Introduction to Computing with GPUs for Data Science

Chris Paciorek, Statistical Computing Facility, Department of Statistics and Berkeley Research Computing, UC Berkeley

Presented: February 1 and 8, 2016

Last Revised: February 1, 2016

0) This Tutorial

Materials for this tutorial, including the R markdown file that was used to create this document are available on github at You can download the files by doing a git clone:

git clone

To create this HTML document, simply compile the corresponding R Markdown file in R:


or from the UNIX command line:

Rscript -e "library(knitr); knit2html('gpu.Rmd')"

1) Introduction

1.1) Overview

GPUs (Graphics Processing Units) are processing units originally designed for rendering graphics on a computer quickly. This is done by having a large number of simple processing units for massively parallel calculation. The idea of general purpose GPU (GPGPU) computing is to exploit this capability for general computation.

We'll see both high-level and low-level ways to program calculations for implementation on the GPU. The basic context of GPU programming is “data parallelism”, in which the same calculation is done to lots of pieces of data. This could be a mathematical calculation on millions of entries in a vector or a simulation with many independent simulations. Some examples of data parallelism include matrix multiplication (doing the multiplication task on many separate matrix elements) or numerical integration (doing a numerical estimate of the piecewise integral on many intervals/regions), as well as standard statistical calculations such as simulation studies, bootstrapping, random forests, etc. This kind of computation also goes by the name “SIMD” (single instruction, multiple data).

1.2) Hardware

Two of the main suppliers of GPUs are NVIDIA and AMD. CUDA is a platform for programming on GPUs specifically for NVIDIA GPUs that allows you to send C/C++/Fortran code for execution on the GPU. OpenCL is an alternative that will work with a broader variety of GPUs. However, CUDA is quite popular, and there are a lot of tools designed for working with NVIDIA GPUs and based on CUDA, so we'll focus on CUDA here.

GPUs have many processing units but somewhat limited memory. Also, they can only use data in their own memory, not in the CPU's memory, so one must transfer data back and forth between the CPU (the host) and the GPU (the device). This copying can, in some computations, constitute a very large fraction of the overall computation. So it is best to create the data and/or leave the data (for subsequent calculations) on the GPU when possible and to limit transfers.

The current generation of NVIDIA GPUs is of the Kepler architecture (3rd generation). The 2nd generation was Fermi and the 1st was Tesla. (However note that Tesla is also used by NVIDIA to refer to different chip types).

Originally GPUs supported only single precision (i.e., float calculations) but fortunately they now support double precision operations, and most of the examples here will use doubles to reduce the possibility of potential numerical issues, in particular with linear algebra calculations. But in many contexts, single precision will be fine, and the GPU will do computations more quickly with single precision. We'll explore this a bit later in the tutorial.

1.3) Software Tools

Here are some of the useful software tools for doing computations on the GPU.

Note that RCUDA is still in development and is on Github but not CRAN, but should be high-quality as it is developed by Duncan Temple Lang at UC-Davis.

We'll see all of these in action.

There are also:

Finally, many of the popular machine learning packages focused on neural networks and deep learning can use GPUs behind the scenes; these include Theano, Caffe, Torch, Tensorflow, and mocha.jl, among others.

Some of these, such as PyCUDA and RCUDA allow you to easily interface to core CUDA code that you write yourself. Others, such as the other R packages and CUDA Python, allow you to program within R and Python but still use the GPU for some of the computation. Finally tools such as the various machine learning hide the details of the GPU usage from you and allow you to simply program in the environment of the software, with computations done on the GPU behind the scenes if a GPU is available.

2) GPU hardware available at Berkeley

2.1) Department-specific GPUs


The Statistical Computing Facility has a GPU on our high-priority cluster. We'll use this GPU in the demos here, though it is only available for Statistics affiliates. More details on using the GPU are available here.


Biostatistics has a GPU on one of its servers. Talk to Burke for more information.


The EML (Economics) has a GPU on one of the EML Linux servers that EML users can access. If this is of interest to you, email, and I will work to get it set up analogously to the Statistics GPU and the Amazon virtual machine (see below) and to help you get started.

2.2) GPUs on the campus Linux cluster, Savio

Savio recently purchased some nodes with GPUs. These are not yet available to the general public, but will soon be available to users affiliated with researchers who have purchased nodes on Savio and to users who are affiliated with faculty members using the faculty compute allowance.

The general syntax for submitting a GPU-based job to Savio's SLURM based scheduler is as follows.

sbatch -A account_name -p savio2_gpu -N 1 -t 60:0

Alternatively, simply do sbatch and include the scheduling flags in your, as demonstrated in

To figure out what to fill in for account_name, you can look up your accounts with

sacctmgr -p show associations user=${USER}

For an interactive session:

srun -A account_name --pty -p savio2_gpu -N1 -t 30:0 /bin/bash

Before doing any compilation involving CUDA code you generally want to change your environment modules:

module unload intel
module load cuda

2.3) GPUs through Amazon's EC2 service

The g2.2xlarge Amazon EC2 instance types have a GPU with 1536 cores and 4 Gb memory, along with 8 CPU cores. There is also a g2.8xlarge that has four GPUs and 32 CPU cores. They can be pretty expensive unless you use spot instances - currently 65 cents per hour for g2.2xlarge and $2.60 per hour for g2.8xlarge in the us-west-2 region. The g2.2xlarge GPUs are pretty old chips, and I found that some of the examples included here ran a lot slower on the EC2 instance than on the Statistics GPU (and likely than Savio, but I haven't checked that as much).

