Automated OpenCL GPU kernel fusion for Stan Math

Tadej Ciglaric, Rok Cesnovar, Erik Strumbelj

Abstract: We developed an OpenCL GPU kernel fusion library for the Stan software for Bayesian statistics. The library automatically combines kernels, optimizes computation, and is simple to use. The practical utility of the library is that it speeds up the development of new GPU kernels while keeping the performance of automatically combined kernels comparable to hand crafted kernels. We demonstrate this with experiments on basic operations and a linear regression model likelihood.