A simple GPU based Pearson correlation coefficient finder made using CUDA.

A Pearson correlation is a statistic which measures a linear correlation of a set of points (x,y). The domain of this function is <-1, 1>, where:

• 1 indicates a positive correlation
• 0 indicates no correlation
• -1 indicates a negative correlation

A mathematical formula used to calculate the coefficient:

Image courtesy of Wikipedia

The program calculates in parallel each of the components of above formula. Every sum is calculated and reduced using GPU. This is the most time-demanding process and it's easy to make it parallel. Then, CPU performs a "finishing" process (summing output values of every GPU block) and substitutes every component into the final formula.

(sigma)xi * yi = 20485.000000
(sigma)xi^2 = 11409.000000
(sigma)yi^2 = 11409.000000
(sigma)xi = 247.000000
(sigma)yi = 486.000000
r = 0.529809