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Solving Dynamic Programming Problems on a Computational Grid

  • Yongyang Cai
  • Kenneth L. Judd
  • Greg Thain
  • Stephen J. Wright

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is implemented using the Master-Worker library running on the HTCondor grid computing platform. We implement value function iteration for several large dynamic programming problems of two kinds: optimal growth problems and dynamic portfolio problems. We present examples that solve in hours on HTCondor but would take weeks if executed on a single workstation. The use of HTCondor can increase a researcher's computational productivity by at least two orders of magnitude.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18714.

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Date of creation: Jan 2013
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Publication status: published as Yongyang Cai & Kenneth Judd & Greg Thain & Stephen Wright, 2015. "Solving Dynamic Programming Problems on a Computational Grid," Computational Economics, Society for Computational Economics, vol. 45(2), pages 261-284, February.
Handle: RePEc:nbr:nberwo:18714
Note: TWP
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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  1. 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.
  2. Cai, Yongyang & Judd, Kenneth L., 2012. "Dynamic programming with shape-preserving rational spline Hermite interpolation," Economics Letters, Elsevier, vol. 117(1), pages 161-164.
  3. Yongyang Cai & Kenneth Judd, 2013. "Shape-preserving dynamic programming," Mathematical Methods of Operations Research, Springer, vol. 77(3), pages 407-421, June.
  4. Den Haan, Wouter J. & Judd, Kenneth L. & Juillard, Michel, 2011. "Computational suite of models with heterogeneous agents II: Multi-country real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(2), pages 175-177, February.
  5. Rust, J., 1994. "Using Randomization to Break the Curse of Dimensionality," Working papers 9429, Wisconsin Madison - Social Systems.
  6. 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.
  7. Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
  8. Richard Bellman, 1957. "On a Dynamic Programming Approach to the Caterer Problem--I," Management Science, INFORMS, vol. 3(3), pages 270-278, April.
  9. 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.
  10. J. Rust & J. F. Traub & H. Wozniakowski, 2002. "Is There a Curse of Dimensionality for Contraction Fixed Points in the Worst Case?," Econometrica, Econometric Society, vol. 70(1), pages 285-329, January.
  11. Sergei Morozov & Sudhanshu Mathur, 2012. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," Computational Economics, Society for Computational Economics, vol. 40(2), pages 151-182, August.
  12. Yongyang Cai & Kenneth L. Judd & Rong Xu, 2013. "Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs," NBER Working Papers 18709, National Bureau of Economic Research, Inc.
  13. Yongyang Cai & Kenneth L. Judd & Thomas S. Lontzek & Valentina Michelangeli & Che-Lin Su, 2013. "Nonlinear Programming Method for Dynamic Programming," NBER Working Papers 19034, National Bureau of Economic Research, Inc.
  14. Yongyang Cai & Kenneth L. Judd, 2012. "Dynamic Programming with Hermite Approximation," NBER Working Papers 18540, National Bureau of Economic Research, Inc.
  15. Juillard, Michel & Villemot, Sébastien, 2011. "Multi-country real business cycle models: Accuracy tests and test bench," Journal of Economic Dynamics and Control, Elsevier, vol. 35(2), pages 178-185, February.
  16. Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," Computational Economics, Society for Computational Economics, vol. 26(2), pages 107-128, October.
  17. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
  18. Yongyang Cai & Kenneth L. Judd, 2010. "Stable and Efficient Computational Methods for Dynamic Programming," Journal of the European Economic Association, MIT Press, vol. 8(2-3), pages 626-634, 04-05.
  19. repec:spr:compst:v:77:y:2013:i:3:p:407-421 is not listed on IDEAS
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