Issues in (Financial) High Performance Computing

John DarlingtonDirector

Imperial College Internet Centre

Fast Financial Algorithms and Computing4th July 2007

Issues in (Financial) High Performance Computing

John DarlingtonDirector

Imperial College Internet Centre

Fast Financial Algorithms and Computing4th July 2007

• Building (rebuilding) complex applications

• Component-based software

• Mapping to complex (dynamically changing) machines

• Intelligent implementation and resource selection

• Resource procurement and maintenance

• On-demand utility computing

• Capacity planning

• Stochastic optimisation

• Building (rebuilding) complex applications

• Component-based software

• Mapping to complex (dynamically changing) machines

• Intelligent implementation and resource selection

• Resource procurement and maintenance

• On-demand utility computing

• Capacity planning

• Stochastic optimisation

• Abstraction Levels for Components

= Roles= Sources of Information ~ captured as meta-data

• Developer (Algorithm Designer)• Produces Implementations

• Scientist (Analyst)• Designs Useful Components

• User (Front Desk Trader or Business Team)• Composes and Executes Application

• Abstraction Levels for Components

= Roles= Sources of Information ~ captured as meta-data

• Developer (Algorithm Designer)• Produces Implementations

• Scientist (Analyst)• Designs Useful Components

• User (Front Desk Trader or Business Team)• Composes and Executes Application

Component Abstraction LevelsComponent Abstraction Levels

Separation of Concerns: Meaning, Behaviour & Implementation

Separation of Concerns: Meaning, Behaviour & Implementation

LinearSolver

Matrix

VectorVector

Matrix

VectorJacobi

Matrix

Vector VectorLU

Vector

Push Model Pull Model

Parallel LU Sequential LU

End-User: Application StructureEnd-User: Application Structure

Composes application Connections between ports Ports are typed

Composes application Connections between ports Ports are typed

Mesh Generator

Finite Element Model

Time Integrator

TemporalBoundaries

SpatialBoundaries

NumericalSolverTime Dependent PDE

Scientist: Component Meaning Scientist: Component Meaning

Defines Component Abstraction Ports

Meaning of methods Data Flow

Ontology of component Semantic Constraints

e.g. conditional numerical stability

Defines Component Abstraction Ports

Meaning of methods Data Flow

Ontology of component Semantic Constraints

e.g. conditional numerical stability 2

2min

2

crit dhc

tt

Implementer: Performance CharacteristicsImplementer: Performance Characteristics

Implements component Information to support decision making:

Communication Properties Performance Model (More Later) Platform Constraints Required Libraries (e.g. BLAS, LAPACK, MPI)

Information to enable execution: Configurations Execution Environment

Implements component Information to support decision making:

Communication Properties Performance Model (More Later) Platform Constraints Required Libraries (e.g. BLAS, LAPACK, MPI)

Information to enable execution: Configurations Execution Environment

Deployment of ComponentsDeployment of Components

ComponentDesignTools

Scientist Developer

ImplementationAnnotating

Tools

Repository

ApplicationDesignTools

End User

Application DescriptionDocument

Code CodeCode

ApplicationMapper

Code

Run-TimeRepresentation

Grid

Container

Access ResourceInformation

APO

Application Proxy Object

RTR

Code

Information FlowInformation Flow

Run TimeRepresentation

ApplicationMapper

ExecutionPlan

ComponentMeta-Data

ApplicationDescription

ImplementationMeta-Data

CompositePerformance

Model

UserRequirements

ResourceInformation

Information Capture & UtilisationInformation Capture & Utilisation

UserRequirements

Software & HardwareCapabilities

SoftwareComponentMeta-data

ResourceMeta-data

ApplicationStructure

SelectionPolicy

UserRights

Application asInteractive Service

Meaning

Implementation

Behaviour HardwareCharacteristics

UsagePolicy

ResourceState

CompositeApplication

Workflow Model

PerformanceModel

ExecutionPlan

A Market for Computational ServicesA Market for Computational Services

Computational Markets

The Utility MarketThe Utility Market

Amazon Elastic Compute Cloud (Amazon EC2) - Limited Beta

Amazon Elastic Compute Cloud (Amazon EC2) is a web service that provides resizable compute capacity in the cloud. It is designed to make web-scale computing easier for developers

Infr

astr

uctu

re P

rovi

ders

Infr

astr

uctu

re P

rovi

ders

Util

ity P

rovi

ders

Util

ity P

rovi

ders

Ser

vice

Hos

ters

Ser

vice

Hos

ters

Mobile Phone / PDA

Laptop

Interactive TV

Mobile Phone / PDA

Laptop

Interactive TV

Data and Services

myLifemyLife

myLifemyLife

Anatomy of the New InternetAnatomy of the New Internet

Network Computer Internet Power

Broker

The ServiceEconomy

Capacity Planning: Stochastic Optimisation (Patel, Afzal)

Capacity Planning: Stochastic Optimisation (Patel, Afzal)

deployable software

Queuing services

Require reservation

GRIDDISCOVERY

SCHEDULER

BROKER

Workflow

QoS Document

End-User

Packaged Code Services

Execution Services

Running Software Services

Payment Service

Monitoring Service

Performance Repository

Plug various scheduling algorithms within the scheduler of broker

• 2-stage stochastic programming approach• Schedule each and every task of workflows individually

• Global workload allocation• Schedule a collection of workflow jobs

• Combined• Use both techniques to perform further optimisation

• Other traditional algorithms• Uses CPLEX 9.0 to perform deterministic/stochastic optimisation• Automatically generate constraint equations and optimisation programs

QoS-constrained workflows • Simple and complex workflows, heterogenous workload• Deadline requirements (complete in time t from now)• Cost requirements (should cost only as per the budget specified)• Reliability requirements (should execute with certain reliability)• Arrive with general inter-arrival time distribution

Plug various scheduling algorithms within the scheduler of broker

• 2-stage stochastic programming approach• Schedule each and every task of workflows individually

• Global workload allocation• Schedule a collection of workflow jobs

• Combined• Use both techniques to perform further optimisation

• Other traditional algorithms• Uses CPLEX 9.0 to perform deterministic/stochastic optimisation• Automatically generate constraint equations and optimisation programs

QoS-constrained workflows • Simple and complex workflows, heterogenous workload• Deadline requirements (complete in time t from now)• Cost requirements (should cost only as per the budget specified)• Reliability requirements (should execute with certain reliability)• Arrive with general inter-arrival time distribution