Gurobi is watching GPUs closely, but to this point all of the evidence indicates that they aren't well suited to the needs of an LP/MIP/QP solver. Specifically:
- GPUs don't work well for sparse linear algebra, which dominates much of linear programming. GPUs rely on keeping hundreds or even thousands of independent processors busy at a time. The extremely sparse matrices that are typical in linear programming don't admit nearly that level of parallelism.
- GPUs are built around SIMD computations, where all processors perform the same instruction in each cycle (but on different data). Parallel MIP explores different sections of the search tree on different processors. The computations required at different nodes in the search tree are quite different, so SIMD computation is not well suited to the needs of parallel MIP.
Note that CPUs and GPUs are both improving parallelism as a means to increase performance. The Gurobi Optimizer is designed to effectively exploit multiple cores in a CPU, so you'll definitely see a benefit from more parallelism in the future.