Graph algorithms are ubiquitously used across domains. They exhibit parallelism, which can be exploited on parallel architectures, such as multi-core processors and accelerators. However, real world graphs are massive in size and cannot fit into the memory of a single machine. Such large graphs are partitioned and processed in a distributed cluster environment which consists of multiple GPUs and CPUs. Existing frameworks that facilitate large scale graph processing in the distributed cluster have their own style of programming and require extensive involvement by the user in communication and synchronization aspects. Adaptation of these frameworks appears to be an overhead for a programmer. Furthermore, these frameworks have been developed to target only CPU clusters and lack the ability to harness the GPU architecture. We provide a back-end framework to the graph Domain Specific Language, Falcon, for large scale graph processing on CPU and GPU clusters. The Motivation behind choosing this DSL as a front-end is its shared-memory based imperative programmability feature. Our framework generates Giraph code for CPU clusters. Giraph code runs on the Hadoop cluster and is known for scalable and fault-tolerant graph processing. For GPU cluster, Our framework applies a set of optimizations to reduce computation and communication latency, and generates efficient CUDA code coupled with MPI. Experimental evaluations show the scalability and performance of our framework for both CPU and GPU clusters. The performance of the framework generated code is comparable to the manual implementations of various algorithms in distributed environments.

Le travail de recherche décrit dans cette thèse a pour objectif d'accélérer le temps de calcul pour valoriser des instruments financiers complexes, tels des options américaines sur panier de taille réaliste (par exemple de 40 sousjacents), en tirant partie de la puissance de calcul parallèle qu'offrent les accélérateurs graphiques (Graphics Processing Units). Dans ce but, nous partons d'un travail précédent, qui avait distribué l'algorithme de valorisation de J.Picazo, basé sur des simulations de Monte Carlo et l'apprentissage automatique. Nous en proposons une adaptation pour GPU, nous permettant de diviser par 2 le temps de calcul de cette précédente version distribuée sur un cluster de 64 cœurs CPU, expérimentée pour valoriser une option américaine sur 40 actifs. Cependant, le pricing de cette option de taille réaliste nécessite quelques heures de calcul. Nous étendons donc ce premier résultat dans le but de cibler un cluster de calculateurs, hétérogènes, mixant GPUs et CPUs, via OpenCL. Ainsi, nous accélérons fortement le temps de valorisation, même si les entrainements des différentes méthodes de classification expérimentées (AdaBoost, SVM) sont centralisés et constituent donc un point de blocage. Pour y remédier, nous évaluons alors l'utilisation d'une méthode de classification distribuée, basée sur l'utilisation de forêts aléatoires, rendant ainsi notre approche extensible. La dernière partie réutilise ces deux contributions dans le cas de calcul de la Value at Risk d’un portefeuille d'options, sur cluster hybride hétérogène. / The research work described in this thesis aims at speeding up the pricing of complex financial instruments, like an American option on a realistic size basket of assets (e.g. 40) by leveraging the parallel processing power of Graphics Processing Units. To this aim, we start from a previous research work that distributed the pricing algorithm based on Monte Carlo simulation and machine learning proposed by J. Picazo. We propose an adaptation of this distributed algorithm to take advantage of a single GPU. This allows us to get performances using one single GPU comparable to those measured using a 64 cores cluster for pricing a 40-assets basket American option. Still, on this realistic-size option, the pricing requires a handful of hours. Then we extend this first contribution in order to tackle a cluster of heterogeneous devices, both GPUs and CPUs programmed in OpenCL, at once. Doing this, we are able to drastically accelerate the option pricing time, even if the various classification methods we experiment with (AdaBoost, SVM) constitute a performance bottleneck. So, we consider instead an alternate, distributable approach, based upon Random Forests which allow our approach to become more scalable. The last part reuses these two contributions to tackle the Value at Risk evaluation of a complete portfolio of financial instruments, on a heterogeneous cluster of GPUs and CPUs.