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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
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  1. William L. Goffe & Michael Creel, 2005. "Multi-core CPUs, Clusters and Grid Computing: a Tutorial," Computing in Economics and Finance 2005 438, Society for Computational Economics.
  2. John Rust & Department of Economics & University of Wisconsin, 1994. "Using Randomization to Break the Curse of Dimensionality," Computational Economics 9403001, EconWPA, revised 04 Jul 1994.
  3. 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.
  4. Richard Bellman, 1957. "On a Dynamic Programming Approach to the Caterer Problem--I," Management Science, INFORMS, vol. 3(3), pages 270-278, April.
  5. Yongyang Cai & Kenneth Judd, 2013. "Shape-preserving dynamic programming," Mathematical Methods of Operations Research, Springer, vol. 77(3), pages 407-421, June.
  6. repec:spr:compst:v:77:y:2013:i:3:p:407-421 is not listed on IDEAS
  7. Eric M. Aldrich & Jesús Fernández-Villaverde & Ronald Gallant & Juan F. Rubio-Ramírez, 2010. "Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors," PIER Working Paper Archive 10-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  8. Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," Computational Economics, Society for Computational Economics, vol. 26(2), pages 107-128, October.
  9. Yongyang Cai & Kenneth L. Judd, 2012. "Dynamic Programming with Hermite Approximation," NBER Working Papers 18540, National Bureau of Economic Research, Inc.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Cai, Yongyang & Judd, Kenneth L., 2012. "Dynamic programming with shape-preserving rational spline Hermite interpolation," Economics Letters, Elsevier, vol. 117(1), pages 161-164.
  18. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
  19. 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.
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