Thalesian Seminar (London) — Vincent Hindriksen — On the Usability of OpenCL for Financial Computations
Date and Time
7:30 p.m. on Wednesday, 27th October, 2010.
Upstairs at City Pride, Canary Wharf, London, UK.
You can register for this event and pay online on Meetup.com: http://www.meetup.com/thalesians/calendar/15074421/
OpenCL stands for Open Computing Language, a powerful open standard backed by large companies like NVIDIA, AMD, IBM, Apple, Qualcomm and many others. The language supports a sustainable programming model for heterogeneous computing, allowing code to be executed on a range of accelerator platforms such as many-core CPUs, GPUs and also on low-power ARM-based devices and in the future possibly FPGAs too.
Financial algorithms implemented in legacy codes cannot be automatically converted to optimised OpenCL code. The specific algorithm-knowledge, developed by the quant, needs to be communicated to a software architect with very specific and different knowledge. This translation from one world to the other is an infamous IT-obstacle and has been a strong motivator for the development of new software technologies and solution approaches. This is the context in which we evaluate the potential benefits and the pitfalls of OpenCL and discuss some of the latest research and development projects.
During the talk we explore concrete examples of how this conversion is done in the CPU-world, from Excel-macros to compiled Matlab-code. Then we will walk through different conversion approaches in the massively parallel computing world, culminating in an OpenCL based solution approach that can serve to guide migration projects in quantitative finance.
Vincent Hindriksen is the owner of StreamComputing, a Netherlands based start-up specialising in accelerating computations using OpenCL. Since graduating with a Master's degree in computer science, Vincent has worked on several projects where he has added value by focusing on the usability and performance. Before launching his company, he worked for a Dutch pension fund APG, where he accelerated a data-acquisition process by 10x. Vincent will publish his first online book on OpenCL later this year.
To be published here.
OpenCL - The open standard for parallel programming of heterogeneous systems, http://www.khronos.org/opencl/.
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