I've created an Amazon machine image (an AMI) that is the binary representation of the Linux Ubuntu operating system with support for GPU calculations. The AMI is based off of the BCE virtual machine in use for a variety of projects and classes on campus. BCE provides a common set of software used in various data analysis/data science focused contexts, including Python and R. The BCE GPU AMI inherits this software and adds on various GPU-related software (in particular CUDA). Note also that the AMI is also similar to the SCF and EML Linux machines but with a reduced set of software.

Based on the BCE-GPU AMI one can start up a virtual Linux machine that one can login to (see below for instructions) via SSH, just like any SCF/EML Linux server. If you were willing to pay Amazon and have an account, you can start a VM (in the Oregon [us-west-2] region) using the BCE GPU AMI by searching for BCE-2015-fall-gpu under “Public Images” at the EC2 console. Then just launch a VM, selecting g2.2xlarge under the GPU instances tab.

If you're interested in how to install CUDA-related software on an Ubuntu Linux machine, see for the details of how I built the BCE-2015-fall-gpu image based on the BCE-2015-fall image.

3) Some basics of GPU use

3.1) Getting information about the GPU

First let's see how we get information about the GPU and activity on the GPU.

Hardware specifications

First, executing the following code as root will create an executable that will show you details on the GPU, including the possible block and grid dimensions (described shortly).

cd  /usr/local/cuda/samples/1_Utilities/deviceQuery
nvcc deviceQuery.cpp -I/usr/local/cuda/include \
   -I/usr/local/cuda-5.5/samples/common/inc -o /usr/local/cuda/bin/deviceQuery
cd -

Once the deviceQuery executable is created, you can run it whenever you want.

You'll see information such as the following.

paciorek@scf-sm20:~> deviceQuery
deviceQuery Starting...

 CUDA Device Query (Runtime API) version (CUDART static linking)

Detected 1 CUDA Capable device(s)

Device 0: "Tesla K20Xm"
  CUDA Driver Version / Runtime Version          7.0 / 7.0
  CUDA Capability Major/Minor version number:    3.5
  Total amount of global memory:                 5760 MBytes (6039339008 bytes)
  (14) Multiprocessors, (192) CUDA Cores/MP:     2688 CUDA Cores
  GPU Max Clock rate:                            732 MHz (0.73 GHz)
  Memory Clock rate:                             2600 Mhz
  Memory Bus Width:                              384-bit
  L2 Cache Size:                                 1572864 bytes
  Maximum Texture Dimension Size (x,y,z)         1D=(65536), 2D=(65536, 65536), 3D=(4096, 4096, 4096)
  Maximum Layered 1D Texture Size, (num) layers  1D=(16384), 2048 layers
  Maximum Layered 2D Texture Size, (num) layers  2D=(16384, 16384), 2048 layers
  Total amount of constant memory:               65536 bytes
  Total amount of shared memory per block:       49152 bytes
  Total number of registers available per block: 65536
  Warp size:                                     32
  Maximum number of threads per multiprocessor:  2048
  Maximum number of threads per block:           1024
  Max dimension size of a thread block (x,y,z): (1024, 1024, 64)
  Max dimension size of a grid size    (x,y,z): (2147483647, 65535, 65535)
  Maximum memory pitch:                          2147483647 bytes
  Texture alignment:                             512 bytes
  Concurrent copy and kernel execution:          Yes with 2 copy engine(s)
  Run time limit on kernels:                     No
  Integrated GPU sharing Host Memory:            No
  Support host page-locked memory mapping:       Yes
  Alignment requirement for Surfaces:            Yes
  Device has ECC support:                        Enabled
  Device supports Unified Addressing (UVA):      Yes
  Device PCI Domain ID / Bus ID / location ID:   0 / 2 / 0
  Compute Mode:
     < Default (multiple host threads can use ::cudaSetDevice() with device simultaneously) >

deviceQuery, CUDA Driver = CUDART, CUDA Driver Version = 7.0, CUDA Runtime Version = 7.0, NumDevs = 1, Device0 = Tesla K20Xm
Result = PASS

Observing Performance on the GPU

The following command will allow you to see some information analogous to top on the CPU.

nvidia-smi -q -d UTILIZATION -l 1

Here's some example output when the GPU is idle:

==============NVSMI LOG==============

Timestamp                           : Mon Jan 25 17:45:12 2016
Driver Version                      : 346.46

Attached GPUs                       : 1
GPU 0000:02:00.0
        Gpu                         : 0 %
        Memory                      : 0 %
        Encoder                     : 0 %
        Decoder                     : 0 %

Memory use based on the above does not seem to actually indicate how much of the overall GPU memory is in use for some reason.

