- Statist. Sci.
- Volume 25, Number 3 (2010), 311-324.
Graphics Processing Units and High-Dimensional Optimization
This article discusses the potential of graphics processing units (GPUs) in high-dimensional optimization problems. A single GPU card with hundreds of arithmetic cores can be inserted in a personal computer and dramatically accelerates many statistical algorithms. To exploit these devices fully, optimization algorithms should reduce to multiple parallel tasks, each accessing a limited amount of data. These criteria favor EM and MM algorithms that separate parameters and data. To a lesser extent block relaxation and coordinate descent and ascent also qualify. We demonstrate the utility of GPUs in nonnegative matrix factorization, PET image reconstruction, and multidimensional scaling. Speedups of 100-fold can easily be attained. Over the next decade, GPUs will fundamentally alter the landscape of computational statistics. It is time for more statisticians to get on-board.
Statist. Sci. Volume 25, Number 3 (2010), 311-324.
First available in Project Euclid: 4 January 2011
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Zhou, Hua; Lange, Kenneth; Suchard, Marc A. Graphics Processing Units and High-Dimensional Optimization. Statist. Sci. 25 (2010), no. 3, 311--324. doi:10.1214/10-STS336. http://projecteuclid.org/euclid.ss/1294167962.