Quotation Theußl, Stefan. 2007. Applied High Performance Computing Using R. Diplomarbeit, WU Wien.


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Abstract

In the 1990s the Beowulf project smoothed to way for massively parallel computing as access to parallel computing power became aordable for research institutions and the industry. But the massive breakthrough of parallel computing has still not occurred. This is because two things were missing: low cost parallel computers and simple to use parallel programming models. However, with the introduction of multicore processors for mainstream computers and implicit parallel programming models like OpenMP a fundamental change of the way developers design and build their software applications is taken place|a change towards parallel computing. This thesis gives an overview of the eld of high performance computing with a special focus on parallel computing in connection with the R environment for statistical computing and graphics. Furthermore, an introduction to parallel computing using various extensions to R is given. The major contribution of this thesis is the package called paRc, which contains an interface to OpenMP and provides a benchmark environment to compare various parallel programming models like MPI or PVM with each other as well as with highly optimized (BLAS) libraries. The dot product matrix multiplication was chosen as the benchmark task as it is a prime example in parallel computing. Eventually a case study in computational nance is presented in this thesis. It deals with the pricing of derivatives (European call options) using parallel Monte Carlo simulation. Kur

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Diploma thesis
Language English
Title Applied High Performance Computing Using R
Academic institution WU Wien
Year 2007
URL http://statmath.wu-wien.ac.at/people/theussl/publications/thesis/Applied_HPC_Using_R-Theussl_2007.pdf

Associations

People
Theußl, Stefan (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1128 Supercomputing (Details)
5300 Economics (Details)
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