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GPU acceleration of splitting schemes applied to differential matrix equations

  • Hermann Mena
  • Lena-Maria Pfurtscheller
  • Tony StillfjordEmail author
Open Access
Original Paper
  • 74 Downloads

Abstract

We consider differential Lyapunov and Riccati equations, and generalized versions thereof. Such equations arise in many different areas and are especially important within the field of optimal control. In order to approximate their solution, one may use several different kinds of numerical methods. Of these, splitting schemes are often a very competitive choice. In this article, we investigate the use of graphical processing units (GPUs) to parallelize such schemes and thereby further increase their effectiveness. According to our numerical experiments, large speed-ups are often observed for sufficiently large matrices. We also provide a comparison between different splitting strategies, demonstrating that splitting the equations into a moderate number of subproblems is generally optimal.

Keywords

Differential Lyapunov equations Differential Riccati equations Large scale Splitting schemes GPU acceleration 

Notes

Acknowledgements

Open access funding provided by Max Planck Society. The authors would like to thank the anonymous referees, whose critical and constructive comments greatly improved the manuscript. We are also grateful to Peter Kandolf for his assistance with the original expleja code.

Funding information

This study is supported by the Austrian Science Fund (FWF)—project id:P27926 and by a scholarship of the Vizerektorat für Forschung, University of Innsbruck.

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© The Author(s) 2019

Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.

Authors and Affiliations

  1. 1.Universidad Yachay TechSan Miguel de UrcuquíEcuador
  2. 2.Universität InnsbruckInnsbruckAustria
  3. 3.Max Planck Institute for Dynamics of Complex Technical SystemsMagdeburgGermany

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