Matlab & Scilab
Applications to Finance
Fabien Viale, Denis Caromel, et al.
http://ProActive.ObjectWeb.org
OASIS Team
INRIA -- CNRS - I3S -- Univ. of Nice Sophia-Antipolis, IUF
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Fabien Viale
Introduction / Principles
ProActive context
Scilab integration
Matlab integration
Application to Finance
Introduction
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Fabien Viale
Introduction - Matlab
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Leading numerical computing environment
Used by more than one million people
Interactive mathematical shell => Matlab Language
Expensive
Fabien Viale
Introduction - Scilab
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Open source alternative to Matlab
Used by many industrial and research projects
Interactive mathematical shell => similar syntax with Matlab, not
100% compatible.
Free
Fabien Viale
Introduction - ProActive
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Open source middleware for the Grid
Used by many industrial and research projects
Powerful and standardized (ETSI) deployment framework
Tools for the grid : Scheduler, Resource Manager, IC2D Monitoring,
Timit
Fabien Viale
Introduction – State of the Art (quick)
Licence type
Parameters ,
return values ,
user function
definition
Matlab //
computing
toolbox
Proprietary
Star P
Name
Type of jobs
Deployment
Notes
Any matlab
Coarse grained +
MPI + Data //
LSF, PBS,
Torque, SGE
Requires NFS
for I/O
Proprietary
Any matlab
Coarse grained +
Data //
Paralize
Open source
Numeric/string
arrays , built-in
only
Coarse grained
Client / Server
Uses NFS for
cummunication
PLab
Open source
Any matlab
Coarse grained
One level rsh
or ssh
dormant
Only one //Scilab : Scilab PVM
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Requires NFS
for I/O
Introduction - Motivations & Challenges
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Motivations :
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Use grid infrastructure as resources for Matlab & Scilab
Allow users to remain in their familiar environment
Easily run Matlab & Scilab code in parallel
Seamless retrieval of results
Challenges :
– Heterogeneous environment
– Matlab not open source
– Non-extensive list of features in Scilab
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Fabien Viale
ProActive context
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Fabien Viale
Scheduler – Resource Manager
Scheduler :
• controls user access ; task submission,
results retrieval.
• Manages jobs pending queue.
• Manages job’s workflow.
Resource Manager :
• Deploys and monitor resources (nodes)
• Make nodes available for the scheduler (with
resource selection)
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Jobs & tasks
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A job contains several tasks
Tasks can have dependency
relationships
• The Scheduler runs only one task
per node
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Introduction – Job definition
<?xml version="1.0" encoding="UTF-8"?>
<job xmlns="urn:proactive:jobdescriptor:0.9"
xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
xsi:schemaLocation="urn:proactive:jobdescriptor:0.9
http://proactive.inria.fr/schemas/jobdescriptor/0.9/schedulerjob.xsd"
name="job_nativ" priority="normal" logFile="${EXEC_PATH}/nativTask.log">
<description>Will execute 2 native C tasks</description>
<variables>
<variable name="EXEC_PATH" value="[working_dir]"/>
</variables>
<taskFlow>
<task name="task1" preciousResult="true">
<description>Will display 10 dots every 1s</description>
<nativeExecutable>
<staticCommand
value="${EXEC_PATH}/nativTask">
<arguments>
<argument value="1"/>
</arguments>
</staticCommand>
</nativeExecutable>
</task>
<task name="task2" preciousResult="true">
<description>Will display 10 dots every 2s</description>
<depends>
<task ref="task1"/>
</depends>
<nativeExecutable>
<staticCommand
value="${EXEC_PATH}/nativTask">
<arguments>
<argument value="2"/>
</arguments>
</staticCommand>
</nativeExecutable>
</task>
</taskFlow>
</job>
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Fabien Viale
Scilab integration
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Fabien Viale
Scilab integration - Principles
• Integration with the ProActive Scheduler
• Schedule workflow of Scilab tasks
• Transfer results between tasks
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Scilab integration - Example
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Matlab integration
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Fabien Viale
Matlab integration - Principles
• Scilab extension functionalities
• Integration with the Matlab environment
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How does it work ?
Resource
Proxy
Cluster
Manager
login
Matlab
> PAsolve({arg1..argn},
@myfunc)
Convert to
textual /
submit job
Scheduler
Receive
results
Select
resources
deploy
Nodes
Desktop
ans = [ 1 2.354 0 7 ]
Nodes
Create
Run tasks
engines
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Matlab integration - API
• PAconnect(<scheduler-url>)
• PAsolve({arg1, … argn}, @function, [‘debug’])
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Fabien Viale
Introduction – State of the Art (quick)
Licence type
Parameters ,
return values ,
user function
definition
Matlab //
computing
toolbox
Proprietary
Star P
Name
19
Type of jobs
Deployment
Notes
Any matlab
Coarse grained +
MPI + Data //
LSF, PBS,
Torque, SGE
Requires NFS
for I/O
Proprietary
Any matlab
Coarse grained +
Data //
Paralize
Open source
Numeric/string
arrays , built-in
only
Coarse grained
Client / Server
Uses NFS for
cummunication
PLab
Open source
Any matlab
Coarse grained
One level rsh
or ssh, without
password
dormant
ProActive
Open source
Any matlab
Coarse grained
LSF, PBS,
SGE, RSH,
SSH, Bridges
Requires NFS
for I/O
Fabien Viale
Requires NFS
for I/O
Demonstration : application to finance
• Longstaff Schwarz method for American Put Option
• Pure matlab code (no financial toolkit)
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Conclusion / Future Work
• For Scilab, integration with the ProActive Scheduler, useful for doing
batch jobs
– Lacks a complete integration with Scilab
• For Matlab, an easy to use/configure Parallel Matlab toolkit
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Dependant on NFS => Automatic File Transfer
Automatic licencing control
Only for coarse-grained problems => SPMD extension
Blocks Matlab execution => Asynchronous PAsolve
• Questions ?
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Fabien Viale