I made some progress on getting the code to run correctly in parallel while
using all the cores of one machine, by using pmap and running some prep
code on all the workers:
The next steps are to get this running on multiple machines (using
addprocs_ssh?) and then benchmarking. Here's the state of my solution so
far, for anyone interested/stuck at this too:
The SLURM batch file:
#!/bin/bash
#SBATCH -J sgmVfi
#SBATCH -e elog_sgm
#SBATCH -o olog_sgm
#SBATCH -t 0:10:00
#SBATCH --nodes=1
#SBATCH --ntasks-per-node=1
#SBATCH --cpus-per-task=24
#SBATCH -p standard
#SBATCH --mail-type=fail
srun julia -q -p 24 -L loader.jl sgm.jl
the "loader" file which defines constants for all workers:
using MAT;
using Grid;
using NLopt;
const alpha = 0.25;
const uBeta = 0.90;
const delta = 1.00;
const kGridMin = 0.01;
const kGridMax = 0.50;
const kGridSize = 100;
const kGrid = linrange(kGridMin, kGridMax, kGridSize);
const vErrTol = 1e-8;
const maxIter = 200;
file = matopen("shock.mat")
yData = read(file, "y");
yGridSize = size(yData, 1);
const y = linrange(yData[1], yData[end], yGridSize);
const yPi = read(file, "yPi")
close(file)
gdp(yIx, kIx) = exp(y[yIx]) * kGrid[kIx].^alpha;
and finally, the code running on the master worker/driver:
function sgmVfi()
V0 = zeros(yGridSize, kGridSize);
V1 = zeros(size(V0));
kPr = zeros(size(V0));
iter = 0;
err = 1.0;
while iter < maxIter && err > vErrTol
tic();
iter += 1;
println("Iteration ", iter);
V0 = copy(V1);
V0f = CoordInterpGrid( (y, kGrid), V0, BCnearest, InterpQuadratic);
function workAt(iix)
yIx = iix[1];
kIx = iix[2];
opt = Opt(:LN_BOBYQA, 1)
lower_bounds!(opt, kGridMin)
upper_bounds!(opt, min(kGridMax, gdp(yIx, kIx) + (1-delta) * kGrid[kIx] -
1e-5))
myObj(kk) = log(gdp(yIx, kIx) - kk + (1-delta) * kGrid[kIx]) + uBeta * sum(
[ yPi[yIx,yPrIx] * V0f[y[yPrIx], kk] for yPrIx = 1:yGridSize ]);
max_objective!(opt, (x::Vector, grad::Vector) -> myObj(x[1]) );
(maxVal, maxK, ret) = optimize!(opt, [kGridMin] );
return maxVal, maxK[1];
end
tmp = pmap(workAt, [[yIx, kIx] for yIx = 1:yGridSize, kIx = 1:kGridSize]);
tmp = reshape(tmp, size(V1));
for yIx = 1:yGridSize, kIx = 1:kGridSize
V1[yIx, kIx] = tmp[yIx, kIx][1];
kPr[yIx, kIx] = tmp[yIx, kIx][2];
end
err = maximum(abs(V1[:] - V0[:]));
toc()
println("Err = ", err)
end
return kGrid, V1, kPr;
end
kGrid, V, kPr = sgmVfi()
file = matopen("results.mat", "w")
write(file, "kPr", kPr)
write(file, "V", V)
write(file, "y", [y])
write(file, "yPi", yPi)
write(file, "kGrid", [kGrid])
close(file)
