2014 Seventh Workshop on High Performance Computational Finance 2014
DOI: 10.1109/whpcf.2014.10
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GPU Implementation of Finite Difference Solvers

Abstract: This paper discusses the implementation of one-factor and three-factor PDE models on GPUs. Both explicit and implicit time-marching methods are considered, with the latter requiring the solution of multiple tridiagonal systems of equations. Because of the small amount of data involved, one-factor models are primarily compute-limited, with a very good fraction of the peak compute capability being achieved. The key to the performance lies in the heavy use of registers and shuffle instructions for the explicit me… Show more

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Cited by 16 publications
(18 citation statements)
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“…7,11,[19][20][21] The second is our proposal, where our designed data structure seeks to eliminate all non-coalesced memory operations when computing the numerical solution for the PDE with the Laplacian. The first is the classic sliding window approach, which is based on simple row major order.…”
Section: Laplacian Implementation On a Gpumentioning
confidence: 99%
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“…7,11,[19][20][21] The second is our proposal, where our designed data structure seeks to eliminate all non-coalesced memory operations when computing the numerical solution for the PDE with the Laplacian. The first is the classic sliding window approach, which is based on simple row major order.…”
Section: Laplacian Implementation On a Gpumentioning
confidence: 99%
“…7,11,21 For each new time step, the GPU computes thousands of points in parallel, solving Equation (5) on each point in the mesh, where the only dependency is temporal. 7,11,21 For each new time step, the GPU computes thousands of points in parallel, solving Equation (5) on each point in the mesh, where the only dependency is temporal.…”
Section: Laplacian Implementation On a Gpumentioning
confidence: 99%
See 3 more Smart Citations