Primal Dual Affine Scaling on GPUs (1502.03543v1)

Abstract: Here we present an implementation of Primal-Dual Affine scaling method to solve linear optimization problem on GPU based systems. Strategies to convert the system generated by complementary slackness theorem into a symmetric system are given. A new CUDA friendly technique to solve the resulting symmetric positive definite subsystem is also developed. Various strategies to reduce the memory transfer and storage requirements were also explored.