Recently I wrote an integral computation program on GPU using nVidia CUDA technology. The acceleration is astonishing for the big accuracy in comparison with the analogue program running on CPU which by the way is provided by Henry Golding and can be found in his personal blog.
However to understand the code you should have some knowledge of nVidia CUDA supporting GPU, which can be founded in nVidia's official
webpage. But for the usage imho it is quiet friendly.
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