings(60,2) <= 840.0) || + (underlyings(60,1) <= 8288.0) || + (underlyings(61,0) <= 2630.6349999999998) || + (underlyings(61,2) <= 840.0) || + (underlyings(61,1) <= 8288.0) || + (underlyings(62,0) <= 2630.6349999999998) || + (underlyings(62,2) <= 840.0) || + (underlyings(62,1) <= 8288.0) || + (underlyings(63,0) <= 2630.6349999999998) || + (underlyings(63,2) <= 840.0) || + (underlyings(63,1) <= 8288.0) || + (underlyings(64,0) <= 2630.6349999999998) || + (underlyings(64,2) <= 840.0) || + (underlyings(64,1) <= 8288.0) || + (underlyings(65,0) <= 2630.6349999999998) || + (underlyings(65,2) <= 840.0) || + (underlyings(65,1) <= 8288.0) || + (underlyings(66,0) <= 2630.6349999999998) || + (underlyings(66,2) <= 840.0) || + (underlyings(66,1) <= 8288.0) || + (underlyings(67,0) <= 2630.6349999999998) || + (underlyings(67,2) <= 840.0) || + (underlyings(67,1) <= 8288.0) || + (underlyings(68,0) <= 2630.6349999999998) || + (underlyings(68,2) <= 840.0) || + (underlyings(68,1) <= 8288.0) || + (underlyings(69,0) <= 2630.6349999999998) || + (underlyings(69,2) <= 840.0) || + (underlyings(69,1) <= 8288.0) || + (underlyings(70,0) <= 2630.6349999999998) || + (underlyings(70,2) <= 840.0) || + (underlyings(70,1) <= 8288.0) || + (underlyings(71,0) <= 2630.6349999999998) || + (underlyings(71,2) <= 840.0) || + (underlyings(71,1) <= 8288.0) || + (underlyings(72,0) <= 2630.6349999999998) || + (underlyings(72,2) <= 840.0) || + (underlyings(72,1) <= 8288.0) || + (underlyings(73,0) <= 2630.6349999999998) || + (underlyings(73,2) <= 840.0) || + (underlyings(73,1) <= 8288.0) || + (underlyings(74,0) <= 2630.6349999999998) || + (underlyings(74,2) <= 840.0) || + (underlyings(74,1) <= 8288.0) || + (underlyings(75,0) <= 2630.6349999999998) || + (underlyings(75,2) <= 840.0) || + (underlyings(75,1) <= 8288.0) || + (underlyings(76,0) <= 2630.6349999999998) || + (underlyings(76,2) <= 840.0) || + (underlyings(76,1) <= 8288.0) || + (underlyings(77,0) <= 2630.6349999999998) || + (underlyings(77,2) <= 840.0) || + (underlyings(77,1) <= 8288.0) || + (underlyings(78,0) <= 2630.6349999999998) || + (underlyings(78,2) <= 840.0) || + (underlyings(78,1) <= 8288.0) || + (underlyings(79,0) <= 2630.6349999999998) || + (underlyings(79,2) <= 840.0) || + (underlyings(79,1) <= 8288.0) || + (underlyings(80,0) <= 2630.6349999999998) || + (underlyings(80,2) <= 840.0) || + (underlyings(80,1) <= 8288.0) || + (underlyings(81,0) <= 2630.6349999999998) || + (underlyings(81,2) <= 840.0) || + (underlyings(81,1) <= 8288.0) || + (underlyings(82,0) <= 2630.6349999999998) || + (underlyings(82,2) <= 840.0) || + (underlyings(82,1) <= 8288.0) || + (underlyings(83,0) <= 2630.6349999999998) || + (underlyings(83,2) <= 840.0) || + (underlyings(83,1) <= 8288.0) || + (underlyings(84,0) <= 2630.6349999999998) || + (underlyings(84,2) <= 840.0) || + (underlyings(84,1) <= 8288.0) || + (underlyings(85,0) <= 2630.6349999999998) || + (underlyings(85,2) <= 840.0) || + (underlyings(85,1) <= 8288.0) || + (underlyings(86,0) <= 2630.6349999999998) || + (underlyings(86,2) <= 840.0) || + (underlyings(86,1) <= 8288.0) || + (underlyings(87,0) <= 2630.6349999999998) || + (underlyings(87,2) <= 840.0) || + (underlyings(87,1) <= 8288.0) || + (underlyings(88,0) <= 2630.6349999999998) || + (underlyings(88,2) <= 840.0) || + (underlyings(88,1) <= 8288.0) || + (underlyings(89,0) <= 2630.6349999999998) || + (underlyings(89,2) <= 840.0) || + (underlyings(89,1) <= 8288.0) || + (underlyings(90,0) <= 2630.6349999999998) || + (underlyings(90,2) <= 840.0) || + (underlyings(90,1) <= 8288.0) || + (underlyings(91,0) <= 2630.6349999999998) || + (underlyings(91,2) <= 840.0) || + (underlyings(91,1) <= 8288.0) || + (underlyings(92,0) <= 2630.6349999999998) || + (underlyings(92,2) <= 840.0) || + (underlyings(92,1) <= 8288.0) || + (underlyings(93,0) <= 2630.6349999999998) || + (underlyings(93,2) <= 840.0) || + (underlyings(93,1) <= 8288.0) || + (underlyings(94,0) <= 2630.6349999999998) || + (underlyings(94,2) <= 840.0) || + (underlyings(94,1) <= 8288.0) || + (underlyings(95,0) <= 2630.6349999999998) || + (underlyings(95,2) <= 840.0) || + (underlyings(95,1) <= 8288.0) || + (underlyings(96,0) <= 2630.6349999999998) || + (underlyings(96,2) <= 840.0) || + (underlyings(96,1) <= 8288.0) || + (underlyings(97,0) <= 2630.6349999999998) || + (underlyings(97,2) <= 840.0) || + (underlyings(97,1) <= 8288.0) || + (underlyings(98,0) <= 2630.6349999999998) || + (underlyings(98,2) <= 840.0) || + (underlyings(98,1) <= 8288.0) || + (underlyings(99,0) <= 2630.6349999999998) || + (underlyings(99,2) <= 840.0) || + (underlyings(99,1) <= 8288.0) || + (underlyings(100,0) <= 2630.6349999999998) || + (underlyings(100,2) <= 840.0) || + (underlyings(100,1) <= 8288.0) || + (underlyings(101,0) <= 2630.6349999999998) || + (underlyings(101,2) <= 840.0) || + (underlyings(101,1) <= 8288.0) || + (underlyings(102,0) <= 2630.6349999999998) || + (underlyings(102,2) <= 840.0) || + (underlyings(102,1) <= 8288.0) || + (underlyings(103,0) <= 2630.6349999999998) || + (underlyings(103,2) <= 840.0) || + (underlyings(103,1) <= 8288.0) || + (underlyings(104,0) <= 2630.6349999999998) || + (underlyings(104,2) <= 840.0) || + (underlyings(104,1) <= 8288.0) || + (underlyings(105,0) <= 2630.6349999999998) || + (underlyings(105,2) <= 840.0) || + (underlyings(105,1) <= 8288.0) || + (underlyings(106,0) <= 2630.6349999999998) || + (underlyings(106,2) <= 840.0) || + (underlyings(106,1) <= 8288.0) || + (underlyings(107,0) <= 2630.6349999999998) || + (underlyings(107,2) <= 840.0) || + (underlyings(107,1) <= 8288.0) || + (underlyings(108,0) <= 2630.6349999999998) || + (underlyings(108,2) <= 840.0) || + (underlyings(108,1) <= 8288.0) || + (underlyings(109,0) <= 2630.6349999999998) || + (underlyings(109,2) <= 840.0) || + (underlyings(109,1) <= 8288.0) || + (underlyings(110,0) <= 2630.6349999999998) || + (underlyings(110,2) <= 840.0) || + (underlyings(110,1) <= 8288.0) || + (underlyings(111,0) <= 2630.6349999999998) || + (underlyings(111,2) <= 840.0) || + (underlyings(111,1) <= 8288.0) || + (underlyings(112,0) <= 2630.6349999999998) || + (underlyings(112,2) <= 840.0) || + (underlyings(112,1) <= 8288.0) || + (underlyings(113,0) <= 2630.6349999999998) || + (underlyings(113,2) <= 840.0) || + (underlyings(113,1) <= 8288.0) || + (underlyings(114,0) <= 2630.6349999999998) || + (underlyings(114,2) <= 840.0) || + (underlyings(114,1) <= 8288.0) || + (underlyings(115,0) <= 2630.6349999999998) || + (underlyings(115,2) <= 840.0) || + (underlyings(115,1) <= 8288.0) || + (underlyings(116,0) <= 2630.6349999999998) || + (underlyings(116,2) <= 840.0) || + (underlyings(116,1) <= 8288.0) || + (underlyings(117,0) <= 2630.6349999999998) || + (underlyings(117,2) <= 840.0) || + (underlyings(117,1) <= 8288.0) || + (underlyings(118,0) <= 2630.6349999999998) || + (underlyings(118,2) <= 840.0) || + (underlyings(118,1) <= 8288.0) || + 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(underlyings(135,1) <= 8288.0) || + (underlyings(136,0) <= 2630.6349999999998) || + (underlyings(136,2) <= 840.0) || + (underlyings(136,1) <= 8288.0) || + (underlyings(137,0) <= 2630.6349999999998) || + (underlyings(137,2) <= 840.0) || + (underlyings(137,1) <= 8288.0) || + (underlyings(138,0) <= 2630.6349999999998) || + (underlyings(138,2) <= 840.0) || + (underlyings(138,1) <= 8288.0) || + (underlyings(139,0) <= 2630.6349999999998) || + (underlyings(139,2) <= 840.0) || + (underlyings(139,1) <= 8288.0) || + (underlyings(140,0) <= 2630.6349999999998) || + (underlyings(140,2) <= 840.0) || + (underlyings(140,1) <= 8288.0) || + (underlyings(141,0) <= 2630.6349999999998) || + (underlyings(141,2) <= 840.0) || + (underlyings(141,1) <= 8288.0) || + (underlyings(142,0) <= 2630.6349999999998) || + (underlyings(142,2) <= 840.0) || + (underlyings(142,1) <= 8288.0) || + (underlyings(143,0) <= 2630.6349999999998) || + (underlyings(143,2) <= 840.0) || + (underlyings(143,1) <= 8288.0) || + (underlyings(144,0) <= 2630.6349999999998) || + (underlyings(144,2) <= 840.0) || + (underlyings(144,1) <= 8288.0) || + (underlyings(145,0) <= 2630.6349999999998) || + (underlyings(145,2) <= 840.0) || + (underlyings(145,1) <= 8288.0) || + (underlyings(146,0) <= 2630.6349999999998) || + (underlyings(146,2) <= 840.0) || + (underlyings(146,1) <= 8288.0) || + (underlyings(147,0) <= 2630.6349999999998) || + (underlyings(147,2) <= 840.0) || + (underlyings(147,1) <= 8288.0) || + (underlyings(148,0) <= 2630.6349999999998) || + (underlyings(148,2) <= 840.0) || + (underlyings(148,1) <= 8288.0) || + (underlyings(149,0) <= 2630.6349999999998) || + (underlyings(149,2) <= 840.0) || + (underlyings(149,1) <= 8288.0) || + (underlyings(150,0) <= 2630.6349999999998) || + (underlyings(150,2) <= 840.0) || + (underlyings(150,1) <= 8288.0) || + (underlyings(151,0) <= 2630.6349999999998) || + (underlyings(151,2) <= 840.0) || + (underlyings(151,1) <= 8288.0) || + (underlyings(152,0) <= 2630.6349999999998) || + (underlyings(152,2) <= 840.0) || + (underlyings(152,1) <= 8288.0) || + (underlyings(153,0) <= 2630.6349999999998) || + (underlyings(153,2) <= 840.0) || + (underlyings(153,1) <= 8288.0) || + (underlyings(154,0) <= 2630.6349999999998) || + (underlyings(154,2) <= 840.0) || + (underlyings(154,1) <= 8288.0) || + (underlyings(155,0) <= 2630.6349999999998) || + (underlyings(155,2) <= 840.0) || + (underlyings(155,1) <= 8288.0) || + (underlyings(156,0) <= 2630.6349999999998) || + (underlyings(156,2) <= 840.0) || + (underlyings(156,1) <= 8288.0) || + (underlyings(157,0) <= 2630.6349999999998) || + (underlyings(157,2) <= 840.0) || + (underlyings(157,1) <= 8288.0) || + (underlyings(158,0) <= 2630.6349999999998) || + (underlyings(158,2) <= 840.0) || + (underlyings(158,1) <= 8288.0) || + (underlyings(159,0) <= 2630.6349999999998) || + (underlyings(159,2) <= 840.0) || + (underlyings(159,1) <= 8288.0) || + (underlyings(160,0) <= 2630.6349999999998) || + (underlyings(160,2) <= 840.0) || + 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(underlyings(169,0) <= 2630.6349999999998) || + (underlyings(169,2) <= 840.0) || + (underlyings(169,1) <= 8288.0) || + (underlyings(170,0) <= 2630.6349999999998) || + (underlyings(170,2) <= 840.0) || + (underlyings(170,1) <= 8288.0) || + (underlyings(171,0) <= 2630.6349999999998) || + (underlyings(171,2) <= 840.0) || + (underlyings(171,1) <= 8288.0) || + (underlyings(172,0) <= 2630.6349999999998) || + (underlyings(172,2) <= 840.0) || + (underlyings(172,1) <= 8288.0) || + (underlyings(173,0) <= 2630.6349999999998) || + (underlyings(173,2) <= 840.0) || + (underlyings(173,1) <= 8288.0) || + (underlyings(174,0) <= 2630.6349999999998) || + (underlyings(174,2) <= 840.0) || + (underlyings(174,1) <= 8288.0) || + (underlyings(175,0) <= 2630.6349999999998) || + (underlyings(175,2) <= 840.0) || + (underlyings(175,1) <= 8288.0) || + (underlyings(176,0) <= 2630.6349999999998) || + (underlyings(176,2) <= 840.0) || + (underlyings(176,1) <= 8288.0) || + (underlyings(177,0) <= 2630.6349999999998) || + (underlyings(177,2) <= 840.0) || + (underlyings(177,1) <= 8288.0) || + (underlyings(178,0) <= 2630.6349999999998) || + (underlyings(178,2) <= 840.0) || + (underlyings(178,1) <= 8288.0) || + (underlyings(179,0) <= 2630.6349999999998) || + (underlyings(179,2) <= 840.0) || + (underlyings(179,1) <= 8288.0) || + (underlyings(180,0) <= 2630.6349999999998) || + (underlyings(180,2) <= 840.0) || + (underlyings(180,1) <= 8288.0) || + (underlyings(181,0) <= 2630.6349999999998) || + (underlyings(181,2) <= 840.0) || + (underlyings(181,1) <= 8288.0) || + (underlyings(182,0) <= 2630.6349999999998) || + (underlyings(182,2) <= 840.0) || + (underlyings(182,1) <= 8288.0) || + (underlyings(183,0) <= 2630.6349999999998) || + (underlyings(183,2) <= 840.0) || + (underlyings(183,1) <= 8288.0) || + (underlyings(184,0) <= 2630.6349999999998) || + (underlyings(184,2) <= 840.0) || + (underlyings(184,1) <= 8288.0) || + (underlyings(185,0) <= 2630.6349999999998) || + (underlyings(185,2) <= 840.0) || + 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(underlyings(285,1) <= 8288.0) || + (underlyings(286,0) <= 2630.6349999999998) || + (underlyings(286,2) <= 840.0) || + (underlyings(286,1) <= 8288.0) || + (underlyings(287,0) <= 2630.6349999999998) || + (underlyings(287,2) <= 840.0) || + (underlyings(287,1) <= 8288.0) || + (underlyings(288,0) <= 2630.6349999999998) || + (underlyings(288,2) <= 840.0) || + (underlyings(288,1) <= 8288.0) || + (underlyings(289,0) <= 2630.6349999999998) || + (underlyings(289,2) <= 840.0) || + (underlyings(289,1) <= 8288.0) || + (underlyings(290,0) <= 2630.6349999999998) || + (underlyings(290,2) <= 840.0) || + (underlyings(290,1) <= 8288.0) || + (underlyings(291,0) <= 2630.6349999999998) || + (underlyings(291,2) <= 840.0) || + (underlyings(291,1) <= 8288.0) || + (underlyings(292,0) <= 2630.6349999999998) || + (underlyings(292,2) <= 840.0) || + (underlyings(292,1) <= 8288.0) || + (underlyings(293,0) <= 2630.6349999999998) || + (underlyings(293,2) <= 840.0) || + (underlyings(293,1) <= 8288.0) || + (underlyings(294,0) <= 2630.6349999999998) || + (underlyings(294,2) <= 840.0) || + (underlyings(294,1) <= 8288.0) || + (underlyings(295,0) <= 2630.6349999999998) || + (underlyings(295,2) <= 840.0) || + (underlyings(295,1) <= 8288.0) || + (underlyings(296,0) <= 2630.6349999999998) || + (underlyings(296,2) <= 840.0) || + (underlyings(296,1) <= 8288.0) || + (underlyings(297,0) <= 2630.6349999999998) || + (underlyings(297,2) <= 840.0) || + (underlyings(297,1) <= 8288.0) || + (underlyings(298,0) <= 2630.6349999999998) || + (underlyings(298,2) <= 840.0) || + (underlyings(298,1) <= 8288.0) || + (underlyings(299,0) <= 2630.6349999999998) || + (underlyings(299,2) <= 840.0) || + (underlyings(299,1) <= 8288.0) || + (underlyings(300,0) <= 2630.6349999999998) || + (underlyings(300,2) <= 840.0) || + (underlyings(300,1) <= 8288.0) || + (underlyings(301,0) <= 2630.6349999999998) || + (underlyings(301,2) <= 840.0) || + (underlyings(301,1) <= 8288.0) || + (underlyings(302,0) <= 2630.6349999999998) || + (underlyings(302,2) <= 840.0) || + (underlyings(302,1) <= 8288.0) || + (underlyings(303,0) <= 2630.6349999999998) || + (underlyings(303,2) <= 840.0) || + (underlyings(303,1) <= 8288.0) || + (underlyings(304,0) <= 2630.6349999999998) || + (underlyings(304,2) <= 840.0) || + (underlyings(304,1) <= 8288.0) || + (underlyings(305,0) <= 2630.6349999999998) || + (underlyings(305,2) <= 840.0) || + (underlyings(305,1) <= 8288.0) || + (underlyings(306,0) <= 2630.6349999999998) || + (underlyings(306,2) <= 840.0) || + (underlyings(306,1) <= 8288.0) || + (underlyings(307,0) <= 2630.6349999999998) || + (underlyings(307,2) <= 840.0) || + (underlyings(307,1) <= 8288.0) || + (underlyings(308,0) <= 2630.6349999999998) || + (underlyings(308,2) <= 840.0) || + (underlyings(308,1) <= 8288.0) || + (underlyings(309,0) <= 2630.6349999999998) || + (underlyings(309,2) <= 840.0) || + (underlyings(309,1) <= 8288.0) || + (underlyings(310,0) <= 2630.6349999999998) || + (underlyings(310,2) <= 840.0) || + (underlyings(310,1) <= 8288.0) || + (underlyings(311,0) <= 2630.6349999999998) || + (underlyings(311,2) <= 840.0) || + (underlyings(311,1) <= 8288.0) || + (underlyings(312,0) <= 2630.6349999999998) || + (underlyings(312,2) <= 840.0) || + (underlyings(312,1) <= 8288.0) || + (underlyings(313,0) <= 2630.6349999999998) || + (underlyings(313,2) <= 840.0) || + (underlyings(313,1) <= 8288.0) || + (underlyings(314,0) <= 2630.6349999999998) || + (underlyings(314,2) <= 840.0) || + (underlyings(314,1) <= 8288.0) || + (underlyings(315,0) <= 2630.6349999999998) || + (underlyings(315,2) <= 840.0) || + (underlyings(315,1) <= 8288.0) || + (underlyings(316,0) <= 2630.6349999999998) || + (underlyings(316,2) <= 840.0) || + (underlyings(316,1) <= 8288.0) || + (underlyings(317,0) <= 2630.6349999999998) || + (underlyings(317,2) <= 840.0) || + (underlyings(317,1) <= 8288.0) || + (underlyings(318,0) <= 2630.6349999999998) || + (underlyings(318,2) <= 840.0) || + (underlyings(318,1) <= 8288.0) || + (underlyings(319,0) <= 2630.6349999999998) || + (underlyings(319,2) <= 840.0) || + (underlyings(319,1) <= 8288.0) || + (underlyings(320,0) <= 2630.6349999999998) || + (underlyings(320,2) <= 840.0) || + (underlyings(320,1) <= 8288.0) || + (underlyings(321,0) <= 2630.6349999999998) || + (underlyings(321,2) <= 840.0) || + (underlyings(321,1) <= 8288.0) || + (underlyings(322,0) <= 2630.6349999999998) || + (underlyings(322,2) <= 840.0) || + (underlyings(322,1) <= 8288.0) || + (underlyings(323,0) <= 2630.6349999999998) || + (underlyings(323,2) <= 840.0) || + (underlyings(323,1) <= 8288.0) || + (underlyings(324,0) <= 2630.6349999999998) || + (underlyings(324,2) <= 840.0) || + (underlyings(324,1) <= 8288.0) || + (underlyings(325,0) <= 2630.6349999999998) || + (underlyings(325,2) <= 840.0) || + (underlyings(325,1) <= 8288.0) || + (underlyings(326,0) <= 2630.6349999999998) || + (underlyings(326,2) <= 840.0) || + (underlyings(326,1) <= 8288.0) || + (underlyings(327,0) <= 2630.6349999999998) || + (underlyings(327,2) <= 840.0) || + (underlyings(327,1) <= 8288.0) || + (underlyings(328,0) <= 2630.6349999999998) || + (underlyings(328,2) <= 840.0) || + (underlyings(328,1) <= 8288.0) || + (underlyings(329,0) <= 2630.6349999999998) || + (underlyings(329,2) <= 840.0) || + (underlyings(329,1) <= 8288.0) || + (underlyings(330,0) <= 2630.6349999999998) || + (underlyings(330,2) <= 840.0) || + (underlyings(330,1) <= 8288.0) || + (underlyings(331,0) <= 2630.6349999999998) || + (underlyings(331,2) <= 840.0) || + (underlyings(331,1) <= 8288.0) || + (underlyings(332,0) <= 2630.6349999999998) || + (underlyings(332,2) <= 840.0) || + (underlyings(332,1) <= 8288.0) || + (underlyings(333,0) <= 2630.6349999999998) || + (underlyings(333,2) <= 840.0) || + (underlyings(333,1) <= 8288.0) || + (underlyings(334,0) <= 2630.6349999999998) || + (underlyings(334,2) <= 840.0) || + (underlyings(334,1) <= 8288.0) || + (underlyings(335,0) <= 2630.6349999999998) || + (underlyings(335,2) <= 840.0) || + (underlyings(335,1) <= 8288.0) || + (underlyings(336,0) <= 2630.6349999999998) || + (underlyings(336,2) <= 840.0) || + (underlyings(336,1) <= 8288.0) || + (underlyings(337,0) <= 2630.6349999999998) || + (underlyings(337,2) <= 840.0) || + (underlyings(337,1) <= 8288.0) || + (underlyings(338,0) <= 2630.6349999999998) || + (underlyings(338,2) <= 840.0) || + (underlyings(338,1) <= 8288.0) || + (underlyings(339,0) <= 2630.6349999999998) || + (underlyings(339,2) <= 840.0) || + (underlyings(339,1) <= 8288.0) || + (underlyings(340,0) <= 2630.6349999999998) || + (underlyings(340,2) <= 840.0) || + (underlyings(340,1) <= 8288.0) || + (underlyings(341,0) <= 2630.6349999999998) || + (underlyings(341,2) <= 840.0) || + (underlyings(341,1) <= 8288.0) || + (underlyings(342,0) <= 2630.6349999999998) || + (underlyings(342,2) <= 840.0) || + (underlyings(342,1) <= 8288.0) || + (underlyings(343,0) <= 2630.6349999999998) || + (underlyings(343,2) <= 840.0) || + (underlyings(343,1) <= 8288.0) || + (underlyings(344,0) <= 2630.6349999999998) || + (underlyings(344,2) <= 840.0) || + (underlyings(344,1) <= 8288.0) || + (underlyings(345,0) <= 2630.6349999999998) || + (underlyings(345,2) <= 840.0) || + (underlyings(345,1) <= 8288.0) || + (underlyings(346,0) <= 2630.6349999999998) || + (underlyings(346,2) <= 840.0) || + (underlyings(346,1) <= 8288.0) || + (underlyings(347,0) <= 2630.6349999999998) || + (underlyings(347,2) <= 840.0) || + (underlyings(347,1) <= 8288.0) || + (underlyings(348,0) <= 2630.6349999999998) || + (underlyings(348,2) <= 840.0) || + (underlyings(348,1) <= 8288.0) || + (underlyings(349,0) <= 2630.6349999999998) || + (underlyings(349,2) <= 840.0) || + (underlyings(349,1) <= 8288.0) || + (underlyings(350,0) <= 2630.6349999999998) || + (underlyings(350,2) <= 840.0) || + (underlyings(350,1) <= 8288.0) || + (underlyings(351,0) <= 2630.6349999999998) || + (underlyings(351,2) <= 840.0) || + (underlyings(351,1) <= 8288.0) || + (underlyings(352,0) <= 2630.6349999999998) || + (underlyings(352,2) <= 840.0) || + (underlyings(352,1) <= 8288.0) || + (underlyings(353,0) <= 2630.6349999999998) || + (underlyings(353,2) <= 840.0) || + (underlyings(353,1) <= 8288.0) || + (underlyings(354,0) <= 2630.6349999999998) || + (underlyings(354,2) <= 840.0) || + (underlyings(354,1) <= 8288.0) || + (underlyings(355,0) <= 2630.6349999999998) || + (underlyings(355,2) <= 840.0) || + (underlyings(355,1) <= 8288.0) || + (underlyings(356,0) <= 2630.6349999999998) || + (underlyings(356,2) <= 840.0) || + (underlyings(356,1) <= 8288.0) || + (underlyings(357,0) <= 2630.6349999999998) || + (underlyings(357,2) <= 840.0) || + (underlyings(357,1) <= 8288.0) || + (underlyings(358,0) <= 2630.6349999999998) || + (underlyings(358,2) <= 840.0) || + (underlyings(358,1) <= 8288.0) || + (underlyings(359,0) <= 2630.6349999999998) || + (underlyings(359,2) <= 840.0) || + (underlyings(359,1) <= 8288.0) || + (underlyings(360,0) <= 2630.6349999999998) || + (underlyings(360,2) <= 840.0) || + (underlyings(360,1) <= 8288.0) || + (underlyings(361,0) <= 2630.6349999999998) || + (underlyings(361,2) <= 840.0) || + (underlyings(361,1) <= 8288.0) || + (underlyings(362,0) <= 2630.6349999999998) || + (underlyings(362,2) <= 840.0) || + (underlyings(362,1) <= 8288.0) || + (underlyings(363,0) <= 2630.6349999999998) || + (underlyings(363,2) <= 840.0) || + (underlyings(363,1) <= 8288.0) || + (underlyings(364,0) <= 2630.6349999999998) || + (underlyings(364,2) <= 840.0) || + (underlyings(364,1) <= 8288.0) || + (underlyings(365,0) <= 2630.6349999999998) || + (underlyings(365,2) <= 840.0) || + (underlyings(365,1) <= 8288.0) || + (underlyings(366,0) <= 2630.6349999999998) || + (underlyings(366,2) <= 840.0) diff --git a/benchmarks/OptionPricing/lib/include/Constants.h b/benchmarks/OptionPricing/lib/include/Constants.h index b5e21ab..444a5bf 100644 --- a/benchmarks/OptionPricing/lib/include/Constants.h +++ b/benchmarks/OptionPricing/lib/include/Constants.h @@ -1,19 +1,12 @@ #ifndef CONSTANTS_H #define CONSTANTS_H +#include "real.h" #include "Optimizations.h" #define WARP (1< 1"); @@ -1226,7 +1226,7 @@ void trajectory_contract3( // BARRIER L40: //model->notify_cash_flow(model, 0, (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))), 1 /*2013-01-27, 2013-01-27, EUR*/); - const REAL amount = (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))); + const real_t amount = (1000. * (1. + fmin(((underlyings(366,1) / 11840.) - 1.), fmin(((underlyings(366,2) / 1200.) - 1.), ((underlyings(366,0) / 3758.05) - 1.))))); trajectory_inner( num_cash_flows, model_num, 1, amount, md_discts, vhat ); return; @@ -1241,9 +1241,9 @@ void aggregDiscountedPayoff( const UINT& num_under, // the number of underlyings const UINT& num_cash_flows, const UINT& num_pricers,// the number of deterministic procers - const REAL* md_discts, // [num_models][num_scash_flow] discounts - const REAL* md_detvals, // [num_models, num_det_pricers] pricers - const REAL* inst_traj, // [num_dates, num_under] current trajectory + const real_t* md_discts, // [num_models][num_scash_flow] discounts + const real_t* md_detvals, // [num_models, num_det_pricers] pricers + const real_t* inst_traj, // [num_dates, num_under] current trajectory double* vhat // [model_num] Accumulated per-model price ) { if (contr_num == 1) { diff --git a/benchmarks/OptionPricing/lib/include/ParseInput.h b/benchmarks/OptionPricing/lib/include/ParseInput.h index 546bf7f..f18f317 100644 --- a/benchmarks/OptionPricing/lib/include/ParseInput.h +++ b/benchmarks/OptionPricing/lib/include/ParseInput.h @@ -14,7 +14,7 @@ /*******************************/ #define EPS 0.0005 -#if _OPTIMIZATION_USE_FLOATS +#if REAL_IS_FLOAT #define read_real read_float #else #define read_real read_double @@ -37,7 +37,7 @@ typedef struct { typedef struct { int * bb_inds; // [3, num_dates], i.e., bi, li, ri - REAL* bb_data; // [3, num_dates], i.e., sd, lw, rw + real_t* bb_data; // [3, num_dates], i.e., sd, lw, rw void cleanup() { free(bb_inds); free(bb_data); @@ -46,12 +46,12 @@ typedef struct { typedef struct { - REAL* md_c; // [num_models, num_under, num_under] - REAL* md_vols; // [num_models, num_dates, num_under] - REAL* md_drifts; // [num_models, num_dates, num_under] - REAL* md_starts; // [num_models, num_under] - REAL* md_discts; // [num_models, num_cash_flows] - REAL* md_detvals; // [num_models, num_det_pricers] + real_t* md_c; // [num_models, num_under, num_under] + real_t* md_vols; // [num_models, num_dates, num_under] + real_t* md_drifts; // [num_models, num_dates, num_under] + real_t* md_starts; // [num_models, num_under] + real_t* md_discts; // [num_models, num_cash_flows] + real_t* md_detvals; // [num_models, num_det_pricers] void cleanup() { free(md_c); // all allocated together, hence free the first one @@ -142,7 +142,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, bool ok; // md_c - if (read_array(sizeof(REAL), read_real, (void**)&md_arrs.md_c, shape, 3) ) { + if (read_array(sizeof(real_t), read_real, (void**)&md_arrs.md_c, shape, 3) ) { fprintf(stderr, "Syntax error when reading md_c [%d,%d,%d].