Iterative Methods in GPU-Resident Linear Solvers for Nonlinear Constrained Optimization
CoRR(2024)
摘要
Linear solvers are major computational bottlenecks in a wide range of
decision support and optimization computations. The challenges become even more
pronounced on heterogeneous hardware, where traditional sparse numerical linear
algebra methods are often inefficient. For example, methods for solving
ill-conditioned linear systems have relied on conditional branching, which
degrades performance on hardware accelerators such as graphical processing
units (GPUs). To improve the efficiency of solving ill-conditioned systems, our
computational strategy separates computations that are efficient on GPUs from
those that need to run on traditional central processing units (CPUs). Our
strategy maximizes the reuse of expensive CPU computations. Iterative methods,
which thus far have not been broadly used for ill-conditioned linear systems,
play an important role in our approach. In particular, we extend ideas from [1]
to implement iterative refinement using inexact LU factors and flexible
generalized minimal residual (FGMRES), with the aim of efficient performance on
GPUs. We focus on solutions that are effective within broader application
contexts, and discuss how early performance tests could be improved to be more
predictive of the performance in a realistic environment
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