> Can I run LP solver in parallel on multiple cores? What about all running on GPUs?
All major LP solvers include a barrier/interior point code that can run on multiple cores. This includes Cplex, Gurobi and Mosek. Do not expect perfect scaling but some speed-up is possible. Sparse simplex algorithms are not ideally suited for parallelization. Some recent results were shown by John Forrest. See: ISMP 2012 talk.
(From the same talk).
There are some other algorithms that can be implemented on GPUs. Many meta-heuristics have been ported to these devices. Here are some links:
- and many more