I am computing Monte-Carlo simulations using GNU Octave 4.0.0 on my 4-core PC. The simulation takes almost 4 hours to compute the script for 50,000 times (specific to my problem), which is a lot of time spent for computation. I was wondering if there is a way to run Octave on multiple cores simultaneously to reduce the time of computations.
Thanks in advance.
GNU Parallel will not do multithreading, but it will do multiprocessing, which might be enough for you:
seq 50000 | parallel my_MC_sim --iteration {}
It will default to 1 process per CPU core and it will make sure the output of two parallel jobs will not be mixed.
You can even put this parallelization in the Octave script. See https://www.gnu.org/software/parallel/parallel_tutorial.html#Shebang
GNU Parallel is a general parallelizer and makes is easy to run jobs in parallel on the same machine or on multiple machines you have ssh access to. It can often replace a for loop.
If you have 32 different jobs you want to run on 4 CPUs, a straight forward way to parallelize is to run 8 jobs on each CPU:
GNU Parallel instead spawns a new process when one finishes - keeping the CPUs active and thus saving time:
Installation
If GNU Parallel is not packaged for your distribution, you can do a personal installation, which does not require root access. It can be done in 10 seconds by doing this:
(wget -O - pi.dk/3 || curl pi.dk/3/ || fetch -o - http://pi.dk/3) | bash
For other installation options see http://git.savannah.gnu.org/cgit/parallel.git/tree/README
Learn more
See more examples: http://www.gnu.org/software/parallel/man.html
Watch the intro videos: https://www.youtube.com/playlist?list=PL284C9FF2488BC6D1
Walk through the tutorial: http://www.gnu.org/software/parallel/parallel_tutorial.html
Sign up for the email list to get support: https://lists.gnu.org/mailman/listinfo/parallel
