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Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

Author

Listed:
  • Eric M. Aldrich

    () (Department of Economics, Duke University)

  • Jesús Fernández-Villaverde

    () (Department of Economics, University of Pennsylvania)

  • Ronald Gallant

    () (Fuqua School of Business, Duke University)

  • Juan F. Rubio-Ramírez

    () (Department of Economics, Duke University)

Abstract

This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modern computers to solve dynamic equilibrium models in economics. In particular, we rely on the compute uni.ed device architecture (CUDA) of NVIDIA GPUs. We illustrate the power of the approach by solving a simple real business cycle model with value function iteration. We document improvements in speed of around 200 times and suggest that even further gains are likely.

Suggested Citation

  • 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.
  • Handle: RePEc:pen:papers:10-014
    as

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    References listed on IDEAS

    as
    1. Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
    2. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
    3. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    GPU computing; Dynamic Equilibrium models;

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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