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guarantee that up-to-date value of variable is always visible to several threads on multi-processor system

I'm using such configuration:
.NET framework 4.5
Windows Server 2008 R2
HP DL360p Gen8 (2 * Xeon E5-2640, x64)
I have such field somewhere in my program:
protected int HedgeVolume;
I access this field from several threads. I assume that as I have multi-processor system it's possible that this threads are executing on different processors.
What should I do to guarantee that any time I use this field the most recent value is "read"? And to make sure that when I "write" value it become available to all other threads immediately?
What should I do?
just leave field as is.
declare it volatile
use Interlocked class to access the field
use .NET 4.5 Volatile.Read, Volatile.Write methods to access the field
use lock
I only need simplest way to make my program work on this configuration I don't need my program to work on another computers or servers or operation systems. Also I want minimal latency so I'm looking for fastest solution that will always work on this standard configuration (multiprocessor intel x64, .net 4.5).

Your question is missing one key element... How important is the integrity of the data in that field?
volatile gives you performance, but if a thread is currently writing changes to the field, you won't get that data until it's done, so you might access out of date information, and potentially overwrite changes another thread is currently doing. If the data is sensitive, you might get bugs that would get very hard to track. However, if you are doing very quick update, overwrite the value without reading it and don't care that once in a while you get outdated (by a few ms) data, go for it.
lock guaranty that only one thread can access the field at a time. You can put it only on the methods that write the field and leave the reading method alone. The down side is, it is slow, and may block a thread while another is performing its task. However, you are sure your data stay valid.
Interlock exist to shield yourself from the scheduler context switch. My opinion? Don't use it unless you know exactly why you would be using it and exactly how to use it. It gives options, but with great options comes great problematic. It prevents a context switch while a variable is being update. It might not do what you think it does and won't prevent parallel threads from performing their tasks simultaneously.

You want to use Volatile.Read().
As you are running on x86, all writes in C# are the equivalent of Volatile.Write(), you only need to use this for Itanium.
Volatile.Read() will ensure that you get the latest copy regardless of which thread last wrote it.
There is a fantastic write up here, C# Memory Model Explained
Summary of it includes,
On some processors, not only must the compiler avoid certain
optimizations on volatile reads and writes, it also has to use special
instructions. On a multi-core machine, different cores have different
caches. The processors may not bother to keep those caches coherent by
default, and special instructions may be needed to flush and refresh
the caches.
Hopefully that much is obvious, other than the need for volatile to stop the compiler from optimising it, there is the processor as well.
However, in C# all writes are volatile (unlike say in Java),
regardless of whether you write to a volatile or a non-volatile field.
So, the above situation actually never happens in C#. A volatile write
updates the thread’s cache, and then flushes the entire cache to main
memory.
You do not need Volatile.Write(). More authoratitive source here, Joe Duffy CLR Memory Model. However, you may need it to stop the compiler reordering it.
Since all C# writes are volatile, you can think of all writes as going
straight to main memory. A regular, non-volatile read can read the
value from the thread’s cache, rather than from main
You need Volatile.Read()

When you start designing a concurrent program, you should consider these options in order of preference:
1) Isolation: each thread has it's own private data
2) Immutability: threads can see shared state, but it never changes
3) Mutable shared state: protect all access to shared state with locks
If you get to (3), then how fast do you actually need this to be?
Acquiring an uncontested lock takes in the order of 10ns ( 10-8 seconds ) - that's fast enough for most applications and is the easiest way to guarantee correctness.
Using any of the other options you mention takes you into the realm of low-lock programming, which is insanely difficult to get correct.
If you want to learn how to write concurrent software, you should read these:
Intro: Joe Albahari's free e-book - will take about a day to read
Bible: Joe Duffy's "Concurrent Programming on Windows" - will take about a month to read

Depends what you DO. For reading only, volatile is easiest, interlocked allows a little more control. Lock is unnecessary as it is more ganular than the problem you describe. Not sure about Volatile.Read/Write, never used them.

volatile - bad, there are some issues (see Joe Duffy's blog)
if all you do is read the value or unconditionally write a value - use Volatile.Read and Volatile.Write
if you need to read and subsequently write an updated value - use the lock syntax. You can however achieve the same effect without lock using the Interlocked classes functionality, but this is more complex (involves CompareExchange s to ensure that you are updating the read value i.e. has not been modified since the read operation + logic to retry if the value was modified since the read).

