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A distributed block approach to solving near-block-diagonal systems with an application to a large macroeconometric model

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Author Info

  • Jon Faust
  • Ralph Tryon

Abstract

This paper demonstrates two advantages of well-known block variants of standard algorithms for solving nonlinear systems. First, if a problem is suf­ficiently close to block-diagonal, block algorithms may offer significant speed advantages on a single processor. Second, block Jacobi algorithms can easily and efficiently be distributed across multiple processors. We illustrate the use of a distributed block Jacobi algorithm to solve a large nonlinear macroe­conometric model. For our application, on a four-processor Unix server, the algorithm achieves a speedup factor of more than 6 over the standard algo­rithm on a single processor. A speedup factor of about 2 is due to the added efficiency of the block algorithm on a single processor, and the remaining factor of 3 results from distributing the work over four processors.

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File URL: http://www.federalreserve.gov/pubs/ifdp/1994/488/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/1994/488/ifdp488.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 488.

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Date of creation: 1994
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Handle: RePEc:fip:fedgif:488

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Related research

Keywords: Econometric models ; Time-series analysis;

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References

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  1. Boucekkine, Raouf, 1995. "An alternative methodology for solving nonlinear forward-looking models," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 711-734, May.
  2. Gilli, Manfred, 1992. "Causal Ordering and Beyond," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(4), pages 957-71, November.
  3. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models," Cowles Foundation Discussion Papers 564, Cowles Foundation for Research in Economics, Yale University.
  4. Edison, Hali J. & Marquez, Jaime R. & Tryon, Ralph W., 1987. "The structure and properties of the Federal Reserve Board Multicountry Model," Economic Modelling, Elsevier, vol. 4(2), pages 115-315, April.
  5. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
  6. Raymond Board & P.A. Tinsley, 1996. "Smart systems and simple agents: industry pricing by parallel rules," Finance and Economics Discussion Series 1996-50, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Jon Faust & Ralph Tryon, 1995. "Block distributed methods for solving multi-country econometric models," International Finance Discussion Papers 516, Board of Governors of the Federal Reserve System (U.S.).

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