Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors

Eric M. Aldrich; Jesús Fernández-Villaverde; A. Ronald Gallant; Juan F. Rubio-Ramírez

doi:10.1016/j.jedc.2010.10.001

Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors

Eric M. Aldrich
, Jesús Fernández-Villaverde
, A. Ronald Gallant
, Juan F. Rubio-Ramírez

Economics

Research output: Contribution to journal › