A Preliminary Study on Accelerating Simulation Optimization with GPU Implementation

We provide a preliminary study on utilizing GPU (Graphics Processing Unit) to accelerate computation for three simulation optimization tasks with either first-order or second-order algorithms. Compared to the implementation using only CPU (Central Processing Unit), the GPU implementation benefits from computational advantages of parallel processing for large-scale matrices and vectors operations. Numerical experiments demonstrate computational advantages of utilizing GPU implementation in simulation optimization problems, and show that such advantage comparatively further increase as the problem scale increases.