From this i can understand that you want to be able to read the last value that it was writtent in a field. Lets make an analogy with the sql concurency problem of the data. If you want to be able to read the last value of a field you must make atomic instructions. If someone is writing a field all of the threads must be locked for reading until that thread finished the writing transaction. After that every read on that thread will be safe. The problem is not with reading as it is with writing. A lock on that field whenever its writtent should be enough if you ask me ...

First have a look here: Volatile vs. Interlocked vs. lock
The volatile modifier shurely is a good option for a multikernel cpu.
But is this enough? It depends on how you calculate the new HedgeVolume value!
If your new HedgeVolume does not depend on current HedgeVolume then your done with volatile.
But if HedgeVolume[x] = f(HedgeVolume[x-1]) then you need some thread synchronisation to guarantee that HedgeVolume doesn't change while you calculate and assign the new value. Both, lock and Interlocked szenarios would be suitable in this case.

I had a similar question and found this article to be extremely helpful. It's a very long read, but I learned a LOT!

What is Compare And Swap good for?

I was recently reading about the Compare And Swap atomic action (CMPXCHG, .NET's Interlocked.CompareExchange, whatever).
I understand how it works internally, and how it's used from a client.
What I can't quite figure out is when would someone use CAS?
Wikipedia says:
CAS is used for implementing synchronization primitives like
semaphores and mutexes, likewise more sophisticated lock-free and
wait-free algorithms.
So, can anyone give me a more generic real-world use case with code and description of CAS usage?
This question is meant to be language-agnostic, so any language will do (C-based or x86 assembly preferred).
Thanks!

This is easy to see by example. Say we want to atomically and concurrently set a bit on a shared variable:
int shared = 0;
void Set(int index) {
while (true) {
if (Interlocked.CompareExchange<int>(ref shared, shared | (1 << index), shared) == shared)
break; //success
}
}
We detect failure if we see that the "old value" (which is the return value) has changed in the meantime.
If this did not happen we did not have a concurrent modification so our own modification went through successfully.
You can realize pretty complex stuff using this technique. The more complex the more performance loss through spinning, though.
I want to emphasize that a key property of CAS is that it can fail and that failure can be detected reliably.

You use CAS to set a value (a bit or a word) atomically in one thread or process, while testing that another thread/process has not already done so. So it's used to acquire a flag or counter in a multi-threaded environment.
Addendum (Feb 2023)
For example, multiple threads could each use a CAS instruction to swap their process-ID into a shared word of memory (which starts out holding a value of zero). The first thread that gets its process-ID stored into the word can then take ownership of whatever resource that shared word is guarding.
When the process is done with the resource, it stores a zero into the word, releasing ownership of the resource and allowing other threads their turn to acquire the resource.

So, can anyone give me a more generic real-world use case with code and description of CAS usage?
This paper uses CAS to implement a thread safe queue without locks.
It has some pseudo code examples in it.

Can I avoid using locks for my seldomly-changing variable?

I've been reading Joe Duffy's book on Concurrent programming. I have kind of an academic question about lockless threading.
First: I know that lockless threading is fraught with peril (if you don't believe me, read the sections in the book about memory model)
Nevertheless, I have a question:
suppose I have an class with an int property on it.
The value referenced by this property will be read very frequently by multiple threads
It is extremely rare that the value will change, and when it does it will be a single thread that changes it.
If it does change while another operation that uses it is in flight, no one is going to lose a finger (the first thing anyone using it does is copy it to a local variable)
I could use locks (or a readerwriterlockslim to keep the reads concurrent).
I could mark the variable volatile (lots of examples where this is done)
However, even volatile can impose a performance hit.
What if I use VolatileWrite when it changes, and leave the access normal for reads. Something like this:
public class MyClass
{
private int _TheProperty;
internal int TheProperty
{
get { return _TheProperty; }
set { System.Threading.Thread.VolatileWrite(ref _TheProperty, value); }
}
}
I don't think that I would ever try this in real life, but I'm curious about the answer (more than anything, as a checkpoint of whether I understand the memory model stuff I've been reading).

