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Sparse Matrix (gpuArray) LU Decomposition

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Ted
Ted 2018-10-5
回答： Joss Knight 2018-10-6
How can I do LU decomposition on GPU device to a sparse-matrix (H)? Suppose H is a sparse matrix, I did
>> H=gpuArray(H);
>> [L,U,P]=lu(H);
Error using gpuArray/lu
Sparse gpuArrays are not supported for this function.
Q1: Could you please let me know which function allows me to apply LU decomposition to a sparse matrix on GPU?
Later, I will use the L, U and P to process a series of data (d1,d2, ... dn) individually as below. Each data is a matrix where each column is d.
>>for id=1:nd
>>result(:,id)=L\U\P*data(:,id);
>>end
In this case, I can recycle the L, U and P in each inversion for a given data(:,id).
Thank you.
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Ted
Ted 2018-10-6
Later, I will use the L, U and P to process a series of data (d1,d2, ... dn) individually as below. Each data is a matrix where each column is d.
>>for id=1:nd
>>result(:,id)=L\U\P*data(:,id);
>>end
In this case, I can recycle the L, U and P in each inversion for a given data(:,id).
Thank you.
Bruno Luong
Bruno Luong 2018-10-6
编辑：Bruno Luong 2018-10-6
On sparse matrix LU use some graph technique to limits the band of the matrix so that avoid to fill L/U with too many non-zero elements. I suspect the graph method used by LU on sparse is not parallelizable and not suitable for GPU calculation.
Just stick with CPU solution for now.

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Joss Knight
Joss Knight 2018-10-6
It looks like you're just after the backslash operator, so why not use that, and forget about looping over the RHS.
result = gpuArray(H) \ data;

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