Instead, to see how much memory is used on the GPU, the following will work:

nvidia-smi -q -d MEMORY -l 1

Here's some example output when not much memory is in use on the GPU:

==============NVSMI LOG==============

Timestamp                           : Thu Jan 28 12:06:24 2016
Driver Version                      : 346.46

Attached GPUs                       : 1
GPU 0000:02:00.0
    FB Memory Usage
        Total                       : 5759 MiB
        Used                        : 12 MiB
        Free                        : 5747 MiB
    BAR1 Memory Usage
        Total                       : 256 MiB
        Used                        : 2 MiB
        Free                        : 254 MiB

3.2) Overview of computation on a GPU

The basic series of operations to use a GPU when writing your own GPU code is:

The key computations are done in the kernel. Kernels are functions that encode the core computational operations that are executed in parallel. The basic mode of operation with a GPU when you are writing your own GPU code is to write a kernel using CUDA code and then call the kernel in parallel via C, R, or Python code.

As outlined above, we need to pass any data from the CPU to the GPU and do the same in reverse to get the result. We'll also need to allocate memory on the GPU. However in some cases the transfer and allocation will be done automatically behind the scenes.

3.3) Threads, Blocks, and Grids

Programming on a GPU (in particular programming for efficiency) requires some understanding of how parallelization works on the GPU. Each individual computation or series of computations on the GPU is done in a thread. Threads are organized into blocks and blocks of threads are organized in a grid. The blocks and grids can be 1-, 2-, or 3-dimensional. E.g., you might have a 1-d block of 256 threads, with a grid of 3 x 3 such blocks, for a total of \(256 \times 9 = 2304\) threads. The choice of the grid/block arrangement can affect efficiency. I'm not an expert at this level of detail but we'll see some about this in the worked example. Note that using more than 1-dimensional grids and blocks is purely for the conceptual convenience of the programmer and doesn't correspond to anything on the hardware. So for the most part we'll use a one-dimensional grid of blocks and a one-dimensional blocks of threads. In general you'd want each independent calculation done in a separate thread, though as we'll see in Section 5 on simulation, one might want to do a sequence of calculations on each thread. In general, you'll want to pipeline together multiple operations within a computation to avoid copying from CPU to GPU and back. Alternatively, this can be done by keeping the data on the GPU and calling a second kernel.

Threads are quick to start, and to get efficiency you want to have thousands of threads to exploit the parallelism of the GPU hardware. In general your calculations will have more threads than GPU cores; the GPU will manage the process of executing all the threads.

This can all get quite complicated, with the possibility for communication amongst threads. Threads within a block have some (48Kb) of shared memory (distinct from the main GPU memory) and can synchronize with each other, while threads in different blocks cannot cooperate. We'll see some basic examples of this in our working example later. The Suchard et al. paper referenced in the last Section discusses how to get more efficiency by having threads within a block cooperate and access shared memory, which is much faster than accessing the main GPU (device) memory.

If we go back to the deviceQuery output, we'll see information on the number of physical CUDA cores and main GPU memory as well as information about the maximum threads per block and the maximum dimensions of thread blocks and grids.

3.4) “Hello, world” using CUDA directly

First let's see a 'Hello, World' example that illustrates blocks of threads and grids of blocks.

The idea is to have at least as many threads as the number of computations you are doing. Our kernel function contains the core calculation we want to do (in this case printing 'Hello world!') and code that figures out identifying information for each thread as discussed next.

When we write a kernel, we will need to have some initial code that determines a unique ID for that thread that allows the thread to access the appropriate part(s) of the data object(s) on the GPU and 'know' what part of the computation it should do. This is done based on information stored in variables that CUDA provides that have information about the thread and block indices and block and grid dimensions.

Here's the example code ( on the github repo).

In this case, compilation is as follows. Given the CUDA functionality used in the code (in particular the call to printf within the kernel), we need to specify compilation for a compute capability >= 2.0 (corresponding to the Fermi generation of NVIDIA GPUs) (more below). Note that our query above indicated that the GPU we are using has capability 3.5, so this constraint is fine.

nvcc -arch=compute_20 -code=sm_20,compute_20 -o helloWorld

The result of this looks like:

Launching 20480 threads (N=20000)
Hello world! My block index is (3,0) [Grid dims=(20,2)], 3D-thread index within block=(448,0,0) => thread index=1984
Hello world! My block index is (3,0) [Grid dims=(20,2)], 3D-thread index within block=(449,0,0) => thread index=1985
Hello world! My block index is (3,0) [Grid dims=(20,2)], 3D-thread index within block=(450,0,0) => thread index=1986

Hello world! My block index is (19,1) [Grid dims=(20,2)], 3D-thread index within block=(220,0,0) => thread index=20188 
[### this thread would not be used for N=20000 ###]
Hello world! My block index is (19,1) [Grid dims=(20,2)], 3D-thread index within block=(221,0,0) => thread index=20189 
[### this thread would not be used for N=20000 ###]
Hello world! My block index is (19,1) [Grid dims=(20,2)], 3D-thread index within block=(222,0,0) => thread index=20190 
[### this thread would not be used for N=20000 ###]
Hello world! My block index is (19,1) [Grid dims=(20,2)], 3D-thread index within block=(223,0,0) => thread index=20191 
[### this thread would not be used for N=20000 ###]
kernel launch success!
That's all!

