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Question for someone with gpu programming experience: is it feasible to analyze time series data (eg.: run a trading algorithm through a series of stock prices)

Question for someone with gpu programming experience: is it feasible to analyze time series data (eg.: run a trading algorithm through a series of stock prices) in parallel (with the algorithms receiving different parameters in each core)? If not then what is the limiting factor?

rowanG077 5y ago
Probably possible, but you would really need some more concrete information. For some easy experimentation with GPUs I would advise looking at Futhark. It's super easy to setup and get started. https://futhark-lang.org/ https://futhark-lang.org/
raphlinus 5y ago
This depends on the algorithm. If it has lots of branching and control flow, then it's unlikely to run well. If it's based on something like FFT or any sort of linear algebra really, then it should run really well. WebGPU is accessible enough maybe you should try it! You'll learn a lot either way, and it can be fun.
- amelius 5y ago
  Isn't there something like SciPy which you can run on WebGPU?
  - raphlinus 5y ago
    At this point, there are very few tools actually running on WebGPU, as it's too new. One to watch for sure is IREE, which has a WebGPU backend planned and in the works.
    - galangalalgol 5y ago
      There is wonnx a rust based webgpu enabled onnx runtime for ml stuff.
  - westurner 5y ago
    https://wgpu-py.readthedocs.io/en/stable/guide.html https://wgpu-py.readthedocs.io/en/stable/guide.html : > As WebGPU spec is being developed, a reference implementation is also being build. It’s written in Rust, and is likely going to power the WebGPU implementation in Firefox. This reference implementation, called wgpu-native, also exposes a C-api, which means that it can be wrapped in Python. And this is what wgpu-py does. > So in short, wgpu-py is a Python wrapper of wgpu-native, which is a wrapper for Vulkan, Metal and DX12, which are low-level API’s to talk to the GPU hardware. So, it should be possible to WebGPU-accelerate SciPy; for example where NumPy is natively or third-partily CUDA-accelerated edit: Intel MKL, https://Rapids.ai https://Rapids.ai, > Seamlessly scale from GPU workstations to multi-GPU servers and multi-node clusters with Dask. Where can WebGPU + IDK WebRTC/WebSockets + Workers provide value for multi-GPU applications that already have efficient distributed messaging protocols? "Considerable slowdown in Firefox once notebook gets a bit larger" https://github.com/jupyterlab/jupyterlab/issues/1639#issuecomment-925223852 https://github.com/jupyterlab/jupyterlab/issues/1639#issueco... Re: the differences between the W3C Service Workers API, Web Locks API, and the W3C Web Workers API and "4 Ways to Communicate Across Browser Tabs in Realtime" may be helpful. Pyodide compiles CPython and the SciPy stack to WASM. The WASM build would probably benefit from WebGPU acceleration?
- mwcampbell 5y ago
  Since you mentioned FFT, I wondered whether GPU-based computation would be useful for audio DSP. But then, lots of audio DSP operations run perfectly well even on a low-end CPU. Also, as one tries to reduce latency, the buffer size decreases, thus reducing the potential to exploit parallelism, and I'm guessing that going to the GPU and back adds latency. Still, I guess GPU-based audio DSP could be useful for batch processing.
  - raphlinus 5y ago
    Yes. Probably the single most effective use of the GPU for audio is convolutional reverb, for which a number of plugins exist. However, the problem is that GPUs are optimized for throughput rather than latency, and it gets worse when multiple applications (including the display compositor) are contending for the same GPU resource - it's not uncommon for dispatches to have to wait multiple milliseconds just to be scheduled. I think there's potential for interesting things in the future. There's nothing inherently preventing a more latency-optimized GPU implementation, and I personally would love to see that for a number of reasons. That would unlock vastly more computational power for audio applications. There's also machine learning, of course. You'll definitely be seeing (and hearing) more of that in the future.
    - misterdata 5y ago
      Already on it! https://github.com/webonnx/wonnx https://github.com/webonnx/wonnx - runs ONNX neural networks on top of WebGPU (in the browser, or using wgpu on top of Vulkan/DX12/..)
WithinReason 5y ago
Depends what you do the analysis with. The state of the art is a neural network, and the best there are transformers which do parallelize (as opposed to the previous generation, LSTMs which don't parallelize as well) The limiting factor is usually parallelism, to utilize a GPU well you need to be running something on the order of 10000 threads in parallel.
modeless 5y ago
Yes, in fact GPUs are perfect for this. Here is a Monte Carlo financial simulation I built in WebGL 2. https://james.darpinian.com/money/ https://james.darpinian.com/money/ (Warning, programmer UI) It performs one million Monte Carlo runs instantly every time you move a slider. Each run is one execution of a pixel shader and they all happen in parallel. WebGPU will make this kind of thing more accessible. It's kind of a pain to do it in WebGL, but even so it's still totally possible and worthwhile because you can easily get 20 times the performance in many cases and handily beat native CPU code even on the web.
- neogodless 5y ago
  Hmm the UI is super unresponsive for me. As in, I try to move a slider, I can't tell where it's moving to... then I let go and it's somewhere I didn't expect. Latest Firefox, Windows 10, Radeon RX 6700XT 16GB.
  - modeless 5y ago
    Do other WebGL 2 demos work well for you? Does it work in Chromium? I haven't tested the code extensively so I'm sure it's broken in some configurations. It's just a proof of concept demo for now.
    - neogodless 5y ago
      Ah sorry - disregard. I had a background process gobbling up GPU, and now I can use it in Firefox or Edge. I do find it confusing, as I can put in numbers that get me well below a 3% withdrawal rate, but still have only 40% success rate. But I'm probably misunderstanding some of the mortgage sliders.
      - modeless 5y ago
        Yeah, it's confusing for sure. One day hopefully I'll have time to put a real UI on it. Right now it's assuming you buy a house with a mortgage (and property tax and yearly maintenance costs) at the same time as you retire. Put the house price to zero to eliminate all that. Also the expenses slider is before tax, so the tax rate slider influences how large your withdrawals actually are. The total withdrawal per year is displayed near the bottom.
skohan 5y ago
GPUs are largely best suited for providing high throughput for doing similar computations across wide datasets. So if you can break down your algorithm into a series of steps which are largely independent and have limited flow-of-control it might be well suited to the task. If you need to have a lot of random access, or branching logic, it may not work so well. But often times it's possible to re-structure an algorithm designed for CPU to perform better on GPU. But how many stocks even are there? You might not even have enough parallel operations to saturate a modern GPU. Out of curiosity, why use WebGPU for this? If you're really trying to do something high performance, why not reach for something like CUDA?
javierluraschi 5y ago
We have a few examples of time series data processing in Hal9 with WebGL (no support for WebGPU just yet): - Simple regression with TensorFlow.js: https://hal9.com/hal9/historic-temperature-analysis https://hal9.com/hal9/historic-temperature-analysis - LSTM with TensorFlow.js: https://hal9.com/hal9/bitcoin-prediction https://hal9.com/hal9/bitcoin-prediction - ARIMA with Pyodide.js: https://hal9.com/hal9/ai-fundamentals-arima https://hal9.com/hal9/ai-fundamentals-arima If you have question or would be open to considering using Hal9 to do time series analysis in JavaScript, let me know! You can find me in Twitter at https://twitter.com/javierluraschi https://twitter.com/javierluraschi

