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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 fo...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1109/WHPCF.2014.10

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Sub department:
Oxford e-Research Centre
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Engineering Science
Sub department:
Oxford e-Research Centre
Role:
Author
Engineering and Physical Sciences Research Council More from this funder
Publisher:
IEEE Publisher's website
Pages:
1-8
Host title:
Proceedings of WHPCF 2014: 7th Workshop on High Performance Computational Finance - Held in conjunction with SC 2014: The International Conference for High Performance Computing, Networking, Storage and Analysis
Publication date:
2014-01-01
DOI:
Source identifiers:
541656
ISBN:
9781479970278
Keywords:
Pubs id:
pubs:541656
UUID:
uuid:3dd5fefc-1fd6-4d4b-a666-290ed668b991
Local pid:
pubs:541656
Deposit date:
2015-09-07

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