April 25th, 2015, 8:03 am
QuoteOriginally posted by: ashkarQuoteOriginally posted by: outrunQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: outrunADI is inherently sequential, as aahkar's data show.That's wrong reasoning about causality. The doesn't *show* that it is inherently sequential, he (maybe?) used a sequential tridiagonal solver, .. for which there are better options like the one I found.I use the cuSPARSE tridiagonal solver which is using cyclic reduction algorithm. However in that cc version the implementation is less efficient. From what i've read the implementation has been improved in new versions but even then i dont expect to see much more efficiency.Outrun, maybe I'm missing something. Have you actually run a tridiagonal solver on cuda and seen much greater efficiency? Dont forget to include the cost of copying memory to make it realistic.For PDE in computational finance you make sure you have a good scheme (NS ~ 400, NT ~ 300, whatever) which means the problem is too small to parallelise. Value like NS ~ 2000 means the scheme is fundamentally wrong. I really don't believe using cyclic reduction algorithm will help greatly. Ashkar has proved it.If your region of integration is the Atlantic Ocean then the situation takes a different form.
Last edited by
Cuchulainn on April 24th, 2015, 10:00 pm, edited 1 time in total.