rowanG077 5y ago

Probably possible, but you would really need some more concrete information. For some easy experimentation with GPUs I would advise looking at Futhark. It's super easy to setup and get started. https://futhark-lang.org/ https://futhark-lang.org/

raphlinus 5y ago

This depends on the algorithm. If it has lots of branching and control flow, then it's unlikely to run well. If it's based on something like FFT or any sort of linear algebra really, then it should run really well. WebGPU is accessible enough maybe you should try it! You'll learn a lot either way, and it can be fun.

amelius 5y ago
Isn't there something like SciPy which you can run on WebGPU?
- raphlinus 5y ago
  At this point, there are very few tools actually running on WebGPU, as it's too new. One to watch for sure is IREE, which has a WebGPU backend planned and in the works.
  - galangalalgol 5y ago
    There is wonnx a rust based webgpu enabled onnx runtime for ml stuff.
- westurner 5y ago
  https://wgpu-py.readthedocs.io/en/stable/guide.html https://wgpu-py.readthedocs.io/en/stable/guide.html : > As WebGPU spec is being developed, a reference implementation is also being build. It’s written in Rust, and is likely going to power the WebGPU implementation in Firefox. This reference implementation, called wgpu-native, also exposes a C-api, which means that it can be wrapped in Python. And this is what wgpu-py does. > So in short, wgpu-py is a Python wrapper of wgpu-native, which is a wrapper for Vulkan, Metal and DX12, which are low-level API’s to talk to the GPU hardware. So, it should be possible to WebGPU-accelerate SciPy; for example where NumPy is natively or third-partily CUDA-accelerated edit: Intel MKL, https://Rapids.ai https://Rapids.ai, > Seamlessly scale from GPU workstations to multi-GPU servers and multi-node clusters with Dask. Where can WebGPU + IDK WebRTC/WebSockets + Workers provide value for multi-GPU applications that already have efficient distributed messaging protocols? "Considerable slowdown in Firefox once notebook gets a bit larger" https://github.com/jupyterlab/jupyterlab/issues/1639#issuecomment-925223852 https://github.com/jupyterlab/jupyterlab/issues/1639#issueco... Re: the differences between the W3C Service Workers API, Web Locks API, and the W3C Web Workers API and "4 Ways to Communicate Across Browser Tabs in Realtime" may be helpful. Pyodide compiles CPython and the SciPy stack to WASM. The WASM build would probably benefit from WebGPU acceleration?
mwcampbell 5y ago
Since you mentioned FFT, I wondered whether GPU-based computation would be useful for audio DSP. But then, lots of audio DSP operations run perfectly well even on a low-end CPU. Also, as one tries to reduce latency, the buffer size decreases, thus reducing the potential to exploit parallelism, and I'm guessing that going to the GPU and back adds latency. Still, I guess GPU-based audio DSP could be useful for batch processing.
- raphlinus 5y ago
  Yes. Probably the single most effective use of the GPU for audio is convolutional reverb, for which a number of plugins exist. However, the problem is that GPUs are optimized for throughput rather than latency, and it gets worse when multiple applications (including the display compositor) are contending for the same GPU resource - it's not uncommon for dispatches to have to wait multiple milliseconds just to be scheduled. I think there's potential for interesting things in the future. There's nothing inherently preventing a more latency-optimized GPU implementation, and I personally would love to see that for a number of reasons. That would unlock vastly more computational power for audio applications. There's also machine learning, of course. You'll definitely be seeing (and hearing) more of that in the future.
  - misterdata 5y ago
    Already on it! https://github.com/webonnx/wonnx https://github.com/webonnx/wonnx - runs ONNX neural networks on top of WebGPU (in the browser, or using wgpu on top of Vulkan/DX12/..)

