Asymmetry PRISM-CPU achieves 4.5x-24.1x speedups over reference solvers on N=100-2000 problems and GPU completes all 500 accounts in 109.5s where OSQP completes 4.
Tax-awareportfolioconstructionviaconvex optimization.Journal of Optimization Theory and Applications, 189:364–383, 2021
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Asymmetry PRISM: A CPU/GPU Portfolio Optimization Engine for Deadline-Bounded Institutional Rebalancing
Asymmetry PRISM-CPU achieves 4.5x-24.1x speedups over reference solvers on N=100-2000 problems and GPU completes all 500 accounts in 109.5s where OSQP completes 4.