Running Kappa script in GPU

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debdaspaul

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Nov 12, 2018, 7:15:26 AM11/12/18
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Hi, 

I was wondering how to run a Kappa script in GPU to obtain several thousands of independent sample paths in a matter of seconds.  

Thank you 

Sincerely 

Debdas

Pierre Boutillier

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Nov 16, 2018, 5:50:16 AM11/16/18
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Hi,
There is no known way!
I'm not sure it would even do the speedup you expect:
- GPU cores have to all run the same instruction at the same time. So you would trivially run thousand of time the same run in parallel but I don't know how to handle several paths (that don't do the same event at the same time).
- GPU are fast to compute but slow to transfer data. Even if you manage to design a way so that each core computes its own run. Gathering all the result from all these core should be the bottleneck.

Best,
Pierre B.

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