How does OpenMP handle nested loops?

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The lines you have written will parallelize only the outer loop. To parallelize both you need to add a collapse clause:

#pragma omp parallel for collapse(2)
    for (int i=0;i<N;i++)
    { 
      for (int j=0;j<M;j++)
      {
       //do task(i,j)//
      }
    }

You may want to check OpenMP 3.1 specifications (sec 2.5.1) for more details.

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