Cholesky decomposition and linear programming on a GPU

Rapid evolution of GPUs in performance, architecture, and programmability provides general and scientific 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 the 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.

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