Fabien Viale 1 Matlab & Scilab Applications to Finance Fabien Viale, Denis Caromel, et al. OASIS Team INRIA -- CNRS - I3S -- Univ. of Nice Sophia-Antipolis, IUF 1.Introduction / Principles 2.ProActive context 3.Scilab integration 4. Matlab integration 5. Application to Finance

Fabien Viale 2 Introduction

Fabien Viale 3 Introduction - Matlab Leading numerical computing environment Used by more than one million people Interactive mathematical shell => Matlab Language Expensive

Fabien Viale 4 Introduction - Scilab 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 5 Introduction - ProActive 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 6 Introduction – State of the Art (quick) NameLicence type Parameters, return values, user function definition Type of jobsDeploymentNotes Matlab // computing toolbox ProprietaryAny matlabCoarse grained + MPI + Data // LSF, PBS, Torque, SGE Requires NFS for I/O Star PProprietaryAny matlabCoarse grained + Data // Requires NFS for I/O ParalizeOpen sourceNumeric/string arrays, built-in only Coarse grainedClient / ServerUses NFS for cummunication PLabOpen sourceAny matlabCoarse grainedOne level rsh or ssh dormant Only one //Scilab : Scilab PVM

Fabien Viale 7 Introduction - Motivations & Challenges Motivations : –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

Fabien Viale 8 ProActive context

Fabien Viale 9 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)

Fabien Viale 10 Jobs & tasks A job contains several tasks Tasks can have dependency relationships The Scheduler runs only one task per node

Fabien Viale 11 Introduction – Job definition

Fabien Viale 12 Scilab integration

Fabien Viale 13 Scilab integration - Principles Integration with the ProActive Scheduler Schedule workflow of Scilab tasks Transfer results between tasks

Fabien Viale 14 Scilab integration - Example

Fabien Viale 15 Matlab integration

Fabien Viale 16 Matlab integration - Principles Scilab extension functionalities Integration with the Matlab environment

Fabien Viale 17 How does it work ? Proxy Scheduler Resource Manager Cluster Desktop Nodes login deploy > Convert to textual / submit job Select resources Create engines Matlab Run tasks Receive results ans = [ ]

Fabien Viale 18 Matlab integration - API PAconnect( ) PAsolve({arg1, … [‘- debug’])

Fabien Viale 19 Introduction – State of the Art (quick) NameLicence type Parameters, return values, user function definition Type of jobsDeploymentNotes Matlab // computing toolbox ProprietaryAny matlabCoarse grained + MPI + Data // LSF, PBS, Torque, SGE Requires NFS for I/O Star PProprietaryAny matlabCoarse grained + Data // Requires NFS for I/O ParalizeOpen sourceNumeric/string arrays, built-in only Coarse grainedClient / ServerUses NFS for cummunication PLabOpen sourceAny matlabCoarse grainedOne level rsh or ssh, without password dormant ProActiveOpen sourceAny matlabCoarse grainedLSF, PBS, SGE, RSH, SSH, Bridges Requires NFS for I/O

Fabien Viale 20 Demonstration : application to finance Longstaff Schwarz method for American Put Option Pure matlab code (no financial toolkit)

Fabien Viale 21 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 –Dependant on NFS => Automatic File Transfer –Automatic licencing control –Only for coarse-grained problems => SPMD extension –Blocks Matlab execution => Asynchronous PAsolve Questions ?