Parallelization strategies for continuum-generalized method of moments on the multi-thread systems

Alhadi B., T. Handhika, Ernastuti, Djati Kirani

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Continuum-Generalized Method of Moments (C-GMM) covers the Generalized Method of Moments (GMM) shortfall which is not as efficient as Maximum Likelihood estimator by using the continuum set of moment conditions in a GMM framework. However, this computation would take a very long time since optimizing regularization parameter. Unfortunately, these calculations are processed sequentially whereas in fact all modern computers are now supported by hierarchical memory systems and hyperthreading technology, which allowing for parallel computing. This paper aims to speed up the calculation process of C-GMM by designing a parallel algorithm for C-GMM on the multi-thread systems. First, parallel regions are detected for the original C-GMM algorithm. There are two parallel regions in the original C-GMM algorithm, that are contributed significantly to the reduction of computational time: the outer-loop and the inner-loop. Furthermore, this parallel algorithm will be implemented with standard shared-memory application programming interface, i.e. Open Multi-Processing (OpenMP). The experiment shows that the outer-loop parallelization is the best strategy for any number of observations.

Original languageEnglish
Title of host publicationInternational Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
Subtitle of host publicationProceedings of the 2nd International Symposium on Current Progress in Mathematics and Sciences 2016
EditorsKiki Ariyanti Sugeng, Djoko Triyono, Terry Mart
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735415362
DOIs
Publication statusPublished - 10 Jul 2017
Event2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016 - Depok, Jawa Barat, Indonesia
Duration: 1 Nov 20162 Nov 2016

Publication series

NameAIP Conference Proceedings
Volume1862
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
CountryIndonesia
CityDepok, Jawa Barat
Period1/11/162/11/16

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