Benchmarks: Intel Xeon Phi vs. NVIDIA Tesla GPU

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Jörg Lotze

Jörg Lotze

We haven’t seen many side-by-side application performance comparisons of Intel Xeon Phi vs. Nvidia Kepler, but that is starting to change. Over at the Xcelertit Blog, Jörg Lotze writes that a recent test shows it is a close race on a benchmark called the Monte-Carlo LIBOR Swaption Portfolio Pricer.

At Xcelerit, people often ask us: “Which is better, Intel Xeon Phi or NVIDIA Kepler?” The general answer has to be “it depends,” as this is heavily application-dependent. But what if we zoom-in on real-world problems in computational finance? The kinds of problems that quants in investment banks and the financial industry are dealing with every day. Let’s analyse two different financial applications and see how they perform on each platform. To cover different types of algorithms often found in finance, we chose an embarrassingly parallel Monte-Carlo algorithm (with full independent paths) for the first test application, and a Monte-Carlo algorithm with cross-path dependencies with iterative time-stepping for the second.

While the GPU comes out ahead in this round, Lotze concludes that commodity multi-core CPUs can give better or comparable performance than accelerators when optimized correctly.

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