A Mixed Precision Methodology for Mathematical Optimisation

Abstract

This paper introduces a novel mixed precision methodology for mathematical optimisation. It involves the use of reduced precision FPGA optimisers for searching potential regions containing the global optimum, and double precision optimisers on a general purpose processor (GPP) for verifying the results. An empirical method is proposed to determine parameters of the mixed precision methodology running on a reconfigurable accelerator consisting of FPGA and GPP. The effectiveness of our approach is evaluated using a set of optimisation benchmarks. Using our mixed precision methodology and a modern reconfigurable accelerator, we can locate the global optima 1.7 to 6 times faster compared with quad-core optimiser. The mixed precision optimisations search up to 40.3 times more starting vector per unit time compared with quad core optimisers and only 0.7% to 2.7% of these searches are refined using GPP double precision optimisers. The proposed methodology also allows us to accelerate problems with more complicated functions or to solve problems involving higher dimensions.