Accelerated Anticor Online Portfolio Selection on Multi-core CPUs and GPU with OpenCL.
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| Title: | Accelerated Anticor Online Portfolio Selection on Multi-core CPUs and GPU with OpenCL. |
|---|---|
| Authors: | Nazir, Amril1 amril@tu.edu.sa |
| Source: | IAENG International Journal of Computer Science. Sep2018, Vol. 45 Issue 3, p390-402. 13p. |
| Subjects: | OpenCL (Computer program language), Programming languages, Central processing units, Graphics processing units, Computer science |
| Abstract: | We present an efficient financial portfolio selection and optimization implementation of Anticor's algorithm. Our solution utilizes the OpenCL framework to offer the most optimal speedups on heterogeneous hardware platforms that take advantage* of multi-core CPU and many-core GPU architectures. To our knowledge, this work is the first accelerated Anticor portfolio selection implementation that solves computationally intensive portfolio optimization problems across heterogeneous platforms using both multi-core CPUs and GPU. [ABSTRACT FROM AUTHOR] |
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| Database: | Engineering Source |
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