PCIe Primer - Basics: PCIe
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As opposed to PCI, PCIe takes a much more intelligent approach. Instead of all of the devices sharing and fighting for control over the bus, PCIe incorporates a point-to-point topology. This model places a “smart shared switch” between the CPU and the PCIe bus. In addition, each PCIe device has its very own dedicated connection to the smart switch. This means each device has dedicated bandwidth. The maximum theoretical bandwidth of a PCIe lane is 2.5Gbps. Keep in mind that this bandwidth is dedicated, and therefore does NOT need to be shared with the other PCIe devices.

In the above picture, you can see that the diagram looks almost like a typical network configuration. In truth, PCIe works on a packet-based model, exactly like a network router. It only makes sense that the PCIe architecture be modeled after a design already capable of handling huge amounts of data at high speeds.
One of the coolest additional features of PCIe is the ability to scale, in speed. The dedicated connection between the switch and a PCIe device is called a link. And each link is comprised of one or more lanes. And as I said above, each lane has a theoretical max speed of 2.5Gbps. A PCIe link with one lane is defined as a x1 link. Add another link and it becomes an x2 link. The PCIe specification allows for x1, x2, x4, x8, x12, x16, and x32 links. So if you see a motherboard boasting 16 PCIe lanes, you know it has at least 1 x16 PCIe slot. The best part? Each lane is bidirectional, which means they can send and receive data at the same time, for increased efficiency. See diagram below.

PCIe vs. AGP
This is an odd comparison, because AGP was designed specifically for graphic cards, while PCIe is a complete bus design for all devices. AGP was designed to take the load of graphics processing off of the PCI bus, to save some of that precious and fought-over bandwidth. One of the biggest advantages of PCIe over AGP is that the specification is a bus, and can have 1 or more video cards working together. This isn’t normally possible with AGP. I, for one, have never seen a motherboard with more than one AGP slot, so I don’t even know if they exist.
Late model AGP cards have one or sometimes two molex connectors, for external power. This is because the AGP bus can only supply a maximum of 25 watts of power. PCIe, on the other hand, can deliver up to 75 watts of power. With the memory and GPU on today’s video cards, it's not surprising they need some additional power to perform.
I could go into architecture, as well, but there’s no need. Suffice it to say that the PCIe architecture allows for faster speeds than AGP could achieve.
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