Accelerating Simulations in R using Automatically Generated GPGPU-Code

Depending on the required number of simulation runs and the complexity of algorithms, especially the estimation of parameters and the drawing of random numbers under certain distributions, these simulations can run for several hours or even days. Such simulations are embarrassingly parallel and, therefore, benefit massively from parallelization. Not everyone has access to clusters or grids, though, but highly parallel graphics cards suitable for general purpose computing are installed in many computers. While there is a distinct number of maintained R-packages available (Eddelbuettel2011) that are able to interface with GPUs and allow the user to speed up computations, integrating these methods in simulation runs is often complicated and mechanisms are not easily understood.