\n", scals.num_models, scals.num_under, scals.num_under); exit(1); @@ -153,7 +153,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, assert(ok && "Incorrect shape of md_c!"); // md_vols (volatility) - if (read_array(sizeof(REAL), read_real, (void**)&md_arrs.md_vols, shape, 3) ) { + if (read_array(sizeof(real_t), read_real, (void**)&md_arrs.md_vols, shape, 3) ) { fprintf(stderr, "Syntax error when reading md_vols [%d,%d,%d].\n", scals.num_models, scals.num_dates, scals.num_under); exit(1); @@ -164,7 +164,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, assert(ok && "Incorrect shape of md_vols!"); // md_drifts - if (read_array(sizeof(REAL), read_real, (void**)&md_arrs.md_drifts, shape, 3) ) { + if (read_array(sizeof(real_t), read_real, (void**)&md_arrs.md_drifts, shape, 3) ) { fprintf(stderr, "Syntax error when reading md_drifts [%d,%d,%d].\n", scals.num_models, scals.num_dates, scals.num_under); exit(1); @@ -175,7 +175,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, assert(ok && "Incorrect shape of md_drifts!"); // md_starts - if (read_array(sizeof(REAL), read_real, (void**)&md_arrs.md_starts, shape, 2) ) { + if (read_array(sizeof(real_t), read_real, (void**)&md_arrs.md_starts, shape, 2) ) { fprintf(stderr, "Syntax error when reading md_drifts [%d,%d].\n", scals.num_models, scals.num_under); exit(1); @@ -185,7 +185,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, assert(ok && "Incorrect shape of md_starts!"); // md_detvals (Model deterministic values) - if (read_array(sizeof(REAL), read_real, (void**)&md_arrs.md_detvals, shape, 2) ) { + if (read_array(sizeof(real_t), read_real, (void**)&md_arrs.md_detvals, shape, 2) ) { fprintf(stderr, "Syntax error when reading md_detvals [%d,..].\n", scals.num_models); exit(1); @@ -195,7 +195,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, scals.num_det_pricers = shape[1]; // md_discts (Model discounts) - if (read_array(sizeof(REAL), read_real, (void**)&md_arrs.md_discts, shape, 2) ) { + if (read_array(sizeof(real_t), read_real, (void**)&md_arrs.md_discts, shape, 2) ) { fprintf(stderr, "Syntax error when reading md_discts [%d,..].\n", scals.num_models); exit(1); @@ -206,13 +206,13 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, { // put all of them in a contiguous memory: int alloc_size, offset; - REAL* flat_arr; + real_t* flat_arr; alloc_size = scals.num_under * ( scals.num_under + 2*scals.num_dates + 1); alloc_size += scals.num_cash_flows + scals.num_det_pricers; alloc_size *= scals.num_models; alloc_size = do_padding( alloc_size ); - flat_arr = static_cast ( malloc( alloc_size * sizeof(REAL) ) ); + flat_arr = static_cast ( malloc( alloc_size * sizeof(real_t) ) ); // copy md_c offset = 0; @@ -268,7 +268,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, assert(ok && "Incorrect shape of bb_inds (brownian bridge indirect arrays)!"); // md_starts - if (read_array(sizeof(REAL), read_real, (void**)&bb_arrs.bb_data, shape, 2) ) { + if (read_array(sizeof(real_t), read_real, (void**)&bb_arrs.bb_data, shape, 2) ) { fprintf(stderr, "Syntax error when reading md_drifts [3,%d].\n", scals.num_dates ); exit(1); diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/SobolGaussBB.h b/benchmarks/OptionPricing/lib/include/SobolGaussBB.h similarity index 88% rename from benchmarks/OptionPricing/implementations/cpp_openmp/SobolGaussBB.h rename to benchmarks/OptionPricing/lib/include/SobolGaussBB.h index d6ae829..0b45daa 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/SobolGaussBB.h +++ b/benchmarks/OptionPricing/lib/include/SobolGaussBB.h @@ -85,8 +85,8 @@ sobolRecOpt( const int& sobol_dim, // size of the quasi-random vector (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) -inline static REAL small_case(const REAL& q) { - REAL x = 0.180625 - q * q; +inline static real_t small_case(const real_t& q) { + real_t x = 0.180625 - q * q; return q * rat_eval( 3.387132872796366608, 133.14166789178437745, @@ -107,8 +107,8 @@ inline static REAL small_case(const REAL& q) { 5226.495278852854561); } -inline static REAL intermediate(const REAL& r) { - REAL x = r - 1.6; +inline static real_t intermediate(const real_t& r) { + real_t x = r - 1.6; return rat_eval( 1.42343711074968357734, 4.6303378461565452959, @@ -129,8 +129,8 @@ inline static REAL intermediate(const REAL& r) { 1.05075007164441684324e-9); } -inline static REAL tail(const REAL& r) { - REAL x = r - 5.0; +inline static real_t tail(const real_t& r) { + real_t x = r - 5.0; return rat_eval( 6.6579046435011037772, 5.4637849111641143699, @@ -156,23 +156,23 @@ inline static REAL tail(const REAL& r) { * to a gaussian distribution, uniformely distributed in [-inf, +inf]. */ inline -void uGaussian( const REAL& fract, // 2 ^ sobol_bits +void uGaussian( const real_t& fract, // 2 ^ sobol_bits const UINT& dim, // size of the Sobol quasi-random vector const UINT* sob_vct, // [dim] Sobol quasi-random (int) vector - REAL* gauss_vct // result + real_t* gauss_vct // result ) { for ( int i = 0; i < dim; i ++ ) { // sobol int number -> sobol real number in [0,1) - REAL sob_real = static_cast(sob_vct[i]) * fract; + real_t sob_real = static_cast(sob_vct[i]) * fract; // sobol real number [0,1) -> gaussian number in (-inf, +inf) - REAL dp = sob_real - 0.5; + real_t dp = sob_real - 0.5; if ( fabs(dp) <= 0.425 ) { gauss_vct[i]= small_case(dp); } else { - REAL pp = (dp < 0.0) ? (0.5 + dp) : (0.5 - dp); - REAL r = sqrt (- log(pp)); - REAL x = (r <= 5.0) ? intermediate(r) : tail(r); + real_t pp = (dp < 0.0) ? (0.5 + dp) : (0.5 - dp); + real_t r = sqrt (- log(pp)); + real_t x = (r <= 5.0) ? intermediate(r) : tail(r); gauss_vct[i]= (dp < 0.0) ? (0.0 - x) : x; } } @@ -190,17 +190,17 @@ void brownianBridge( const UINT& num_under, const UINT& num_dates, const int* bb_inds, // [3, num_dates] Brownian Bridge's indirect indexing - const REAL* bb_data, // [3, num_dates] Brownian Bridge's data - REAL* md_zd, // [num_dates, num_under] the gaussian vector + const real_t* bb_data, // [3, num_dates] Brownian Bridge's data + real_t* md_zd, // [num_dates, num_under] the gaussian vector // also holds the result! - REAL* res // [num_dates, num_under] temporary array + real_t* res // [num_dates, num_under] temporary array ) { const int * bb_bi = bb_inds; const int * bb_li = bb_inds + num_dates; const int * bb_ri = bb_inds + 2*num_dates; - const REAL* bb_sd = bb_data; - const REAL* bb_lw = bb_data + num_dates; - const REAL* bb_rw = bb_data + 2*num_dates; + const real_t* bb_sd = bb_data; + const real_t* bb_lw = bb_data + num_dates; + const real_t* bb_rw = bb_data + 2*num_dates; for ( int m = 0; m < num_under; m ++ ) { res[ (bb_bi[0]-1) * num_under + m ] = bb_sd[0] * md_zd[m]; From da908605ed453e0f369b3afc28a69dcd44370d35 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 11:44:03 +0200 Subject: [PATCH 082/122] Fix some old REAL usage. --- .../implementations/cpp_openmp_naive/VolCalibOrig.cpp | 7 +------ .../implementations/cpp_sequential/VolCalibOrig.cpp | 7 +------ 2 files changed, 2 insertions(+), 12 deletions(-) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp index 139a519..cf3381b 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp +++ b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp @@ -1,14 +1,9 @@ #include #include -#ifdef REAL_TYPE -typedef REAL_TYPE real_t; -#else -typedef double real_t; -#endif - #define WORKGROUP_SIZE 512 +#include "real.h" #include "Util.h" #include "ParseInput.h" diff --git a/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp b/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp index fb8bd02..657f8bf 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp +++ b/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp @@ -3,12 +3,7 @@ #define WORKGROUP_SIZE 512 -#ifdef REAL_TYPE -typedef REAL_TYPE real_t; -#else -typedef double real_t; -#endif - +#include "real.h" #include "Util.h" #include "ParseInput.h" From 15aed936e086b1d010492e3dbc9d7e373173ee75 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 13:48:11 +0200 Subject: [PATCH 083/122] OpenCL implementation of OptionPricing. --- .../cpp_opencl/ContractDefs/LargeContract.cl | 66 ++ .../cpp_opencl/ContractDefs/MediumContract.cl | 66 ++ .../cpp_opencl/ContractDefs/SmallContract.cl | 44 ++ .../implementations/cpp_opencl/GenPricing.cpp | 190 ++++++ .../cpp_opencl/GenericPricingPrivOpt.cl | 376 +++++++++++ .../cpp_opencl/GenericPricingVectOpt.cl | 588 ++++++++++++++++ .../GenericPricingVectUncoalesced.cl | 493 ++++++++++++++ .../implementations/cpp_opencl/Makefile | 46 ++ .../implementations/cpp_opencl/StructGPU.h | 631 ++++++++++++++++++ .../static_configuration_template.json | 3 + .../OptionPricing/lib/include/Optimizations.h | 1 - 11 files changed, 2503 insertions(+), 1 deletion(-) create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/MediumContract.cl create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/SmallContract.cl create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/Makefile create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h create mode 100644 benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl new file mode 100644 index 0000000..c491c9e --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/ContractDefs/LargeContract.cl @@ -0,0 +1,66 @@ +#include "Constants.h" + +#ifdef VECT_KERNEL + #define underlyings(i,j) \ + (inst_traj[(i*num_under + j)< ro_scal.num_mcits) { + ro_scal.num_gpuits = ro_scal.num_mcits - cur_iter; + globalWorkSize[0] = getWorkSize( ro_scal.num_gpuits,ro_scal.chunk,ro_scal.BLOCK); + } + if(cur_iter != 0) { + size_t cur_size = sizeof(LoopROScalars); + cl_int ciErr2; + ro_scal.sobol_count_ini = cur_iter + sob_ini_count; + clReleaseMemObject(ocl_arrs.ro_scals); + ocl_arrs.ro_scals = clCreateBuffer( + cxGPUContext, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 + ); + ciErr2 = clEnqueueWriteBuffer(cqCommandQueue[GPU_DEV_ID], ocl_arrs.ro_scals, CL_TRUE, 0, + cur_size, &ro_scal, 0, NULL, NULL); + oclCheckError(ciErr2, CL_SUCCESS); + } + + runGPU_VECT ( + ro_scal, glb_vhat, ocl_arrs, cqCommandQueue[GPU_DEV_ID], cpProgram, + globalWorkSize, localWorkSize + ); + + reduceVHAT_CPU( ro_scal, glb_vhat, vhat_fin ); + } + + ro_scal.sobol_count_ini = sob_ini_count; + } + + for(UINT ii = 0; ii Debug.txt diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl new file mode 100644 index 0000000..4473e8e --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingPrivOpt.cl @@ -0,0 +1,376 @@ +/***************************************************/ +/*** Contract Definitions Are Linked at Run time ***/ +/*** & The RO-Scalar Data-Structure is included, ***/ +/** for e.g., ContractDefs/SmallContract.cl ***/ +/***************************************************/ + +#define TYPE real_t +#define FLAG uchar +#include "Utilities.cl" + +/********************************************/ +/********** SOBOL NUMER GENERATOR ***********/ +/********************************************/ + +void mlfi_genmatrix_uniformGPUind ( + UINT seq_count, + __constant LoopROScalars* ro_scal, + __constant int* sobol_v_dir, + int* sobol_last_num_vec, + real_t* md_zd +) { + UINT j, k, gs, gv_k = 0; + + seq_count += 1; + gs = seq_count >> 1; + gs = seq_count ^ gs; + + UINT sob_dim = ro_scal->num_under * ro_scal->num_dates; + + for( j = 0; j < sob_dim; j++ ) + sobol_last_num_vec[j] = 0; + for( k = 0; k < ro_scal->sobol_bits; ++k ) { + if(gs & 1) { + __constant int* dir_vect + = sobol_v_dir + k*sob_dim; + for( j=0; j < sob_dim; j++ ) { + // xor term g_k * v_k to direction i + sobol_last_num_vec[j] ^= dir_vect[j]; + } + } + gs = gs >> 1; + } + for( j = 0; j < sob_dim; j++ ) { + md_zd[j] = sobol_last_num_vec[j] * ro_scal->sob_norm_fact; + } +} + +inline void mlfi_genmatrix_uniformGPUrecOpt( + UINT f_ind, + __constant LoopROScalars* ro_scal, + __constant int* sobol_v_dir, + int* sobol_last_num_vec, + real_t* md_zd +) { + UINT j; + UINT sob_dim = ro_scal->num_under * ro_scal->num_dates; + f_ind *= sob_dim; + for(j=0; j < sob_dim; j++) { + sobol_last_num_vec[j] ^= sobol_v_dir[ f_ind + j ]; //f_ind * sob_dim + md_zd[j] = sobol_last_num_vec[j] * ro_scal->sob_norm_fact; + } +} + + +inline void mlfi_genmatrix_uniformGPUrec( + UINT seq_count, + __constant LoopROScalars* ro_scal, + __constant int* sobol_v_dir, + int* sobol_last_num_vec, + real_t* md_zd +) { + UINT ell, j; + + UINT c = seq_count; + ell = 0; + while(c & 1) { + ell++; + c >>= 1; + } + UINT sob_dim = ro_scal->num_under * ro_scal->num_dates; + for(j=0; j < sob_dim; j++) { + + sobol_last_num_vec[j] ^= sobol_v_dir[ell*sob_dim + j]; + md_zd[j] = sobol_last_num_vec[j] * ro_scal->sob_norm_fact; //sobol_last_den_inv; + } +} + + +/********************************************/ +/********** GAUSSIAN DISTRIBUTION ***********/ +/********************************************/ + +#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ + (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ + (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) + +inline real_t small_case(real_t q) { + real_t x = 0.180625 - q * q; + return q * rat_eval( + 3.387132872796366608, + 133.14166789178437745, + 1971.5909503065514427, + 13731.693765509461125, + 45921.953931549871457, + 67265.770927008700853, + 33430.575583588128105, + 2509.0809287301226727, + + 1.0, + 42.313330701600911252, + 687.1870074920579083, + 5394.1960214247511077, + 21213.794301586595867, + 39307.89580009271061, + 28729.085735721942674, + 5226.495278852854561); +} + +inline real_t intermediate(real_t r) { + real_t x = r - 1.6; + return rat_eval( + 1.42343711074968357734, + 4.6303378461565452959, + 5.7694972214606914055, + 3.64784832476320460504, + 1.27045825245236838258, + 0.24178072517745061177, + 0.0227238449892691845833, + 7.7454501427834140764e-4, + + 1.0, + 2.05319162663775882187, + 1.6763848301838038494, + 0.68976733498510000455, + 0.14810397642748007459, + 0.0151986665636164571966, + 5.475938084995344946e-4, + 1.05075007164441684324e-9); +} + +inline real_t tail(real_t r) { + real_t x = r - 5.0; + return rat_eval( + 6.6579046435011037772, + 5.4637849111641143699, + 1.7848265399172913358, + 0.29656057182850489123, + 0.026532189526576123093, + 0.0012426609473880784386, + 2.71155556874348757815e-5, + 2.01033439929228813265e-7, + + 1.0, + 0.59983220655588793769, + 0.13692988092273580531, + 0.0148753612908506148525, + 7.868691311456132591e-4, + 1.8463183175100546818e-5, + 1.4215117583164458887e-7, + 2.04426310338993978564e-15); +} + +inline void mlfi_ugaussian_Pinv_vector(real_t* p, UINT N, UINT logBLOCK) { + UINT i, UB = N; + + for ( i=0; i < UB; i++ ) { + real_t dp = p[i] - 0.5; + if (fabs(dp) <= 0.425) { + p[i] = small_case(dp); + } else { + real_t pp = (dp < 0.0) ? dp + 0.5 : (0.5 - dp); + real_t r = sqrt (- log(pp)); + real_t x = (r <= 5.0) ? intermediate(r) : tail(r); + p[i] = (dp < 0.0) ? (0.0 - x) : x; + } + } +} + + +/********************************************/ +/************* BROWNIAN BRIDGE **************/ +/********************************************/ +inline void mlfi_brownianbridge_wiener_pathNoTransGPU( + __constant LoopROScalars* ro_scal, + __constant int* bb_inds, + __constant real_t* bb_data, + real_t* md_zd, + __local real_t* md_z, + UINT block_size +) { + + UINT n, m, md_dim = ro_scal->num_under * block_size, nb_path_dates = ro_scal->num_dates; + __constant int *bb_li, *bb_bi, *bb_ri; + __constant real_t *bb_rw, *bb_lw, *bb_sd; + + bb_bi = bb_inds; + bb_li = bb_inds + nb_path_dates; + bb_ri = bb_inds + (nb_path_dates<<1); + + bb_sd = bb_data; + bb_lw = bb_data + nb_path_dates; + bb_rw = bb_data + (nb_path_dates<<1); + + for (n=0, m=0; m < md_dim; n++, m+=block_size) { + UINT i; + + md_z [ (bb_bi[0]-1) * md_dim + m ] = bb_sd[0] * md_zd[n]; + + for(i=1; i < nb_path_dates; i++) { + int j = bb_li[i] - 1; + int k = bb_ri[i] - 1; + int l = bb_bi[i] - 1; + + real_t wk = md_z [k*md_dim+m]; + real_t zi = md_zd[i*ro_scal->num_under+n]; + + md_z[l*md_dim+m] = (j == -1) ? + bb_rw[i] * wk + bb_sd[i] * zi : + bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * md_z[j*md_dim+m]; + } + } +} + + + +__kernel void payoffGPU( + __constant LoopROScalars* ro_scal, // RO SCALARS + __constant int* sobol_v_dir, // RO SOBOL + __constant UCHAR* fix_index, + // RO Brownian Bridge + __constant int* bb_ia, + __constant real_t* bb_coefs, + // RO MODELS DATA + __constant real_t* model_coefs, + // WO (GLOBAL) VHAT + __global real_t* model_vhat, + // LOCAL ARRAYS + __local real_t* md_z, + //__local real_t* inst_trajWF, + __local real_t* vhat_local +) { + + UINT k, block_size = get_local_size(0); + const UINT ct_init = 0; //ro_scal->sobol_count_ini; + + int sobol_last_num_vec[15];//UINT[ro_scal->sobol_dim]; + real_t md_zd [15]; //[ro_scal->sobol_dim]; + + { // each local array is ajusted w.r.t. the local offset! + UINT localID = get_local_id(0); + md_z = md_z + localID; + //inst_trajWF = inst_trajWF + localID; + vhat_local = vhat_local + localID; + } + + // initialize vhat_local to 0 + for( k = 0; k < ro_scal->num_models*block_size; k+=block_size) { + vhat_local[k] = 0.0; + } + + // ready to go to the main loop + UINT lb = (get_global_id (0) << ro_scal->log_chunk); + UINT ub = min(lb + ro_scal->chunk, ro_scal->num_gpuits); + + + for( k = lb; k < ub; k++ ) { + + // 1. random number generation phase +#ifndef _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR + mlfi_genmatrix_uniformGPUind ( + ct_init+k, ro_scal, + sobol_v_dir, sobol_last_num_vec, md_zd + ); +#else + if( k > lb && k < ub-1) { + mlfi_genmatrix_uniformGPUrecOpt ( + fix_index[k-lb], ro_scal, sobol_v_dir, sobol_last_num_vec, md_zd + ); + } else if (k==lb) { + mlfi_genmatrix_uniformGPUind ( + ct_init+k, ro_scal, + sobol_v_dir, sobol_last_num_vec, md_zd + ); + } else { + mlfi_genmatrix_uniformGPUrec ( + ct_init+k, ro_scal, sobol_v_dir, sobol_last_num_vec, md_zd + ); + } +#endif + + + // 2. generate uniform distribution + mlfi_ugaussian_Pinv_vector(md_zd, ro_scal->num_under*ro_scal->num_dates, ro_scal->logBLOCK); + + // 3. brownian bridge refinement + mlfi_brownianbridge_wiener_pathNoTransGPU( + ro_scal, bb_ia, bb_coefs, md_zd, md_z, block_size + ); + + { // 4. expand md_zd + UINT i; + UINT LB = ro_scal->num_under * block_size; + UINT UB = (ro_scal->num_under * ro_scal->num_dates - 1) * block_size; + for ( i = UB; i >= LB; i -= block_size ) { + md_z[i] -= md_z[i - LB]; + } + } + + { // 5. compute trajectory + UINT m, i, j, q, l; + UINT num_under = ro_scal->num_under; + UINT num_dates = ro_scal->num_dates; + real_t* trajWF = md_zd; + + __constant real_t *md_c, *md_vols, *md_drifts, *md_starts, *md_discts, *md_detvals; + { + UINT num_mods = ro_scal->num_models; + UINT dim_paths = num_under*num_dates; + UINT offset = 0; + md_c = model_coefs + offset; offset += num_mods * num_under * num_under; + md_vols = model_coefs + offset; offset += num_mods * dim_paths; + md_drifts = model_coefs + offset; offset += num_mods * dim_paths; + md_starts = model_coefs + offset; offset += num_mods * num_under; + md_discts = model_coefs + offset; offset += num_mods * ro_scal->num_cash_flows; + md_detvals= model_coefs + offset; + } + + for (m = 0; m < ro_scal->num_models; m++) { + + for (j = 0; j < num_under; j++) { + real_t accum = md_starts[j]; + for( i = 0; i < num_dates; i ++) { + real_t temp = 0.0; + q = num_under*i + j; + + for (l = 0; l <= j; l++) + temp += md_c[num_under * j + l] * md_z[(q - j + l)*block_size]; //md_z[(q - j + l) << logBLOCK]; + + temp = exp(temp * md_vols[q] + md_drifts[q]); + accum *= temp; + trajWF[q] = accum; + } + } + + // 6. reduce each instance/model locally on the multiprocessor + payoffFunction( m, num_under, + ro_scal->num_cash_flows, + ro_scal->num_det_pricers, + md_discts, + md_detvals, + trajWF, + vhat_local + ); + + if ( m+1 < ro_scal->num_models ) { + UINT dim_paths = num_under*num_dates; + md_c += num_under * num_under; md_vols += dim_paths; + md_drifts += dim_paths; md_starts += num_under; + md_discts += ro_scal->num_cash_flows; md_detvals += ro_scal->num_det_pricers; + } + } + } // end 5. compute trajectory + + } // END for( k ) + + barrier(CLK_LOCAL_MEM_FENCE); + + segm_scan_reg_block ( vhat_local - get_local_id(0), block_size * ro_scal->num_models, block_size ); + if( get_local_id(0) == 0) { + UINT glob_size = get_global_size(0)/block_size; + for ( k = 0; k < ro_scal->num_models; k++ ) { + model_vhat[ k * glob_size + get_group_id(0) ] = + vhat_local[ (k + 1)*block_size - 1 ]; + } + } +} diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl new file mode 100644 index 0000000..39cf5d1 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl @@ -0,0 +1,588 @@ +/************************************/ +/************* MACROS ***************/ +/************************************/ + +#define TYPE real_T +#define FLAG uchar +#include "Utilities.cl" + +#define DUMMY 1 + +/********************************************/ +/********** SOBOL NUMER GENERATOR ***********/ +/********************************************/ + +#ifdef _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR + +__kernel void mlfi_genmatrix_uniform2 ( + __constant LoopROScalars* ro_scal, + __constant UCHAR* sobol_fix_ind, + __global int* sobol_v_dir, + __global real_t* md_zd +) { + UINT i, j, k; + UINT seq_count = ( get_global_id (0) << ro_scal->log_chunk ); + UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; + +#if(DUMMY==0) + uchar rmb_size = 0; + uchar rmb[32]; +#endif + + md_zd = md_zd + + ( ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) )*sobol_dim + + (get_global_id(0) & (WARP-1)) ); + __global real_t* md_zd_tmp = md_zd; + + UINT UB = (seq_count + (1 << ro_scal->log_chunk) < ro_scal->num_gpuits) ? + seq_count + (1 << ro_scal->log_chunk) : ro_scal->num_gpuits ; + UB = (UB > seq_count) ? UB - seq_count : 0; + + if( UB > 0 ) { + UINT gs; +#if(DUMMY==0) + // Compute gs == the Gray code rep of seq_count + gs = seq_count+1 + ro_scal->sobol_count_ini; + gs = gs ^ (gs>>1); + + // Compute the position of the 1 bits + for( k = 0; k < ro_scal->sobol_bits; ++k ) { + if(gs & 1) { + rmb[rmb_size] = (uchar)k; + rmb_size ++; + } + gs = gs >> 1; + } +#endif + // Compute the random number under the INDEPENDENT formulas + for( i = 0, j=0; j < sobol_dim; j++, i += WARP ) { + UINT accum = 0; + md_zd_tmp = md_zd; + + // FIRST ITER COMPUTED INDEPENDENTLY! +#if(DUMMY==0) + for(k=0; ksobol_bits + rmb[k] ]; + } +#else + gs = seq_count+1 + ro_scal->sobol_count_ini; + gs = gs ^ (gs>>1); + for(k=0; ksobol_bits; k++) { + if(gs & 1) { + accum ^= sobol_v_dir[ j*ro_scal->sobol_bits + k ]; + } + gs = gs >> 1; + } +#endif + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; +#if 1 + // THE REST OF CHUNK-1 ITERATIONS COMPUTED UNDER RECURRENT FORMULA + for( k = 1; k < UB-1; k++ ) { + accum = accum ^ sobol_v_dir[ j*ro_scal->sobol_bits + sobol_fix_ind[k] ]; + + md_zd_tmp += (sobol_dim << lgWARP); + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; + } + + gs = (seq_count + UB - 1 + ro_scal->sobol_count_ini) >> ro_scal->log_chunk; + UINT ell = ro_scal->log_chunk; + while(gs & 1) { + ell++; + gs >>= 1; + } + accum = accum ^ sobol_v_dir[j*ro_scal->sobol_bits + ell]; + md_zd_tmp += (sobol_dim << lgWARP); + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; +#else + for( k = seq_count+1 + ro_scal->sobol_count_ini; k < UB + ro_scal->sobol_count_ini; k++ ) { + gs = k; + UINT ell = 0; + while(gs & 1) { + ell++; + gs >>= 1; + } + + accum = accum ^ sobol_v_dir[j*ro_scal->sobol_bits + ell]; + + md_zd_tmp += (sobol_dim << lgWARP); + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; + } +#endif + } + } // end IF (seq_count < UB) + +} + +#else +/*********************************/ +/*** Independent formula Only ****/ +/*********************************/ + +__kernel void mlfi_genmatrix_uniform2 ( + __constant LoopROScalars* ro_scal, + __constant UCHAR* sobol_fix_ind, + __global int* sobol_v_dir, + __global real_t* md_zd +) { + UINT i, j, k, m; + UINT seq_count = ( get_global_id (0) << ro_scal->log_chunk ); + UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; + + uchar rmb_size = (uchar)0; + uchar rmb[32]; + + md_zd = md_zd + + ( ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) )*sobol_dim + + (get_global_id(0) & (WARP-1)) ); + __global real_t* md_zd_tmp = md_zd; + + UINT UB = (seq_count + (1 << ro_scal->log_chunk) < ro_scal->num_gpuits) ? + seq_count + (1 << ro_scal->log_chunk) : ro_scal->num_gpuits ; + UB = (UB > seq_count) ? UB - seq_count : 0; + + //if( UB > 0 ) + for(m=0; msobol_count_ini; + gs = gs ^ (gs>>1); + + // Compute the position of the 1 bits + for( k = 0; k < ro_scal->sobol_bits; ++k ) { + if(gs & 1) { + rmb[rmb_size] = (uchar)k; + rmb_size ++; + } + gs = gs >> 1; + } + + // Compute the random number under the INDEPENDENT formulas + for( i = 0, j=0; j < sobol_dim; j++, i += WARP ) { + UINT accum = 0; + + for(k=0; ksobol_bits + rmb[k] ]; + } + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; + } + + md_zd_tmp += (sobol_dim << lgWARP); + } // end IF (seq_count < UB) + +} + +#endif + + +/********************************************/ +/********** INV GAUSSIAN DISTRIB ************/ +/********************************************/ + + +#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ + (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ + (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) + +inline real_t small_case(real_t q) { + real_t x = 0.180625 - q * q; + return q * rat_eval( + 3.387132872796366608, + 133.14166789178437745, + 1971.5909503065514427, + 13731.693765509461125, + 45921.953931549871457, + 67265.770927008700853, + 33430.575583588128105, + 2509.0809287301226727, + + 1.0, + 42.313330701600911252, + 687.1870074920579083, + 5394.1960214247511077, + 21213.794301586595867, + 39307.89580009271061, + 28729.085735721942674, + 5226.495278852854561); +} + +inline real_t intermediate(real_t r) { + real_t x = r - 1.6; + return rat_eval( + 1.42343711074968357734, + 4.6303378461565452959, + 5.7694972214606914055, + 3.64784832476320460504, + 1.27045825245236838258, + 0.24178072517745061177, + 0.0227238449892691845833, + 7.7454501427834140764e-4, + + 1.0, + 2.05319162663775882187, + 1.6763848301838038494, + 0.68976733498510000455, + 0.14810397642748007459, + 0.0151986665636164571966, + 5.475938084995344946e-4, + 1.05075007164441684324e-9); +} + +inline real_t tail(real_t r) { + real_t x = r - 5.0; + return rat_eval( + 6.6579046435011037772, + 5.4637849111641143699, + 1.7848265399172913358, + 0.29656057182850489123, + 0.026532189526576123093, + 0.0012426609473880784386, + 2.71155556874348757815e-5, + 2.01033439929228813265e-7, + + 1.0, + 0.59983220655588793769, + 0.13692988092273580531, + 0.0148753612908506148525, + 7.868691311456132591e-4, + 1.8463183175100546818e-5, + 1.4215117583164458887e-7, + 2.04426310338993978564e-15); +} + +__kernel void mlfi_ugaussian_Pinv_vector1( + __constant LoopROScalars* ro_scal, __global real_t* p +) { + UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; + UINT id = get_global_id(0), i, UB; + p += ( (id >> lgWARP) << (ro_scal->log_chunk + lgWARP) )*sobol_dim + ( id & (WARP-1) ); + + id = get_global_id(0) << ro_scal->log_chunk; + + UB = min(id + (1<log_chunk), ro_scal->num_gpuits); + UB = (UB > id) ? UB - id : 0; + UB *= sobol_dim; + + for( id=0, i=0; id < UB; i+=WARP, id++) { + real_t dp = p[i] - 0.5; + if (fabs(dp) <= 0.425) { + p[i] = small_case(dp); + } else { + real_t pp = (dp < 0.0) ? dp + 0.5 : (0.5 - dp); + real_t r = sqrt (- log(pp)); + real_t x = (r <= 5.0) ? intermediate(r) : tail(r); + p[i] = (dp < 0.0) ? (0.0 - x) : x; + } + } +} + +/********************************************/ +/************* BROWNIAN BRIDGE **************/ +/********************************************/ + +__kernel void mlfi_brownianbridge_wiener_path1( + __constant LoopROScalars* ro_scal, + __constant int* bb_inds, + __constant real_t* bb_data, + __global real_t* md_zd, + __global real_t* md_z +) { + __constant int *bb_li, *bb_bi, *bb_ri; + __constant real_t *bb_rw, *bb_lw, *bb_sd; + + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + UINT m, i, md_dim = ro_scal->num_under << lgWARP, nb_path_dates = ro_scal->num_dates; + UINT sobol_dim = ro_scal->num_under * nb_path_dates; + + UINT UB = ( (cur_it + (1<log_chunk) ) < ro_scal->num_gpuits) ? + ( cur_it + (1<log_chunk) ) : ro_scal->num_gpuits; + + bb_bi = bb_inds; + bb_li = bb_inds + nb_path_dates; + bb_ri = bb_inds + (nb_path_dates<<1); + + bb_sd = bb_data; + bb_lw = bb_data + nb_path_dates; + bb_rw = bb_data + (nb_path_dates<<1); + + { + UINT tmp = ( (get_global_id(0) >> lgWARP) << (ro_scal->log_chunk + lgWARP) )*sobol_dim + ( get_global_id(0) & (WARP-1) ); + md_zd = md_zd + tmp; + md_z = md_z + tmp; + } + + for( ; cur_it < UB; cur_it++ ) { + for (m=0; m < md_dim; m+=WARP) { + md_z[ (bb_bi[0]-1) * md_dim + m ] = bb_sd[0] * md_zd[m]; + + for(i=1; i < nb_path_dates; i++) { + int j = bb_li[i] - 1; + int k = bb_ri[i] - 1; + int l = bb_bi[i] - 1; + + real_t wk = md_z [k*md_dim+m]; + real_t zi = md_zd[i*md_dim+m]; + + md_z[l*md_dim+m] = (j == -1) ? + bb_rw[i] * wk + bb_sd[i] * zi : + bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * md_z[j*md_dim+m]; + } + + } + md_z += (sobol_dim << lgWARP); + md_zd += (sobol_dim << lgWARP); + } +} + +/**************************************************/ +/************* TRAJECTORY COMPUTATION *************/ +/**************************************************/ + +void trajectory_contract( + UINT model_num, + __constant LoopROScalars* ro_scal, + __constant real_t* pc_coefs, + __global real_t* inst_traj, + __global real_t* vhat +); + +__kernel void mlfi_comp_traj1( + __constant LoopROScalars* ro_scal, // RO SCALARS + // RO MD INSTANCE DATA + __constant real_t* model_coefs, + // LOCAL SPACE 2 * ro_scal->num_under PER THREAD! + __local real_t* buff, + // RO (GLOBAL) MD_Z + __global real_t* md_z, + // WO (GLOBAL) traj + __global real_t* trajWF +) { + UINT offset; + UINT dim = ro_scal->num_under; + UINT dim_sq = dim*dim; + UINT dim_paths = dim*ro_scal->num_dates; + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + + UINT UB = ( cur_it+(1<log_chunk) < ro_scal->num_gpuits) ? + cur_it+(1<log_chunk) : ro_scal->num_gpuits ; + { + offset = ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) ); + md_z = md_z + offset*dim_paths + (get_global_id(0) & (WARP-1)); + trajWF = trajWF + offset*dim_paths*ro_scal->num_models + (get_global_id(0) & (WARP-1)); + + offset = get_local_id (0); + offset = (offset >> lgWARP)*(TILE << lgWARP) + (offset & (WARP-1)); // ro_scal->TILE_FACT + buff += offset; + + offset = dim_paths<= LB; i -= WARP ) { + md_z[i] -= md_z[i - LB]; + } + + } + + __constant real_t *md_c, *md_vols, *md_drifts, *md_starts, *md_discts, *md_detvals; + { + UINT num_mods = ro_scal->num_models; + UINT offset = 0; + md_c = model_coefs + offset; offset += num_mods * dim_sq; + md_vols = model_coefs + offset; offset += num_mods * dim_paths; + md_drifts = model_coefs + offset; offset += num_mods * dim_paths; + md_starts = model_coefs + offset; + } + for (m = 0; m < ro_scal->num_models; m++) { + // cache in local space md_starts + for (j = 0; j < dim; j++) { + buff[(dim+j) << lgWARP] = md_starts[ j ]; + } + + for (i = 0; i < ro_scal->num_dates; i++) { + ind = (dim*i) << lgWARP; + + // cache in local space md_z! + for ( j = 0; j<(dim<num_models ) { + md_c += dim_sq; md_vols += dim_paths; + md_drifts += dim_paths; md_starts += dim; + } + + trajWF += offset; + } // end for m + + md_z += offset; + + } // end for cur_it +} + + +__kernel void mlfi_comp_traj_unopt( + __constant LoopROScalars* ro_scal, // RO SCALARS + // RO MD INSTANCE DATA + __constant real_t* model_coefs, + // RO (GLOBAL) MD_Z + __global real_t* md_z, + // WO (GLOBAL) traj + __global real_t* trajWF +) { + UINT offset; + UINT dim = ro_scal->num_under; + UINT dim_sq = dim*dim; + UINT dim_paths = dim*ro_scal->num_dates; + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + + UINT UB = ( cur_it+(1<log_chunk) < ro_scal->num_gpuits ) ? + cur_it+(1<log_chunk) : ro_scal->num_gpuits ; + { + offset = ( (get_global_id (0) >> lgWARP) << (ro_scal->log_chunk+lgWARP) ); + md_z = md_z + offset*dim_paths + (get_global_id(0) & (WARP-1)); + trajWF = trajWF + offset*dim_paths*ro_scal->num_models + (get_global_id(0) & (WARP-1)); + + offset = dim_paths<= LB; i -= WARP ) { + md_z[i] -= md_z[i - LB]; + } + } + + __constant real_t *md_c, *md_vols, *md_drifts, *md_starts, *md_discts, *md_detvals; + { + UINT num_mods = ro_scal->num_models; + UINT offset = 0; + md_c = model_coefs + offset; offset += num_mods * dim_sq; + md_vols = model_coefs + offset; offset += num_mods * dim_paths; + md_drifts = model_coefs + offset; offset += num_mods * dim_paths; + md_starts = model_coefs + offset; + } + + for (m = 0; m < ro_scal->num_models; m++) { + for (i = 0; i < ro_scal->num_dates; i++) { + UINT ind = dim*i; + for (j = 0; j < dim; j++) { + real_t temp = 0.0; + + for (l = 0; l <= j; l++) { + temp += md_c[dim * j + l] * md_z[ (ind + l) << lgWARP ]; + } + temp = exp(temp * md_vols[ind + j] + md_drifts[ind + j]); + + trajWF[(ind+j) << lgWARP] = (i > 0) ? trajWF[(ind + j - dim) << lgWARP] * temp : + md_starts[ j ] * temp ; + } + } + + if ( m+1 < ro_scal->num_models ) { + md_c += dim_sq; md_vols += dim_paths; + md_drifts += dim_paths; md_starts += dim; + } + + trajWF += offset; + } // end for m + + md_z += offset; + + } // end for cur_it +} + +__kernel void mlfi_reduction_step1( + __constant LoopROScalars* ro_scal, // RO SCALARS + // RO MD INSTANCE DATA + __constant real_t* model_coefs, + // RO (GLOBAL) traj + __global real_t* inst_trajWF, + // WF (GLOBAL) traj + __global real_t* model_vhat, + __local real_t* vhat_local +) { + UINT j; + uint block_size = get_local_size(0); + int sobol_dim = ro_scal->num_under * ro_scal->num_dates; + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + + UINT UB = ( cur_it + (1<log_chunk) < ro_scal->num_gpuits) ? + cur_it + (1<log_chunk) : ro_scal->num_gpuits ; + + { // adjust the start index + UINT id = get_global_id (0); + inst_trajWF += (id & (WARP-1)) + ( (id >> lgWARP) << (ro_scal->log_chunk+lgWARP) ) * + sobol_dim * ro_scal->num_models; + vhat_local += get_local_id(0); + } + + // initialize vhat_local to 0 + for( j = 0; j < ro_scal->num_models*block_size; j += block_size ) { + vhat_local[j] = 0.0; + } + + __constant real_t *md_discts; + __constant real_t *md_detvals; + { // compute from model_coefs + int offset; + offset = ro_scal->num_under * ( ro_scal->num_under + 1) + 2 * sobol_dim; + offset *= ro_scal->num_models; + md_discts = model_coefs + offset; + md_detvals = md_discts + ro_scal->num_models * ro_scal->num_cash_flows; + } + + for( ; cur_it < UB; cur_it++ ) { + for (j = 0; j < ro_scal->num_models; j++) { + + payoffFunction( j, ro_scal->num_under, + ro_scal->num_cash_flows, + ro_scal->num_det_pricers, + md_discts + j*ro_scal->num_cash_flows, + md_detvals+ j*ro_scal->num_det_pricers, + inst_trajWF, + vhat_local + ); + + inst_trajWF += (sobol_dim << lgWARP); + } + } + + barrier(CLK_LOCAL_MEM_FENCE); + + { + segm_scan_reg_block ( vhat_local - get_local_id(0), block_size * ro_scal->num_models, block_size ); + if( get_local_id(0) == 0 ) { + UINT glob_size = get_global_size(0)/block_size; + for ( j = 0; j < ro_scal->num_models; j ++ ) { + model_vhat[ j * glob_size + get_group_id(0) ] = + vhat_local[ (j + 1) * block_size - 1 ]; + } + } + } +} + diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl new file mode 100644 index 0000000..e1f2867 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl @@ -0,0 +1,493 @@ +/************************************/ +/************* MACROS ***************/ +/************************************/ + +#define TYPE real_t +#define FLAG uchar +#include "Utilities.cl" + +#define DUMMY 1 + +/************************************/ +/************* MACROS ***************/ +/************************************/ +//#include "Constants.h" +// +//#define underlyings(i,j) \ +// (inst_traj[(i*ro_scal->md_dim + j)]) +// +//#define DUMMY 1 + +/********************************************/ +/********** SOBOL NUMER GENERATOR ***********/ +/********************************************/ + +// TO DO: if we want to overlap kernels, then, since we reuse md_zd for traj_wf multiply also with *ro_scal->num_models + + + +__kernel void mlfi_genmatrix_uniform2 ( + __constant LoopROScalars* ro_scal, + __constant UCHAR* sobol_fix_ind, + __global int* sobol_v_dir, + __global real_t* md_zd +) { + UINT i, j, k; + UINT seq_count = ( get_global_id (0) << ro_scal->log_chunk ); + UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; + + md_zd = md_zd + (get_global_id (0) << ro_scal->log_chunk)*sobol_dim; + __global real_t* md_zd_tmp = md_zd; + + //UINT UB = min(seq_count + (1 << ro_scal->log_chunk), ro_scal->num_gpuits); + UINT UB = (seq_count + (1 << ro_scal->log_chunk) < ro_scal->num_gpuits) ? + seq_count + (1 << ro_scal->log_chunk) : ro_scal->num_gpuits ; + UB = (UB > seq_count) ? UB - seq_count : 0; + + //seq_count += ro_scal->sobol_count_ini; + + if( UB > 0 ) { + UINT gs; + // Compute the random number under the INDEPENDENT formulas + for( i = 0, j=0; j < sobol_dim; j++, i ++ ) { + UINT accum = 0; + md_zd_tmp = md_zd; + + // FIRST ITER COMPUTED INDEPENDENTLY! + gs = seq_count+1 + ro_scal->sobol_count_ini; + gs = gs ^ (gs>>1); + for(k=0; ksobol_bits; k++) { + if(gs & 1) { + accum ^= sobol_v_dir[ j*ro_scal->sobol_bits + k ]; + } + gs = gs >> 1; + } + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; + + // THE REST OF CHUNK-1 ITERATIONS COMPUTED UNDER RECURRENT FORMULA + for( k = 1; k < UB-1; k++ ) { + accum = accum ^ sobol_v_dir[ j*ro_scal->sobol_bits + sobol_fix_ind[k] ]; + + md_zd_tmp += sobol_dim; + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; + } + + // last one + gs = (seq_count + UB - 1 + ro_scal->sobol_count_ini) >> ro_scal->log_chunk; + UINT ell = ro_scal->log_chunk; + while(gs & 1) { + ell++; + gs >>= 1; + } + accum = accum ^ sobol_v_dir[j*ro_scal->sobol_bits + ell]; + md_zd_tmp += sobol_dim; + md_zd_tmp[ i ] = ro_scal->sob_norm_fact*accum; + } + } // end IF (seq_count < UB) + +} + + + +/********************************************/ +/********** INV GAUSSIAN DISTRIB ************/ +/********************************************/ + + +#define rat_eval(a0, a1, a2, a3, a4, a5, a6, a7, b0, b1, b2, b3, b4, b5, b6, b7) \ + (x*(x*(x*(x*(x*(x*(x*a7+a6)+a5)+a4)+a3)+a2)+a1)+a0)/ \ + (x*(x*(x*(x*(x*(x*(x*b7+b6)+b5)+b4)+b3)+b2)+b1)+b0) + +inline real_t small_case(real_t q) { + real_t x = 0.180625 - q * q; + return q * rat_eval( + 3.387132872796366608, + 133.14166789178437745, + 1971.5909503065514427, + 13731.693765509461125, + 45921.953931549871457, + 67265.770927008700853, + 33430.575583588128105, + 2509.0809287301226727, + + 1.0, + 42.313330701600911252, + 687.1870074920579083, + 5394.1960214247511077, + 21213.794301586595867, + 39307.89580009271061, + 28729.085735721942674, + 5226.495278852854561); +} + +inline real_t intermediate(real_t r) { + real_t x = r - 1.6; + return rat_eval( + 1.42343711074968357734, + 4.6303378461565452959, + 5.7694972214606914055, + 3.64784832476320460504, + 1.27045825245236838258, + 0.24178072517745061177, + 0.0227238449892691845833, + 7.7454501427834140764e-4, + + 1.0, + 2.05319162663775882187, + 1.6763848301838038494, + 0.68976733498510000455, + 0.14810397642748007459, + 0.0151986665636164571966, + 5.475938084995344946e-4, + 1.05075007164441684324e-9); +} + +inline real_t tail(real_t r) { + real_t x = r - 5.0; + return rat_eval( + 6.6579046435011037772, + 5.4637849111641143699, + 1.7848265399172913358, + 0.29656057182850489123, + 0.026532189526576123093, + 0.0012426609473880784386, + 2.71155556874348757815e-5, + 2.01033439929228813265e-7, + + 1.0, + 0.59983220655588793769, + 0.13692988092273580531, + 0.0148753612908506148525, + 7.868691311456132591e-4, + 1.8463183175100546818e-5, + 1.4215117583164458887e-7, + 2.04426310338993978564e-15); +} + + +__kernel void mlfi_ugaussian_Pinv_vector1( // UNTILED VERSION + __constant LoopROScalars* ro_scal, __global real_t* p + //__global real_t* p , __constant LoopROScalars* ro_scal, __local real_t* tmp_p +) { + UINT sobol_dim = ro_scal->num_under * ro_scal->num_dates; + UINT i, UB, id = get_global_id(0) << ro_scal->log_chunk; + p += id * sobol_dim; + + UB = min(id + (1<log_chunk), ro_scal->num_gpuits); + UB = (UB > id) ? UB - id : 0; + UB *= sobol_dim; + + for( i=0; i < UB; i++ ) { + real_t dp = p[i] - 0.5; + if (fabs(dp) <= 0.425) { + p[i] = small_case(dp); + } else { + real_t pp = (dp < 0.0) ? p[i] : (1.0 - p[i]); + real_t r = sqrt (- log(pp)); + real_t x = (r <= 5.0) ? intermediate(r) : tail(r); + p[i] = (dp < 0.0) ? (0.0 - x) : x; + } + } +} + +/********************************************/ +/************* BROWNIAN BRIDGE **************/ +/********************************************/ + +__kernel void mlfi_brownianbridge_wiener_path1( + __constant LoopROScalars* ro_scal, + __constant int* bb_inds, + __constant real_t* bb_data, + __global real_t* md_zd, + __global real_t* md_z +) { + __constant int *bb_li, *bb_bi, *bb_ri; + __constant real_t *bb_rw, *bb_lw, *bb_sd; + + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + UINT m, i, md_dim = ro_scal->num_under, nb_path_dates = ro_scal->num_dates; + UINT sobol_dim = ro_scal->num_under * nb_path_dates; + + UINT UB = ( (cur_it + (1<log_chunk) ) < ro_scal->num_gpuits) ? + ( cur_it + (1<log_chunk) ) : ro_scal->num_gpuits; + +// if ( ro_scal->bb_l != ro_scal->md_nb_path_dates || ro_scal->bb_l <= 0) return; + + bb_bi = bb_inds; + bb_li = bb_inds + nb_path_dates; + bb_ri = bb_inds + (nb_path_dates<<1); + + bb_sd = bb_data; + bb_lw = bb_data + nb_path_dates; + bb_rw = bb_data + (nb_path_dates<<1); + + { + UINT tmp = cur_it*sobol_dim; + md_zd = md_zd + tmp; + md_z = md_z + tmp; + } + + for( ; cur_it < UB; cur_it++ ) { + for (m=0; m < md_dim; m++) { + md_z[ (bb_bi[0]-1) * md_dim + m ] = bb_sd[0] * md_zd[m]; + + for(i=1; i < nb_path_dates; i++) { + int j = bb_li[i] - 1; + int k = bb_ri[i] - 1; + int l = bb_bi[i] - 1; + + real_t wk = md_z [k*md_dim+m]; + real_t zi = md_zd[i*md_dim+m]; + + md_z[l*md_dim+m] = (j == -1) ? + bb_rw[i] * wk + bb_sd[i] * zi : + bb_rw[i] * wk + bb_sd[i] * zi + bb_lw[i] * md_z[j*md_dim+m]; + } + + } + md_z += sobol_dim; + md_zd += sobol_dim; + } +} + +/**************************************************/ +/************* TRAJECTORY COMPUTATION *************/ +/**************************************************/ + +void trajectory_contract( + UINT model_num, + __constant LoopROScalars* ro_scal, + __constant real_t* pc_coefs, + __global real_t* inst_traj, + __global real_t* vhat +); + + +__kernel void mlfi_comp_traj1( + __constant LoopROScalars* ro_scal, // RO SCALARS + // RO MD INSTANCE DATA + __constant real_t* model_coefs, + // RO MODEL ATTRIBUTES +// __constant real_t* pc_coefs, +// __local real_t* buff, + // RO (GLOBAL) MD_Z + __global real_t* md_z, + // WO (GLOBAL) traj + __global real_t* trajWF +) { + UINT dim = ro_scal->num_under; + UINT dim_sq = dim*dim; + UINT dim_paths = dim*ro_scal->num_dates; + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + + UINT UB = (cur_it+(1<log_chunk) < ro_scal->num_gpuits) ? cur_it + (1<log_chunk) : ro_scal->num_gpuits; + + trajWF += cur_it*dim_paths*ro_scal->num_models; + md_z += cur_it*dim_paths; + + for( ; cur_it < UB; cur_it++ ) { // ... + UINT m, i, j, l; + + { // 4. expand md_zd -- does not affect execution time + UINT LB = dim; + for( i = (dim_paths - 1); i >= LB; i -- ) { + md_z[i] -= md_z[i - LB]; + } + } + + __constant real_t *c, *vols, *drift, *trajRO; + { + UINT num_mods = ro_scal->num_models; + UINT offset = 0; + c = model_coefs + offset; offset += num_mods * dim_sq; + vols = model_coefs + offset; offset += num_mods * dim_paths; + drift = model_coefs + offset; offset += num_mods * dim_paths; + trajRO = model_coefs + offset; + } + + + for (m = 0; m < ro_scal->num_models; m++) { + + + +// __constant real_t* c = inst_coefs + ( ro_scal->inst_c_beg + m*dim_sq ); +// __constant real_t* vols = inst_coefs + ( ro_scal->inst_vols_beg + m*dim_paths ); +// __constant real_t* drift = inst_coefs + ( ro_scal->inst_drifts_beg + m*dim_paths ); +// __constant real_t* trajRO= inst_coefs + ( ro_scal->inst_trajRO_beg + m*dim ); + + for (i = 0; i < ro_scal->num_dates; i++) { + UINT ind = dim*i; + for (j = 0; j < dim; j++) { + real_t temp = 0.0; + + for (l = 0; l <= j; l++) { + temp += c[dim * j + l] * md_z[ (ind + l) ]; + } + temp = exp(temp * vols[ind + j] + drift[ind + j]); + + trajWF[(ind+j)] = (i > 0) ? trajWF[(ind + j - dim)] * temp : trajRO[ j ] * temp ; + } + } + + if ( m+1 < ro_scal->num_models ) { + c += dim_sq; vols += dim_paths; + drift += dim_paths; trajRO += dim; + } + + trajWF += dim_paths; + } // end for m + + md_z += dim_paths; + + } // end for cur_it +} + + + + +__kernel void mlfi_reduction_step1( + __constant LoopROScalars* ro_scal, // RO SCALARS + // RO MD INSTANCE DATA + __constant real_t* inst_coefs, + // RO MODEL ATTRIBUTES +// __constant real_t* pc_coefs, + // RO (GLOBAL) traj + __global real_t* inst_trajWF, + // WF (GLOBAL) traj + __global real_t* model_vhat, + __local real_t* vhat_local +) { + UINT j; + uint block_size = get_local_size(0); + int sobol_dim = ro_scal->num_under * ro_scal->num_dates; + ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + + //UINT UB = min(cur_it + (1<log_chunk), ro_scal->num_gpuits); + UINT UB = ( cur_it + (1<log_chunk) < ro_scal->num_gpuits) ? + cur_it + (1<log_chunk) : ro_scal->num_gpuits ; + + { // adjust the start index + UINT id = get_global_id (0); +// vhat += ( (id >> lgWARP) << lgWARP )*ro_scal->num_contracts*ro_scal->num_models + (id & (WARP-1)); + inst_trajWF += cur_it*sobol_dim*ro_scal->num_models; + vhat_local += get_local_id(0); + } + + // initialize vhat_local to 0 + for( j = 0; j < ro_scal->num_models*block_size; j += block_size ) { + vhat_local[j] = 0.0; + } + +#if 0 + { // init vhat + UINT step_outer = ro_scal->num_contracts<num_models*step_outer; i+=step_outer) { + for( j = 0; j < step_outer; j+=WARP) { + vhat[j+i] = 0.0; + } + } + } +#endif + + __constant real_t *md_discts; + __constant real_t *md_detvals; + { // compute from model_coefs + int offset; + offset = ro_scal->num_under * ( ro_scal->num_under + 1) + 2 * sobol_dim; + offset *= ro_scal->num_models; + md_discts = inst_coefs + offset; + md_detvals = md_discts + ro_scal->num_models * ro_scal->num_cash_flows; + } + + for( ; cur_it < UB; cur_it++ ) { + //__global real_t* vhat_loc = vhat; + for (j = 0; j < ro_scal->num_models; j++) { + + payoffFunction( j, ro_scal->num_under, + ro_scal->num_cash_flows, + ro_scal->num_det_pricers, + md_discts + j*ro_scal->num_cash_flows, + md_detvals+ j*ro_scal->num_det_pricers, + inst_trajWF, + vhat_local + ); + + //inst_trajWF += (sobol_dim << lgWARP); + + inst_trajWF += sobol_dim; + //vhat_loc += (ro_scal->num_contracts << lgWARP); + } + } + + barrier(CLK_LOCAL_MEM_FENCE); + + { + segm_scan_reg_block ( vhat_local - get_local_id(0), block_size * ro_scal->num_models, block_size ); + if( get_local_id(0) == 0 ) { + UINT glob_size = get_global_size(0)/block_size; + for ( j = 0; j < ro_scal->num_models; j ++ ) { + model_vhat[ j * glob_size + get_group_id(0) ] = + vhat_local[ (j + 1) * block_size - 1 ]; + } + } + } + + +#if 0 + for( ; cur_it < UB; cur_it++ ) { + __global real_t* vhat_loc = vhat; + for (j = 0; j < ro_scal->num_models; j++) { + trajectory_contract( j, ro_scal, pc_coefs, inst_trajWF, vhat_loc ); + inst_trajWF += ro_scal->sobol_dim; + vhat_loc += (ro_scal->num_contracts << lgWARP); + } + } + + barrier(CLK_LOCAL_MEM_FENCE); + + if( get_local_id(0) == 0) { +#if 1 + UINT step_inner = ro_scal->num_contracts << lgWARP; + UINT step_outer = step_inner * ro_scal->num_models; + UINT BD = (step_outer >> lgWARP) * ro_scal->BLOCK; + UINT i, k; + for( i = 0; i < BD; i += step_outer ) { + for( j = 0; j < step_outer; j += step_inner ) { + for( k = j; k < j+step_inner; k += WARP ) { + for( cur_it = k+(i==0? 1 : 0); cur_it < k+WARP; cur_it++ ) { + vhat[k] += vhat[i+cur_it]; + } + } + } + } +#else + UINT step_j = ro_scal->num_contracts<num_models*step_j; + for (j = 0; j < BD_j; j+=step_j) { // for all instances + for(cur_it=0; cur_it < step_j; cur_it+=WARP) { // for all contracts + UINT i; + for(i=1; inum_cash_flows+date_index]; + //pc_coefs[ro_scal->pc_discounts_beg + model_num*ro_scal->num_cash_flows+date_index]; +} +*/ diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile new file mode 100644 index 0000000..9c7d431 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile @@ -0,0 +1,46 @@ +# Permit standalone compilation. +HIPERMARK_LIB_DIR ?