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How to adapt code so it runs in parfor
Posted:
Jun 18, 2012 11:59 AM


Apologies if what follows is poorly expressed, I am a novice.
Preamble:
I have loop that takes weeks to run that I want to convert to parfor so that I can run it on our computing cluster to save time.
This loops sweeps over combinations of parameters, and each iteration solves a bunch of differential equations and computes a scalar reward function. I am looking for the parameters that maximize this reward, via a bruteforce search. The iterations are independent.
I am using a "relaxation algorithm" that somebody else has written to solve the equations and compute the paths of the relevant variables: http://ideas.repec.org/p/eth/wpswif/0435.html
In this algorithm, parameters in the equations are global variables.
The parameters which I wish to sweep over different combinations of, are global variables (these are my additions, but I think they also need to be globals).
When I try to use parfor, I get transparency violation errors, I think because I am trying to declare global variables within the loop.
I know that parfor can be used to run multiple simulations, sweeping over parameter values, but all the examples I have seen use Simulink, for example:
http://blogs.mathworks.com/seth/2010/10/17/parallelcomputingwithsimulinkrunningthousandsofsimulations/
I do not think the relaxation algorithm I am using could be converted into a Simulink routine (at least, not by me  I know nothing about Simulink), so my question is, does anybody know how I should go about what I am trying to do, running multiple simulations with different paramterizations, without running into trouble with trying to change global variables each iteration?
from the example above:
parfor i = 1:n^2 assignin('base','thetaX0',thetaMat(i)); assignin('base','thetadotX0',thetadotMat(i)); simOut = sim('ForcedDampedPendulum','StopTime','100'); y = simOut.get('yout'); map(i)=y(end); end
I think "ForcedDampedPendulum" is the Simulink routine that the author has written which is being run for each i, and the "assignin" lines are where the parameters are changes for each i ... can I use this approach without using a Simulink routine per se?
I don't think it's worthwhile replicating chunks of my code, but the basic logic is that besides setting a large set of global variables that do not change outside the loop, inside the loop each iteration includes these lines:
parfor index=1:N beta=betarange(index); gamma=gammrange(index); tau=taurange(index) ** run algorithm ** ** compute reward ** end
these parameters are part of the equations that the algorithm solves, so if I understand correctly need to be global so that the various functions can access them (?)
help much appreciated  and please remember I will need spoon feeding  also please let me know if I have omitted important information



