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Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors

Author

Listed:
  • Aldrich, Eric M.
  • Fernández-Villaverde, Jesús
  • Ronald Gallant, A.
  • Rubio-Ramírez, Juan F.
Abstract
This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modern computers to solve dynamic equilibrium models in economics. In particular, we rely on the compute unified device architecture (CUDA)Â of NVIDIA GPUs. We illustrate the power of the approach by solving a simple real business cycle model with value function iteration. We document improvements in speed of around 200 times and suggest that even further gains are likely.

Suggested Citation

  • Aldrich, Eric M. & Fernández-Villaverde, Jesús & Ronald Gallant, A. & Rubio-Ramírez, Juan F., 2011. "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 386-393, March.
    • Handle: RePEc:eee:dyncon:v:35:y:2011:i:3:p:386-393
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    References listed on IDEAS

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    1. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
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    More about this item

    Keywords

    CUDA Dynamic programming Parallelization Growth model Business cycles;

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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