= ../../../../lib/ + +# Default to double if nothing else defined. +HIPERMARK_CONFIG_REAL_TYPE ?= double + +include $(HIPERMARK_LIB_DIR)/setup.mk +include $(HIPERMARK_LIB_DIR)/setup_real_type.mk + +# FIXME - this should not even exist! +include $(HIPERMARK_LIB_DIR)/platform.mk + +INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include +INCLUDES += -I$(HIPERMARK_LIB_DIR)/include + +GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ + -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ + -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ + -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ + -D CURR_DIR_PATH='"$(MAKE_DIR)"' + +SOURCES_CPP =GenPricing.cpp +HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h +OBJECTS =GenPricing.o +EXECUTABLE =GenPricing + +default: $(EXECUTABLE) + +%.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -c -o $@ $< + +$(EXECUTABLE): $(OBJECTS) + $(CXX) $(CXXFLAGS) $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) $(LIB) + +clean: + rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) + @# clean nVidia compiler cache + rm -rf $(HOME)/.nv/ComputeCache/* + +data: $(HIPERMARK_INPUT) + mkdir -p datasets/$(HIPERMARK_INPUT_NAME) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data + +run: + cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h b/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h new file mode 100644 index 0000000..eb62f2c --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h @@ -0,0 +1,631 @@ +#ifndef GPU_HELPERS +#define GPU_HELPERS + +#include "Optimizations.h" +#include "SDK_stub.h" + +#if REAL_IS_FLOAT + #define TILE GPU_TILE +#else + #define TILE GPU_TILE/2 +#endif + +/****************************/ +/*** GPU-Allocated Arrays ***/ +/****************************/ +struct oclLoopArrays { + + /* RO scalars */ + cl_mem ro_scals; + + /* sobol direction vector; RO */ + cl_mem sobol_dirvcts; // UINT[sobol_bit_count][num_under*num_dates]; + cl_mem sobol_fix_ind; // UCHAR[chunk-1] + + /* Brownian Bridge data RO */ + cl_mem bb_inds; // UINT[3][num_dates] + cl_mem bb_data; // real_t[3][num_dates] + + /* MD instance data; RO */ + cl_mem md_c; // Includes all arrays bellow: +// cl_mem md_c // RO; real_t[num_models][num_under^2] +// cl_mem md_vols; // RO; real_t[num_models][num_under*num_dates] +// cl_mem md_drifts; // RO; real_t[num_models][num_under*num_dates] +// cl_mem md_starts; // RO; real_t[num_models][num_under] +// cl_mem md_discts; // real_t[num_models][num_cash_flows ] +// cl_mem md_detvals; // real_t[num_models][num_det_pricers] + + /* FOR VECTORIZED VERSION */ + cl_mem md_zd; // RW: real_t[num_gpuits]x[num_under*num_dates] + cl_mem md_z; // RW: real_t[num_gpuits]x[num_models]x[num_under*num_dates] + + /* global array to be reduced on CPU; WO */ + cl_mem model_vhat; // WO; ~ [num_models]x[num_contracts]x[num_iter/(chunk*BLOCK)] + + /*** local tiled space ***/ + cl_mem local_space; + + void cleanupPRIV() { + clReleaseMemObject(ro_scals); + clReleaseMemObject(sobol_dirvcts); + clReleaseMemObject(sobol_fix_ind); + clReleaseMemObject(bb_inds); + clReleaseMemObject(bb_data); + clReleaseMemObject(md_c); + clReleaseMemObject(model_vhat); + } + void cleanupVECT() { + cleanupPRIV(); + clReleaseMemObject(md_z ); + clReleaseMemObject(md_zd); + } +}; + +/*********************************/ +/*** Math-Utility Functions ***/ +/*********************************/ + +UINT logNextPow2(UINT n) { + UINT ret = 1; + UINT logret = 0; + while(n>ret) { + ret = ret << 1; + logret += 1; + } + return logret; +} + +UINT prevMultipleOf(UINT n, UINT mul) { + if(n % mul == 0) return n; + UINT res = 0; + while(res <= n) res += mul; + return res - mul; +} + +/*********************************/ +/*** GPU-Glue Helper Functions ***/ +/*********************************/ + +enum GPU_KERNEL { PRIV, VECT }; + +GPU_KERNEL +priv_or_vect_kernel(const LoopROScalars& ro_scal) { +#if (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 1) + return VECT; +#elif (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 2) + return PRIV; +#else + UINT threshold = 16; + bool is_priv = (ro_scal.num_under*ro_scal.num_dates+ro_scal.num_models <= threshold); + fprintf(stderr, "\nCOST MODEL THRESHOLD: %u, PRIV_KERNEL: %d\n", threshold, (int)is_priv); + return (is_priv) ? PRIV : VECT; +#endif +} + +const char* +makeGPUprogPreamble( + const LoopROScalars& ro_scal, + const GPU_KERNEL & kernel_type +) { + const char* preamble = (ro_scal.contract == 1 && kernel_type == VECT) ? + "#define VECT_KERNEL\n#include \"ContractDefs/SmallContract.cl\"\n\n" : + (ro_scal.contract == 1 && kernel_type == PRIV) ? + "#include \"ContractDefs/SmallContract.cl\"\n\n" : + (ro_scal.contract == 2 && kernel_type == VECT) ? + "#define VECT_KERNEL\n#include \"ContractDefs/MediumContract.cl\"\n\n" : + (ro_scal.contract == 2 && kernel_type == PRIV) ? + "#include \"ContractDefs/MediumContract.cl\"\n\n" : + (ro_scal.contract == 3 && kernel_type == VECT) ? + "#define VECT_KERNEL\n#include \"ContractDefs/LargeContract.cl\"\n\n" : + (ro_scal.contract == 3 && kernel_type == PRIV) ? + "#include \"ContractDefs/LargeContract.cl\"\n\n" : NULL; + assert(preamble && "Invalid Contract Number (should be 1, 2 or 3) OR Invalid kernel type (PRIV or VECT)\n"); + return preamble; +} + + +UINT +getWorkSize(const UINT& num_iter, const UINT& chunk, const UINT& block) { + UINT tmp_rem = num_iter % chunk; + UINT res = (tmp_rem == 0) ? + (num_iter / chunk) : + ((num_iter / chunk) + 1) ; + + if(res % block == 0) return res; + + res = (res / block) * block + block; + return res; +} + +int +discriminate_cost_model( LoopROScalars& ro_scal, cl_device_id device, const GPU_KERNEL kernel) { + bool is_priv = (kernel == PRIV); + cl_uint tot_cuda_cores = 0; + + UINT size_vct = ro_scal.num_under * ro_scal.num_dates; + + ro_scal.logBLOCK = 7; + ro_scal.BLOCK = 1 << ro_scal.logBLOCK; + + // If not-enough GPU resources => sequentialize + // the loop into big chunks that execute on GPU. + if(!is_priv) { + // get device memory size info + cl_ulong glob_mem_size; + clGetDeviceInfo(device,CL_DEVICE_GLOBAL_MEM_SIZE,sizeof(glob_mem_size),&glob_mem_size,NULL); + { // check global mem matches the user-declared one + const size_t USER_MEM = ((size_t)GPU_GLB_MEM) << 30; + const size_t ub = static_cast( USER_MEM * 101.0 / 100.0 ); + const size_t lb = static_cast( USER_MEM * 99.0 / 100.0 ); + if ( !(glob_mem_size >= lb && glob_mem_size <= ub) ) { + fprintf(stderr, "WARNING! Querried GPU global memory %lu DIFFERS from what user declared: [%ld,%ld]!\n", + (unsigned long)glob_mem_size, lb, ub); + glob_mem_size = static_cast(USER_MEM); + fprintf(stderr, "Using user-declared size for global memory: %lu\n", (unsigned long)glob_mem_size); + } + } + + // check if there is enough memory + UINT perit_mem_size = size_vct*( ro_scal.num_models + 1 ) + ro_scal.num_models; + perit_mem_size *= sizeof(real_t); + + UINT max_mc_iter_num = ( (glob_mem_size * 3)/4 ) / perit_mem_size; + + UINT BLOCK = ro_scal.BLOCK; + if(max_mc_iter_num % BLOCK != 0) + max_mc_iter_num = (max_mc_iter_num / BLOCK)*BLOCK + BLOCK; + + max_mc_iter_num = prevMultipleOf(max_mc_iter_num, ro_scal.chunk); + + ro_scal.num_gpuits = MIN(max_mc_iter_num, ro_scal.num_mcits); + +// fprintf(stderr, "# of total iters: %u, # of gpu iters: %u, chunk: %u\n", +// ro_scal.num_mcits, ro_scal.num_gpuits, ro_scal.chunk ); + } else { + ro_scal.num_gpuits = ro_scal.num_mcits; + } + + { +#ifdef __APPLE__ + tot_cuda_cores = GPU_CORES; // MEMO: No correctness check... mael 2015-03-12 +#else + cl_uint compute_units; + clGetDeviceInfo(device, CL_DEVICE_MAX_COMPUTE_UNITS, + sizeof(compute_units), &compute_units, NULL); + cl_uint comp_capabil_major, comp_capabil_minor; + clGetDeviceInfo(device, CL_DEVICE_COMPUTE_CAPABILITY_MAJOR_NV, + sizeof(cl_uint), &comp_capabil_major, NULL); + clGetDeviceInfo(device, CL_DEVICE_COMPUTE_CAPABILITY_MINOR_NV, + sizeof(cl_uint), &comp_capabil_minor, NULL); + tot_cuda_cores = compute_units * + ConvertSMVer2CoresCopy(comp_capabil_major, comp_capabil_minor); + + if( tot_cuda_cores != GPU_CORES ) { + fprintf(stderr, "WARNING! Querried GPU number of cores %u DIFFERS from what user declared: %d!\n", + tot_cuda_cores, GPU_CORES ); + tot_cuda_cores = GPU_CORES; + fprintf(stderr, "Using user-declared GPU number of cores: %u\n", tot_cuda_cores); + } +#endif + UINT div = (1 << logNextPow2(tot_cuda_cores)) * 64; + ro_scal.log_chunk = logNextPow2(ro_scal.num_gpuits / div ); // was div*2 + ro_scal.log_chunk = MIN(ro_scal.log_chunk, logMAX_CHUNK); + if(ro_scal.log_chunk <= 3) ro_scal.log_chunk++; + } + + ro_scal.chunk = 1 << ro_scal.log_chunk; + +// fprintf(stderr, "\n\nCOST MODEL COMPUTED: MC_ITERS: %u, MC_TOT_ITERS: %u, CHUNK: %u, BLOCK: %u\n\n", +// ro_scal.num_gpuits, ro_scal.num_mcits, ro_scal.chunk, ro_scal.BLOCK); + + return tot_cuda_cores; +} + +/*********************************/ +/*** Allocating GPU Buffers & ***/ +/***running the Private Kernels***/ +/*********************************/ + +real_t* +oclAllocArrays_PrivKernel ( + oclLoopArrays& ocl_arrs, + cl_context cxGPUContext, + cl_command_queue& cqCommandQueue, + cl_int& ciErr, + const LoopROScalars& ro_scals, + const SobolArrays & sob_arrs, + const BrowBridgeArrays& bb_arrs, + const ModelArrays & md_arrs +) { + cl_int ciErr2; + size_t cur_size; + real_t* glb_vhat = NULL; + + { // 1. RO scalars + cur_size = sizeof(LoopROScalars); + ocl_arrs.ro_scals = clCreateBuffer( + cxGPUContext, CL_MEM_READ_ONLY, cur_size, NULL, &ciErr2 + ); + + ciErr = ciErr2; + ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, + cur_size, &ro_scals, 0, NULL, NULL); + } + + { // 2. Sobol RO Arrays + const SobolArrays& cpu_arrs = sob_arrs; + + cur_size = (UINT) ro_scals.num_under * ro_scals.num_dates * + ro_scals.sobol_bits * sizeof(UINT); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(sobol_dirvcts); + + cur_size+= ro_scals.chunk * sizeof(UCHAR); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(sobol_fix_ind); + } + + { // 3. BROWNIAN BRIDGE RO indirect arrays and data arrays + const BrowBridgeArrays& cpu_arrs = bb_arrs; + + cur_size = 3*ro_scals.num_dates*sizeof(UINT); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(bb_inds); + + cur_size = 3*ro_scals.num_dates*sizeof(real_t); + CREATE_AND_ENQUEUE_RO_CL_BUFFER(bb_data); + } + + { // 4. Various RO Model Data Arrays + const ModelArrays& cpu_arrs = md_arrs; + + cur_size = ro_scals.num_under * ( ro_scals.num_under + 2*ro_scals.num_dates + 1); + cur_size += ro_scals.num_cash_flows + ro_scals.num_det_pricers; + cur_size *= ro_scals.num_models * sizeof(real_t); + + CREATE_AND_ENQUEUE_RO_CL_BUFFER(md_c); + } + + { // 5. Finally, the WO Partial Result + //red_sz = getGlobalRedArrSize( ro_scal->mc_iter_num, ro_scal->CHUNK*ro_scal->BLOCK ); + cur_size = getWorkSize(ro_scals.num_gpuits, ro_scals.chunk, ro_scals.BLOCK) / ro_scals.BLOCK; + cur_size *= ro_scals.num_models * sizeof(real_t); + + glb_vhat = (real_t*)malloc(cur_size); + ocl_arrs.model_vhat = clCreateBuffer( + cxGPUContext, CL_MEM_WRITE_ONLY | CL_MEM_USE_HOST_PTR, + cur_size, glb_vhat, &ciErr2 + ); + ciErr |= ciErr2; + } + + // 2. the rest: priv_arr->sobol_last_num_vec/md_zd/inst_trajWF + // are implemented as __local (private) hence do not require + // global memory allocation. + + oclCheckError(ciErr, CL_SUCCESS); + + return glb_vhat; +} + + +void +runGPU_PRIV( + const LoopROScalars& ro_scals, + real_t* glb_vhat, + oclLoopArrays& dev_arr, + cl_command_queue& cqCommandQueue, + cl_program& cpProgram, + size_t* globalWorkSize, + size_t* localWorkSize +) { + cl_kernel ckGenPricing = NULL; // OpenCL kernel + cl_int ciErr1; + + size_t counter = 0, priv_sz = 0; // ro_scals + const int PRIV_MULT = sizeof(real_t)*ro_scals.BLOCK; + + ckGenPricing = clCreateKernel(cpProgram, "payoffGPU", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + // 1. RO SCALARS struct + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.ro_scals ); + + // 2. RO SOBOL ARR // + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.sobol_dirvcts); + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.sobol_fix_ind); + + // 3. RO BROWNIAN BRIDGE // + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.bb_inds); + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.bb_data); + + // 4. RO MD INSTANCE DATA // + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.md_c); + + // 5. GLOBAL WO Array // + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, sizeof(cl_mem), (void*)&dev_arr.model_vhat ); + + // 6. LOCAL (PRIVATE ARRAYS) MD_Z + priv_sz = PRIV_MULT*ro_scals.num_under*ro_scals.num_dates; + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, priv_sz, NULL); + + // 7. LOCAL (PRIVATE ARRAY) VHAT + priv_sz = PRIV_MULT * ro_scals.num_models; + ciErr1 |= clSetKernelArg(ckGenPricing, counter++, priv_sz, NULL); // model_vhat (the private one) + + oclCheckError(ciErr1, CL_SUCCESS); + + clFinish(cqCommandQueue); + struct timeval t_start, t_end, t_diff; unsigned long long elapsed; + gettimeofday(&t_start, NULL); + + // 8. ENQUEUE KERNEL!!! // + ciErr1 = clEnqueueNDRangeKernel(cqCommandQueue, ckGenPricing, 1, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL); + oclCheckError(ciErr1, CL_SUCCESS); + + clFinish(cqCommandQueue); + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + printf("KERNEL TIME IS: %llu\n\n", elapsed); + + gettimeofday(&t_start, NULL); + + // 9. FINALLY, WRITE BACK!!! // + priv_sz = (globalWorkSize[0]/ro_scals.BLOCK)*ro_scals.num_models*sizeof(real_t); + + ciErr1 |= clEnqueueReadBuffer(cqCommandQueue, dev_arr.model_vhat, CL_TRUE, 0, + priv_sz, glb_vhat, 0, NULL, NULL); + oclCheckError(ciErr1, CL_SUCCESS); + + clReleaseKernel(ckGenPricing); + + clFinish(cqCommandQueue); + gettimeofday(&t_end, NULL); + timeval_subtract(&t_diff, &t_end, &t_start); + elapsed = t_diff.tv_sec*1e6+t_diff.tv_usec; + printf("COPY-OUT and KERNEL RELEASE TIME IS: %llu\n\n", elapsed); +} + + +void reduceVHAT_CPU(const LoopROScalars& ro_scals, real_t* vhat, double* cpu_vhat ) { + // final reduction on CPU!!! + UINT SZ = getWorkSize(ro_scals.num_gpuits, ro_scals.chunk, ro_scals.BLOCK) / ro_scals.BLOCK; + + for( UINT ii = 0; ii 4" ); + UINT priv_sz = TILE * ro_scals.BLOCK * sizeof(real_t); + ciErr1 |= clSetKernelArg(ckGenPricing_traj, counter++, priv_sz, NULL); // local_space! + } +#endif + + ciErr1 |= clSetKernelArg(ckGenPricing_traj, counter++, sizeof(cl_mem), (void*)&dev_arr.md_z ); + ciErr1 |= clSetKernelArg(ckGenPricing_traj, counter++, sizeof(cl_mem), (void*)&dev_arr.md_zd); + + ciErr1 |= clEnqueueNDRangeKernel( cqCommandQueue, ckGenPricing_traj, 1, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + + + oclCheckError(ciErr1, CL_SUCCESS); + } + + { // final reduction! + //shrLog("Call Compute Reduction kernel on GPU...\n\n"); + counter = 0; + ckGenPricing_finred = clCreateKernel(cpProgram, "mlfi_reduction_step1", &ciErr1); + oclCheckError(ciErr1, CL_SUCCESS); + + ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.ro_scals ); + ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.md_c ); + + ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.md_zd ); + ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, sizeof(cl_mem), (void*)&dev_arr.model_vhat ); + + assert( (ro_scals.num_models <= TILE) && "Illegal dataset: num_models > 8" ); + UINT priv_sz = TILE * ro_scals.BLOCK * sizeof(real_t); + ciErr1 |= clSetKernelArg(ckGenPricing_finred, counter++, priv_sz, NULL); // local_space! + + ciErr1 |= clEnqueueNDRangeKernel( cqCommandQueue, ckGenPricing_finred, 1, NULL, + globalWorkSize, localWorkSize, 0, NULL, NULL ); + oclCheckError(ciErr1, CL_SUCCESS); + + ciErr1 |= clEnqueueReadBuffer( cqCommandQueue, dev_arr.model_vhat, CL_TRUE, 0, + globalWorkSize[0] * ro_scals.num_models * sizeof(real_t), + glb_vhat, 0, NULL, NULL); + oclCheckError(ciErr1, CL_SUCCESS); + } + + clReleaseKernel(ckGenPricing_sobol ); + clReleaseKernel(ckGenPricing_invg ); + clReleaseKernel(ckGenPricing_brown ); + clReleaseKernel(ckGenPricing_traj ); + clReleaseKernel(ckGenPricing_finred); +} + +#endif // GPU_HELPERS + diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json new file mode 100644 index 0000000..00bdffb --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json @@ -0,0 +1,3 @@ +{ + "REAL_TYPE" : ["float", "double"] +} diff --git a/benchmarks/OptionPricing/lib/include/Optimizations.h b/benchmarks/OptionPricing/lib/include/Optimizations.h index 76bd4fd..bf04f3a 100644 --- a/benchmarks/OptionPricing/lib/include/Optimizations.h +++ b/benchmarks/OptionPricing/lib/include/Optimizations.h @@ -1,7 +1,6 @@ #ifndef OPTIMISATIONS #define OPTIMISATIONS -#define _OPTIMIZATION_USE_FLOATS 1 #define _OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV 0 // cost model: 0, vectorized: 1, privatized: 2 #define _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR #define _OPTIMIZATION_MEM_COALES_ON From 997e33d9792b6b7887c7135f333df2ca34d8643b Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 13:48:18 +0200 Subject: [PATCH 084/122] Fix typo. --- lib/setup.mk | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/lib/setup.mk b/lib/setup.mk index c064870..e46bec8 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -24,6 +24,6 @@ else INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include endif -CXXFLAGS += -DIMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION_DIR)"' +CXXFLAGS += -DHIPERMARK_IMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION_DIR)"' CXXFLAGS += -DHIPERMARK_BENCHMARK_LIB_DIR='"$(HIPERMARK_BENCHMARK_LIB_DIR)"' CXXFLAGS += -DHIPERMARK_LIB_DIR='"$(HIPERMARK_LIB_DIR)"' From 8f1303aaac5f0384d361d83ec3876228a96d2d86 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 13:55:37 +0200 Subject: [PATCH 085/122] Fix typo. --- .../implementations/cpp_opencl/GenericPricingVectOpt.cl | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl index 39cf5d1..cb58fa0 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl @@ -2,7 +2,7 @@ /************* MACROS ***************/ /************************************/ -#define TYPE real_T +#define TYPE real_t #define FLAG uchar #include "Utilities.cl" From 5d8e766812f7ee38beddf46d2b102fc1f8dc07a3 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 13:58:47 +0200 Subject: [PATCH 086/122] ULONG -> unsigned long. --- .../implementations/cpp_opencl/GenericPricingVectOpt.cl | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl index cb58fa0..b716bab 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectOpt.cl @@ -291,7 +291,7 @@ __kernel void mlfi_brownianbridge_wiener_path1( __constant int *bb_li, *bb_bi, *bb_ri; __constant real_t *bb_rw, *bb_lw, *bb_sd; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; UINT m, i, md_dim = ro_scal->num_under << lgWARP, nb_path_dates = ro_scal->num_dates; UINT sobol_dim = ro_scal->num_under * nb_path_dates; @@ -362,7 +362,7 @@ __kernel void mlfi_comp_traj1( UINT dim = ro_scal->num_under; UINT dim_sq = dim*dim; UINT dim_paths = dim*ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; UINT UB = ( cur_it+(1<log_chunk) < ro_scal->num_gpuits) ? cur_it+(1<log_chunk) : ro_scal->num_gpuits ; @@ -455,7 +455,7 @@ __kernel void mlfi_comp_traj_unopt( UINT dim = ro_scal->num_under; UINT dim_sq = dim*dim; UINT dim_paths = dim*ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; UINT UB = ( cur_it+(1<log_chunk) < ro_scal->num_gpuits ) ? cur_it+(1<log_chunk) : ro_scal->num_gpuits ; @@ -529,7 +529,7 @@ __kernel void mlfi_reduction_step1( UINT j; uint block_size = get_local_size(0); int sobol_dim = ro_scal->num_under * ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; UINT UB = ( cur_it + (1<log_chunk) < ro_scal->num_gpuits) ? cur_it + (1<log_chunk) : ro_scal->num_gpuits ; From 0d82a27abe424158a5934d3ad17c0543351a8234 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 14:37:03 +0200 Subject: [PATCH 087/122] Dynamic thread count selection. --- .../cpp_openmp/dynamic_configuration_template.json | 2 +- .../cpp_openclmp_all/dynamic_configuration_template.json | 2 +- .../cpp_openclmp_outer/dynamic_configuration_template.json | 2 +- .../cpp_openmp_naive/dynamic_configuration_template.json | 2 +- .../cpp_openmp/dynamic_configuration_template.json | 2 +- 5 files changed, 5 insertions(+), 5 deletions(-) diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json b/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json index 14298aa..713ae01 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/dynamic_configuration_template.json @@ -1 +1 @@ -{"NUM_THREADS": [1,2,3,4]} +{ "NUM_THREADS": "ncpus" } diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/dynamic_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/dynamic_configuration_template.json index 14298aa..713ae01 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/dynamic_configuration_template.json +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/dynamic_configuration_template.json @@ -1 +1 @@ -{"NUM_THREADS": [1,2,3,4]} +{ "NUM_THREADS": "ncpus" } diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/dynamic_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/dynamic_configuration_template.json index 14298aa..713ae01 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/dynamic_configuration_template.json +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/dynamic_configuration_template.json @@ -1 +1 @@ -{"NUM_THREADS": [1,2,3,4]} +{ "NUM_THREADS": "ncpus" } diff --git a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/dynamic_configuration_template.json b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/dynamic_configuration_template.json index 14298aa..713ae01 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/dynamic_configuration_template.json +++ b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/dynamic_configuration_template.json @@ -1 +1 @@ -{"NUM_THREADS": [1,2,3,4]} +{ "NUM_THREADS": "ncpus" } diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json index 14298aa..713ae01 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json @@ -1 +1 @@ -{"NUM_THREADS": [1,2,3,4]} +{ "NUM_THREADS": "ncpus" } From f8e0ae52320ef57a3e1bf40577da48f153025a08 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 15:29:33 +0200 Subject: [PATCH 088/122] Fix typo. --- benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h b/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h index 864bc1c..d877ce3 100644 --- a/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/UtilGPGPU.h @@ -189,7 +189,7 @@ void compileGPUprog( OclObjects& objs ) { sprintf( compile_option, "%s -D lgWARP=%d -D TODAY=%10f -D LWG_FB=%d -D INFTY=%f -D MAX_DATE=%f -D MIN_DATE=%f -D SOBOL_BITS_NUM=%d -D%s -I%s/include -I%s/include -I%s/SrcCL", flags, lgWARP, TODAY, LWG_FB, INFTY, MAX_DATE, MIN_DATE, NUM_SOBOL_BITS, REAL_FLAG, - HIPERMARK_BENCHMARK_LIB_DIR, HIPERMARK_LIB_DIR, IMPLEMENTATION_DIR); + HIPERMARK_BENCHMARK_LIB_DIR, HIPERMARK_LIB_DIR, HIPERMARK_IMPLEMENTATION_DIR); fprintf(stderr, "compiling like this: %s\n", compile_option); objs.dev_id = 0; From 92ff1d121a1d52848fb903ec5a2072485b0212b2 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Mon, 24 Aug 2015 15:39:45 +0200 Subject: [PATCH 089/122] Fix large dataset reference output. --- .../InterestCalib/datasets/large/output.json | 392 +++++++++--------- 1 file changed, 196 insertions(+), 196 deletions(-) diff --git a/benchmarks/InterestCalib/datasets/large/output.json b/benchmarks/InterestCalib/datasets/large/output.json index a82736c..19162b3 100644 --- a/benchmarks/InterestCalib/datasets/large/output.json +++ b/benchmarks/InterestCalib/datasets/large/output.json @@ -7,201 +7,201 @@ "lg_likelyhood": 504.367344, "swaption_calibration_result": [ - [ 74.172585 , 115.320470 , 35.681337 ], - [ 100.626570 , 162.945479 , 38.245252 ], - [ 118.719023 , 174.297729 , 31.887223 ], - [ 132.735321 , 171.631308 , 22.662524 ], - [ 143.164628 , 168.408756 , 14.989796 ], - [ 151.813418 , 168.310831 , 9.801754 ], - [ 158.832697 , 169.877089 , 6.501402 ], - [ 164.984854 , 172.511293 , 4.362868 ], - [ 169.170571 , 172.824865 , 2.114449 ], - [ 172.872471 , 172.561368 , 0.180286 ], - [ 181.530751 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[20.0,6.0, 2.0, 0.28195], + [25.0,6.0, 2.0, 0.26845], + [30.0,6.0, 2.0, 0.20995], + + [1.0, 6.0, 3.0, 0.5835], + [2.0, 6.0, 3.0, 0.49255], + [3.0, 6.0, 3.0, 0.42825], + [4.0, 6.0, 3.0, 0.3695], + [5.0, 6.0, 3.0, 0.329], + [6.0, 6.0, 3.0, 0.3022], + [7.0, 6.0, 3.0, 