Vectorizing the forward mode of ADOL-C on a GPU ... - Autodiff.org

More documents

Recommendations

Info

. K. Kulshreshtha, A. Koniaeva 9 / 13 <strong>Vectorizing</strong> <strong>ADOL</strong>-C using CUDA Euro AD 10.06.2013Implementation.Implementation__global__ void kernel_func(double* inx, size_t n,double* outy, size_t m, double* dery);__device__ void evalf(adtlc::adouble* x, size_t n,adtlc::adouble* y, size_t m);• Say derivatives are evaluated at N = (N x × N y × N z ) points inp = (p x × p y × p z ) directions simultaneously• Use Nb = {N x , N y , N z } blocks <strong>of</strong> Nt = {p x , p y , p z } threads each• inx has n × N entries• outy has m × N entries• dery has m × p × N entries• Kernel call looks as followskernel_func > (inx, n, outy, m, dery);
. K. Kulshreshtha, A. Koniaeva 10 / 13 <strong>Vectorizing</strong> <strong>ADOL</strong>-C using CUDA Euro AD 10.06.2013Runtimes.Runtimes100001000Time (msec)10010Traceless Vector ForwardTraced Vector ForwardGPU Vector ForwardReverse15 10 20 40 80 160 320No. <strong>of</strong> PointsOption pricing example
Page 1 and 2: .. K. Kulshreshtha, A. Koniaeva 1 /
Page 3 and 4: . K. Kulshreshtha, A. Koniaeva 3 /
Page 19: . K. Kulshreshtha, A. Koniaeva 9 /
Page 25 and 26: Summary, Issues & Outlook.Summary,

Vectorizing the forward mode of ADOL-C on a GPU ... - Autodiff.org

Create successful ePaper yourself

Delete template?

Save as template?