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GTC On-Demand

Numerical Algorithms & Libraries
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Efficient Solution of Multiple Scalar and Block-Tridiagonal Equations
Endre Laszlo (University of Oxford, Oxford e-Research Center)
Many numerical methods require the solution of multiple independent tridiagonal systems. This talk will describe optimized methods for solving such systems, considering both the case where the tridiagonal elements are scalar, and the case where they ...Read More
Many numerical methods require the solution of multiple independent tridiagonal systems. This talk will describe optimized methods for solving such systems, considering both the case where the tridiagonal elements are scalar, and the case where they are composed of square blocks of dimension D, typically 3-8. For the scalar case very good performance is achieved using a combination of the Thomas algorithm and parallel cyclic reduction. In the block case it is shown that good performance can be achieved by using D cooperating threads, all within the same warp.   Back
 
Keywords:
Numerical Algorithms & Libraries, Computational Physics, Finance, GTC 2014 - ID S4289
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