Talk at Swiss FinteCH Meetup
July 14th 2016 I gave a talk at the Swiss FinteCH Meetup on open source technologies in fintech. The Swiss FinteCH Meetup group is a great and growing community interested in technology applied to financial problems. Thanks to Swati for organizing the event.
Check out the slides for more information.
Another Reason to Use a GPU!
I recently gave a talk at an F# meetup hosted by Jet.com about deficiencies of .NET CLR JIT compilers.
We know that often C# or F# does not perform at the level of native C++ because the CLR JIT compiler is not optimizing the code well enough. In worst cases we loose a factor of 2 to 4 against native code. To investigate this problem in more depth you can check how .NET CLR JIT compilers compile simple loops and nested loops. It is not enough to just look at MSIL code. We have to dig deep into the optimized assembly code, generated by the CLR JIT compilers. We find that the CLR JIT compilers are not capable to remove array bound checks or optimize array access patterns of the form a[i*lda + j] in simple nested loops. This is very bad news for performance critical code in .NET.
Fortunately, you can get around these problems by moving performance critical code to the GPU. The Floyd-Warshall all shortest path algorithm serves as an example: an advanced GPU implementation fully written in C# and compiled with Alea GPU gives a significant speedup. It runs at the same speed as a native GPU version coded in C++ and 125 times faster than the initial C# version!
Developing such efficient algorithms is not straightforward at all and requires some experience. We therefore take a step back and show that simpler problems can often be solved efficiently with parallel-for and parallel aggregate patterns running on the GPU with a dramatic performance increase of a factor of 50 to 100.
Here are the slides.