XVII th Conference on Stochastic Programming

Solving Stochastic Programs with GPUs: A Literature Review

28 juil. 2025, 17:00

30m

F102

Invited talk Stochastic Programming Stochastic Programming

Orateur

Larry Wigington (Naval Postgraduate School)

Description

We present a computational study exploring methods for solving Stochastic Linear Programs (SLPs) on Graphics Processing Units (GPUs). We examine the operator splitting approach of O’Donoghue et al. and the Primal Dual Hybrid Gradient method of Chambolle and Pock, with the aim of specializing both to exploit the unique sparse structures inherent in SLPs. Our work focuses on adapting these methods to enhance computational efficiency and scalability for large-scale problems.