A recent paper ML Software & Hardware for Econ finds Julia is often slower than Matlab & Numpy. Code for Option Pricing is here . Code for Dynamic Programming is here . Usually, writing Julia code similarly leads to enormous speed-up . How can we tweak their code for a more accurate comparison??? U…

[image] Mason: that goes through and detects cases where views should be used or intermediary arrays should be pre-allocated, see if it can prove that certain operations don’t need bounds checking, etc. could be quite interesting and useful. This would be great, even if it started with baby s…

[image] Albert_Zevelev: It works now. the OpenBlas fix or the MKL?

Not sure which one. First I ran the Blas fix & it was faster. Then I checked & MKL now works & its faster.

Great! Is the speedup significant (e.g. > 20%)? Eventually it would be nice to see if the patched openblas is comparable to the MKL here.

For option pricing, for big orders its 30-40% faster than w/o LinearAlgebra.BLAS.set_num_threads(n)

FWIW, on my machine, OpenBLAS: julia> using LinearAlgebra julia> BLAS.vendor() :openblas64 julia> LinearAlgebra.peakflops(16_000) 4.478966395538375e11 julia> BLAS.set_num_threads(18) julia> LinearAlgebra.peakflops(16_000) 8.023464806960204e11 vs MKL: julia> using LinearAlgebra julia> BLAS.ve…

[image] ChrisRackauckas: It’s literally just a static computational graph language. It seems like you really really don’t understand it, so you might want to look into it more before commenting on what it can do… Literally as simple as: Make variables Put them into normal Julia code Static gr…

[image] Mason: It’d be great if ModelingToolkit could do things like @variables A::Matrix X::Matrix where the size of the matrix is undetermined and then f(A, X) would just give something loosely like Expression(.*, A, X) . Then I see how we could usefully trace through the above code and get op…

The paper is now published: Benchmarking machine-learning software and hardware for quantitative economics - ScienceDirect I think you did a great job in this thread and should consider writing a comment to that paper with all these points of criticism that evolved during rewriting the code.

This is arguably the best thread I have come across on discourse! One year late, but never too late. Time to start optimizing Julia code. :smile: :small_airplane:

Julia slower than Matlab & Python? No

General Usage Performance

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Julia slower than Matlab & Python? No

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