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Solving time-invariant differential matrix Riccati equations using GPGPU computing

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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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Authors and Affiliations

  1. Instituto de Instrumentación para Imagen Molecular (I3M), Universitat Politècnica de València, Valencia, Spain

    Jesús Peinado, Javier Ibáñez & Vicente Hernández

  2. Departamento de Sistemas Informáticos y Computación, Universitat Politècnica de València, Valencia, Spain

    Pedro Alonso

  3. Núcleo de Arq. de Computadores e Sistemas Operacionais, Universidade do Estado da Bahia, Salvador, Bahia, Brazil

    Murilo Boratto

Authors
  1. Jesús Peinado
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  2. Pedro Alonso
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  3. Javier Ibáñez
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  4. Vicente Hernández
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  5. Murilo Boratto
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Corresponding author

Correspondence to Pedro Alonso.

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Peinado, J., Alonso, P., Ibáñez, J. et al. Solving time-invariant differential matrix Riccati equations using GPGPU computing. J Supercomput 70, 623–636 (2014). https://doi.org/10.1007/s11227-014-1111-3

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  • DOI: https://doi.org/10.1007/s11227-014-1111-3

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