NumbaPro CUDA Python speeds up a Monte Carlo pricer 14x

Re:NumbaPro CUDA Python speeds up a Monte Carlo pricer 14x by jofer on Thursday April 11, 2013 @12:44PM (#5533083)

I'm be surprised if there was that large of a speedup going from a well-written numpy implementation to C/C++ (assuming a non-parallel implementation in both)...

In my experience, it's usually more like 2x-5x for a straight translation of the algorithm from numpy to C. (Though I have to confess that I often write rather naive C...)

Numpy performs quite well if you avoid a few common pitfalls. It certainly can be beat, but it's often faster than people think it is.

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Re:NumbaPro CUDA Python speeds up a Monte Carlo pricer 14x by dagw on Friday April 12, 2013 @06:55AM (#5537737)

That matches my experience as well. I've never gotten more than a 3x speed up by doing a straight numpy->C rewrite on actual real world code (actually doing one right now, and I've gotten a 2x speed up after my first pass).

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