[Note: *Lung Sheng Chien from NVIDIA also contributed to this post.*]

A key bottleneck for most science and engineering simulations is the solution of sparse linear systems of equations, which can account for up to 95% of total simulation time. There are two types of solvers for these systems: iterative and direct solvers. Iterative solvers are favored for the largest systems these days (see my earlier posts about AmgX), while direct solvers are useful for smaller systems because of their accuracy and robustness.

CUDA 7 expands the capabilities of GPU-accelerated numerical computing with cuSOLVER, a powerful new suite of direct linear system solvers. These solvers provide highly accurate and robust solutions for smaller systems, and cuSOLVER offers a way of combining many small systems into a ‘batch’ and solving all of them in parallel, which is critical for the most complex simulations today. Combustion models, bio-chemical models and advanced high-order finite-element models all benefit directly from this new capability. Computer vision and object detection applications need to solve many least-squares problems, so they will also benefit from cuSOLVER.

Direct solvers rely on algebraic factorization of a matrix, which breaks a hard-to-solve matrix into two or more easy-to-solve factors, and a solver routine which uses the factors and a right hand side vector and solves them one at a time to give a highly accurate solution. Figure 1 shows an example of factorization of a dense matrix. A solver for this factorization would first solve the transpose of L part, then apply the inverse of the D (diagonal) part in parallel, then solve again with L to arrive at the final answer. The benefit of direct solvers is that (unlike iterative solvers), they always find a solution (when the factors exist; more on this later) and once a factorization is found, solutions for many right-hand sides can be performed using the factors at a much lower cost per solution. Also, for small systems, direct solvers are typically faster than iterative methods because they only pass over the matrix once.

In this post I give an overview of cuSOLVER followed by an example of using batch QR factorization for solving many sparse systems in parallel. In a followup post I will cover other aspects of cuSOLVER, including dense system solvers and the cuSOLVER refactorization API.