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Solving Nonlinear Dynamic Models on Parallel Computers

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  • Coleman, Wilbur John, II

Abstract

This paper describes an algorithm that takes advantage of parallel computing to solve discrete-time recursive systems that have an endogenous state variable. The algorithm is shown to work well on a CRAY X-MP vector processor as well as on a network of stand-alone workstations that simulates a multiprocessor computer.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 11 (1993)
Issue (Month): 3 (July)
Pages: 325-30

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Handle: RePEc:bes:jnlbes:v:11:y:1993:i:3:p:325-30

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References

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  1. Robert E. Lucas Jr. & Nancy L. Stokey, 1984. "Money and Interest in Cash-In-Advance Economy," Discussion Papers 628, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Wilbur John Coleman II & Christian Gilles & Pamela Labadie, 1992. "The liquidity premium in average interest rates," International Finance Discussion Papers 432, Board of Governors of the Federal Reserve System (U.S.).
  3. Jeremy Greenwood & Gregory W. Huffman, 1992. "On the existence and uniqueness of nonoptimal equilibria in dynamic stochastic economies," Staff Report 151, Federal Reserve Bank of Minneapolis.
  4. Taylor, John B & Uhlig, Harald, 1990. "Solving Nonlinear Stochastic Growth Models: A Comparison of Alternative Solution Methods," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 1-17, January.
  5. Lucas, Robert E, Jr, 1980. "Equilibrium in a Pure Currency Economy," Economic Inquiry, Western Economic Association International, vol. 18(2), pages 203-20, April.
  6. Ayse Imrohoroglu & Edward C. Prescott, 1991. "Evaluating the welfare effects of alternative monetary arrangements," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum, pages 3-10.
  7. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
  8. Coleman, Wilbur John, II, 1990. "Solving the Stochastic Growth Model by Policy-Function Iteration," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 27-29, January.
  9. Scheinkman, Jose A & Weiss, Laurence, 1986. "Borrowing Constraints and Aggregate Economic Activity," Econometrica, Econometric Society, vol. 54(1), pages 23-45, January.
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Cited by:
  1. Mathur, Sudhanshu & Morozov, Sergei, 2009. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," MPRA Paper 16721, University Library of Munich, Germany.
  2. Christopher A. Swann, 2001. "Software for parallel computing: the LAM implementation of MPI," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 185-194.

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