Note that because of some buffering issues, with this many threads, we can't see the output for all of them, hence the if statement in the kernel code. It is possible to retrieve info about the limit and change the limit using cudaDeviceGetLimit() and cudaDeviceSetLimit().

3.5) CUDA compute capability

The compute capability basically refers to the evolving functionality of the NVIDIA architecture. Higher numbers provide more functionality but will only run on newer GPU hardware.

For example, to use doubles rather than floats you need compute capability of at least 1.3. This required compute capability needs to be specified when you are compiling CUDA code.

4) Executing kernels

A note on the speed comparisons in the remaining section. These compare a fully serial CPU calculation on a single core to calculation on the GPU. On a multicore machine, we could speed up the CPU calculation by writing code to parallelize the calculation (e.g., via threading in C/openMP or various parallelization tools in R or Python).

Also, note that in the various examples when I want to assess computational time, I make sure to synchronize all the threads via an appropriate function call. This ensures that all of the threads have finished their kernel calculations before I mark the end of the time interval. In general a function call to do a calculation on the GPU will simply start the calculation and then return, with the calculation continuing on the GPU.

In this section, I'll demonstrate calling a kernel that simply computes the normal density function (PDF) on a vector of values in parallel, one value per thread.

4.1) Running a kernel from C/CUDA

Now let's see our example implemented using CUDA code, including memory allocation on the GPU and transfer between the GPU and CPU.

My kernel code allocates memory on the CPU and the device (GPU) memory and the kernel function uses the device memory for the alphas, random numbers, and the output values (the probability estimates).

Note that here, I'll use 1024 threads per block and then a grid sufficiently large so that we have at least as many threads as computational chunks.

Here's the code ( on the github repo).

Compilation is as follows.

nvcc -arch=compute_20 -code=sm_20,compute_20 -o kernelExample

Here are some results:

Grid dimension is 46 x 46
Launching 2166784 threads (N=2097152)
Input values: -0.658344 0.499804 -0.807257...
Memory Copy from Host to Device successful.
Memory Copy from Device to Host successful.
Output values: 0.321214 0.352100 0.288007...
Output values (CPU): 0.321214 0.352100 0.288007...
Timing results for n = 2097152
Transfer to GPU time: 0.009988
Calculation time (GPU): 0.000366
Calculation time (CPU): 0.058541
Transfer from GPU time: 0.001716
Freeing memory...
Grid dimension is 363 x 363
Launching 134931456 threads (N=134217728)
Input values: -0.658344 0.499804 -0.807257...
Memory Copy from Host to Device successful.
Memory Copy from Device to Host successful.
Output values: 0.321214 0.352100 0.288007...
Output values (CPU): 0.321214 0.352100 0.288007...
Timing results for n = 134217728
Transfer to GPU time: 0.638223
Calculation time (GPU): 0.021684
Calculation time (CPU): 3.470199
Transfer from GPU time: 0.055798
Freeing memory...

The speedup in pure computation time is very impressive (175x); surprisingly when I did this same benchmark two years ago with the EC2 g2.x2large instance the speedup was 'only' 40x. However, importantly, we do see that the time for transferring to and from (particularly to) the GPU exceeds the calculation time, reinforcing the idea of keeping data on the GPU when possible.

Using Pinned Memory

Here's some code where we use pinned memory that is 'mapped' to the GPU such that the GPU directly accesses CPU memory. This can be advantageous if one exceeds the GPU's memory and, according to some sources, is best when you load the data only once. Another approach, using pinned but not mapped memory allows for more efficient transfer but without the direct access from the GPU, with a hidden transfer done behind the scenes. This may be better if the data is loaded multiple times on the GPU.

Here's the code ( on the github repo).

Here are some results:

Grid dimension is 46 x 46
Launching 2166784 threads (N=2097152)
Input values: -0.658344 0.499804 -0.807257...
Output values: 0.321214 0.352100 0.288007...
Output values (CPU): 0.321214 0.352100 0.288007...
Timing results for n = 2097152
Calculation time (GPU): 0.003245
Calculation time (CPU): 0.058515
Freeing memory...
Grid dimension is 363 x 363
Launching 134931456 threads (N=134217728)
Input values: -0.658344 0.499804 -0.807257...
Output values: 0.321214 0.352100 0.288007...
Output values (CPU): 0.321214 0.352100 0.288007...
Timing results for n = 134217728
Calculation time (GPU): 0.187535
Calculation time (CPU): 3.757175
Freeing memory...

So using pinned mapped memory seems to help quite a bit in this case, as the total time with pinned memory is less than the time used for transfer plus calculation in the previous examples.

4.2) Calling CUDA Kernels from R (RCUDA)

When we want to use CUDA from R, the kernel function will remain the same, but the pre- and post-processing is done in R rather than in C. Here's an example, with the same normal density kernel. The CUDA kernel code is saved in a separate file ( on the github repo) separate file but is identical to that in the full CUDA+C example above (with the exception that we need to wrap the kernel function in extern "C").