Marking a variable as "volatile" has two effects.
1) Reads and writes have acquire and release semantics, so that reads and writes of other memory locations will not "move forwards and backwards in time" with respect to reads and writes of this memory location. (This is a simplification, but you take my point.)
2) The code generated by the jitter will not "cache" a value that seems to logically be unchanging.
Whether the former point is relevant in your scenario, I don't know; you've only described one memory location. Whether or not it is important that you have only volatile writes but not volatile reads is something that is up to you to decide.
But it seems to me that the latter point is quite relevant. If you have a spin lock on a non-volatile variable:
while(this.prop == 0) {}
the jitter is within its rights to generate this code as though you'd written
if (this.prop == 0) { while (true) {} }
Whether it actually does so or not, I don't know, but it has the right to. If what you want is for the code to actually re-check the property on each go round the loop, marking it as volatile is the right way to go.

The question is whether the reading thread will ever see the change. It's not just a matter of whether it sees it immediately.
Frankly I've given up on trying to understand volatility - I know it doesn't mean quite what I thought it used to... but I also know that with no kind of memory barrier on the reading thread, you could be reading the same old data forever.

The "performance hit" of volatile is because the compiler now generates code to actually check the value instead of optimizing that away - in other words, you'll have to take that performance hit regardless of what you do.

At the CPU level, yes every processor will eventually see the change to the memory address. Even without locks or memory barriers. Locks and barriers would just ensure that it all happened in a relative ordering (w.r.t other instructions) such that it appeared correct to your program.
The problem isn't cache-coherency (I hope Joe Duffy's book doesn't make that mistake). The caches stay conherent - it is just that this takes time, and the processors don't bother to wait for that to happen - unless you enforce it. So instead, the processor moves on to the next instruction, which may or may not end up happening before the previous one (because each memory read/write make take a different amount of time. Ironically because of the time for the processors to agree on coherency, etc. - this causes some cachelines to be conherent faster than others (ie depending on whether the line was Modified, Exclusive, Shared, or Invalid it takes more or less work to get into the necessary state).)
So a read may appear old or from an out of date cache, but really it just happened earlier than expected (typically because of look-ahead and branch prediction). When it really was read, the cache was coherent, it has just changed since then. So the value wasn't old when you read it, but it is now when you need it. You just read it too soon. :-(
Or equivalently, it was written later than the logic of your code thought it would be written.
Or both.
Anyhow, if this was C/C++, even without locks/barriers, you would eventually get the updated values. (within a few hundred cycles typically, as memory takes about that long). In C/C++ you could use volatile (the weak non-thread volatile) to ensure that the value wasn't read from a register. (Now there's a non-coherent cache! ie the registers)
In C# I don't know enough about CLR to know how long a value could stay in a register, nor how to ensure you get a real re-read from memory. You've lost the 'weak' volatile.
I would suspect as long as the variable access doesn't completely get compiled away, you will eventually run out of registers (x86 doesn't have many to start with) and get your re-read.
But no guarantees that I see. If you could limit your volatile-read to a particular point in your code that was often, but not too often (ie start of next task in a while(things_to_do) loop) then that might be the best you can do.

This is the pattern I use when the 'last writer wins' pattern is applicable to the situation. I had used the volatile keyword, but after seeing this pattern in a code example from Jeffery Richter, I started using it.

