Accelerating Revised Simplex Method Using GPU-Based Basis Update

Abstract

Optimization problems lie at the core of scientific and engineering endeavors. Solutions to these problems are often compute-intensive. To fulfill their compute-resource requirements, graphics processing unit (GPU) technology is considered a great opportunity. To this end, we focus on linear programming (LP) problem solving on GPUs using revised simplex method (RSM). This method has potentially GPU-friendly tasks, when applied to large dense problems. Basis update (BU) is one such task, which is performed in every iteration to update a matrix called basis-inverse matrix. The contribution of this paper is two-fold. Firstly, we experimentally analyzed the performance of existing GPU-based BU techniques. We discovered that the performance of a relatively old technique, in which each GPU thread computed one element of the basis-inverse matrix, could be significantly improved by introducing a vector-copy operation to its implementation with a sophisticated programming framework. Second, we extended the adapted element-wise technique to develop a new BU technique by using three inexpensive vector operations. This allowed us to reduce the number of floating-point operations and conditional processing performed by GPU threads. A comparison of BU techniques implemented in double precision showed that our proposed technique achieved 17.4% and 13.3% average speed-up over its closest competitor for randomly generated and well-known sets of problems, respectively. Furthermore, the new technique successfully updated basis-inverse matrix in relatively large problems, which the competitor was unable to update. These results strongly indicate that our proposed BU technique is not only efficient for dense RSM implementations but is also scalable.

Keywords

• Dense matrices
• GPU
• GPGPU
• linear programming
• revised simplex method