Here's the code (kernelExample.R on the github repo)

In this example we see that we can either transfer data between CPU and GPU manually or have RCUDA do it for us. If we didn't want to overwrite the input, but rather to allocate separate space for the output on the GPU, we could use cudaMalloc() (see example in Section 5.2).

We need to compile the kernel into a ptx object file, either outside of R:

nvcc --ptx  -arch=compute_20 -code=sm_20,compute_20 -o calc_loglik.ptx

or inside of R:

ptx = nvcc(file = '', out = 'calc_loglik.ptx', target = 'ptx', '-arch=compute_20', '-code=sm_20,compute_20')

Here are some results:

Grid size:
[1] 363 363   1
Total number of threads to launch =  134931456 
Running CUDA kernel...
Input values:  0.8966972 0.2655087 0.3721239 
Output values:  0.2457292 0.2658912 0.2656543 
Output values (implicit transfer):  0.2457292 0.2658912 0.2656543 
Output values (CPU with R):  0.2457292 0.2658912 0.2656543 
Transfer to GPU time:  0.702 
Calculation time (GPU):  0.044 
Transfer from GPU time:  0.489 
Calculation time (CPU):  8.432 
Combined calculation/transfer via .cuda time (GPU):  1.203 

So the transfer time is again substantial in relative terms. Without that time, the speedup would be substantial.

We can avoid explicitly specifying block and grid dimensions by using the gridBy argument to .cuda(), with syntax as shown in the kernelExample.R. For some reason that code is not working, though I have gotten it to work in other contexts.

WARNING #1: be very careful that the types of the R objects passed to the kernel match what the kernel is expecting. Otherwise the code can hang without an informative error message.

WARNING #2: Note the use of the strict=TRUE argument when passing values to the GPU. This ensures that numeric values are kept as doubles and not coerced to floats.

4.3) Calling CUDA Kernels from Python

With PyCUDA the kernel code can be directly embedded in the Python script. Otherwise it's fairly similar to the use of RCUDA. Here's the code ( on the github repo)

Here are some results:

Generating random normals...
Running GPU code...
Time for calculation (GPU): 1.008687s
Running Scipy CPU code...
Time for calculation (CPU): 12.572273s
Output from GPU: 0.177782 0.224597 0.109604
Output from CPU: 0.177782 0.224597 0.109604

WARNING: As was the case with R, be careful that the types of the Python objects passed to the kernel match what the kernel is expecting.

5) Random Number Generation (RNG) on the GPU

RNG is done via the CURAND (CUDA Random Number Generation) library. CURAND provides several different generators including the Mersenne Twister (the default in R).

5.1) Seeds and Sequences

From the CUDA documentation:

For the highest quality parallel pseudorandom number generation, each experiment should be assigned a unique seed. Within an experiment, each thread of computation should be assigned a unique sequence number. If an experiment spans multiple kernel launches, it is recommended that threads between kernel launches be given the same seed, and sequence numbers be assigned in a monotonically increasing way. If the same configuration of threads is launched, random state can be preserved in global memory between launches to avoid state setup time.

A lot of important info… we'll interpret/implement much of it in the demo below.

Recall that RNG on a computer involves generation of pseudo-random numbers from a deterministic, periodic sequence. The seed determines where one starts generating from within that sequence. The idea of the sequence numbers is to generate from non-overlapping blocks within the sequence, with each thread getting a different block.

5.2) Calling CURAND via RCUDA

For RNG, we need a kernel to initialize the RNG on each thread and one to do the sampling (though they could be combined in a single kernel). Note that the time involved in initializing the RNG for each thread is substantial. This shouldn't be a problem if one is doing a lot of calculations over time. To amortize this one-time expense, I generate multiple random numbers per thread. Here's the kernel code ( on the github repo). The second argument to curand_init is the sequence number - by having contiguous sequence numbers for the threads, the position of the initial random number for a given thread is spaced \(2^{67}\) values apart from the position of the initial random number for the next thread.

And here's the R code (RNGexample.R on the github repo) to call the kernel, which looks very similar to the RCUDA code we've already seen.

Here are some results:

RNG initiation time:  0.062
GPU memory allocation time:  0.001 
Calculation time (GPU):  0.228
Transfer from GPU time:  0.423 
Calculation time (CPU):  7.292

We get a decent speed up, which would be more impressive if we can set up the calculations such that we don't need to transfer the whole large vector back to the CPU. Also, the code in uses non-unit strides and could probably be reworked for more efficient global memory access (see Section 7).

Also note the memory cost of the RNG states for the threads, 48 bytes per thread, which could easily exceed GPU memory if one starts up many threads.

At the moment, I'm not sure how to choose the RNG generator from within R.

5.3) Calling CURAND from C and from Python

I may flesh this out at some point, but by looking at the RNG example via RCUDA and the examples of calling kernels from C and Python in the previous section, it should be straightforward to do RNG on the GPU controlled by C or Python.

To choose the generator in C this should work (in this case choosing the Mersenne Twister): curandCreateGenerator(CURAND_RNG_PSEUDO_MTGP32).

6) Using higher-level functionality to do linear algebra and vectorized operations on the GPU

The idea here is to use software that hides the details of the kernel implementation from us, relying on the expertise of others to efficiently code standard computations on the GPU.

