The Need For Speed 2: OpenMP

November 24, 2009 | Posted by andrew

I’ve been getting frustrated with just how long each run is taking, which is currently about a week. This means that every time that I make a small change, its several days before I know whether it’s successful or not.

I’ve been through the code looking to remove anything that is not essential and pre-compute as much data as possible so it doesn’t need doing in the main CPU intensive evolutionary generations. I’ve reduced the maximum syntax tree depth to 6 to limit the complexity of solutions and  therefore the processing time. I’ve filtered the training data set to exclude the quiet hours overnight when I don’t intend to trade but still it is taking far too long.

Then I discovered OpenMP – a standard for parallel processing in C that is supported by GCC. This means that by adding a simple pragma to my code in the main evaluation loop, the code will automatically run across all the CPU cores in my machine (only 2) giving an instant doubling of performance (almost) :-

 while (g < num_generations)

  {
     #pragma omp parallel for private(i, p)

     for (i=0; i<num_traders; i++)

     {

       p = evaluate_trader(&traders[i], 0);

       traders[i].profit = p;

     }

     sort_t(traders, 0, num_traders);

Notice the “#pragma omp parallel for”  ?  This splits the loop into two separate loops running in parallel in two separate threads on two cores. Since this loop has 256 iterations and no dependencies from one iteration to the next this is ideal for parallelism and could be split many more ways if I had more CPU’s / cores.

Categories: C | Tags: | 3 Comments »

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