Patent ID: 11915254
Assignee: CHICAGO MERCANTILE EXCHANGE INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 11:
12. A system configured for optimized batch constraint computation for a graphics processing unit, the system including:
a memory;
a processor including at least the graphics processing unit;
the memory including first logic configured to cause the processor to: obtaining a point batch including a plurality of data points representing a plurality of transactions, wherein, for a constraint defined within a computation space, each of the plurality of data points having an individual optimal projection to the constraint within the computation space;
the memory including second logic configured to cause the processor to, for each of a plurality of iterations and until a target fail rate is reached:
determine, for the iteration and without attempting to compute the individual optimal projection for each of the plurality of data points, a corresponding uniform batch projection to the constraint to perform on the point batch in parallel; and
project, using the corresponding uniform batch projection and the graphics processing unit, the point batch to the constraint, projection using the corresponding uniform batch projection resulting in a failure to project at least a corresponding one of the plurality of data points to the constraint that would have been successfully projected to the constraint using a corresponding individual optimal projection for the corresponding one of the plurality of data points thereby achieving higher calculation throughput at a cost of lower calculation accuracy;

the memory including third logic configured to cause the processor to determine, after the target fail rate is reached and based on the corresponding uniform batch projection for a final one of the plurality of iterations, a dynamic adjustment that causes the point batch to meet the constraint; and
the memory including fourth logic configured to cause the processor to reduce, consistent with the dynamic adjustment, a margin requirement for the plurality of transactions.