论文标题
利用金融机器学习中的超级计算机
Making use of supercomputers in financial machine learning
论文作者
论文摘要
本文是Fujitsu和Advestis之间合作的结果。这项合作旨在基于系统探索的算法进行重构和运行算法,该算法在Fugaku的一台高性能计算机上提出投资建议,以了解与云机相比,有很高数量的核心是否可以更深入地探索数据,希望能够得到更好的预测。我们发现,探索规则数量的增加会导致最终规则集的预测性能的净增加。同样,在本研究的特殊情况下,我们发现使用大约40多个核心不会带来显着的计算时间增益。但是,这种限制的起源是通过用于修剪搜索空间的基于阈值的搜索启发式方法来解释的。我们有证据表明,对于限制性阈值较小的类似数据集,实际使用的核心数量可能更高,从而使并行化的效果更大。
This article is the result of a collaboration between Fujitsu and Advestis. This collaboration aims at refactoring and running an algorithm based on systematic exploration producing investment recommendations on a high-performance computer of the Fugaku, to see whether a very high number of cores could allow for a deeper exploration of the data compared to a cloud machine, hopefully resulting in better predictions. We found that an increase in the number of explored rules results in a net increase in the predictive performance of the final ruleset. Also, in the particular case of this study, we found that using more than around 40 cores does not bring a significant computation time gain. However, the origin of this limitation is explained by a threshold-based search heuristic used to prune the search space. We have evidence that for similar data sets with less restrictive thresholds, the number of cores actually used could very well be much higher, allowing parallelization to have a much greater effect.