4 ms·

It's important in finance. Not so much because the last decimals are really important, but when they perform reconciliation they want to ensure that numbers rem

It's important in finance. Not so much because the last decimals are really important, but when they perform reconciliation they want to ensure that numbers remain consistent over multiple runs, and if one machine returns different values it comes up as errors when the reports are compared, which can trigger all sorts of processes that can be very costly.

borramakot 5y ago
The amount of effort and extra hardware required to maintain this reproducibility across different hardware (cpu generations, GPU hardware/drivers, etc) feels insane to me. For example, people seem extremely interested in performance, but insist on using the much slower modes in MKL to maintain the bottom few bits of their golden data. Do you find this genuinely important? If not, have you had any success encouraging e.g. validating against golden data in a non-bitwise comparison?
- lokedhs 5y ago
  I personally don't find it important. And I have seen that the demand of having numbers match exactly comes from a misunderstanding of how floating point calculations work. Sometimes this is understood by the banks and the solution is to implement a tolerance in the comparisons. In other cases other solutions may have to be used, such as forcing certain reports to be computed on certain software/hardware.
  - perl4ever 5y ago
    >I personally don't find it important You remind me of the alleged UK Post Office scandal: https://www.bbc.com/news/business-56718036 https://www.bbc.com/news/business-56718036
    - lokedhs 5y ago
      That's not what I'm talking about. Floating point computations happen when doing risk calculations, for example computing risk numbers in a Black-Sholes calculation. A difference in the 15'th decimal has no impact on the risk number.
      - perl4ever 5y ago
        I don't have a good counterexample off hand, but I've seen a web page literally display "NaN" where a number should be. The truth is, I have faith in Murphy's law.

borramakot 5y ago

The amount of effort and extra hardware required to maintain this reproducibility across different hardware (cpu generations, GPU hardware/drivers, etc) feels insane to me. For example, people seem extremely interested in performance, but insist on using the much slower modes in MKL to maintain the bottom few bits of their golden data. Do you find this genuinely important? If not, have you had any success encouraging e.g. validating against golden data in a non-bitwise comparison?

lokedhs 5y ago
I personally don't find it important. And I have seen that the demand of having numbers match exactly comes from a misunderstanding of how floating point calculations work. Sometimes this is understood by the banks and the solution is to implement a tolerance in the comparisons. In other cases other solutions may have to be used, such as forcing certain reports to be computed on certain software/hardware.
- perl4ever 5y ago
  >I personally don't find it important You remind me of the alleged UK Post Office scandal: https://www.bbc.com/news/business-56718036 https://www.bbc.com/news/business-56718036
  - lokedhs 5y ago
    That's not what I'm talking about. Floating point computations happen when doing risk calculations, for example computing risk numbers in a Black-Sholes calculation. A difference in the 15'th decimal has no impact on the risk number.
    - perl4ever 5y ago
      I don't have a good counterexample off hand, but I've seen a web page literally display "NaN" where a number should be. The truth is, I have faith in Murphy's law.