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The Journal of Supercomputing

Erschienen in:

01.11.2014

Solving time-invariant differential matrix Riccati equations using GPGPU computing

verfasst von: Jesús Peinado, Pedro Alonso, Javier Ibáñez, Vicente Hernández, Murilo Boratto

Erschienen in: The Journal of Supercomputing | Ausgabe 2/2014

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Abstract

Differential matrix Riccati equations (DMREs) enable to model many physical systems appearing in different branches of science, in some cases, involving very large problem sizes. In this paper, we propose an adaptive algorithm for time-invariant DMREs that uses a piecewise-linearized approach based on the Padé approximation of the matrix exponential. The algorithm designed is based upon intensive use of matrix products and linear system solutions so we can seize the large computational capability that modern graphics processing units (GPUs) have on these types of operations using CUBLAS and CULATOOLS libraries (general purpose GPU), which are efficient implementations of BLAS and LAPACK libraries, respectively, for NVIDIA \(\copyright \) GPUs. A thorough analysis showed that some parts of the algorithm proposed can be carried out in parallel, thus allowing to leverage the two GPUs available in many current compute nodes. Besides, our algorithm can be used by any interested researcher through a friendly MATLAB \(\copyright \) interface.

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Titel: Solving time-invariant differential matrix Riccati equations using GPGPU computing
verfasst von: Jesús Peinado
Pedro Alonso
Javier Ibáñez
Vicente Hernández
Murilo Boratto
Publikationsdatum: 01.11.2014
Verlag: Springer US
Erschienen in: The Journal of Supercomputing / Ausgabe 2/2014
Print ISSN: 0920-8542
Elektronische ISSN: 1573-0484
DOI: https://doi.org/10.1007/s11227-014-1111-3

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