Cholesky Decomposition and Linear Programming on a GPU

by Jin Hyuk Jung. Dianne P. O'Leary.

The rapid evolution of Graphics Processing Units (GPUs) in performance, architecture, and programmability provides computational potential beyond their primary purpose, graphics processing. In this work we present an efficient algorithm for solving symmetric and positive definite linear systems using triangular update on a GPU. Using the decomposition algorithm and other basic building blocks for linear algebra on the GPU, we demonstrate a GPU-powered linear program solver based on a Primal-Dual Interior-Point Method. [via]

http://www.cs.umd.edu/~jjung/research/cholgpu...