High-performance processing of covariance matrices using GPU computations

DOI10.1134/S1995080219050068zbMath1431.65032OpenAlexW2955775217MaRDI QIDQ2319673

E. M. Khramchenkov, K. Yu. Erofeev, E. V. Biryal'tsev

Publication date: 20 August 2019

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1995080219050068

zbMATH Keywords

Toeplitz matriceshigh-performance computingcovariance matrices

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Toeplitz, Cauchy, and related matrices (15B05)

Related Items (1)

Application of graphics processing units for self-consistent modelling of shallow water dynamics and sediment transport

Uses Software

• Octave
• CUDA
• ViennaCL
• OpenCL

Cites Work

• Classical foundations of algorithms for solving positive definite Toeplitz equations
• Fast algorithms for Toeplitz and Hankel matrices
• Numerical solution of linear equations with Toeplitz and vector Toeplitz matrices
• The complexity of the matrix eigenproblem
• ViennaCL---Linear Algebra Library for Multi- and Many-Core Architectures
• Programming CUDA and OpenCL: A Case Study Using Modern C++ Libraries
• Non-stationary Cross-Covariance Models for Multivariate Processes on a Globe
• The Split Levinson Algorithm is Weakly Stable
• A Superfast Algorithm for Toeplitz Systems of Linear Equations
• On the Stability of the Bareiss and Related Toeplitz Factorization Algorithms
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• Toeplitz Matrix Inversion: The Algorithm of W. F. Trench

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