For normal things (like memory-mapped devices), the cache-coherency protocols going on within/between the CPU/CPUs is there to ensure that different threads sharing that memory get a consistent view of things (i.e., if I change the value of a memory location in one CPU, it will be seen by other CPUs that have the memory in their caches). In this regard volatile will help to ensure that the optimizer doesn't optimize away memory accesses (which are always going through cache anyway) by, say, reading the value cached in a register. The C# documentation seems pretty clear on this. Again, the application programmer doesn't generally have to deal with cache-coherency themselves.
I highly recommend reading the freely available paper "What Every Programmer Should Know About Memory". A lot of magic goes on under the hood that mostly prevents shooting oneself in the foot.

In C#, the int type is thread-safe.
Since you said that only one thread writes to it, you should never have contention as to what is the proper value, and as long as you are caching a local copy, you should never get dirty data.
You may, however, want to declare it volatile if an OS thread will be doing the update.
Also keep in mind that some operations are not atomic, and can cause problems if you have more than one writer. For example, even though the bool type wont corrupt if you have more than one writer, a statement like this:
a = !a;
is not atomic. If two threads read at the same time, you have a race condition.

Do I need to synchronize thread access to an int?

I've just written a method that is called by multiple threads simultaneously and I need to keep track of when all the threads have completed. The code uses this pattern:
private void RunReport()
{
_reportsRunning++;
try
{
//code to run the report
}
finally
{
_reportsRunning--;
}
}
This is the only place within the code that _reportsRunning's value is changed, and the method takes about a second to run.
Occasionally when I have more than six or so threads running reports together the final result for _reportsRunning can get down to -1. If I wrap the calls to _runningReports++ and _runningReports-- in a lock then the behaviour appears to be correct and consistent.
So, to the question: When I was learning multithreading in C++ I was taught that you didn't need to synchronize calls to increment and decrement operations because they were always one assembly instruction and therefore it was impossible for the thread to be switched out mid-call. Was I taught correctly, and if so, how come that doesn't hold true for C#?

A ++ operator is not atomic in C# (and I doubt it is guaranteed to be atomic in C++) so yes, your counting is subject to race conditions.
Use Interlocked.Increment and .Decrement
System.Threading.Interlocked.Increment(ref _reportsRunning);
try
{
...
}
finally
{
System.Threading.Interlocked.Decrement(ref _reportsRunning);
}

So, to the question: When I was
learning multithreading in C++ I was
taught that you didn't need to
synchronize calls to increment and
decrement operations because they were
always one assembly instruction and
therefore it was impossible for the
thread to be switched out mid-call.
Was I taught correctly, and if so how
come that doesn't hold true for C#?
This is incredibly wrong.
On some architectures, like x86, there are single increment and decrement instructions. Many architectures do not have them and need to do separate loads and stores. Even on x86, there is no guarantee the compiler will generate the memory version of these instructions - it'll likely load into a register first, especially if it needs to do several operations with the result.
Even if the compiler could be guaranteed to always generate the memory version of increment and decrement on x86, that still does not guarantee atomicity - two CPU's could modify the variable simultaneously and get inconsistent results. The instruction would need the lock prefix to force it to be an atomic operation - compilers never emit the lock variant by default since it is less performant since it guarantees the action is atomic.
Consider the following x86 assembly instruction:
inc [i]
If I is initially 0 and the code is run on two threads on two cores, the value after both threads finish could legally be either 1 or 2, since there is no guarantee that one thread will complete its read before the other thread finishes its write, or that one thread's write will even be visible before the other threads read.
Changing this to:
lock inc [i]
Will result in getting a final value of 2.
Win32's InterlockedIncrement and InterlockedDecrement and .NET's Interlocked.Increment and Interlocked.Decrement result in doing the equivalent (possibly the exact same machine code) of lock inc.

You were taught wrong.
There does exist hardware with atomic integer increment, so it's possible that what you were taught was right for the hardware and compiler you were using at the time. But in general in C++ you can't even guarantee that incrementing a non-volatile variable writes memory consecutively with reading it, let alone atomically with reading.

