PicsouGrid%20Viet-Dung%20DOAN

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PicsouGridViet-Dung DOAN
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Agenda

• Motivation
• PicsouGrids architecture
• Pricing scenarios
• PicsouGrids properties
• Load balancing
• Fault tolerance
• Perspectives

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Motivation Option Pricing in Finance

• Options a contract where the owner has the
  right but not the obligation to exercise a
  feature of the contract on a future date
• ? one of the main instrument of financial risk
  management
• for multidimensional underlying assets or complex
  payoffs numerical simulations are required
• ? in this work Monte Carlo methods

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Motivation Option Pricing in Finance

• The underlying assets price is calculated as a
  stochastic value
• S f(N(0,1))
• The options price
• P ES
• Expectation of a stochastic values S is the sum
  of the probability of each possible value S
  (probability theory).

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PicsouGrid Scenario No1 (1)

• This scenario is used for pricing the Europeans
  options, their exotics forms and the portfolio's
  risk management (pricing the value at risk).

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PicsouGrid Scenario No1 (2)
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PicsouGrid Scenario No2 (1)

• More communication.
• This scenario is used for pricing the Americans
  options, their exotics forms and the Greeks
  values.

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PicsouGrid Scenario No2 (2)
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Load Balancing (1)

• Full static strategy (for homogeneous Grid)
• distribute larger tasks to worker (N/nbWorkers)
• less communications
• not suited for heterogeneous workers
• Traditional semi-dynamic (for heterogeneous
  Grid)
• each financial computation is split into N
  elementary tasks statically distributed across
  the SubServers
• each worker consume an elementary task from its
  SubServer until no more tasks are available
• Dynamic aggressive (for certain algorithms)
• distribute more tasks than necessary, stop as
  soon as N results are collected (e.g Monte Carlo
  method)
• more communications
• takes advantage of fastest machines

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Load Balancing (2)

• influence of tasks size
• small
• high communications
• low recovery overhead
• big
• few communications
• recovery overhead can be as big as the task
  execution time

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Fault Tolerance

• FT mechanisms from underlying middleware
• JavaSpace
• transactions protection from worker process
  failure
• activatable service and persistent space
  protection from JavaSpace process failure
• ProActive
• check-pointing protocol to restart the whole
  application from a previous global state in case
  of failure
• ? protect from failure of middleware process
• PicsouGrid FT mechanisms
• hear-beat to detect failure
• subservers checkpoint workers, server checkpoints
  subservers
• redeploy failing worker on reserve PC if
  available
• redeploy failing subserver on reserve PC if
  available, server or on server otherwise
• ? protect from machine failure

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Performances on Sound Grid

• interesting speed-up up to 140 workers
• subServers are bottleneck points hierarchical
  architecture leads to better scaling
• overhead of long-distance communications (4 sites
  versus 1) is noticeable

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PicsouGrid Fault Tolerance Performances

• Experiment
• test 3 SubServers, 6 Workers per SubServer
• disconnect machines right before they return a
  result
• use reserve PCs
• measured overhead
• Conclusions
• faults are detected
• workers and subServers are replaced and there is
  no need to restart the computation from the
  beginning, subsequent computations perform
  without overhead
• recovery overhead is acceptable, higher for
  subServers than for workers

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Failures and Aggressive Load Balancing

• ? need to automatically adjust the task size

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Perspectives

• Perspectives
• to build an abstract interface between PicsouGrid
  and the algorithms.
• to experiment with more tightly-coupled
  applications.
• to allow application, PiscouGrid and underlying
  middleware layers to collaborate to improve fault
  tolerance.
• to dynamically discover and integrate available
  resources (PiscouGrid).
• to allow pluggin of industrial clients and
  libraries (e.g. Pricing Partners toolkit).