0.28165], + [8.0, 6.0, 3.0, 0.26615], + [9.0, 6.0, 3.0, 0.25485], + [10.0,6.0, 3.0, 0.24375], + [15.0,6.0, 3.0, 0.2718], + [20.0,6.0, 3.0, 0.28135], + [25.0,6.0, 3.0, 0.26865], + [30.0,6.0, 3.0, 0.2131], + + [1.0, 6.0, 4.0, 0.5415], + [2.0, 6.0, 4.0, 0.46235], + [3.0, 6.0, 4.0, 0.403], + [4.0, 6.0, 4.0, 0.3559], + [5.0, 6.0, 4.0, 0.3232], + [6.0, 6.0, 4.0, 0.29675], + [7.0, 6.0, 4.0, 0.27715], + [8.0, 6.0, 4.0, 0.26385], + [9.0, 6.0, 4.0, 0.254], + [10.0,6.0, 4.0, 0.2454], + [15.0,6.0, 4.0, 0.27845], + [20.0,6.0, 4.0, 0.2821], + [25.0,6.0, 4.0, 0.2678], + [30.0,6.0, 4.0, 0.2131], + + [1.0, 6.0, 5.0, 0.517], + [2.0, 6.0, 5.0, 0.446], + [3.0, 6.0, 5.0, 0.3903], + [4.0, 6.0, 5.0, 0.34755], + [5.0, 6.0, 5.0, 0.3166], + [6.0, 6.0, 5.0, 0.29305], + [7.0, 6.0, 5.0, 0.2745], + [8.0, 6.0, 5.0, 0.2639], + [9.0, 6.0, 5.0, 0.2534], + [10.0, 6.0, 5.0, 0.2499], + [15.0, 6.0, 5.0, 0.28315], + [20.0, 6.0, 5.0, 0.2825], + [25.0, 6.0, 5.0, 0.277], + [30.0, 6.0, 5.0, 0.21175], + + [1.0, 6.0, 6.0, 0.478], + [2.0, 6.0, 6.0, 0.42105], + [3.0, 6.0, 6.0, 0.37715], + [4.0, 6.0, 6.0, 0.3378], + [5.0, 6.0, 6.0, 0.311], + [6.0, 6.0, 6.0, 0.2895], + [7.0, 6.0, 6.0, 0.2745], + [8.0, 6.0, 6.0, 0.264], + [9.0, 6.0, 6.0, 0.2573], + [10.0, 6.0, 6.0, 0.25475], + [15.0, 6.0, 6.0, 0.28815], + [20.0, 6.0, 6.0, 0.28195], + [25.0, 6.0, 6.0, 0.26015], + [30.0, 6.0, 6.0, 0.2097], + + [1.0, 6.0, 7.0, 0.452], + [2.0, 6.0, 7.0, 0.4074], + [3.0, 6.0, 7.0, 0.368], + [4.0, 6.0, 7.0, 0.3307], + [5.0, 6.0, 7.0, 0.30645], + [6.0, 6.0, 7.0, 0.2877], + [7.0, 6.0, 7.0, 0.27475], + [8.0, 6.0, 7.0, 0.2664], + [9.0, 6.0, 7.0, 0.26155], + [10.0, 6.0, 7.0, 0.26035], + [15.0, 6.0, 7.0, 0.292], + [20.0, 6.0, 7.0, 0.2825], + [25.0, 6.0, 7.0, 0.25685], + [30.0, 6.0, 7.0, 0.2081], + + [1.0, 6.0, 8.0, 0.43395], + [2.0, 6.0, 8.0, 0.39445], + [3.0, 6.0, 8.0, 0.35885], + [4.0, 6.0, 8.0, 0.3281], + [5.0, 6.0, 8.0, 0.30395], + [6.0, 6.0, 8.0, 0.28745], + [7.0, 6.0, 8.0, 0.2767], + [8.0, 6.0, 8.0, 0.27065], + [9.0, 6.0, 8.0, 0.26625], + [10.0, 6.0, 8.0, 0.26625], + [15.0, 6.0, 8.0, 0.2921], + [20.0, 6.0, 8.0, 0.2814], + [25.0, 6.0, 8.0, 0.25265], + [30.0, 6.0, 8.0, 0.2083], + + [1.0, 6.0, 9.0, 0.42285], + [2.0, 6.0, 9.0, 0.3857], + [3.0, 6.0, 9.0, 0.3521], + [4.0, 6.0, 9.0, 0.3239], + [5.0, 6.0, 9.0, 0.30285], + [6.0, 6.0, 9.0, 0.2895], + [7.0, 6.0, 9.0, 0.2799], + [8.0, 6.0, 9.0, 0.27485], + [9.0, 6.0, 9.0, 0.2712], + [10.0, 6.0, 9.0, 0.27205], + [15.0, 6.0, 9.0, 0.29205], + [20.0, 6.0, 9.0, 0.27855], + [25.0, 6.0, 9.0, 0.24945], + [30.0, 6.0, 9.0, 0.219], + + [1.0, 6.0, 10.0, 0.41765], + [2.0, 6.0, 10.0, 0.38095], + [3.0, 6.0, 10.0, 0.34795], + [4.0, 6.0, 10.0, 0.3217], + [5.0, 6.0, 10.0, 0.30365], + [6.0, 6.0, 10.0, 0.2916], + [7.0, 6.0, 10.0, 0.2842], + [8.0, 6.0, 10.0, 0.27985], + [9.0, 6.0, 10.0, 0.2769], + [10.0, 6.0, 10.0, 0.2775], + [15.0, 6.0, 10.0, 0.306], + [20.0, 6.0, 10.0, 0.2763], + [25.0, 6.0, 10.0, 0.2458], + [30.0, 6.0, 10.0, 0.22], + + [1.0, 6.0, 15.0, 0.37905], + [2.0, 6.0, 15.0, 0.35465], + [3.0, 6.0, 15.0, 0.33505], + [4.0, 6.0, 15.0, 0.31725], + [5.0, 6.0, 15.0, 0.3008], + [6.0, 6.0, 15.0, 0.29075], + [7.0, 6.0, 15.0, 0.28365], + [8.0, 6.0, 15.0, 0.2787], + [9.0, 6.0, 15.0, 0.27385], + [10.0, 6.0, 15.0, 0.2709], + [15.0, 6.0, 15.0, 0.2689], + [20.0, 6.0, 15.0, 0.24225], + [25.0, 6.0, 15.0, 0.2096], + [30.0, 6.0, 15.0, 0.18285], + + [1.0, 6.0, 20.0, 0.37975], + [2.0, 6.0, 20.0, 0.3605], + [3.0, 6.0, 20.0, 0.3407], + [4.0, 6.0, 20.0, 0.321], + [5.0, 6.0, 20.0, 0.3063], + [6.0, 6.0, 20.0, 0.29315], + [7.0, 6.0, 20.0, 0.28395], + [8.0, 6.0, 20.0, 0.2777], + [9.0, 6.0, 20.0, 0.27205], + [10.0, 6.0, 20.0, 0.26675], + [15.0, 6.0, 20.0, 0.24875], + [20.0, 6.0, 20.0, 0.21735], + [25.0, 6.0, 20.0, 0.1939], + [30.0, 6.0, 20.0, 0.17205], + + [1.0, 6.0, 25.0, 0.38115], + [2.0, 6.0, 25.0, 0.3627], + [3.0, 6.0, 25.0, 0.34425], + [4.0, 6.0, 25.0, 0.3222], + [5.0, 6.0, 25.0, 0.3084], + [6.0, 6.0, 25.0, 0.2941], + [7.0, 6.0, 25.0, 0.28285], + [8.0, 6.0, 25.0, 0.2751], + [9.0, 6.0, 25.0, 0.2663], + [10.0, 6.0, 25.0, 0.26055], + [15.0, 6.0, 25.0, 0.2338], + [20.0, 6.0, 25.0, 0.20735], + [25.0, 6.0, 25.0, 0.1823], + [30.0, 6.0, 25.0, 0.1686], [1.0, 6.0, 30.0, 0.38285], [2.0, 6.0, 30.0, 0.3633], @@ -217,18 +217,19 @@ "num_hermite_coefficients": 11, "hermite_coefficients": - [ 0.0, 0.6568095668820999044613, -0.6568095668820997934390, - -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, - -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, - 3.6684708465595856630159, -3.6684708465595838866591 + [ + 0.0, 0.6568095668820999044613, -0.6568095668820997934390, + -1.3265570844949334805563, 1.3265570844949330364670, 2.0259480158257567872226, + -2.0259480158257558990442, -2.7832900997816496513337, 2.7832900997816474308877, + 3.6684708465595856630159, -3.6684708465595838866591 ], "hermite_coefficient_weights": [ - 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, - 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, - 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, - 1.0065267861723647957461, 1.0065267861723774522886 + 0.6547592869145917315876, 0.6609604194409607336169, 0.6609604194409606225946, + 0.6812118810666693002887, 0.6812118810666689672217, 0.7219536247283847574252, + 0.7219536247283852015144, 0.8025168688510405656800, 0.8025168688510396775015, + 1.0065267861723647957461, 1.0065267861723774522886 ], "sobol_num_bits": 30, From 9c329ec253bc06e5c0e564a4fca03cd0ad000f84 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Wed, 26 Aug 2015 12:43:16 +0200 Subject: [PATCH 091/122] Improve readDouble. --- .../OptionPricing/implementations/haskell_lh/GenPricing.hs | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs index e348336..1d76f64 100644 --- a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs +++ b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs @@ -33,6 +33,9 @@ import qualified Data.Vector.Unboxed as V signed :: Parser String -> Parser String signed p = (char '-' >> (('-':) <$> p)) <|> p +exponented :: Parser String -> Parser String +exponented p = (++) <$> p <*> (((:) <$> oneOf "eE" <*> signed (many1 digit)) <|> pure "") + whitespace :: Parser () whitespace = spaces <* optional (string "//" >> manyTill anyChar (char '\n') >> whitespace) @@ -46,7 +49,7 @@ readInt :: Parser Int readInt = lexeme $ read <$> signed (many1 digit) readDouble :: Parser Double -readDouble = lexeme $ read <$> signed (s2 <|> s1) +readDouble = lexeme $ read <$> exponented (signed $ s2 <|> s1) where s1 = do bef <- many1 digit aft <- fromMaybe "" <$> optional ((:) <$> char '.' <*> many1 digit) return $ bef ++ aft From a8596fe33154a74762a912d80141220eb9240634 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Wed, 26 Aug 2015 14:19:45 +0200 Subject: [PATCH 092/122] Remove the data targets. --- .../implementations/cpp_opencl/Makefile | 6 +---- .../implementations/cpp_openmp/Makefile | 6 +---- .../cpp_openmp/instantiate_data | 7 ----- .../implementations/cpp_openmp/run | 3 --- .../implementations/cpp_sequential/Makefile | 6 +---- .../implementations/haskell_lh/Makefile | 6 +---- .../implementations/cpp_openclmp_all/Makefile | 6 +---- .../cpp_openclmp_outer/Makefile | 6 +---- .../implementations/cpp_openmp_naive/Makefile | 6 +---- .../implementations/cpp_sequential/Makefile | 7 ++--- .../implementations/haskell_lh/Makefile | 6 +---- .../implementations/cpp_opencl/Makefile | 6 +---- .../implementations/cpp_openmp/Makefile | 6 +---- .../implementations/cpp_openmp/instantiate | 26 ------------------- .../cpp_openmp/instantiate_data | 7 ----- .../implementations/cpp_openmp/run | 3 --- .../implementations/cpp_sequential/Makefile | 6 +---- .../implementations/haskell_lh/Makefile | 6 +---- 18 files changed, 14 insertions(+), 111 deletions(-) delete mode 100755 benchmarks/InterestCalib/implementations/cpp_openmp/instantiate_data delete mode 100755 benchmarks/InterestCalib/implementations/cpp_openmp/run delete mode 100755 benchmarks/OptionPricing/implementations/cpp_openmp/instantiate delete mode 100755 benchmarks/OptionPricing/implementations/cpp_openmp/instantiate_data delete mode 100755 benchmarks/OptionPricing/implementations/cpp_openmp/run diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile index 3698123..2d4f7e1 100644 --- a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile @@ -37,10 +37,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ ./$(EXECUTABLE) diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile index a97de36..20acfd5 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile @@ -29,10 +29,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate_data b/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate_data deleted file mode 100755 index b8ccb2b..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/instantiate_data +++ /dev/null @@ -1,7 +0,0 @@ -#!/bin/sh - -set -e - -mkdir -p datasets/$HIPERMARK_INPUT_NAME - -$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/run b/benchmarks/InterestCalib/implementations/cpp_openmp/run deleted file mode 100755 index ff0deb0..0000000 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/run +++ /dev/null @@ -1,3 +0,0 @@ -#!/bin/sh -#export OMP_NUM_THREADS=$NCORES -cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./SwapCalib diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile index 1b4da85..b92c38a 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile @@ -25,10 +25,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ ./$(EXECUTABLE) diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile index 5a66b3c..cb64a37 100644 --- a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile @@ -17,10 +17,6 @@ $(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ ./$(EXECUTABLE) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile index ddba0b5..46fb61e 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile @@ -46,10 +46,6 @@ clean: @# clean nVidia compiler cache rm -rf $(HOME)/.nv/ComputeCache/* -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile index fec72d5..b107ef7 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile @@ -46,10 +46,6 @@ clean: @# clean nVidia compiler cache rm -rf $(HOME)/.nv/ComputeCache/* -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile index 119dd37..8e66db2 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile @@ -25,10 +25,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile index 9f825b4..3117932 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile @@ -34,9 +34,6 @@ run_large: $(EXECUTABLE) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ + ./$(EXECUTABLE) diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile index 6f5e944..01e013a 100644 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile +++ b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile @@ -15,9 +15,5 @@ $(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) clean: rm $(EXECUTABLE) *o *hi -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) outer num_x num_y num_t > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | ./$(EXECUTABLE) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile index 9c7d431..b52b3fd 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile @@ -37,10 +37,6 @@ clean: @# clean nVidia compiler cache rm -rf $(HOME)/.nv/ComputeCache/* -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile b/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile index 7447ebf..0b6e2ab 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile @@ -26,10 +26,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate b/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate deleted file mode 100755 index 009dae1..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/instantiate +++ /dev/null @@ -1,26 +0,0 @@ -#!/bin/sh - -set -e - -cp $HIPERMARK_LIB_DIR/setup.mk . -cp $HIPERMARK_LIB_DIR/include/ParserC.h . -cp $HIPERMARK_LIB_DIR/include/Util.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Constants.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/Optimizations.h . -cp $HIPERMARK_BENCHMARK_LIB_DIR/include/ParseInput.h . -cp $HIPERMARK_IMPLEMENTATION_DIR/*cpp $HIPERMARK_IMPLEMENTATION/*h $HIPERMARK_IMPLEMENTATION/Makefile . -cp $HIPERMARK_IMPLEMENTATION_DIR/run . - -#$HIPERMARK_LIB_DIR/linearise_data.py $HIPERMARK_INPUT contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > input.data -$HIPERMARK_LIB_DIR/generate_platform_mk.py $HIPERMARK_PLATFORM > platform.mk -#NCORES=$($HIPERMARK_LIB_DIR/json_get.py $HIPERMARK_PLATFORM num_cores) - -# cat > run < datasets/$HIPERMARK_INPUT_NAME/input.data diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/run b/benchmarks/OptionPricing/implementations/cpp_openmp/run deleted file mode 100755 index 22d7e81..0000000 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/run +++ /dev/null @@ -1,3 +0,0 @@ -#!/bin/sh -#export OMP_NUM_THREADS=$NCORES -cat datasets/$HIPERMARK_INPUT_NAME/input.data | ./GenPricing \ No newline at end of file diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile index 7808673..4a6677d 100644 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile @@ -26,10 +26,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ ./$(EXECUTABLE) diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/Makefile b/benchmarks/OptionPricing/implementations/haskell_lh/Makefile index afdc764..4e30a00 100644 --- a/benchmarks/OptionPricing/implementations/haskell_lh/Makefile +++ b/benchmarks/OptionPricing/implementations/haskell_lh/Makefile @@ -17,10 +17,6 @@ $(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -data: $(HIPERMARK_INPUT) - mkdir -p datasets/$(HIPERMARK_INPUT_NAME) - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data > datasets/$(HIPERMARK_INPUT_NAME)/input.data - run: - cat datasets/$(HIPERMARK_INPUT_NAME)/input.data | \ + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ ./$(EXECUTABLE) From 796556c611e2adc9fa58f9d2e225a7db4e4371b5 Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 26 Aug 2015 21:32:06 +0200 Subject: [PATCH 093/122] Fixed run script for InterestCalib --- run_hipermark_InterestCalib | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/run_hipermark_InterestCalib b/run_hipermark_InterestCalib index 3a55487..74ef13a 100755 --- a/run_hipermark_InterestCalib +++ b/run_hipermark_InterestCalib @@ -2,8 +2,8 @@ clear echo Deleting all files in instantiations/InterestCalib -echo Running hipermark InterestCalib CppOpenMP small dataset, 2 times. +echo Running hipermark InterestCalib cpp_openmp small dataset, 2 times. echo Storing all results in instantiations/ rm -rf instantiations/InterestCalib -../hipermark/hipermark instantiations/ 2 benchmarks/InterestCalib CppOpenMP small \ No newline at end of file +../hipermark/hipermark instantiations/ 2 benchmarks/InterestCalib cpp_openmp small From bd320d7ba98c4eece9829b6b4897af5a5ebb7056 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Fri, 28 Aug 2015 15:23:21 +0200 Subject: [PATCH 094/122] Make hipermark a submodule. --- .gitmodules | 3 +++ hipermark | 1 + 2 files changed, 4 insertions(+) create mode 100644 .gitmodules create mode 160000 hipermark diff --git a/.gitmodules b/.gitmodules new file mode 100644 index 0000000..f7271f0 --- /dev/null +++ b/.gitmodules @@ -0,0 +1,3 @@ +[submodule "hipermark"] + path = hipermark + url = https://github.com/HIPERFIT/hipermark.git diff --git a/hipermark b/hipermark new file mode 160000 index 0000000..bee8804 --- /dev/null +++ b/hipermark @@ -0,0 +1 @@ +Subproject commit bee88042ae09c79bf534d1c44eea2492a3aadf39 From 6ed9d2a5241079f912fba8e85e9913906eb5d42d Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 1 Sep 2015 16:15:40 +0200 Subject: [PATCH 095/122] Add ad-hoc run_%s targets. --- .gitignore | 4 ++++ .../implementations/cpp_opencl/Makefile | 6 +++--- .../implementations/cpp_openmp/.gitignore | 1 + .../implementations/cpp_openmp/Makefile | 8 +++++--- .../implementations/cpp_openmp/SwapCalib | Bin 85584 -> 75880 bytes .../implementations/cpp_sequential/Makefile | 6 +++--- .../implementations/haskell_lh/Makefile | 6 +++--- .../implementations/cpp_openclmp_all/Makefile | 17 +++++------------ .../cpp_openclmp_outer/Makefile | 17 +++++------------ .../implementations/cpp_openmp_naive/Makefile | 8 +++++--- .../implementations/cpp_sequential/Makefile | 15 +++------------ .../implementations/haskell_lh/Makefile | 5 +++-- .../implementations/cpp_opencl/Makefile | 6 +++--- .../implementations/cpp_openmp/.gitignore | 1 + .../implementations/cpp_openmp/Makefile | 8 +++++--- .../implementations/cpp_sequential/.gitignore | 1 + .../implementations/cpp_sequential/Makefile | 10 +++++----- .../implementations/haskell_lh/.gitignore | 1 + .../implementations/haskell_lh/Makefile | 6 +++--- lib/flat_data_helper.mk | 16 ++++++++++++++++ lib/setup.mk | 4 ++-- 21 files changed, 77 insertions(+), 69 deletions(-) create mode 100644 benchmarks/InterestCalib/implementations/cpp_openmp/.gitignore create mode 100644 benchmarks/OptionPricing/implementations/cpp_openmp/.gitignore create mode 100644 benchmarks/OptionPricing/implementations/cpp_sequential/.gitignore create mode 100644 benchmarks/OptionPricing/implementations/haskell_lh/.gitignore create mode 100644 lib/flat_data_helper.mk diff --git a/.gitignore b/.gitignore index 7c68cb7..ace4b3b 100644 --- a/.gitignore +++ b/.gitignore @@ -20,6 +20,10 @@ GenericPricing/HaskellLH/GenPricing GenericPricing/Orig_COpenMp/GenPricing CalibVolDiff/Original/CalibVol +# Ad-hoc run artifacts +benchmarks/*/implementations/*/result.json +benchmarks/*/implementations/*/runtime.txt + # all instantiations instantiations/* diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile index 2d4f7e1..5c0f9a4 100644 --- a/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/Makefile @@ -37,6 +37,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/.gitignore b/benchmarks/InterestCalib/implementations/cpp_openmp/.gitignore new file mode 100644 index 0000000..cd95011 --- /dev/null +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/.gitignore @@ -0,0 +1 @@ +GenPricing diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile index 20acfd5..da969e5 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/Makefile @@ -29,6 +29,8 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ - OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs +ifdef HIPERMARK_CONFIG_NUM_THREADS + HIPERMARK_RUN_ENVIRONMENT=OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) +endif +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib index b8aafbb55bf017f712e1f7c2f0946e2efacb952b..e3164b771260a352a713f589cb1a5025b07f8a58 100755 GIT binary patch literal 75880 zcmdqK4R}<=^*_FwWFaE!-5}AZM3%a=2_={)v_whG!bWd2Xp|t?8WWI!q#{yC5Uo{U zH{f;MN-MRtwU)NFwcpy-TD3qe$%dB%d?CCj2r3cZ?h+70g@{UipU;_lHyb3a{k}ZU 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zofH_d8Z>m4RWtz44*V#+#-?^&tXHPD=O8lfvBdewyA!|o^xCTCKoj=?9nMn0`(&ma*{~FEVr1aW3HJgE`#_F2`_#>cNNKsydm#T`|5Ix#CmgCa} zX0p7K^Zz5#U}-j*UOOKXmg$r6lf&;IE#;);ubnR&{etN~Kw8pWExmS*?u<;YRjj7p zTK-zO&Lripowqyl)v@KLrPtiQC8dv^%Tq;qi*SG?9xa{bPCz`NX#88``nF|;NSJK@ zwR9T2$v`8RmR{ShT`kl1YKYR+%B_K?$ox$jK)PCbdlFo571JYXrdr=I~_#bNdA%;iYga_-W=(7~vGQ-6Ez+Bl3Y?t({{_0(Go1hc diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile index b92c38a..a177855 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/Makefile @@ -25,6 +25,6 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile index cb64a37..3bc2035 100644 --- a/benchmarks/InterestCalib/implementations/haskell_lh/Makefile +++ b/benchmarks/InterestCalib/implementations/haskell_lh/Makefile @@ -17,6 +17,6 @@ $(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=population_size convergence_iterations num_swaption_quotes swaption_quotes num_hermite_coefficients hermite_coefficients hermite_coefficient_weights sobol_num_bits sobol_dir_vs +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile index 46fb61e..cd0ad0e 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/Makefile @@ -32,20 +32,13 @@ $(EXECUTABLE): $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) -run_small: - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt @# clean nVidia compiler cache rm -rf $(HOME)/.nv/ComputeCache/* -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ - OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=outer num_x num_y num_t +ifdef HIPERMARK_CONFIG_NUM_THREADS + HIPERMARK_RUN_ENVIRONMENT=OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) +endif +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile index b107ef7..65c467d 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/Makefile @@ -32,20 +32,13 @@ $(EXECUTABLE): $(CXX) $(CXXFLAGS) -D IS_GPU=1 $(GPU_OPTS) $(INCLUDES) -o $(EXECUTABLE) $(SOURCES_CPP) $(LIB) -run_small: - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: rm -f $(EXECUTABLE) $(OBJECTS) ./*.ptx ./Debug.txt @# clean nVidia compiler cache rm -rf $(HOME)/.nv/ComputeCache/* -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ - OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=outer num_x num_y num_t +ifdef HIPERMARK_CONFIG_NUM_THREADS + HIPERMARK_RUN_ENVIRONMENT=OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) +endif +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile index 8e66db2..d1fe958 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/Makefile @@ -25,6 +25,8 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ - OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=outer num_x num_y num_t +ifdef HIPERMARK_CONFIG_NUM_THREADS + HIPERMARK_RUN_ENVIRONMENT=OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) +endif +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile index 3117932..98a8a4f 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile +++ b/benchmarks/LocVolCalib/implementations/cpp_sequential/Makefile @@ -22,18 +22,9 @@ default: $(EXECUTABLE) $(EXECUTABLE): $(OBJECTS) $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) -run_small: $(EXECUTABLE) - cat ../Data/Small/input.data ../Data/Small/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_medium: $(EXECUTABLE) - cat ../Data/Medium/input.data ../Data/Medium/output.data | ./$(EXECUTABLE) 2> Debug.txt - -run_large: $(EXECUTABLE) - cat ../Data/Large/input.data ../Data/Large/output.data | ./$(EXECUTABLE) 2> Debug.txt - clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=outer num_x num_y num_t +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile index 01e013a..4d1215c 100644 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile +++ b/benchmarks/LocVolCalib/implementations/haskell_lh/Makefile @@ -15,5 +15,6 @@ $(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) clean: rm $(EXECUTABLE) *o *hi -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) outer num_x num_y num_t | ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=outer num_x num_y num_t +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile index b52b3fd..0e574b2 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile @@ -37,6 +37,6 @@ clean: @# clean nVidia compiler cache rm -rf $(HOME)/.nv/ComputeCache/* -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/.gitignore b/benchmarks/OptionPricing/implementations/cpp_openmp/.gitignore new file mode 100644 index 0000000..cf8c610 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/.gitignore @@ -0,0 +1 @@ +GenPricing \ No newline at end of file diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile b/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile index 0b6e2ab..b0e249b 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/Makefile @@ -26,6 +26,8 @@ $(EXECUTABLE): $(OBJECTS) clean: rm -f $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ - OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data +ifdef HIPERMARK_CONFIG_NUM_THREADS + HIPERMARK_RUN_ENVIRONMENT=OMP_NUM_THREADS=$(HIPERMARK_CONFIG_NUM_THREADS) +endif +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/.gitignore b/benchmarks/OptionPricing/implementations/cpp_sequential/.gitignore new file mode 100644 index 0000000..cf8c610 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/.gitignore @@ -0,0 +1 @@ +GenPricing \ No newline at end of file diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile index 4a6677d..bfe027c 100644 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/Makefile @@ -18,14 +18,14 @@ EXECUTABLE =GenPricing default: $(EXECUTABLE) %.o: $(HIPERMARK_IMPLEMENTATION_DIR)/%.cpp $(HELPERS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -c -o $@ $< + $(CXX) $(CXXFLAGS) -g $(INCLUDES) -c -o $@ $< $(EXECUTABLE): $(OBJECTS) - $(CXX) $(CXXFLAGS) $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) + $(CXX) $(CXXFLAGS) -g $(INCLUDES) -o $(EXECUTABLE) $(OBJECTS) clean: rm -f $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/.gitignore b/benchmarks/OptionPricing/implementations/haskell_lh/.gitignore new file mode 100644 index 0000000..cf8c610 --- /dev/null +++ b/benchmarks/OptionPricing/implementations/haskell_lh/.gitignore @@ -0,0 +1 @@ +GenPricing \ No newline at end of file diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/Makefile b/benchmarks/OptionPricing/implementations/haskell_lh/Makefile index 4e30a00..9f88571 100644 --- a/benchmarks/OptionPricing/implementations/haskell_lh/Makefile +++ b/benchmarks/OptionPricing/implementations/haskell_lh/Makefile @@ -17,6 +17,6 @@ $(EXECUTABLE): $(HIPERMARK_IMPLEMENTATION_DIR)/$(SOURCES) clean: rm -f Debug.txt $(EXECUTABLE) $(OBJECTS) -run: - $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data | \ - ./$(EXECUTABLE) +HIPERMARK_DATA_FIELDS=contract_number monte_carlo_iterations num_path_dates num_underlyings num_models num_bits dir_vs md_c md_vols md_drifts md_starts md_deterministic_values md_discounts bb_inds bb_data +HIPERMARK_RUN_ENVIRONMENT= +include $(HIPERMARK_LIB_DIR)/flat_data_helper.mk diff --git a/lib/flat_data_helper.mk b/lib/flat_data_helper.mk new file mode 100644 index 0000000..e2d461e --- /dev/null +++ b/lib/flat_data_helper.mk @@ -0,0 +1,16 @@ +# Utility makefile definitions for conveniently defining run targets +# (with some assumptions). + +AD_HOC_RUNTIME_FILE=runtime.txt +AD_HOC_RESULT_FILE=result.json + +AD_HOC_RUN_FLAGS=HIPERMARK_RUNTIME=$(AD_HOC_RUNTIME_FILE) HIPERMARK_RESULT=$(AD_HOC_RESULT_FILE) + +run_%: $(EXECUTABLE) + $(HIPERMARK_LIB_DIR)/linearise_data.py ../../datasets/$(subst run_,,$@)/input.json $(HIPERMARK_DATA_FIELDS) | $(AD_HOC_RUN_FLAGS) ./$(EXECUTABLE) + @echo "Result: `cat result.json`" + @echo "Runtime: `cat runtime.txt`ms" + +run: $(EXECUTABLE) + $(HIPERMARK_LIB_DIR)/linearise_data.py $(HIPERMARK_INPUT_FILE) $(HIPERMARK_DATA_FIELDS) | \ + $(HIPERMARK_RUN_ENVIRONMENT) ./$(EXECUTABLE) diff --git a/lib/setup.mk b/lib/setup.mk index e46bec8..2e16dcb 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -1,8 +1,8 @@ # If we are run from outside Hipermark itself, a number of environment # variables will be missing. Set these to hopefully-working values to # support standalone compilation. -HIPERMARK_BENCHMARK_LIB_DIR ?