We'll start with very high-level use of the GPU by simply calling linear algebra routines that use the GPU.

6.1) Using C to Call CUDABLAS and MAGMA

We can do linear algebra (and basic vectorized operations with vectors and matrices) using GPU implementations of BLAS/LAPACK type routines. Both CUDA (through CUDABLAS) and MAGMA provide access to BLAS functionality, but only MAGMA provides LAPACK-like functionality (i.e., matrix factorizations/decompositions).

We'll make CUDABLAS and MAGMA calls directly in C code. The MAGMA library provides a drop-in for the functionality of the BLAS and LAPACK that carries out linear algebra on both the CPU and GPU, choosing smartly where to do various aspects of the calculation. We'll now need to directly manage memory allocation on the GPU and transferring data back and forth from CPU to GPU.


The code doesn't look too different than C code or calls to BLAS/LAPACK, but we use some CUDA functions and CUDA types. Here's the example code (cudaBlasExample.c on the github repo).

Compilation goes as follows. Note that in this case nvcc does not want the file to have .C or .cu extension.

nvcc cudaBlasExample.c -I/usr/local/cuda/include -lcublas -o cudaBlasExample

And here are (some of) the results:

Timing results for n = 512
GPU memory allocation time: 0.000256
Transfer to GPU time: 0.001642
Matrix multiply time: 0.000481
Transfer from GPU time: 0.001550
Timing results for n = 2048
GPU memory allocation time: 0.000276
Transfer to GPU time: 0.020364
Matrix multiply time: 0.015466
Transfer from GPU time: 0.015035
Timing results for n = 8192
GPU memory allocation time: 0.000800
Transfer to GPU time: 0.325620
Matrix multiply time: 0.940571
Transfer from GPU time: 0.229997

For (rough) comparison, the \(n=8192\) multiplication on the CPU (using openBLAS as the BLAS, called from R) takes 106 seconds with one core and 18 seconds with 8 cores.


Now let's see the use of MAGMA. MAGMA provides analogous calls as CUDA/CUDABLAS for allocating memory, transferring data, and BLAS calls, as well as LAPACK type calls.

Note that the LAPACK type calls have a CPU interface and a GPU interface. The GPU interface calls have function names ending in '_gpu' and operate on data objects in GPU memory. The CPU interface calls operate on data objects in CPU memory, handling the transfer to GPU memory as part of the calculation.

Here we'll compare timing for the GPU vs. standard BLAS/LAPACK as well as the CPU and GPU interfaces for the Cholesky.

Here's the example code (magmaExample.c on the github repo).

Compilation and execution (with and without pinned memory) go as follows. Note we can use gcc and that we need to link in the CPU BLAS and LAPACK since MAGMA uses both CPU and GPU for calculations (plus in this example I directly call BLAS and LAPACK functions).

gcc magmaExample.c -O3 -DADD_ -fopenmp  -DHAVE_CUBLAS -I/usr/local/cuda/include \
    -I/usr/local/magma/include -L/usr/local/cuda/lib64 -L/usr/local/magma/lib -lmagma \
    -llapack -lblas -lcublas -lcudart -o magmaExample
./magmaExample 1
./magmaExample 0

And here are (some of) the results:

Setting use_pinned to 1
Timing results for n = 512
GPU memory allocation time: 0.000256
Transfer to GPU time: 0.085331
Matrix multiply time (GPU): 0.000692
Matrix multiply time (BLAS): 0.049665
Cholesky factorization time (GPU w/ GPU interface): 0.023938
Cholesky factorization time (GPU w/ CPU interface): 0.004702
Cholesky factorization time (LAPACK): 0.006958
Transfer from GPU time: 0.000344
Timing results for n = 2048
GPU memory allocation time: 0.000366
Transfer to GPU time: 0.005706
Matrix multiply time (GPU): 0.027141
Matrix multiply time (BLAS): 0.446544
Cholesky factorization time (GPU w/ GPU interface): 0.047918
Cholesky factorization time (GPU w/ CPU interface): 0.025746
Cholesky factorization time (LAPACK): 0.077203
Transfer from GPU time: 0.005030
Timing results for n = 8192
GPU memory allocation time: 0.000789
Transfer to GPU time: 0.087303
Matrix multiply time (GPU): 1.766567
Matrix multiply time (BLAS): 23.807952
Cholesky factorization time (GPU w/ GPU interface): 0.230186
Cholesky factorization time (GPU w/ CPU interface): 0.259374
Cholesky factorization time (LAPACK): 4.179541
Transfer from GPU time: 0.079991

