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I'm trying to set up a Parallel Environment in SGE, with allocation rule $pe_slots, but I'm having trouble with the scheduler.

Single-core jobs hog the slots; there are never enough slots open at one moment for multi-core jobs get scheduled.

Can SGE notice when multi-core jobs have been waiting a long time, and reserve slots for them, rather than letting single-slot jobs continuously butt in line?

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It doesn't do this automatically but if you have a non-zero max_reservation in your sched_conf you can add -R y to your qsub options to enable reserving resources for a job when it is high priority. On our clusters we have a jsv that examines the job requests and adds -R y as needed.

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