= ../../lib/ -HIPERMARK_IMPLEMENTATION_DIR ?= . +HIPERMARK_BENCHMARK_LIB_DIR ?= ../../lib/ +HIPERMARK_IMPLEMENTATION_DIR ?= . OS=$(shell uname -s) From 2ee9833b181f1479096d4119e4b4d81302aa1ccd Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 1 Sep 2015 16:21:50 +0200 Subject: [PATCH 096/122] Newer hipermark. --- hipermark | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/hipermark b/hipermark index bee8804..50d031a 160000 --- a/hipermark +++ b/hipermark @@ -1 +1 @@ -Subproject commit bee88042ae09c79bf534d1c44eea2492a3aadf39 +Subproject commit 50d031afd3c7de09ee377a7ea78755c2e0022acc From 75bc73e331ab665b90d02d55c5757fd6bc02de1e Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sat, 5 Sep 2015 23:36:06 +0200 Subject: [PATCH 097/122] Added configuration file for producing graphs with hiperpret --- .gitignore | 3 ++ hipermark | 1 - hiperpret_figure_configuration.json | 74 +++++++++++++++++++++++++++++ 3 files changed, 77 insertions(+), 1 deletion(-) delete mode 160000 hipermark create mode 100644 hiperpret_figure_configuration.json diff --git a/.gitignore b/.gitignore index ace4b3b..a222daf 100644 --- a/.gitignore +++ b/.gitignore @@ -27,6 +27,9 @@ benchmarks/*/implementations/*/runtime.txt # all instantiations instantiations/* +#all hiperpret-created data +hiperpret/* + # emacs backups *~ diff --git a/hipermark b/hipermark deleted file mode 160000 index 50d031a..0000000 --- a/hipermark +++ /dev/null @@ -1 +0,0 @@ -Subproject commit 50d031afd3c7de09ee377a7ea78755c2e0022acc diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json new file mode 100644 index 0000000..251a027 --- /dev/null +++ b/hiperpret_figure_configuration.json @@ -0,0 +1,74 @@ +{ + "InterestCalib, cpp_openmp, small ds, real type double": { + "benchmark_name": "InterestCalib", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "double"}, + "sticky": "False" + }, + "InterestCalib, cpp_openmp, small ds, real type float": { + "benchmark_name": "InterestCalib", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "float"}, + "sticky": "True" + }, + "OptionPricing, cpp_openmp, small ds, real type double": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "double"}, + "sticky": "False" + }, + "OptionPricing, cpp_openmp, small ds, real type float": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "float"}, + "sticky": "True" + }, + "LocVolCalib, cpp_openmp_naive, small ds, real type double": { + "benchmark_name": "LocVolCalib", + "implementation_name": "cpp_openmp_naive", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "double"}, + "sticky": "False" + }, + "LocVolCalib, cpp_openmp, small ds, real type float": { + "benchmark_name": "LocVolCalib", + "implementation_name": "cpp_openmp_naive", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "float"}, + "sticky": "True" + } +} From 17827b7cdf44545522d987e7d74f717552594e88 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sat, 5 Sep 2015 23:56:10 +0200 Subject: [PATCH 098/122] One more figure is now produced by hiperpret --- hiperpret_figure_configuration.json | 22 ++++++++++++++++++++++ 1 file changed, 22 insertions(+) diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json index 251a027..2d2762d 100644 --- a/hiperpret_figure_configuration.json +++ b/hiperpret_figure_configuration.json @@ -70,5 +70,27 @@ "dataset_name": "medium", "REAL_TYPE": "float"}, "sticky": "True" + }, + "LocVolCalib, cpp_sequential, small ds, real type double": { + "benchmark_name": "LocVolCalib", + "implementation_name": "cpp_sequential", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "REAL_TYPE", + "locked_vars": { + "dataset_name": "medium"}, + "sticky": "False" + }, + "LocVolCalib, cpp_sequential, small ds, real type float": { + "benchmark_name": "LocVolCalib", + "implementation_name": "cpp_sequential", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "REAL_TYPE", + "locked_vars": { + "dataset_name": "medium"}, + "sticky": "True" } } From 6ee7fb730c0ad3706715a173f03955c6e04c81cf Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 6 Sep 2015 00:24:21 +0200 Subject: [PATCH 099/122] Many graphs are now produced. --- hiperpret_figure_configuration.json | 71 ++++++++++++++++++++++++++--- 1 file changed, 65 insertions(+), 6 deletions(-) diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json index 2d2762d..f431402 100644 --- a/hiperpret_figure_configuration.json +++ b/hiperpret_figure_configuration.json @@ -22,7 +22,7 @@ "dataset_name": "small", "REAL_TYPE": "float"}, "sticky": "True" - }, + }, "OptionPricing, cpp_openmp, small ds, real type double": { "benchmark_name": "OptionPricing", "implementation_name": "cpp_openmp", @@ -47,7 +47,31 @@ "REAL_TYPE": "float"}, "sticky": "True" }, - "LocVolCalib, cpp_openmp_naive, small ds, real type double": { + "OptionPricing, cpp_openmp, medium ds, real type double": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "double"}, + "sticky": "False" + }, + "OptionPricing, cpp_openmp, medium ds, real type float": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "float"}, + "sticky": "True" + }, + "LocVolCalib, cpp_openmp_naive, medium ds, real type double": { "benchmark_name": "LocVolCalib", "implementation_name": "cpp_openmp_naive", "type": "graph", @@ -59,7 +83,7 @@ "REAL_TYPE": "double"}, "sticky": "False" }, - "LocVolCalib, cpp_openmp, small ds, real type float": { + "LocVolCalib, cpp_openmp_naive, medium ds, real type float": { "benchmark_name": "LocVolCalib", "implementation_name": "cpp_openmp_naive", "type": "graph", @@ -71,26 +95,61 @@ "REAL_TYPE": "float"}, "sticky": "True" }, - "LocVolCalib, cpp_sequential, small ds, real type double": { + "LocVolCalib, cpp_sequential, medium ds": { "benchmark_name": "LocVolCalib", "implementation_name": "cpp_sequential", "type": "graph", "dependent_var": "average runtime", "get normalized performance": "True", "free_var": "REAL_TYPE", + "locked_vars": { + "dataset_name": "medium"}, + "sticky": "True" + }, + "Bar chart, LocVolCalib, cpp_sequential, medium ds, real type double": { + "benchmark_name": "LocVolCalib", + "implementation_name": "cpp_sequential", + "type": "bar", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "REAL_TYPE", "locked_vars": { "dataset_name": "medium"}, "sticky": "False" }, - "LocVolCalib, cpp_sequential, small ds, real type float": { + "Bar chart, LocVolCalib, cpp_sequential, medium ds, real type float": { "benchmark_name": "LocVolCalib", "implementation_name": "cpp_sequential", - "type": "graph", + "type": "bar", "dependent_var": "average runtime", "get normalized performance": "True", "free_var": "REAL_TYPE", "locked_vars": { "dataset_name": "medium"}, "sticky": "True" + }, + "Runtime, OptionPricing, cpp_openmp, small ds, real type float": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "float"}, + "sticky": "True" + }, + "Runtime, OptionPricing, cpp_openmp, medium ds, real type double": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "double"}, + "sticky": "False" } } From db5a99ad7a1368abe5aa69b6ddf7a30e9eeb27a9 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 6 Sep 2015 00:40:29 +0200 Subject: [PATCH 100/122] Two graphs with dataset as indep. var. is now defined in JSON and produced by hiperpret. --- hiperpret_figure_configuration.json | 24 ++++++++++++++++++++++++ 1 file changed, 24 insertions(+) diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json index f431402..cebbf50 100644 --- a/hiperpret_figure_configuration.json +++ b/hiperpret_figure_configuration.json @@ -151,5 +151,29 @@ "dataset_name": "medium", "REAL_TYPE": "double"}, "sticky": "False" + }, + "OptionPricing, cpp_openmp, 1 thread, real type double": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "locked_vars": { + "NUM_THREADS": "1", + "REAL_TYPE": "double"}, + "sticky": "False" + }, + "OptionPricing, cpp_openmp, 4 threads, real type double": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "locked_vars": { + "NUM_THREADS": "4", + "REAL_TYPE": "double"}, + "sticky": "False" } } From d4bdc33902ced901dd5934a206360103480f5582 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Sun, 6 Sep 2015 09:18:53 +0200 Subject: [PATCH 101/122] Fix hipermark submodule. --- hipermark | 1 + 1 file changed, 1 insertion(+) create mode 160000 hipermark diff --git a/hipermark b/hipermark new file mode 160000 index 0000000..a5ffd5f --- /dev/null +++ b/hipermark @@ -0,0 +1 @@ +Subproject commit a5ffd5fde3ad5ee43556f36ac0749c8c75cb2d00 From b096c1ba0ccf78d18ac30d9b167aa285bfc5b21a Mon Sep 17 00:00:00 2001 From: Thor Date: Tue, 8 Sep 2015 12:38:22 +0200 Subject: [PATCH 102/122] hiperpret figure configuration file format changed to list of dicts. --- hiperpret_figure_configuration.json | 240 +++++++--------------------- 1 file changed, 61 insertions(+), 179 deletions(-) diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json index cebbf50..fa46154 100644 --- a/hiperpret_figure_configuration.json +++ b/hiperpret_figure_configuration.json @@ -1,179 +1,61 @@ -{ - "InterestCalib, cpp_openmp, small ds, real type double": { - "benchmark_name": "InterestCalib", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "double"}, - "sticky": "False" - }, - "InterestCalib, cpp_openmp, small ds, real type float": { - "benchmark_name": "InterestCalib", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "float"}, - "sticky": "True" - }, - "OptionPricing, cpp_openmp, small ds, real type double": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "double"}, - "sticky": "False" - }, - "OptionPricing, cpp_openmp, small ds, real type float": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "float"}, - "sticky": "True" - }, - "OptionPricing, cpp_openmp, medium ds, real type double": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "double"}, - "sticky": "False" - }, - "OptionPricing, cpp_openmp, medium ds, real type float": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "float"}, - "sticky": "True" - }, - "LocVolCalib, cpp_openmp_naive, medium ds, real type double": { - "benchmark_name": "LocVolCalib", - "implementation_name": "cpp_openmp_naive", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "double"}, - "sticky": "False" - }, - "LocVolCalib, cpp_openmp_naive, medium ds, real type float": { - "benchmark_name": "LocVolCalib", - "implementation_name": "cpp_openmp_naive", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "float"}, - "sticky": "True" - }, - "LocVolCalib, cpp_sequential, medium ds": { - "benchmark_name": "LocVolCalib", - "implementation_name": "cpp_sequential", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "REAL_TYPE", - "locked_vars": { - "dataset_name": "medium"}, - "sticky": "True" - }, - "Bar chart, LocVolCalib, cpp_sequential, medium ds, real type double": { - "benchmark_name": "LocVolCalib", - "implementation_name": "cpp_sequential", - "type": "bar", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "REAL_TYPE", - "locked_vars": { - "dataset_name": "medium"}, - "sticky": "False" - }, - "Bar chart, LocVolCalib, cpp_sequential, medium ds, real type float": { - "benchmark_name": "LocVolCalib", - "implementation_name": "cpp_sequential", - "type": "bar", - "dependent_var": "average runtime", - "get normalized performance": "True", - "free_var": "REAL_TYPE", - "locked_vars": { - "dataset_name": "medium"}, - "sticky": "True" - }, - "Runtime, OptionPricing, cpp_openmp, small ds, real type float": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "False", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "float"}, - "sticky": "True" - }, - "Runtime, OptionPricing, cpp_openmp, medium ds, real type double": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "False", - "free_var": "NUM_THREADS", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "double"}, - "sticky": "False" - }, - "OptionPricing, cpp_openmp, 1 thread, real type double": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "locked_vars": { - "NUM_THREADS": "1", - "REAL_TYPE": "double"}, - "sticky": "False" - }, - "OptionPricing, cpp_openmp, 4 threads, real type double": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "average runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "locked_vars": { - "NUM_THREADS": "4", - "REAL_TYPE": "double"}, - "sticky": "False" - } -} +[{"OptionPricing, cpp_openmp": + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Double, small", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "double"}, + "sticky": "True" + } + }, + {"OptionPricing, cpp_openmp": + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Float, small", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "float"}, + "sticky": "True" + } + }, + {"OptionPricing, cpp_openmp": + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Double, medium", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "double"}, + "sticky": "True" + } + }, + {"OptionPricing, cpp_openmp": + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "average runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Float, medium", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "float"}, + "sticky": "True" + } + } +] From a45b1bfa761fa53e0be7aea337249df0b16f4a25 Mon Sep 17 00:00:00 2001 From: Thor Date: Tue, 29 Sep 2015 19:51:36 +0200 Subject: [PATCH 103/122] figure configuration file updated to fit new hiperpret program. --- hiperpret_figure_configuration.json | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json index fa46154..9dccb8c 100644 --- a/hiperpret_figure_configuration.json +++ b/hiperpret_figure_configuration.json @@ -3,7 +3,7 @@ "benchmark_name": "OptionPricing", "implementation_name": "cpp_openmp", "type": "graph", - "dependent_var": "average runtime", + "dependent_var": "mean runtime", "get normalized performance": "True", "free_var": "NUM_THREADS", "legend": "Double, small", @@ -18,7 +18,7 @@ "benchmark_name": "OptionPricing", "implementation_name": "cpp_openmp", "type": "graph", - "dependent_var": "average runtime", + "dependent_var": "mean runtime", "get normalized performance": "True", "free_var": "NUM_THREADS", "legend": "Float, small", @@ -33,7 +33,7 @@ "benchmark_name": "OptionPricing", "implementation_name": "cpp_openmp", "type": "graph", - "dependent_var": "average runtime", + "dependent_var": "mean runtime", "get normalized performance": "True", "free_var": "NUM_THREADS", "legend": "Double, medium", @@ -48,7 +48,7 @@ "benchmark_name": "OptionPricing", "implementation_name": "cpp_openmp", "type": "graph", - "dependent_var": "average runtime", + "dependent_var": "mean runtime", "get normalized performance": "True", "free_var": "NUM_THREADS", "legend": "Float, medium", From f0438cd9cfcd2e823f9e12cdd1f9cb2fe94caa51 Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 30 Sep 2015 18:21:14 +0200 Subject: [PATCH 104/122] Removed sticky keyword from JSON parsing for graph generation. Each JSON now produces one figure --- hiperpret_figure_configuration_new.json | 50 ++++++++++++++++ hiperpret_figure_configuration_new2.json | 74 ++++++++++++++++++++++++ hiperpret_figure_configuration_new3.json | 26 +++++++++ hiperpret_figure_configuration_new4.json | 14 +++++ hiperpret_figure_configuration_new5.json | 26 +++++++++ run_hiperpret_OptionPricing | 10 ++++ 6 files changed, 200 insertions(+) create mode 100644 hiperpret_figure_configuration_new.json create mode 100644 hiperpret_figure_configuration_new2.json create mode 100644 hiperpret_figure_configuration_new3.json create mode 100644 hiperpret_figure_configuration_new4.json create mode 100644 hiperpret_figure_configuration_new5.json create mode 100755 run_hiperpret_OptionPricing diff --git a/hiperpret_figure_configuration_new.json b/hiperpret_figure_configuration_new.json new file mode 100644 index 0000000..c28aa35 --- /dev/null +++ b/hiperpret_figure_configuration_new.json @@ -0,0 +1,50 @@ +[ + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Double, small", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Float, small", + "locked_vars": { + "dataset_name": "small", + "REAL_TYPE": "float"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Double, medium", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Float, medium", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "float"} + } +] diff --git a/hiperpret_figure_configuration_new2.json b/hiperpret_figure_configuration_new2.json new file mode 100644 index 0000000..eb3c313 --- /dev/null +++ b/hiperpret_figure_configuration_new2.json @@ -0,0 +1,74 @@ +[ + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "legend": "Double, 32 threads", + "locked_vars": { + "NUM_THREADS": "32", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "legend": "Double, 16 threads", + "locked_vars": { + "NUM_THREADS": "16", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "legend": "Double, 8 threads", + "locked_vars": { + "NUM_THREADS": "8", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "legend": "Double, 4 threads", + "locked_vars": { + "NUM_THREADS": "4", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "legend": "Double, 2 threads", + "locked_vars": { + "NUM_THREADS": "2", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "dataset_name", + "legend": "Double, 1 threads", + "locked_vars": { + "NUM_THREADS": "1", + "REAL_TYPE": "double"} + } +] diff --git a/hiperpret_figure_configuration_new3.json b/hiperpret_figure_configuration_new3.json new file mode 100644 index 0000000..f3f832f --- /dev/null +++ b/hiperpret_figure_configuration_new3.json @@ -0,0 +1,26 @@ +[ + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "REAL_TYPE", + "legend": "32 threads, small", + "locked_vars": { + "NUM_THREADS": "32", + "dataset_name": "small"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "bar", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "REAL_TYPE", + "legend": "32 threads, medium", + "locked_vars": { + "NUM_THREADS": "32", + "dataset_name": "medium"} + } +] diff --git a/hiperpret_figure_configuration_new4.json b/hiperpret_figure_configuration_new4.json new file mode 100644 index 0000000..31b8512 --- /dev/null +++ b/hiperpret_figure_configuration_new4.json @@ -0,0 +1,14 @@ +[ + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "Real type: double, small dataset", + "locked_vars": { + "REAL_TYPE": "double", + "dataset_name": "small"} + } +] diff --git a/hiperpret_figure_configuration_new5.json b/hiperpret_figure_configuration_new5.json new file mode 100644 index 0000000..0ddfb7e --- /dev/null +++ b/hiperpret_figure_configuration_new5.json @@ -0,0 +1,26 @@ +[ + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "Double, medium", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "double"} + }, + { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "type": "graph", + "dependent_var": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "Float, medium", + "locked_vars": { + "dataset_name": "medium", + "REAL_TYPE": "float"} + } +] diff --git a/run_hiperpret_OptionPricing b/run_hiperpret_OptionPricing new file mode 100755 index 0000000..f2dff7d --- /dev/null +++ b/run_hiperpret_OptionPricing @@ -0,0 +1,10 @@ +#!