Advanced Search
MyIDEAS: Login

Cuda Based Computational Methods For Macroeconomic Forecasts

Contents:

Author Info

  • Bogdan OANCEA

    ()
    ("Nicolae Titulescu" University from Bucharest, Romania)

  • Tudorel ANDREI

    ()
    (The Bucharest Academy of Economic Studies, Romania)

  • Raluca DRAGOESCU

    ()
    ("Artifex" University, Bucharest, Romania)

Abstract

Parallel computing can offer an enormous advantage regarding the performance for very large applications in almost any field: economics, scientific computing, computer vision, databases, data mining. GPUs are high performance many-core processors that can obtain very high FLOP rates. Since the first idea of using GPU for general purpose computing, things have evolved and now there are several approaches to GPU programming: CUDA from NVIDIA and Stream from AMD. CUDA is now a popular programming model for general purpose computations on GPU for C/C++ programmers. In this paper we present an implementation of some iterative and direct linear systems solvers that use the CUDA programming model. Our CUDA library is used to solve macroeconometric models with forward-looking variables based on Newton method for nonlinear systems of equations. The most difficult step for Newton methods represents the resolution of a large linear system for each iteration. Our library implements LU factorization, Jacobi, Gauss-Seidel and non-stationary iterative methods (GMRES, BiCG, BiCGSTAB) using C-CUDA extension. We compare the performance of our CUDA implementation with classic programs written to be run on CPU. Our performance tests show speedups of approximately 80 times for single precision floating point and 40 times for double precision.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mef.univnt.ro/wp-content/uploads/MEF/2011/mef-01.04.pdf
File Function: First version, 2012
Download Restriction: no

Bibliographic Info

Article provided by ROMANIAN ACADEMY – INSTITUTE FOR ECONOMIC FORECASTING & "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences in its journal New Trends in Modelling and Economic Forecast (MEF 2011).

Volume (Year): 1 (2012)
Issue (Month): 1 (January)
Pages: 42-53

as in new window
Handle: RePEc:ntu:ntumef:vol1-iss1-12-042

Contact details of provider:
Email:
Web page: http://www.ipe.ro/

Phone: +040.21.330.90.32
Fax: +040.21.330.86.08
Email:
Web page: http://www.univnt.ro/
More information through EDIRC

Related research

Keywords: parallel algorithms; macroeconometric models; rational expectations models; linear algebra; Krylov techniques;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Flint Brayton & Eileen Mauskopf & David Reifschneider & Peter Tinsley & John Williams, 1997. "The role of expectations in the FRB/US macroeconomic model," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Apr, pages 227-245.
  2. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Society for Computational Economics, vol. 32(4), pages 353-382, November.
  3. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ntu:ntumef:vol1-iss1-12-042. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lucian Liviu ALBU).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.