On Wed, Sep 24, 2008 at 6:29 PM, Joshua Reich <josh@gghc.com> wrote:

> Extending the question further, I assume that bitonic sorting makes
> sense when you have access to a SIMD platform, such as in a GPU.
>
> I have been playing with porting some of my code to NVIDA's CUDA
> platform, and I'd love to hear if other people have had much success. If
> I recall correctly, I had discussed this on the list in the past and we
> discussed using CUDA BLAS over default installations. Has anyone moved
> CUDA into a production environment? If so, how has it fared? If not, why
> not?
>
> Josh Reich
>
> -----Original Message-----
> From: r-sig-finance-bounces@stat.math.ethz.ch
> [mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf Of Brian G.
> Peterson
> Sent: Wednesday, September 24, 2008 6:08 AM
> To: subramanian R
> Cc: r-sig-finance@stat.math.ethz.ch
> Subject: Re: [R-SIG-Finance] Use of sorting in Financial Domain
>
> On Wed, 2008-09-24 at 11:37 +0530, subramanian R wrote:
> > Hi All,
> > The *sort() *command in R has two methods (method specification is an
> > optional parameter)
> > 1.shell sort(default)
> > 2.quick sort
> > and order() has 1 extra method
> > 3.radix sort.
> >
> > In our multicore architecture we have some optimized implementations
> of
> > several sorting methods like Bitonic sort that is not supported by
> R.It is
> > faster than quick sort in most cases in our architecture.
> >
> > I have two questions in this regard with respect to financial domain.
> >
> > How much sorting is used in this domain?
> > In those cases what type of sorting is used?
> > Will it help if a seperate R command for bitonic sort is implemented
> and
> > override the default one?
> > Are there any specific packages used by Financial sector where
> optimized
> > sorting techniques have been implemented?
>
> Sorting is often used in financial time series: e.g. to examine
> drawdowns, or to extract a quantile of an observed series or a monte
> carlo simulation.
>
> Implementation of additional parallel sort algorithms in R such as
> Batcher's bitonic sort seems as though it could be valuable in financial
> time series.
>
> I'm not aware of additional sorting implementations in R specific to
> finance, most finance specific functionality uses R general functions
> such as sort() and order()
>
> It seems that your implementation would be best proposed as a patch to
> one of these functions on the r-devel list, or alternately contained in
> an optimized sorting package that could overload the standard functions
> with a new implementation.
>
> Regards,
>
>   - Brian
>


Hello Joshua,

             Not just CUDA BLAS, I think it would be interesting to note how
many people here are are ready to take a "parallel" approach to solving
computation. I have been recently talking to few experts in the field and
they mentioned that people would mostly be ready to go parallel when the
parallelism is provided as an abstraction and does not require any
application change, and mentioning that very few people are ready to tune
their applications to "Parallel R" to get the benefits of parallelism.


Regards,

-- 
Imanpreet Singh Arora

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