2 ms·
Cool project. Can you say how much performance improvement you are getting with dSFMT versus a naive C loop? Another fast monte carlo anecdote: at Bloomberg th
by minimax 13y ago
Cool project. Can you say how much performance improvement you are getting with dSFMT versus a naive C loop?
Another fast monte carlo anecdote: at Bloomberg they are doing this sort of thing with GPUs.
http://www.wallstreetandtech.com/it-infrastructure/bloomberg-uses-gpus-to-speed-up-bond-pri/220200055 http://www.wallstreetandtech.com/it-infrastructure/bloomberg...
- chrisconley 13y agoI'm trying to parse my HipChat conversation with our Architect (who did most of the speed improvements) and it looks like going from Python to naive C loop was a 200x improvement (though that's not a direct comparison of course). Going from naive C to dSFMT we went from one particular simulation taking 14:30 down to 2:30 (minutes).