/bin/bash + +clear +echo Deleting all files in ./hiperpret +echo Running Hiperpret analysis, assuming that the option pricing dataset from Napoleon is present in ./instantiations. +echo Storing analysis results in ./hiperpret +echo Expecting five config JSONs in this folder. + +rm -rf hiperpret/ +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_new.json -f hiperpret_figure_configuration_new2.json -f hiperpret_figure_configuration_new3.json -f hiperpret_figure_configuration_new4.json -f hiperpret_figure_configuration_new5.json -o ./hiperpret From 3fe06acda0ff54bc22638f9b799efd8d6e55ec86 Mon Sep 17 00:00:00 2001 From: Thor Date: Tue, 20 Oct 2015 19:50:53 +0200 Subject: [PATCH 105/122] finpar configuration files for working with underspecified hiperpret figures have been added --- hiperpret_figure_configuration.json | 73 ++++-------------- hiperpret_figure_configuration_new.json | 16 ++-- hiperpret_figure_configuration_new2.json | 74 ------------------- hiperpret_figure_configuration_new3.json | 26 ------- hiperpret_figure_configuration_new4.json | 14 ---- hiperpret_figure_configuration_new5.json | 26 ------- ...t_figure_configuration_underspecified.json | 11 +++ run_hiperpret_OptionPricing | 4 +- 8 files changed, 34 insertions(+), 210 deletions(-) delete mode 100644 hiperpret_figure_configuration_new2.json delete mode 100644 hiperpret_figure_configuration_new3.json delete mode 100644 hiperpret_figure_configuration_new4.json delete mode 100644 hiperpret_figure_configuration_new5.json create mode 100644 hiperpret_figure_configuration_underspecified.json diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json index 9dccb8c..9a79879 100644 --- a/hiperpret_figure_configuration.json +++ b/hiperpret_figure_configuration.json @@ -1,61 +1,14 @@ -[{"OptionPricing, cpp_openmp": - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Double, small", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "double"}, - "sticky": "True" - } - }, - {"OptionPricing, cpp_openmp": - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Float, small", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "float"}, - "sticky": "True" - } - }, - {"OptionPricing, cpp_openmp": - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Double, medium", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "double"}, - "sticky": "True" - } - }, - {"OptionPricing, cpp_openmp": - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Float, medium", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "float"}, - "sticky": "True" - } - } +[ + { + "type": "bar", + "dependent variable": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, medium dataset, double precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "medium", + "REAL_TYPE": "double"} + } ] diff --git a/hiperpret_figure_configuration_new.json b/hiperpret_figure_configuration_new.json index c28aa35..7a4f3eb 100644 --- a/hiperpret_figure_configuration_new.json +++ b/hiperpret_figure_configuration_new.json @@ -1,7 +1,7 @@ [ { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", + "benchmark": "OptionPricing", + "implementation": "cpp_openmp", "type": "graph", "dependent_var": "mean runtime", "get normalized performance": "True", @@ -12,8 +12,8 @@ "REAL_TYPE": "double"} }, { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", + "benchmark": "OptionPricing", + "implementation": "cpp_openmp", "type": "graph", "dependent_var": "mean runtime", "get normalized performance": "True", @@ -24,8 +24,8 @@ "REAL_TYPE": "float"} }, { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", + "benchmark": "OptionPricing", + "implementation": "cpp_openmp", "type": "graph", "dependent_var": "mean runtime", "get normalized performance": "True", @@ -36,8 +36,8 @@ "REAL_TYPE": "double"} }, { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", + "benchmark": "OptionPricing", + "implementation": "cpp_openmp", "type": "graph", "dependent_var": "mean runtime", "get normalized performance": "True", diff --git a/hiperpret_figure_configuration_new2.json b/hiperpret_figure_configuration_new2.json deleted file mode 100644 index eb3c313..0000000 --- a/hiperpret_figure_configuration_new2.json +++ /dev/null @@ -1,74 +0,0 @@ -[ - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "legend": "Double, 32 threads", - "locked_vars": { - "NUM_THREADS": "32", - "REAL_TYPE": "double"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "legend": "Double, 16 threads", - "locked_vars": { - "NUM_THREADS": "16", - "REAL_TYPE": "double"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "legend": "Double, 8 threads", - "locked_vars": { - "NUM_THREADS": "8", - "REAL_TYPE": "double"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "legend": "Double, 4 threads", - "locked_vars": { - "NUM_THREADS": "4", - "REAL_TYPE": "double"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "legend": "Double, 2 threads", - "locked_vars": { - "NUM_THREADS": "2", - "REAL_TYPE": "double"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "dataset_name", - "legend": "Double, 1 threads", - "locked_vars": { - "NUM_THREADS": "1", - "REAL_TYPE": "double"} - } -] diff --git a/hiperpret_figure_configuration_new3.json b/hiperpret_figure_configuration_new3.json deleted file mode 100644 index f3f832f..0000000 --- a/hiperpret_figure_configuration_new3.json +++ /dev/null @@ -1,26 +0,0 @@ -[ - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "REAL_TYPE", - "legend": "32 threads, small", - "locked_vars": { - "NUM_THREADS": "32", - "dataset_name": "small"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "bar", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "REAL_TYPE", - "legend": "32 threads, medium", - "locked_vars": { - "NUM_THREADS": "32", - "dataset_name": "medium"} - } -] diff --git a/hiperpret_figure_configuration_new4.json b/hiperpret_figure_configuration_new4.json deleted file mode 100644 index 31b8512..0000000 --- a/hiperpret_figure_configuration_new4.json +++ /dev/null @@ -1,14 +0,0 @@ -[ - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Real type: double, small dataset", - "locked_vars": { - "REAL_TYPE": "double", - "dataset_name": "small"} - } -] diff --git a/hiperpret_figure_configuration_new5.json b/hiperpret_figure_configuration_new5.json deleted file mode 100644 index 0ddfb7e..0000000 --- a/hiperpret_figure_configuration_new5.json +++ /dev/null @@ -1,26 +0,0 @@ -[ - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "NUM_THREADS", - "legend": "Double, medium", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "double"} - }, - { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "False", - "free_var": "NUM_THREADS", - "legend": "Float, medium", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "float"} - } -] diff --git a/hiperpret_figure_configuration_underspecified.json b/hiperpret_figure_configuration_underspecified.json new file mode 100644 index 0000000..8eb9dae --- /dev/null +++ b/hiperpret_figure_configuration_underspecified.json @@ -0,0 +1,11 @@ +[ + { + "type": "underspecified", + "dependent variable": "mean runtime", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "medium" + } + } +] diff --git a/run_hiperpret_OptionPricing b/run_hiperpret_OptionPricing index f2dff7d..dc11773 100755 --- a/run_hiperpret_OptionPricing +++ b/run_hiperpret_OptionPricing @@ -4,7 +4,7 @@ clear echo Deleting all files in ./hiperpret echo Running Hiperpret analysis, assuming that the option pricing dataset from Napoleon is present in ./instantiations. echo Storing analysis results in ./hiperpret -echo Expecting five config JSONs in this folder. +echo Expecting one figure config JSONs in this folder. rm -rf hiperpret/ -../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_new.json -f hiperpret_figure_configuration_new2.json -f hiperpret_figure_configuration_new3.json -f hiperpret_figure_configuration_new4.json -f hiperpret_figure_configuration_new5.json -o ./hiperpret +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration.json -f hiperpret_figure_configuration_underspecified.json -o ./hiperpret From ff9b927da941d8306579f7e7d6a8e166d1ace2d8 Mon Sep 17 00:00:00 2001 From: Thor Date: Wed, 21 Oct 2015 18:36:23 +0200 Subject: [PATCH 106/122] Script for printing runtimes bar chart now handles two implementations of OptionPricing benchmark. --- ....json => hiperpret_figure_configuration_runtimes.json | 6 +++--- run_hipermark_OptionPricing_cpp_openmp_cpp_sequential | 9 +++++++++ run_hiperpret_OptionPricing | 2 +- 3 files changed, 13 insertions(+), 4 deletions(-) rename hiperpret_figure_configuration_underspecified.json => hiperpret_figure_configuration_runtimes.json (55%) create mode 100755 run_hipermark_OptionPricing_cpp_openmp_cpp_sequential diff --git a/hiperpret_figure_configuration_underspecified.json b/hiperpret_figure_configuration_runtimes.json similarity index 55% rename from hiperpret_figure_configuration_underspecified.json rename to hiperpret_figure_configuration_runtimes.json index 8eb9dae..b999af1 100644 --- a/hiperpret_figure_configuration_underspecified.json +++ b/hiperpret_figure_configuration_runtimes.json @@ -1,11 +1,11 @@ [ { - "type": "underspecified", + "type": "runtimes", "dependent variable": "mean runtime", "locked variables": { "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "dataset_name": "medium" + "dataset_name": "medium", + "NUM_THREADS": "4" } } ] diff --git a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential new file mode 100755 index 0000000..f055d26 --- /dev/null +++ b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/OptionPricing/ +echo Running hipermark OptionPricing cpp_openmp small + medium dataset, 10 times. +echo Storing all results in instantiations/ + +rm -rf instantiations/OptionPricing/ +../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_openmp,cpp_sequential small,medium diff --git a/run_hiperpret_OptionPricing b/run_hiperpret_OptionPricing index dc11773..9a32437 100755 --- a/run_hiperpret_OptionPricing +++ b/run_hiperpret_OptionPricing @@ -7,4 +7,4 @@ echo Storing analysis results in ./hiperpret echo Expecting one figure config JSONs in this folder. rm -rf hiperpret/ -../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration.json -f hiperpret_figure_configuration_underspecified.json -o ./hiperpret +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration.json -f hiperpret_figure_configuration_runtimes.json -o ./hiperpret From 8e2e50acd57c9a850955ed90640bdb704070ac6a Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 6 Nov 2015 17:24:38 +0100 Subject: [PATCH 107/122] Added dynamic compile time options for OptionPricing/cpp_opencl --- .../implementations/cpp_opencl/GenPricing.cpp | 2 +- .../implementations/cpp_opencl/Makefile | 14 ++++++++++++++ .../cpp_opencl/static_configuration_template.json | 4 +++- .../OptionPricing/lib/include/Optimizations.h | 2 -- 4 files changed, 18 insertions(+), 4 deletions(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp index 2214ca5..5661ba4 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp @@ -179,7 +179,7 @@ int main() { { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%ld\n", elapsed_usec); fclose(runtime); write_1Darr(result, prices, scals.num_models); fclose(result); diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile index 0e574b2..ff0439a 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile @@ -10,6 +10,20 @@ include $(HIPERMARK_LIB_DIR)/setup_real_type.mk # FIXME - this should not even exist! include $(HIPERMARK_LIB_DIR)/platform.mk +# Handle Strength reduction and vectorization +ifeq ($(HIPERMARK_CONFIG_STRENGTH_REDUCTION),on) + CXXFLAGS += -D_OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR +endif +ifeq ($(HIPERMARK_CONFIG_VECTORIZATION),auto) + CXXFLAGS += -D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=0 +else ifeq ($(HIPERMARK_CONFIG_VECTORIZATION),off) + CXXFLAGS += -D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=2 +else ifeq ($(HIPERMARK_CONFIG_VECTORIZATION),on) + CXXFLAGS += -D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=1 +endif + + + INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include INCLUDES += -I$(HIPERMARK_LIB_DIR)/include diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json index 00bdffb..8433596 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json @@ -1,3 +1,5 @@ { - "REAL_TYPE" : ["float", "double"] + "REAL_TYPE" : ["float", "double"], + "STRENGTH_REDUCTION" : ["on", "off"], + "VECTORIZATION" : ["on", "off", "auto"] } diff --git a/benchmarks/OptionPricing/lib/include/Optimizations.h b/benchmarks/OptionPricing/lib/include/Optimizations.h index bf04f3a..944a03a 100644 --- a/benchmarks/OptionPricing/lib/include/Optimizations.h +++ b/benchmarks/OptionPricing/lib/include/Optimizations.h @@ -1,8 +1,6 @@ #ifndef OPTIMISATIONS #define OPTIMISATIONS -#define _OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV 0 // cost model: 0, vectorized: 1, privatized: 2 -#define _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR #define _OPTIMIZATION_MEM_COALES_ON #endif // OPTIMISATIONS From ea0eb0e7e1a5b238e230e673c21a78fea1717f93 Mon Sep 17 00:00:00 2001 From: Thor Date: Fri, 6 Nov 2015 18:12:41 +0100 Subject: [PATCH 108/122] Editing source code cpp_opencl for vectorization stuff --- .../implementations/cpp_opencl/GenPricing.cpp | 16 +++++++++++++++- 1 file changed, 15 insertions(+), 1 deletion(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp index 5661ba4..84a8e7f 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp @@ -49,9 +49,23 @@ run_GPUkernel ( { // build the OpenCL program const char* preamble = makeGPUprogPreamble( ro_scal, kernel_type ); char compile_opts[1024]; - sprintf( compile_opts, "-D lgWARP=%d -D TILE=%d -D%s -I%s/include -I%s/include -I%s", +#ifdef _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR +#define STRENGTH_RED_FLAG "-D_OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR" +#else +#define STRENGTH_RED_FLAG "" +#endif +#if (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 0) +#define VECT_FLAG "-D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=0" +#elif (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 1) +#define VECT_FLAG "-D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=1" +#elif (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 2) +#define VECT_FLAG "-D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=2" +#endif + + sprintf( compile_opts, "-D lgWARP=%d -D TILE=%d -D%s %s -I%s/include -I%s/include -I%s", lgWARP, TILE, REAL_FLAG, + STRENGTH_RED_FLAG, HIPERMARK_BENCHMARK_LIB_DIR, HIPERMARK_LIB_DIR, HIPERMARK_IMPLEMENTATION_DIR); From b91d7deedcba7d374f63b214b8c73064f2bd1e58 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 8 Nov 2015 02:14:19 +0100 Subject: [PATCH 109/122] Better scripts and better graph definition files --- .../implementations/cpp_opencl/Makefile | 2 +- hiperpret_figure_configuration.json | 14 ----- ...guration_graph_OptionPricing_runtimes.json | 50 ++++++++++++++++++ ...iguration_graph_OptionPricing_speedup.json | 51 +++++++++++++++++++ hiperpret_figure_configuration_new.json | 50 ------------------ ...iguration_runtimes_OptionPricing_both.json | 9 ++++ ...guration_runtimes_OptionPricing_small.json | 3 +- run_hipermark_OptionPricing_cpp_opencl | 9 ++++ ... => run_hipermark_OptionPricing_cpp_openmp | 4 +- ...rk_OptionPricing_cpp_openmp_cpp_sequential | 4 +- run_hiperpret_OptionPricing | 6 +-- 11 files changed, 128 insertions(+), 74 deletions(-) delete mode 100644 hiperpret_figure_configuration.json create mode 100644 hiperpret_figure_configuration_graph_OptionPricing_runtimes.json create mode 100644 hiperpret_figure_configuration_graph_OptionPricing_speedup.json delete mode 100644 hiperpret_figure_configuration_new.json create mode 100644 hiperpret_figure_configuration_runtimes_OptionPricing_both.json rename hiperpret_figure_configuration_runtimes.json => hiperpret_figure_configuration_runtimes_OptionPricing_small.json (71%) create mode 100755 run_hipermark_OptionPricing_cpp_opencl rename run_hipermark_OptionPricing => run_hipermark_OptionPricing_cpp_openmp (63%) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile index ff0439a..966bbaa 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile @@ -31,7 +31,7 @@ GPU_OPTS = -D lgWARP=$(GPU_LG_WARP) -D GPU_DEV_ID=$(GPU_DEVICE_ID) \ -D GPU_LOC_MEM=$(GPU_LOCAL_MEM) -D GPU_CONST_MEM=$(GPU_CONST_MEM) \ -D GPU_REG_MEM=$(GPU_REG_MEM) -D GPU_GLB_MEM=$(GPU_DEVICE_MEM) \ -D GPU_TILE=$(GPU_LOCAL_MEM_PER_TH) -D GPU_CORES=$(GPU_NUM_CORES) \ - -D CURR_DIR_PATH='"$(MAKE_DIR)"' + -D CURR_DIR_PATH='"$(MAKE_DIR)"' SOURCES_CPP =GenPricing.cpp HELPERS =$(HIPERMARK_BENCHMARK_LIB_DIR)/include/ParseInput.h diff --git a/hiperpret_figure_configuration.json b/hiperpret_figure_configuration.json deleted file mode 100644 index 9a79879..0000000 --- a/hiperpret_figure_configuration.json +++ /dev/null @@ -1,14 +0,0 @@ -[ - { - "type": "bar", - "dependent variable": "mean runtime", - "get normalized performance": "False", - "free_var": "NUM_THREADS", - "legend": "OptionPricing, cpp_openmp, medium dataset, double precision", - "locked variables": { - "benchmark_name": "OptionPricing", - "implementation_name": "cpp_openmp", - "dataset_name": "medium", - "REAL_TYPE": "double"} - } -] diff --git a/hiperpret_figure_configuration_graph_OptionPricing_runtimes.json b/hiperpret_figure_configuration_graph_OptionPricing_runtimes.json new file mode 100644 index 0000000..e3c4e95 --- /dev/null +++ b/hiperpret_figure_configuration_graph_OptionPricing_runtimes.json @@ -0,0 +1,50 @@ +[ + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, small dataset, double precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "small", + "REAL_TYPE": "double"} + }, + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, small dataset, float precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "small", + "REAL_TYPE": "float"} + }, + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, medium dataset, double precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "medium", + "REAL_TYPE": "double"} + }, + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "False", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, medium dataset, float precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "medium", + "REAL_TYPE": "float"} + } +] diff --git a/hiperpret_figure_configuration_graph_OptionPricing_speedup.json b/hiperpret_figure_configuration_graph_OptionPricing_speedup.json new file mode 100644 index 0000000..c22070e --- /dev/null +++ b/hiperpret_figure_configuration_graph_OptionPricing_speedup.json @@ -0,0 +1,51 @@ +[ + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, small dataset, double precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "small", + "REAL_TYPE": "double"} + }, + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, small dataset, float precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "small", + "REAL_TYPE": "float"} + }, + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, medium dataset, double precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "medium", + "REAL_TYPE": "double"} + }, + { + "type": "graph", + "dependent variable": "mean runtime", + "get normalized performance": "True", + "free_var": "NUM_THREADS", + "legend": "OptionPricing, cpp_openmp, medium dataset, float precision", + "locked variables": { + "benchmark_name": "OptionPricing", + "implementation_name": "cpp_openmp", + "dataset_name": "medium", + "REAL_TYPE": "float"} + } + +] diff --git a/hiperpret_figure_configuration_new.json b/hiperpret_figure_configuration_new.json deleted file mode 100644 index 7a4f3eb..0000000 --- a/hiperpret_figure_configuration_new.json +++ /dev/null @@ -1,50 +0,0 @@ -[ - { - "benchmark": "OptionPricing", - "implementation": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Double, small", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "double"} - }, - { - "benchmark": "OptionPricing", - "implementation": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Float, small", - "locked_vars": { - "dataset_name": "small", - "REAL_TYPE": "float"} - }, - { - "benchmark": "OptionPricing", - "implementation": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Double, medium", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "double"} - }, - { - "benchmark": "OptionPricing", - "implementation": "cpp_openmp", - "type": "graph", - "dependent_var": "mean runtime", - "get normalized performance": "True", - "free_var": "NUM_THREADS", - "legend": "Float, medium", - "locked_vars": { - "dataset_name": "medium", - "REAL_TYPE": "float"} - } -] diff --git a/hiperpret_figure_configuration_runtimes_OptionPricing_both.json b/hiperpret_figure_configuration_runtimes_OptionPricing_both.json new file mode 100644 index 0000000..c152338 --- /dev/null +++ b/hiperpret_figure_configuration_runtimes_OptionPricing_both.json @@ -0,0 +1,9 @@ +[ + { + "type": "runtimes", + "dependent variable": "mean runtime", + "locked variables": { + "benchmark_name": "OptionPricing" + } + } +] diff --git a/hiperpret_figure_configuration_runtimes.json b/hiperpret_figure_configuration_runtimes_OptionPricing_small.json similarity index 71% rename from hiperpret_figure_configuration_runtimes.json rename to hiperpret_figure_configuration_runtimes_OptionPricing_small.json index b999af1..0d94aa9 100644 --- a/hiperpret_figure_configuration_runtimes.json +++ b/hiperpret_figure_configuration_runtimes_OptionPricing_small.json @@ -4,8 +4,7 @@ "dependent variable": "mean runtime", "locked variables": { "benchmark_name": "OptionPricing", - "dataset_name": "medium", - "NUM_THREADS": "4" + "dataset_name": "small" } } ] diff --git a/run_hipermark_OptionPricing_cpp_opencl b/run_hipermark_OptionPricing_cpp_opencl new file mode 100755 index 0000000..02602ab --- /dev/null +++ b/run_hipermark_OptionPricing_cpp_opencl @@ -0,0 +1,9 @@ +#!/bin/bash + +clear +echo Deleting all files in instantiations/OptionPricing/ +echo Running hipermark OptionPricing cpp_sequential and cpp_opencl small dataset, 4 times. +echo Storing all results in instantiations/ + +rm -rf instantiations/OptionPricing/ +../hipermark/hipermark instantiations/ 4 benchmarks/OptionPricing cpp_sequential,cpp_opencl small diff --git a/run_hipermark_OptionPricing b/run_hipermark_OptionPricing_cpp_openmp similarity index 63% rename from run_hipermark_OptionPricing rename to run_hipermark_OptionPricing_cpp_openmp index e613272..74ba4c2 100755 --- a/run_hipermark_OptionPricing +++ b/run_hipermark_OptionPricing_cpp_openmp @@ -2,8 +2,8 @@ clear echo Deleting all files in instantiations/OptionPricing/ -echo Running hipermark OptionPricing cpp_openmp small + medium dataset, 10 times. +echo Running hipermark OptionPricing cpp_sequential and cpp_openmp small dataset, 10 times. echo Storing all results in instantiations/ rm -rf instantiations/OptionPricing/ -../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_openmp small,medium +../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_sequential,cpp_openmp small diff --git a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential index f055d26..7e0ef4f 100755 --- a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential +++ b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential @@ -2,8 +2,8 @@ clear echo Deleting all files in instantiations/OptionPricing/ -echo Running hipermark OptionPricing cpp_openmp small + medium dataset, 10 times. +echo Running hipermark OptionPricing cpp_sequential and cpp_openmp small and medium dataset, 10 times. echo Storing all results in instantiations/ rm -rf instantiations/OptionPricing/ -../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_openmp,cpp_sequential small,medium +../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_sequential,cpp_openmp small,medium diff --git a/run_hiperpret_OptionPricing b/run_hiperpret_OptionPricing index 9a32437..944e760 100755 --- a/run_hiperpret_OptionPricing +++ b/run_hiperpret_OptionPricing @@ -2,9 +2,9 @@ clear echo Deleting all files in ./hiperpret -echo Running Hiperpret analysis, assuming that the option pricing dataset from Napoleon is present in ./instantiations. +echo Running Hiperpret analysis, assuming that hiperMARK output data is present in ./instantiations. echo Storing analysis results in ./hiperpret -echo Expecting one figure config JSONs in this folder. +echo Expecting one figure configs JSONs in this folder. rm -rf hiperpret/ -../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration.json -f hiperpret_figure_configuration_runtimes.json -o ./hiperpret +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_runtimes_OptionPricing_small.json -f hiperpret_figure_configuration_runtimes_OptionPricing_both.json -f hiperpret_figure_configuration_graph_OptionPricing_speedup.json -f hiperpret_figure_configuration_graph_OptionPricing_runtimes.json -o ./hiperpret From 107ed047b9dc8b6970b8526a9561334d81327514 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 8 Nov 2015 02:52:47 +0100 Subject: [PATCH 110/122] Added script for running HIPERpret on OpenCL output --- run_hiperpret_OptionPricing_cpp_opencl | 10 ++++++++++ 1 file changed, 10 insertions(+) create mode 100755 run_hiperpret_OptionPricing_cpp_opencl diff --git a/run_hiperpret_OptionPricing_cpp_opencl b/run_hiperpret_OptionPricing_cpp_opencl new file mode 100755 index 0000000..db57b75 --- /dev/null +++ b/run_hiperpret_OptionPricing_cpp_opencl @@ -0,0 +1,10 @@ +#!