Setting use_pinned to 0
Timing results for n = 512
GPU memory allocation time: 0.000257
Transfer to GPU time: 0.086421
Matrix multiply time (GPU): 0.000655
Matrix multiply time (BLAS): 0.037689
Cholesky factorization time (GPU w/ GPU interface): 0.016963
Cholesky factorization time (GPU w/ CPU interface): 0.011957
Cholesky factorization time (LAPACK): 0.005600
Transfer from GPU time: 0.001391
Timing results for n = 2048
GPU memory allocation time: 0.000369
Transfer to GPU time: 0.009003
Matrix multiply time (GPU): 0.027190
Matrix multiply time (BLAS): 0.514402
Cholesky factorization time (GPU w/ GPU interface): 0.039755
Cholesky factorization time (GPU w/ CPU interface): 0.037521
Cholesky factorization time (LAPACK): 0.081121
Transfer from GPU time: 0.013978
Timing results for n = 8192
GPU memory allocation time: 0.001062
Transfer to GPU time: 0.136131
Matrix multiply time (GPU): 1.775493
Matrix multiply time (BLAS): 24.222220
Cholesky factorization time (GPU w/ GPU interface): 0.224644
Cholesky factorization time (GPU w/ CPU interface): 0.400515
Cholesky factorization time (LAPACK): 4.183725
Transfer from GPU time: 0.204625

So we see decent speed-ups both for the matrix multiplication and the Cholesky factorization; the comparisons are with respect to 8 CPU cores.

Using the CPU interface seems to provide a modest speedup (compared to the manual transfer + calculation time), as does using pinned memory.

6.2) Using PyCUDA to do GPU calculations directly in Python

PyCUDA also provides high-level functionality for vectorized calculations on the GPU. Basically you create a vector stored in GPU memory and then operate on it with a variety of mathematical functions. The modules that do this are gpuarray and cumath.

Here's the code ( on the github repo)

Here are the timing results.

Transfer to GPU time: 0.639403s
Timing vectorized exponentiation:
GPU array calc time (initial): 0.276190s
GPU array calc time: 0.014222s
CPU calc time: 2.704504s
Timing vectorized dot product/sum of squares:
GPU array calc time (initial): 0.229969s
GPU array calc time: 0.007769s
CPU calc time: 0.071532s

So we see a good speedup for the vectorized exponentiation. However, there is some compilation that gets done when the code is run the first time that slows down the initial calculation. Also, again, the transfer of data to the GPU takes a chunk of time.

For the dot product, the speedup is not as impressive, probably because the aggregation that is needed to do the sum involves coordination across threads.

6.3) Using R packages to do vectorized operations and linear algebra on the GPU

Various R packages hide the details of the GPU implementation and allow you to do vector and matrix operations, including linear algebra, using standard R code. In some cases they overload the usual R functions such that you can simply call a function of the same name as in base R.

Some packages you might investigate include:

7) An extended example of optimizing GPU kernel code

Here we'll implement a basic, but real computation that is a component of a larger collaboration I am engaged in. The basic context is understanding spatial variation in the species composition of forests in the eastern United States. The data are multinomial samples of counts of trees of different species at many different spatial locations (i.e., observations). We fit a spatial version of a multicategory probit regression model.

In our coding, I'll compare a basic R implementation as well as a C++ implementation with various GPU implementations designed to improve the speed of the GPU calculation. I'll use R to manage the C++ and CUDA code (via Rcpp and RCUDA) but there's no reason one couldn't do this via Python or C/C++ on the front-end. Our main focus will be on the different CUDA implementations.

All of the implementations are in the example directory in the repository.

7.1) Example: Probit regression probabilities

Probit regression basics

Consider probit regression, which is similar to logistic regression. The probability of a binary outcome is given as \(p = P(Y = 1) = \Phi(X\beta)\) where \(\Phi()\) is the normal CDF.

The probit model can be rewritten in a latent variable representation that in a Bayesian context can facilitate MCMC computations to fit the model: \[ Y = I(W > 0) \ \] \[ W \sim N(X\beta , 1) \ \]

Suppose we know \(\beta\). In order to determine \(p\) we could use Monte Carlo simulation to estimate this integral: \(P(Y = 1) = \int_{-\infty}^0 f(w) dw\).

Now for probit regression, we could just use standard methods to compute normal pdf integrals. But for the multinomial extension we discuss next, we need Monte Carlo simulation.

Multinomial probit regression

Let \(Y\) be a categorical variable, \(Y \in \{{1,2,\ldots,K}\}\). Then a multinomial extension of the latent variable probit model is \[ Y = {arg\ max}_k {W_k} \] \[ W_k \sim N(X\beta_k, 1) \]

Now to compute \(p = ({P(Y=1), P(Y=2), \ldots, P(Y=K)})\) we can again do Monte Carlo simulation. The basic steps are:

The proportion of times the category corresponded to the largest \(W_k\) is an estimate of the multinomial proportions of interest.

For our example, we want to do this computation for large \(M\) (to reduce Monte Carlo error) and for many observations with different \(X\) values. In our code, we will assume that we are given a vector (\(\alpha_i = {\{X_i\beta_k\}}_{k=1,\ldots,K}\)) for each observation, \(i\), resulting in an \(n\) by \(K\) matrix.

Finally, note that I can reuse the random numbers I need across the \(n\) observations (in fact, this probably reducesMonte Carlo error in certain ways), so I just need an \(M\) by \(K\) matrix of standard normal random variables. Even for large \(M\) this is not so big, and I'll simply generate the values once on the CPU.

7.2) R and C baseline implementations

In example_pureR.R and example_Rcpp.R I've implemented the calculation for \(n=26280\), \(K=21\), and \(M=10000\). I tried to write efficient vectorized R code and efficient C++ code (called from R, for convenience). I've also implemented parallel versions for both R and C++.