Incrementing the int is one instruction but what about loading the value in the register?
That's what i++ effectively does:
load i into a register
increment the register
unload the register into i
As you can see there are 3 (this may be different on other platforms) instructions which in any stage the cpu can context switch into a different thread leaving your variable in an unknown state.
You should use Interlocked.Increment and Interlocked.Decrement to solve that.

No, you need to synchronize access. On Windows you can do this easily with InterlockedIncrement() and InterlockedDecrement(). I'm sure there are equivalents for other platforms.
EDIT: Just noticed the C# tag. Do what the other guy said. See also: I've heard i++ isn't thread safe, is ++i thread-safe?

Any kind of increment/decrement operation in a higher level language (and yes, even C is higher level compared to machine instructions) is not atomic by nature. However, each processor platform usually has primitives that support various atomic operations.
If your lecturer was referring to machine instructions, Increment and Decrement operations are likely to be atomic. Yet, that is not always correct on the ever increasing multi-core platforms of today, unless they guarantee coherency.
The higher level languages usually implement support for atomic transactions using low level atomic machine instructions. This is provided as the interlock mechanism by the higher level API.

x++ probably isn't atomic, but ++x might be (not sure offhand, but if you consider the difference between post- and pre-increment it should be clear why pre- is more amenable to atomicity).
A bigger point is, if these runs take a second to run each, the amount of time added by a lock is going to be noise compared to the runtime of the method itself. It's probably not worth monkeying with trying to remove the lock in this case - you've got a correct solution with locking, that will likely not have a visible difference in performance from the non-locking solution.

On a single-processor machine, if one isn't using virtual memory, x++ (rvalue ignored) is likely to translate into a single atomic INC instruction on x86 architectures (if x is long, the operation is only atomic when using a 32-bit compiler). Also, movsb/movsw/movsl are atomic ways of moving a byte/word/longword; a compiler isn't apt to use those as the normal way of assigning variables, but one could have an atomic-move utility function. It would be possible for a virtual memory manager to be written in such a way that those instructions would behave atomically if a page fault occurs on the write, but I don't think that's normally guaranteed.
On a multi-processor machine, all bets are off unless one uses explicit interlocked instructions (invokable via special library calls). The most versatile instruction which is commonly available is CompareExchange. That instruction will alter a memory location only if it contains an expected value; it will return the value it had when it decided whether or not to alter it. If one wishes to "xor" a variable with 1, one could do something like (in vb.net)
Dim OldValue as Integer
Do
OldValue = Variable
While Threading.Interlocked.CompareExchange(Variable, OldValue Xor 1, OldValue) OldValue
This approach allows one to perform any sort of atomic update to a variable whose new value should depend on the old value. For certain common operations like increment and decrement, there are faster alternatives, but the CompareExchange allows one to implement other useful patterns as well.
Important caveats: (1) Keep the loop as short as possible; the longer the loop, the more likely it is that another task will hit the variable during the loop, and the more time will be wasted each time that happens; (2) a specified number of updates, divided arbitrarily among threads, will always complete, since the only way a thread can forced to re-execute the loop is if some other thread has made useful progress; if some threads can perform updates without making forward progress toward completion, however, the code may become live-locked.

Is there any advantage of using volatile keyword in contrast to use the Interlocked class?

In other words, can I do something with a volatile variable that could not also be solved with a normal variable and the Interlocked class?

