Experts in numerical software and
High Performance Computing
Cloud Task Execution at Scale
with an example from Quant Finance
Microsoft SC18 Theater presentation
November 2018
John HOLDEN
Mick PONT
2High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
3High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
4High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
► Manage Distribution (CPU/GPU)
► Manage dependencies
► Manage synchronization
► Manage control
► Manage ad-hoc Grid (during Development)
► Manage Cloud(s) (during Testing / Production)
5High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Client
Client
Client
Server
Client-Server
Client
Client
Client
Client-Worker
worker
worker
worker
synchronisation
worker
worker
worker
Master
Master-Worker
6High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
7High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
8High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
• Origami supports DAGs
including: data transfers,
metrics, recovery from
task failure.
• Can run on dev
machines, in-house grid,
production cloud, CPU,
CPU / GPU – mixture.
9High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
10High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Description Elapsed Time
Single core ~ 14 hours
Origami / Grid / Azure Minutes
11High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
12High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Experts in High Performance Computing,
Algorithms and Numerical Software Engineering
www.nag.com | blog.nag.com | @NAGtalk
13High Performance Computing Consulting | Numerical Algorithms | Software Engineering Services | www.nag.com
Experts in High Performance Computing,
Algorithms and Numerical Software Engineering
www.nag.com | blog.nag.com | @NAGtalk

Cloud Task Execution at Scale with example from quant finance

  • 1.
    Experts in numericalsoftware and High Performance Computing Cloud Task Execution at Scale with an example from Quant Finance Microsoft SC18 Theater presentation November 2018 John HOLDEN Mick PONT
  • 2.
    2High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com
  • 3.
    3High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com
  • 4.
    4High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com ► Manage Distribution (CPU/GPU) ► Manage dependencies ► Manage synchronization ► Manage control ► Manage ad-hoc Grid (during Development) ► Manage Cloud(s) (during Testing / Production)
  • 5.
    5High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com Client Client Client Server Client-Server Client Client Client Client-Worker worker worker worker synchronisation worker worker worker Master Master-Worker
  • 6.
    6High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com
  • 7.
    7High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com
  • 8.
    8High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com • Origami supports DAGs including: data transfers, metrics, recovery from task failure. • Can run on dev machines, in-house grid, production cloud, CPU, CPU / GPU – mixture.
  • 9.
    9High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com
  • 10.
    10High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com Description Elapsed Time Single core ~ 14 hours Origami / Grid / Azure Minutes
  • 11.
    11High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com
  • 12.
    12High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com Experts in High Performance Computing, Algorithms and Numerical Software Engineering www.nag.com | blog.nag.com | @NAGtalk
  • 13.
    13High Performance ComputingConsulting | Numerical Algorithms | Software Engineering Services | www.nag.com Experts in High Performance Computing, Algorithms and Numerical Software Engineering www.nag.com | blog.nag.com | @NAGtalk