@InProceedings{Supelec389,
author = {Constantinos Makassikis and Xavier Warin and Stephane Vialle},
title = {{Large Scale Distribution of Stochastic Control Algorithms for Financial Applications}},
year = {2008},
booktitle = {{The First Workshop on Parallel and Distributed Computing in Finance (Computational Finance) (PDCoF08)}},
publisher = {IEEE},
pages = {8 pages},
month = {April 18},
address = {Hyatt Regency Resort, Miami, (FL, USA)},
url = {http://hal-supelec.archives-ouvertes.fr/hal-00290440/fr/},
isbn = {978-1-4244-1694-3},
abstract = {This paper introduces the distribution of a stochastic control algorithm which is applied to gas stor- age valuation, and presents its experimental performances on two PC clusters and an IBM Blue Gene/L supercom- puter. This research is part of a French national project which gathers people from the academic world (computer scientists, mathematicians, ...) as well as people from the industry of energy and finance in order to provide concrete answers on the use of computational clusters, grids and su- percomputers applied to problems of financial mathematics. The proposed parallelization provides on one hand a com- munication scheme suitable for both aforementioned archi- tectures and on the other hand optimizes the inter-processor communications as well as the intra-node memory usage. The designed distribution allows to run gas storage valu- ation models which require considerable amounts of com- putational power and memory space while achieving both speedup and size-up: it has been successfully implemented and experimented on PC clusters (up to 144 processors) and on a Blue Gene supercomputer (up to 1024 proces- sors). Comparisons of the performance results achieved by low-end PC clusters and high-end supercomputer have been done in terms of execution times and reliability. Fi- nally, a scalability experiment has been achieved on our most resource-consuming model of stochastic control. Ex- periments show that our distributed algorithm allows to use more computing resources in order to maintain constant the execution time while increasing the calculation accuracy.}
}