  We provide a preliminary study on utilizing GPU (Graphics Processing Unit) to
accelerate computation for three simulation optimization tasks with either
first-order or second-order algorithms. Compared to the implementation using
only CPU (Central Processing Unit), the GPU implementation benefits from
computational advantages of parallel processing for large-scale matrices and
vectors operations. Numerical experiments demonstrate computational advantages
of utilizing GPU implementation in simulation optimization problems, and show
that such advantage comparatively further increase as the problem scale
increases.
