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Solving the Incomplete Markets Model in Parallel Using GPU Computing and the Krusell–Smith Algorithm

Author

Listed:
  • Michael C. Hatcher

    () (University of Southampton)

  • Eric M. Scheffel

    () (Nottingham University Business School China)

Abstract

Abstract This paper demonstrates the potential of graphics processing units in solving the incomplete markets model in parallel using the Krusell–Smith algorithm. We illustrate the power of this approach using the same exercise as in Den Haan et al. (J Econ Dyn Control 34:1–3, 2010). We document a speed gain which increases sharply with the number of agents. To reduce entry barriers, we explain our methodology and provide some example algorithms.

Suggested Citation

  • Michael C. Hatcher & Eric M. Scheffel, 2016. "Solving the Incomplete Markets Model in Parallel Using GPU Computing and the Krusell–Smith Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 569-591, December.
  • Handle: RePEc:kap:compec:v:48:y:2016:i:4:d:10.1007_s10614-015-9537-0
    DOI: 10.1007/s10614-015-9537-0
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    References listed on IDEAS

    as
    1. Giusto, Andrea, 2014. "Adaptive learning and distributional dynamics in an incomplete markets model," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 317-333.
    2. Den Haan, Wouter J. & Rendahl, Pontus, 2010. "Solving the incomplete markets model with aggregate uncertainty using explicit aggregation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 69-78, January.
    3. 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.
    4. 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.
    5. Sergei Morozov & Sudhanshu Mathur, 2012. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 151-182, August.
    6. Matt Dziubinski & Stefano Grassi, 2014. "Heterogeneous Computing in Economics: A Simplified Approach," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 485-495, April.
    7. Algan, Yann & Allais, Olivier & Den Haan, Wouter J., 2010. "Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 59-68, January.
    8. Reiter, Michael, 2010. "Solving the incomplete markets model with aggregate uncertainty by backward induction," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 28-35, January.
    9. Den Haan, Wouter J. & Judd, Kenneth L. & Juillard, Michel, 2010. "Computational suite of models with heterogeneous agents: Incomplete markets and aggregate uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 1-3, January.
    10. Per Krusell & Anthony A. Smith & Jr., 1998. "Income and Wealth Heterogeneity in the Macroeconomy," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 867-896, October.
    11. Maliar, Lilia & Maliar, Serguei & Valli, Fernando, 2010. "Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 42-49, January.
    12. Michael Creel & William Goffe, 2008. "Multi-core CPUs, Clusters, and Grid Computing: A Tutorial," Computational Economics, Springer;Society for Computational Economics, vol. 32(4), pages 353-382, November.
    13. Den Haan, Wouter J., 2010. "Comparison of solutions to the incomplete markets model with aggregate uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(1), pages 4-27, January.
    14. Horvath, Michal, 2012. "Computational accuracy and distributional analysis in models with incomplete markets and aggregate uncertainty," Economics Letters, Elsevier, vol. 117(1), pages 276-279.
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    More about this item

    Keywords

    GPU computing; Heterogeneous agents; Incomplete markets; Interpolation; Krusell–Smith algorithm;

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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