The pure R version takes about 570 seconds in serial and 140 seconds with eight cores. The C++ version takes about 47 seconds in serial and 6 seconds with eight cores.

7.3) A basic (but thoughtful) implementation

example_RCUDA.R is the main R script that calls different kernel variations as I experimented with different strategies for efficiency.

In I make use of the already-computed random numbers, and allocate a temporary vector w to hold the value of \(w\) for the current Monte Carlo sample.

Some features of my code:

Let's execute this:

cd example
Rscript example_RCUDA.R

This takes 12.1 seconds.

7.4) Accessing memory efficiently

Access to the device memory is slow (memory latency), but GPUs are good at switching between different threads while data is being retrieved from memory. Also, the GPU can access memory from consecutive memory locations efficiently and coalesce (combine) the memory accesses of groups of threads in a warp. Finally, threads in a warp execute in lock-step. The implications of this is that we want the threads in a warp to retrieve contiguous values from the device memory. This means using a 'stride' of one when incrementing through a vector (analogous to moving along rows in a row-major matrix).

In the original code, I was striding through alphas and probs in strides of k. Thinking of the various matrices as having \(K\) rows and being column-major, I was accessing values from adjacent columns on contigous threads when I should have accessed values from adjacent rows.

Let's transpose the matrices sent to the GPU memory and access adjacent rows, i.e., strides of one, across contiguous threads, as shown in

echo "unitStrides <- TRUE" > /tmp/tmp.R
cat example_RCUDA.R >> /tmp/tmp.R
Rscript /tmp/tmp.R

This takes 8.5 seconds, which is a nice speed-up for a simple change, but not earth-shattering.

7.5) Using shared memory (within a block)

Next let's consider whether it makes sense to move any data into shared memory, which can be accessed something like 100x as fast as device memory and functions like a programmer-managed cache. Shared memory is shared across all threads in a block. A couple implications of this are:

Here we notice that w and probs are accessed in device memory multiple times, and furthermore, probs is not even needed as an input, so let's try to manage these values in shared memory, as shown in

echo "unitStrides <- TRUE" > /tmp/tmp.R
echo "sharedMem <- TRUE" >> /tmp/tmp.R
cat example_RCUDA.R >> /tmp/tmp.R
Rscript /tmp/tmp.R

This takes 1.5 seconds, so we see a big improvement from using shared memory.

Surprisingly, using shared memory for access to alphas actually slowed things down 2-3-fold. I'm not sure why.

Finally in some cases you can use shared memory to avoid non-unit strides. Here's an example of a matrix transpose. Basically any non-unit striding is done only in shared memory. Reading from and writing to device memory is done using unit strides.

7.6) Using single precision (floats)

Traditionally GPU calculations are done in single precision and this can apparently be much faster than double precision calculations.

Here I get a roughly two- to three-fold speedup using floats rather than doubles, both for the original version of the code with non-unit strides and without shared memory (first example below) and for the optimized version of the code (second example below). As shown in the various “_float” kernel files, all I need to do is change “double” to “float”. And when calling from R, there are some housekeeping items shown in example_RCUDA.R.

echo "float <- TRUE" > /tmp/tmp.R
cat example/example_RCUDA.R >> /tmp/tmp.R
R CMD BATCH --no-save tmp.R 
echo "float <- TRUE" > /tmp/tmp.R
echo "unitStrides <- TRUE" > /tmp/tmp.R
echo "sharedMem <- TRUE" >> /tmp/tmp.R
cat example_RCUDA.R >> /tmp/tmp.R
Rscript /tmp/tmp.R 

7.7) Summary

For this example, here are the speeds, and the speed relative to the eight-core C++ implementation:

Implementation Time (sec.) Speed (relative to C++)
R (8 cores) 140 0.04
C++ (8 cores) 6.0 1.0
basic CUDA 12.1 0.5
unit strides 8.5 0.7
shared memory 1.5 4.0
shared memory + floats 0.6 10.7

Interestingly on Savio, the C++ time was 9.8, while the shared memory time was 0.67 and the shared memory + floats time was 0.31.

8) Final Comments

8.1) Some Thoughts on Improving Computational Speed

Suchard et al (2010; Journal of Computational and Graphical Statistics 19:419 and Lee et al (2010; Journal of Computational and Graphical Statistics 19:769 talk about the use of GPUs for statistics. The speedups they see can get as high as 120 times the speed of a single CPU core and 500 times a single CPU core, respectively. Some of the reasons these speedups are so impressive (more so than some of the examples here) include:

So for some tasks and likely involving additional coding effort, you may see speedups of 100-200 fold compared to a single CPU core.

Finally, rather than bringing a large chunk of data back to the CPU, you might do a reduction/aggregation operation (e.g., summing over values) in GPU memory. To do this, here's a presentation‎ that has some useful information.

8.2) A Comment on Compilation

If you compile CUDA code into an object file, you can link that with other object files (e.g., from C or C++ code) into an executable that can operate on CPU and GPU. This also means you could compile a shared object (i.e., a library) that you could call from R with .C, .Call, or Rcpp.

8.3) Some references: