Hello all, Attached are two files, montecarlo.m and mc_example.m that implement parallel Monte Carlo simulation of a user defined function. The function just needs to return a row vector, and montecarlo.m will stack the replications into a matrix. This implementation is basic and illustrative. At http://pareto.uab.es/mcreel/Econometrics/MyOctaveFiles/Econometrics/MonteCarlo/and http://pareto.uab.es/mcreel/Econometrics/Examples/Parallel/montecarlo/ there is a more sophisticated version that uses MPITB.
The basic version is susceptible to the crash of a node, and will not balance the load between nodes of different speed. To implement that, MPI_Iprobe would be needed. To use it, doe something like mich...@tuolumne:~/Desktop/openmpi_ext/src$ mpirun -np 2 octave -q --eval mc_example Sending block to 0 I have sent 4 I have sent 15 I have sent 2 1.00000 0.96457 1.23784 1.00000 1.20805 1.19109 1.00000 1.21014 1.15861 1.00000 0.93194 0.83522 1.00000 0.73157 1.36160 0.00000 1.07361 0.96141 0.00000 1.32715 1.06895 0.00000 0.73529 0.94909 0.00000 1.24376 1.02082 0.00000 1.05802 1.20701 mich...@tuolumne:~/Desktop/openmpi_ext/src$ In that, the first column is the MPI rank of the node that generated the rest of the row, which is the output of the function that is being simulated.. Cheers, Michael
mc_example.m
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montecarlo.m
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