In this talk, Adam Mlocek will show how F# allows us to write elegant .NET numerical code that runs on both CPU and GPU. We will start with a short introduction to F# and GPU programming.
Then we will look at F# implementation of multidimensional matrix library and compare it to Matlab®.
Finally, we will go through 2 simple F#/Matlab® examples of calculating Pi and pricing a euro option by Monte Carlo on both CPU and GPU.
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