@InProceedings{Supelec363,
author = {Constantinos Makassikis and Xavier Warin and Stephane Vialle},
title = {{Distribution of a Stochastic Control Algorithm Applied to Gas Storage Valuation}},
year = {2007},
booktitle = {{The 7th IEEE International Symposium on Signal Processing and Information Technology (ISSPIT).}},
publisher = {IEEE},
pages = {493-498},
month = {dec},
address = {Cairo, Egypt},
url = {http://dx.doi.org/10.1109/ISSPIT.2007.4458002},
doi = {10.1109/ISSPIT.2007.4458002},
abstract = {This paper introduces a research project that aims to speed-up
and size-up some gas storage valuations, based on a Stochastic
Dynamic Programming algorithm. Such valuations are typically
needed by investment projects and yield prices of gas storage
spaces and facilities. However, they involve computations which
require great amounts of CPU power or memory. As a result, their
parallelization on PC clusters or supercomputers becomes highly
attractive and sometimes unavoidable despite its complexity. Our
parallelization strategy is based on a message passing paradigm,
and distributes both computations and data on a cluster, in
order to achieve speed-up and size-up. It includes some complex
and optimized data exchanges which are dynamically computed,
planned and achieved at each computation step. This optimized
data distribution and memory management allows to process large
problems on a high number of processors. Moreover, our parallel
implementation is able to support different price models, and
our first experiments on a standard 32 PC cluster show very good
performances particularly for complex price models.}
}