/bin/bash + +clear +echo Deleting all files in ./hiperpret +echo Running Hiperpret analysis, assuming that hiperMARK output data is present in ./instantiations. +echo Storing analysis results in ./hiperpret +echo Expecting one figure configs JSONs in this folder. + +rm -rf hiperpret/ +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_runtimes_OptionPricing_both.json -o ./hiperpret From 0acd9274ae9f5b8ad2fc032ac4ec32e4607868b0 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 8 Nov 2015 02:58:28 +0100 Subject: [PATCH 111/122] Better runtime bar diagrams for OpenCL runs --- ...ure_configuration_runtimes_OptionPricing_large.json | 10 ++++++++++ ...re_configuration_runtimes_OptionPricing_medium.json | 10 ++++++++++ run_hiperpret_OptionPricing_cpp_opencl | 2 +- 3 files changed, 21 insertions(+), 1 deletion(-) create mode 100644 hiperpret_figure_configuration_runtimes_OptionPricing_large.json create mode 100644 hiperpret_figure_configuration_runtimes_OptionPricing_medium.json diff --git a/hiperpret_figure_configuration_runtimes_OptionPricing_large.json b/hiperpret_figure_configuration_runtimes_OptionPricing_large.json new file mode 100644 index 0000000..e5bc955 --- /dev/null +++ b/hiperpret_figure_configuration_runtimes_OptionPricing_large.json @@ -0,0 +1,10 @@ +[ + { + "type": "runtimes", + "dependent variable": "mean runtime", + "locked variables": { + "benchmark_name": "OptionPricing", + "dataset_name": "large" + } + } +] diff --git a/hiperpret_figure_configuration_runtimes_OptionPricing_medium.json b/hiperpret_figure_configuration_runtimes_OptionPricing_medium.json new file mode 100644 index 0000000..1492ae5 --- /dev/null +++ b/hiperpret_figure_configuration_runtimes_OptionPricing_medium.json @@ -0,0 +1,10 @@ +[ + { + "type": "runtimes", + "dependent variable": "mean runtime", + "locked variables": { + "benchmark_name": "OptionPricing", + "dataset_name": "medium" + } + } +] diff --git a/run_hiperpret_OptionPricing_cpp_opencl b/run_hiperpret_OptionPricing_cpp_opencl index db57b75..0b556d1 100755 --- a/run_hiperpret_OptionPricing_cpp_opencl +++ b/run_hiperpret_OptionPricing_cpp_opencl @@ -7,4 +7,4 @@ echo Storing analysis results in ./hiperpret echo Expecting one figure configs JSONs in this folder. rm -rf hiperpret/ -../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_runtimes_OptionPricing_both.json -o ./hiperpret +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_runtimes_OptionPricing_small.json -f hiperpret_figure_configuration_runtimes_OptionPricing_medium.json -f hiperpret_figure_configuration_runtimes_OptionPricing_large.json -o ./hiperpret From 5d8f0ce321e2f9217579d3c917c141643cab1987 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 8 Nov 2015 05:09:32 +0100 Subject: [PATCH 112/122] Changed scripts to handle new input format for HIPERmark --- ...et_figure_configuration_runtimes_InterestCalib.json | 10 ++++++++++ run_hipermark_InterestCalib | 2 +- run_hipermark_LocVolCalib | 2 +- run_hipermark_OptionPricing_cpp_opencl | 2 +- run_hipermark_OptionPricing_cpp_openmp | 9 --------- run_hipermark_OptionPricing_cpp_openmp_cpp_sequential | 5 +++-- run_hiperpret_InterestCalib_cpp_openmp | 10 ++++++++++ 7 files changed, 26 insertions(+), 14 deletions(-) create mode 100644 hiperpret_figure_configuration_runtimes_InterestCalib.json delete mode 100755 run_hipermark_OptionPricing_cpp_openmp create mode 100755 run_hiperpret_InterestCalib_cpp_openmp diff --git a/hiperpret_figure_configuration_runtimes_InterestCalib.json b/hiperpret_figure_configuration_runtimes_InterestCalib.json new file mode 100644 index 0000000..11dfca9 --- /dev/null +++ b/hiperpret_figure_configuration_runtimes_InterestCalib.json @@ -0,0 +1,10 @@ +[ + { + "type": "runtimes", + "dependent variable": "mean runtime", + "locked variables": { + "benchmark_name": "InterestCalib", + "dataset_name": "small" + } + } +] diff --git a/run_hipermark_InterestCalib b/run_hipermark_InterestCalib index 74ef13a..37aea67 100755 --- a/run_hipermark_InterestCalib +++ b/run_hipermark_InterestCalib @@ -6,4 +6,4 @@ echo Running hipermark InterestCalib cpp_openmp small dataset, 2 times. echo Storing all results in instantiations/ rm -rf instantiations/InterestCalib -../hipermark/hipermark instantiations/ 2 benchmarks/InterestCalib cpp_openmp small +../hipermark/hipermark -o instantiations/ -n 2 -b benchmarks/InterestCalib -m cpp_openmp -d small diff --git a/run_hipermark_LocVolCalib b/run_hipermark_LocVolCalib index b79e650..e23fef6 100755 --- a/run_hipermark_LocVolCalib +++ b/run_hipermark_LocVolCalib @@ -6,4 +6,4 @@ echo Running hipermark LocVolCalib cpp_openmp_naive + cpp_sequential medium data echo Storing all results in instantiations/ rm -rf instantiations/LocVolCalib -../hipermark/hipermark instantiations/ 2 benchmarks/LocVolCalib cpp_openmp_naive,cpp_sequential medium +../hipermark/hipermark -o instantiations/ -n 2 -b benchmarks/LocVolCalib -m cpp_openmp_naive -m cpp_sequential -d medium diff --git a/run_hipermark_OptionPricing_cpp_opencl b/run_hipermark_OptionPricing_cpp_opencl index 02602ab..a87e3d9 100755 --- a/run_hipermark_OptionPricing_cpp_opencl +++ b/run_hipermark_OptionPricing_cpp_opencl @@ -6,4 +6,4 @@ echo Running hipermark OptionPricing cpp_sequential and cpp_opencl small dataset echo Storing all results in instantiations/ rm -rf instantiations/OptionPricing/ -../hipermark/hipermark instantiations/ 4 benchmarks/OptionPricing cpp_sequential,cpp_opencl small +../hipermark/hipermark -o instantiations/ -n 4 -b benchmarks/OptionPricing -m cpp_sequential -m cpp_opencl -d small diff --git a/run_hipermark_OptionPricing_cpp_openmp b/run_hipermark_OptionPricing_cpp_openmp deleted file mode 100755 index 74ba4c2..0000000 --- a/run_hipermark_OptionPricing_cpp_openmp +++ /dev/null @@ -1,9 +0,0 @@ -#!/bin/bash - -clear -echo Deleting all files in instantiations/OptionPricing/ -echo Running hipermark OptionPricing cpp_sequential and cpp_openmp small dataset, 10 times. -echo Storing all results in instantiations/ - -rm -rf instantiations/OptionPricing/ -../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_sequential,cpp_openmp small diff --git a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential index 7e0ef4f..08b1783 100755 --- a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential +++ b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential @@ -2,8 +2,9 @@ clear echo Deleting all files in instantiations/OptionPricing/ -echo Running hipermark OptionPricing cpp_sequential and cpp_openmp small and medium dataset, 10 times. +echo Running hipermark OptionPricing cpp_sequential and cpp_openmp small dataset, 10 times. echo Storing all results in instantiations/ rm -rf instantiations/OptionPricing/ -../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_sequential,cpp_openmp small,medium +#../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_sequential,cpp_openmp small +../hipermark/hipermark -o instantiations/ -n 10 -b benchmarks/OptionPricing -m cpp_sequential -m cpp_openmp -d small -d medium diff --git a/run_hiperpret_InterestCalib_cpp_openmp b/run_hiperpret_InterestCalib_cpp_openmp new file mode 100755 index 0000000..6d0b50d --- /dev/null +++ b/run_hiperpret_InterestCalib_cpp_openmp @@ -0,0 +1,10 @@ +#!/bin/bash + +clear +echo Deleting all files in ./hiperpret +echo Running Hiperpret analysis, assuming that hiperMARK output data is present in ./instantiations. +echo Storing analysis results in ./hiperpret +echo Expecting one figure configs JSONs in this folder. + +rm -rf hiperpret/ +../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_runtimes_InterestCalib.json -o ./hiperpret From a0f7d9800158d52f106bf4fce02c8d8fa8ebcbf9 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Thorkil=20V=C3=A6rge?= Date: Sun, 8 Nov 2015 05:20:12 +0100 Subject: [PATCH 113/122] script --- run_hipermark_OptionPricing_cpp_openmp_cpp_sequential | 1 - 1 file changed, 1 deletion(-) diff --git a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential index 08b1783..0684ef1 100755 --- a/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential +++ b/run_hipermark_OptionPricing_cpp_openmp_cpp_sequential @@ -6,5 +6,4 @@ echo Running hipermark OptionPricing cpp_sequential and cpp_openmp small dataset echo Storing all results in instantiations/ rm -rf instantiations/OptionPricing/ -#../hipermark/hipermark instantiations/ 10 benchmarks/OptionPricing cpp_sequential,cpp_openmp small ../hipermark/hipermark -o instantiations/ -n 10 -b benchmarks/OptionPricing -m cpp_sequential -m cpp_openmp -d small -d medium From 34a62b7d9dc9a156a64a065894fec6d083972657 Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 10 Nov 2015 12:44:27 +0100 Subject: [PATCH 114/122] We measure microseconds now. --- .../OptionPricing/implementations/cpp_openmp/GenPricing.cpp | 2 +- .../implementations/cpp_sequential/GenPricing.cpp | 2 +- .../OptionPricing/implementations/haskell_lh/GenPricing.hs | 4 ++-- 3 files changed, 4 insertions(+), 4 deletions(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp index 7d6695f..4f8fcc4 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp @@ -171,7 +171,7 @@ int main() { { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); write_1Darr(result, prices, scals.num_models); fclose(result); diff --git a/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp index e52d301..d3bca2e 100644 --- a/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_sequential/GenPricing.cpp @@ -140,7 +140,7 @@ int main() { { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); write_1Darr(result, prices, scals.num_models); fclose(result); diff --git a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs index 1d76f64..3d52d4c 100644 --- a/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs +++ b/benchmarks/OptionPricing/implementations/haskell_lh/GenPricing.hs @@ -483,9 +483,9 @@ main = do s <- getContents md_discts bb_inds bb_data return $ do - start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + start <- getCPUTime -- In picoseconds; 1 microsecond == 10^6 picoseconds. end <- v `deepseq` getCPUTime - return (v, (end - start) `div` 1000000000) + return (v, (end - start) `div` 1000000) readInt2d = readArray $ readArray readInt From 8c62fc84366b0250ac7c1b4423c4e9e0a2056bec Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 10 Nov 2015 12:44:45 +0100 Subject: [PATCH 115/122] Do not touch! --- lib/setup.mk | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/lib/setup.mk b/lib/setup.mk index 2e16dcb..18b3012 100644 --- a/lib/setup.mk +++ b/lib/setup.mk @@ -1,6 +1,6 @@ # If we are run from outside Hipermark itself, a number of environment # variables will be missing. Set these to hopefully-working values to -# support standalone compilation. +# support standalone compilation. Users should not need to modify this. HIPERMARK_BENCHMARK_LIB_DIR ?= ../../lib/ HIPERMARK_IMPLEMENTATION_DIR ?= . @@ -24,6 +24,7 @@ else INCLUDES = -I$(OPENCL_INCDIR) -I. -I../../include endif +# Users should not modify this. CXXFLAGS += -DHIPERMARK_IMPLEMENTATION_DIR='"$(HIPERMARK_IMPLEMENTATION_DIR)"' CXXFLAGS += -DHIPERMARK_BENCHMARK_LIB_DIR='"$(HIPERMARK_BENCHMARK_LIB_DIR)"' CXXFLAGS += -DHIPERMARK_LIB_DIR='"$(HIPERMARK_LIB_DIR)"' From 281e5cf22893f982aaf0ad6e216a0b52b98a75ff Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 10 Nov 2015 12:45:55 +0100 Subject: [PATCH 116/122] Measure InterestCalib runtimes in microseconds. --- .../InterestCalib/implementations/cpp_opencl/SwapCalib.cpp | 2 +- .../InterestCalib/implementations/cpp_openmp/SwapCalib.cpp | 2 +- .../implementations/cpp_sequential/SwapCalib.cpp | 2 +- .../InterestCalib/implementations/haskell_lh/SwapCalib.hs | 4 ++-- 4 files changed, 5 insertions(+), 5 deletions(-) diff --git a/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp index 7bdd251..652de3a 100644 --- a/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp +++ b/benchmarks/InterestCalib/implementations/cpp_opencl/SwapCalib.cpp @@ -45,7 +45,7 @@ int main() FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); const int Ps = get_CPU_num_threads(); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); writeResult(result, diff --git a/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp index 192c7e2..34487f9 100644 --- a/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp +++ b/benchmarks/InterestCalib/implementations/cpp_openmp/SwapCalib.cpp @@ -44,7 +44,7 @@ int main() FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); const int Ps = get_CPU_num_threads(); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); writeResult(result, diff --git a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp index b29ba4e..3d73a87 100644 --- a/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp +++ b/benchmarks/InterestCalib/implementations/cpp_sequential/SwapCalib.cpp @@ -42,7 +42,7 @@ int main() FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); const int Ps = get_CPU_num_threads(); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); writeResult(result, diff --git a/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs b/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs index 3cc1f53..9121592 100644 --- a/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs +++ b/benchmarks/InterestCalib/implementations/haskell_lh/SwapCalib.hs @@ -247,10 +247,10 @@ main = do s <- getContents hermite_coeffs hermite_weights (V.fromList sobol_dir_vct) return $ do - start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + start <- getCPUTime -- In picoseconds; 1 microsecond == 10^6 picoseconds. let v = (win_genome, win_logLik, win_swap_arr) end <- v `deepseq` getCPUTime - return (v, (end - start) `div` 1000000000) + return (v, (end - start) `div` 1000000) readInt1d = readArray readInt readDouble1d = readArray readDouble From 26e2a511158f15ecba7c57dd502eb616879dc56a Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 10 Nov 2015 12:47:01 +0100 Subject: [PATCH 117/122] Measure LocVolCalib runtimes in microseconds. --- .../implementations/cpp_openclmp_all/VolCalibAll.cpp | 2 +- .../implementations/cpp_openclmp_outer/VolCalibOuter.cpp | 2 +- .../implementations/cpp_openmp_naive/VolCalibOrig.cpp | 2 +- .../implementations/cpp_sequential/VolCalibOrig.cpp | 2 +- benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs | 4 ++-- 5 files changed, 6 insertions(+), 6 deletions(-) diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp index 93c2320..e5a5ac5 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_all/VolCalibAll.cpp @@ -152,7 +152,7 @@ int main() { { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); write_1Darr(result, res, OUTER_LOOP_COUNT); fclose(result); diff --git a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp index 436e5ec..8c8021a 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp +++ b/benchmarks/LocVolCalib/implementations/cpp_openclmp_outer/VolCalibOuter.cpp @@ -154,7 +154,7 @@ int main() { { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); write_1Darr(result, res, OUTER_LOOP_COUNT); fclose(result); diff --git a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp index cf3381b..85b68b6 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp +++ b/benchmarks/LocVolCalib/implementations/cpp_openmp_naive/VolCalibOrig.cpp @@ -339,7 +339,7 @@ int main() { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); write_1Darr(result, res.data(), OUTER_LOOP_COUNT); fclose(result); diff --git a/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp b/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp index 657f8bf..dadbebc 100644 --- a/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp +++ b/benchmarks/LocVolCalib/implementations/cpp_sequential/VolCalibOrig.cpp @@ -307,7 +307,7 @@ int main() { FILE* runtime = fopen(getenv("HIPERMARK_RUNTIME"), "w"); FILE* result = fopen(getenv("HIPERMARK_RESULT"), "w"); - fprintf(runtime, "%d\n", elapsed_usec / 1000); + fprintf(runtime, "%d\n", elapsed_usec); fclose(runtime); write_1Darr(result, res.data(), OUTER_LOOP_COUNT); fclose(result); diff --git a/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs b/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs index 8068470..f59dd8b 100644 --- a/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs +++ b/benchmarks/LocVolCalib/implementations/haskell_lh/VolCalib.hs @@ -435,10 +435,10 @@ main = do s <- getContents let params = (0.03, 5.0, 0.2, 0.6, 0.5) --(s0, t, alpha, nu, beta) return $ do - start <- getCPUTime -- In picoseconds; 1 millisecond == 10^9 picoseconds. + start <- getCPUTime -- In picoseconds; 1 microsecond == 10^6 picoseconds. let v = compute (outer, num_x, num_y, num_t) params end <- v `deepseq` getCPUTime - return (v, (end - start) `div` 1000000000) + return (v, (end - start) `div` 1000000) -- ghc -O2 -msse2 -rtsopts PricingLexiFi.hs -- ./PricingLexiFi +RTS -K128m -RTS < ../Data/Medium/input.data From 693e02bd7084002327b41fc438c1798bf2c4ee2c Mon Sep 17 00:00:00 2001 From: Troels Henriksen Date: Tue, 10 Nov 2015 14:28:43 +0100 Subject: [PATCH 118/122] Add missing initialisation. --- benchmarks/OptionPricing/lib/include/ParseInput.h | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/OptionPricing/lib/include/ParseInput.h b/benchmarks/OptionPricing/lib/include/ParseInput.h index f18f317..f7ec5f6 100644 --- a/benchmarks/OptionPricing/lib/include/ParseInput.h +++ b/benchmarks/OptionPricing/lib/include/ParseInput.h @@ -135,7 +135,7 @@ void readDataSet( LoopROScalars& scals, SobolArrays& sob_arrs, } sob_arrs.sobol_fix_ind = (UCHAR*) (sob_arrs.sobol_dirvcts + sob_dim * scals.sobol_bits); - for ( int j; j < (1< Date: Tue, 10 Nov 2015 14:55:12 +0100 Subject: [PATCH 119/122] ULONG does not exist anymore. --- .../implementations/cpp_opencl/GenericPricingVectUncoalesced.cl | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl index e1f2867..eb57c90 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenericPricingVectUncoalesced.cl @@ -204,7 +204,7 @@ __kernel void mlfi_brownianbridge_wiener_path1( __constant int *bb_li, *bb_bi, *bb_ri; __constant real_t *bb_rw, *bb_lw, *bb_sd; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; UINT m, i, md_dim = ro_scal->num_under, nb_path_dates = ro_scal->num_dates; UINT sobol_dim = ro_scal->num_under * nb_path_dates; From a3e2728c56adb10ea9e5a93efa8ac37c31357658 Mon Sep 17 00:00:00 2001 From: Cosmin Oancea Date: Tue, 10 Nov 2015 18:41:10 +0100 Subject: [PATCH 120/122] small changes, adding option for memory coalesced or not --- benchmarks/OptionPricing/implementations/cpp_opencl/Makefile | 4 +++- .../cpp_opencl/static_configuration_template.json | 5 +++-- .../cpp_openmp/dynamic_configuration_template.json | 2 +- benchmarks/OptionPricing/lib/include/Optimizations.h | 2 +- run_hipermark_OptionPricing_cpp_opencl | 2 +- run_hiperpret_OptionPricing_cpp_opencl | 2 +- 6 files changed, 10 insertions(+), 7 deletions(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile index 966bbaa..20c916a 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/Makefile @@ -22,7 +22,9 @@ else ifeq ($(HIPERMARK_CONFIG_VECTORIZATION),on) CXXFLAGS += -D_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV=1 endif - +ifeq ($(HIPERMARK_CONFIG_MEM_COALESCING),on) + CXXFLAGS += -D_OPTIMIZATION_MEM_COALES_ON +endif INCLUDES += -I$(HIPERMARK_BENCHMARK_LIB_DIR)/include INCLUDES += -I$(HIPERMARK_LIB_DIR)/include diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json index 8433596..13d98fe 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/static_configuration_template.json @@ -1,5 +1,6 @@ { - "REAL_TYPE" : ["float", "double"], + "REAL_TYPE" : ["float"], "STRENGTH_REDUCTION" : ["on", "off"], - "VECTORIZATION" : ["on", "off", "auto"] + "VECTORIZATION" : ["on", "off"], + "MEM_COALESCING" : ["on", "off"] } diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json b/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json index 713ae01..8276926 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/dynamic_configuration_template.json @@ -1 +1 @@ -{ "NUM_THREADS": "ncpus" } +{ "NUM_THREADS": ["4", "8", "12", "16", "32"] } diff --git a/benchmarks/OptionPricing/lib/include/Optimizations.h b/benchmarks/OptionPricing/lib/include/Optimizations.h index 944a03a..db6369f 100644 --- a/benchmarks/OptionPricing/lib/include/Optimizations.h +++ b/benchmarks/OptionPricing/lib/include/Optimizations.h @@ -1,7 +1,7 @@ #ifndef OPTIMISATIONS #define OPTIMISATIONS -#define _OPTIMIZATION_MEM_COALES_ON +//#define _OPTIMIZATION_MEM_COALES_ON #endif // OPTIMISATIONS diff --git a/run_hipermark_OptionPricing_cpp_opencl b/run_hipermark_OptionPricing_cpp_opencl index a87e3d9..4dd7d65 100755 --- a/run_hipermark_OptionPricing_cpp_opencl +++ b/run_hipermark_OptionPricing_cpp_opencl @@ -6,4 +6,4 @@ echo Running hipermark OptionPricing cpp_sequential and cpp_opencl small dataset echo Storing all results in instantiations/ rm -rf instantiations/OptionPricing/ -../hipermark/hipermark -o instantiations/ -n 4 -b benchmarks/OptionPricing -m cpp_sequential -m cpp_opencl -d small +../hipermark/hipermark -o instantiations/ -n 30 -b benchmarks/OptionPricing -m cpp_opencl -m cpp_sequential -m cpp_openmp -d small -d medium -d large diff --git a/run_hiperpret_OptionPricing_cpp_opencl b/run_hiperpret_OptionPricing_cpp_opencl index 0b556d1..c972bea 100755 --- a/run_hiperpret_OptionPricing_cpp_opencl +++ b/run_hiperpret_OptionPricing_cpp_opencl @@ -7,4 +7,4 @@ echo Storing analysis results in ./hiperpret echo Expecting one figure configs JSONs in this folder. rm -rf hiperpret/ -../hipermark/hiperpret -i ./instantiations/ -f hiperpret_figure_configuration_runtimes_OptionPricing_small.json -f hiperpret_figure_configuration_runtimes_OptionPricing_medium.json -f hiperpret_figure_configuration_runtimes_OptionPricing_large.json -o ./hiperpret +../hipermark/hiperpret -i ./instantiations/ -o ./hiperpret From a0a04ef4595b6795037863d6e1744254cfc634a1 Mon Sep 17 00:00:00 2001 From: Cosmin Oancea Date: Tue, 10 Nov 2015 20:56:21 +0100 Subject: [PATCH 121/122] various fixes --- .../implementations/cpp_opencl/GenPricing.cpp | 26 ++++++++++++++----- .../GenericPricingVectUncoalesced.cl | 4 +-- .../implementations/cpp_opencl/StructGPU.h | 13 ++++++++-- 3 files changed, 32 insertions(+), 11 deletions(-) diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp index 84a8e7f..51fe52f 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/GenPricing.cpp @@ -73,9 +73,6 @@ run_GPUkernel ( cdDevices, cpProgram, GPU_DEV_ID, compile_opts, preamble, kernel_filename ); } - // we do not measure the just-in-time compilation time! - struct timeval t_start, t_end, t_diff; - gettimeofday(&t_start, NULL); { num_cores = discriminate_cost_model(ro_scal, cdDevices[GPU_DEV_ID], kernel_type); @@ -86,6 +83,21 @@ run_GPUkernel ( } oclLoopArrays ocl_arrs; + { // allocate RO scalars + cl_int ciErr2; + ocl_arrs.ro_scals = clCreateBuffer( + cxGPUContext, CL_MEM_READ_ONLY, sizeof(LoopROScalars), NULL, &ciErr2 + ); + ciErr2 |= clEnqueueWriteBuffer(cqCommandQueue[GPU_DEV_ID], ocl_arrs.ro_scals, CL_TRUE, 0, + sizeof(LoopROScalars), &ro_scal, 0, NULL, NULL); + oclCheckError(ciErr2, CL_SUCCESS); + clFinish(cqCommandQueue[GPU_DEV_ID]); + } + + // we do not measure the just-in-time compilation time! + struct timeval t_start, t_end, t_diff; + gettimeofday(&t_start, NULL); + if(kernel_type == PRIV) { // CALL THE PRIVATE KERNEL glb_vhat = oclAllocArrays_PrivKernel( ocl_arrs, cxGPUContext, cqCommandQueue[GPU_DEV_ID], @@ -137,14 +149,14 @@ run_GPUkernel ( ro_scal.sobol_count_ini = sob_ini_count; } - for(UINT ii = 0; iinum_under; UINT dim_sq = dim*dim; UINT dim_paths = dim*ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; UINT UB = (cur_it+(1<log_chunk) < ro_scal->num_gpuits) ? cur_it + (1<log_chunk) : ro_scal->num_gpuits; @@ -360,7 +360,7 @@ __kernel void mlfi_reduction_step1( UINT j; uint block_size = get_local_size(0); int sobol_dim = ro_scal->num_under * ro_scal->num_dates; - ULONG cur_it = get_global_id (0) << ro_scal->log_chunk; + unsigned long cur_it = get_global_id (0) << ro_scal->log_chunk; //UINT UB = min(cur_it + (1<log_chunk), ro_scal->num_gpuits); UINT UB = ( cur_it + (1<log_chunk) < ro_scal->num_gpuits) ? diff --git a/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h b/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h index eb62f2c..b7624d5 100644 --- a/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h +++ b/benchmarks/OptionPricing/implementations/cpp_opencl/StructGPU.h @@ -90,6 +90,10 @@ enum GPU_KERNEL { PRIV, VECT }; GPU_KERNEL priv_or_vect_kernel(const LoopROScalars& ro_scal) { +#ifndef _OPTIMIZATION_MEM_COALES_ON + return VECT; +#endif + #if (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 1) return VECT; #elif (_OPTIMIZATION_COST_MODEL_OR_FORCE_VECT_OR_FORCE_PRIV == 2) @@ -240,7 +244,9 @@ oclAllocArrays_PrivKernel ( cl_int ciErr2; size_t cur_size; real_t* glb_vhat = NULL; + ciErr = 0; +#if 0 { // 1. RO scalars cur_size = sizeof(LoopROScalars); ocl_arrs.ro_scals = clCreateBuffer( @@ -251,6 +257,7 @@ oclAllocArrays_PrivKernel ( ciErr |= clEnqueueWriteBuffer(cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, cur_size, &ro_scals, 0, NULL, NULL); } +#endif { // 2. Sobol RO Arrays const SobolArrays& cpu_arrs = sob_arrs; @@ -352,7 +359,7 @@ runGPU_PRIV( oclCheckError(ciErr1, CL_SUCCESS); - clFinish(cqCommandQueue); + //clFinish(cqCommandQueue); struct timeval t_start, t_end, t_diff; unsigned long long elapsed; gettimeofday(&t_start, NULL); @@ -422,7 +429,8 @@ oclAllocArrays_VectKernel ( cl_int ciErr2; size_t cur_size; real_t* glb_vhat; - + ciErr = 0; +#if 0 { // 1. RO scalars cur_size = sizeof(LoopROScalars); ocl_arrs.ro_scals = clCreateBuffer( @@ -432,6 +440,7 @@ oclAllocArrays_VectKernel ( ciErr |= clEnqueueWriteBuffer( cqCommandQueue, ocl_arrs.ro_scals, CL_TRUE, 0, cur_size, &ro_scals, 0, NULL, NULL); } +#endif { // 2. SOBOL DIR VECTOR const SobolArrays& cpu_arrs = sob_arrs; From 7e00cdcf06c1cdff1e42f6670c9f6b466460fef7 Mon Sep 17 00:00:00 2001 From: Cosmin Oancea Date: Tue, 8 Dec 2015 20:21:59 +0100 Subject: [PATCH 122/122] enabled strength reduction --- .../OptionPricing/implementations/cpp_openmp/GenPricing.cpp | 2 ++ 1 file changed, 2 insertions(+) diff --git a/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp b/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp index 4f8fcc4..cd155a0 100644 --- a/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp +++ b/benchmarks/OptionPricing/implementations/cpp_openmp/GenPricing.cpp @@ -1,5 +1,7 @@ #define FAST_BB +#define _OPTIMIZATION_SOBOL_STRENGTH_RED_RECURR + #include #include