EDIT: question largely rewritten
To answer this question, I dived a bit further in the matter and found out a few things about volatile and Interlocked that I wasn't aware of. Let's clear that out, not only for me, but for this discussion and other people reading up on this:
volatile read/write are supposed to be immune to reordering. This only means reading and writing, it does not mean any other action;
volatility is not forced on the CPU, i.e., hardware level (x86 uses acquire and release fences on any read/write). It does prevent compiler or CLR optimizations;
Interlocked uses atomic assembly instructions for CompareExchange (cmpxchg), Increment (inc) etc;
Interlocked does use a lock sometimes: a hardware lock on multi processor systems; in uni-processor systems, there is no hardware lock;
Interlocked is different from volatile in that it uses a full fence, where volatile uses a half fence.
A read following a write can be reordered when you use volatile. It can't happen with Interlocked. VolatileRead and VolatileWrite have the same reordering issue as `volatile (link thanks to Brian Gideon).
Now that we have the rules, we can define an answer to your question:
Technically: yes, there are things you can do with volatile that you cannot do with Interlocked:
Syntax: you cannot write a = b where a or b is volatile, but this is obvious;
You can read a different value after you write it to a volatile variable because of reordering. You cannot do this with Interlocked. In other words: you can be less safe with volatile then you can be with Interlocked.
Performance: volatile is faster then Interlocked.
Semantically: no, because Interlocked simply provides a superset of operations and is safer to use because it applies full fencing. You can't do anything with volatile that you cannot do with Interlocked and you can do a lot with Interlocked that you cannot do with volatile:
static volatile int x = 0;
x++; // non-atomic
static int y = 0;
Interlocked.Increment(y); // atomic
Scope: yes, declaring a variable volatile makes it volatile for every single access. It is impossible to force this behavior any other way, hence volatile cannot be replaced with Interlocked. This is needed in scenarios where other libraries, interfaces or hardware can access your variable and update it anytime, or need the most recent version.
If you'd ask me, this last bit is the actual real need for volatile and may make it ideal where two processes share memory and need to read or write without locking. Declaring a variable as volatile is much safer in this context then forcing all programmers to use Interlocked (which you cannot force by the compiler).
EDIT: The following quote was part of my original answer, I'll leave it in ;-)
A quote from the the C# Programming Language standard:
For nonvolatile fields,optimization
techniques that consider that reorder
instructions can lead to unexpected
and unpredictable results in
multithreaded programs that access
fields without synchronization such as
that provided by the lock-statement.
These optimizationscan be performed by
the compiler, by the runtime system,
or by hardware. For volatile fields,
such reordering optimizations are
restricted:
A read of a volatile field is called a volatile read. A volatile read
has :acquire semantics"; that is, it
is guaranteed to occur prior to any
references to memory that occur after
it in the instruction sequence.
A write of a volatile field is called a volatile write. A
volatile write has "release
semantics"; that is, it is guaranteed
to happen after any memory references
prior to the write instruction in the
instruction sequence.
Update: question largely rewritten, corrected my original response and added a "real" answer

This is a fairly complex topic. I find Joseph Albahari's writeup to be one of the more definitive and accurate sources for multithreading concepts in the .NET Framework that might help answer your question.
But, to quickly summarizes there is a lot of overlap between the volatile keyword and the Interlocked class as far as how they can be used. And of course both go way above and beyond what you can do with a normal variable.

Yes - you can look at the value directly.
As long as you ONLY use the Interlocked class to access the variable then there is no difference. What volatile does is it tells the compiler that the variable is special and when optimizing it shouldn't assume that the value hasn't changed.
Takes this loop:
bool done = false;
...
while(!done)
{
... do stuff which the compiler can prove doesn't touch done...
}
If you set done to true in another thread you would expect the loop to exit. However - if done is not marked as volatile then the compiler has the option to realize that the loop code can never change done and it can optimize out the compare for exit.
This is one of the difficult things about multithread programming - many of the situations which are problems only come up in certain situations.

I won't attempt to be an authority on this subject but I would highly recommend that you take a look at this article by the vaunted Jon Skeet.
Also take a look at the final part of this answer which details what volatile should be used for.

Yes, you can gain some performance by using a volatile variable instead of a lock.
Lock is a full memory barrier which can give you the same characteristics of a volatile variable as well as many others. As has already been said volatile just ensures that in multi-threaded scenarios if a CPU changes a value in its cache line, the other CPUs sees the value immediately but do not ensure any locking semantic at all.
The thing is lock is a lot more powerful than volatile and you should use volatile when you can to avoid unnecessary locks.