Laplace Transform Inversion on the GPU

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The numerical inversion of the Laplace transform is a long standing problem due its implicit ill-posedness. Patrick Kano and Moysey Brio of Acunum Algorithms and Simulations, with their experience in computational methods and algorithm development, found a solution that not only works, but is very fast. Their code implements the Weeks’ method for Numerical Laplace Inversion. Apart from casting CPU variables to GPU, etc, the major step involved in Jacketizing the code was as simple as converting a for loop to GFOR! Something like what’s given below: for nidx=1:Nprod Errorvec(nidx) = wfncpuErrorEst( … ); end gfor nidx=1:Nprod Errorvec(nidx) = wfnjacErrorEst( … ); gend The loop in question calls a global minimization function that computes an absolute error estimate for each …