WithinReason 5y ago

Depends what you do the analysis with. The state of the art is a neural network, and the best there are transformers which do parallelize (as opposed to the previous generation, LSTMs which don't parallelize as well) The limiting factor is usually parallelism, to utilize a GPU well you need to be running something on the order of 10000 threads in parallel.

modeless 5y ago

Yes, in fact GPUs are perfect for this. Here is a Monte Carlo financial simulation I built in WebGL 2. https://james.darpinian.com/money/ https://james.darpinian.com/money/ (Warning, programmer UI) It performs one million Monte Carlo runs instantly every time you move a slider. Each run is one execution of a pixel shader and they all happen in parallel. WebGPU will make this kind of thing more accessible. It's kind of a pain to do it in WebGL, but even so it's still totally possible and worthwhile because you can easily get 20 times the performance in many cases and handily beat native CPU code even on the web.

neogodless 5y ago
Hmm the UI is super unresponsive for me. As in, I try to move a slider, I can't tell where it's moving to... then I let go and it's somewhere I didn't expect. Latest Firefox, Windows 10, Radeon RX 6700XT 16GB.
- modeless 5y ago
  Do other WebGL 2 demos work well for you? Does it work in Chromium? I haven't tested the code extensively so I'm sure it's broken in some configurations. It's just a proof of concept demo for now.
  - neogodless 5y ago
    Ah sorry - disregard. I had a background process gobbling up GPU, and now I can use it in Firefox or Edge. I do find it confusing, as I can put in numbers that get me well below a 3% withdrawal rate, but still have only 40% success rate. But I'm probably misunderstanding some of the mortgage sliders.
    - modeless 5y ago
      Yeah, it's confusing for sure. One day hopefully I'll have time to put a real UI on it. Right now it's assuming you buy a house with a mortgage (and property tax and yearly maintenance costs) at the same time as you retire. Put the house price to zero to eliminate all that. Also the expenses slider is before tax, so the tax rate slider influences how large your withdrawals actually are. The total withdrawal per year is displayed near the bottom.

skohan 5y ago

GPUs are largely best suited for providing high throughput for doing similar computations across wide datasets. So if you can break down your algorithm into a series of steps which are largely independent and have limited flow-of-control it might be well suited to the task. If you need to have a lot of random access, or branching logic, it may not work so well. But often times it's possible to re-structure an algorithm designed for CPU to perform better on GPU. But how many stocks even are there? You might not even have enough parallel operations to saturate a modern GPU. Out of curiosity, why use WebGPU for this? If you're really trying to do something high performance, why not reach for something like CUDA?

javierluraschi 5y ago

We have a few examples of time series data processing in Hal9 with WebGL (no support for WebGPU just yet): - Simple regression with TensorFlow.js: https://hal9.com/hal9/historic-temperature-analysis https://hal9.com/hal9/historic-temperature-analysis - LSTM with TensorFlow.js: https://hal9.com/hal9/bitcoin-prediction https://hal9.com/hal9/bitcoin-prediction - ARIMA with Pyodide.js: https://hal9.com/hal9/ai-fundamentals-arima https://hal9.com/hal9/ai-fundamentals-arima If you have question or would be open to considering using Hal9 to do time series analysis in JavaScript, let me know! You can find me in Twitter at https://twitter.com/javierluraschi https://twitter.com/javierluraschi