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The high-performance parallel processors in video accelerators, GPUs, can be used as numerical co-processors in a variety of applications. The RapidMind Development Platform is a software development system that allows the developer to use standard C++ programming to easily create high-performance and massively parallel applications that run on the GPU. Using the RapidMind platform, we compare the performance of FFT, BLAS dense matrix multiplication, and quasi-Monte Carlo option pricing benchmarks on the GPU against highly tuned CPU implementations. The advantages and limitations of GPU acceleration are discussed as well as techniques for optimizing performance.
McCool et al. (Sun,) studied this question.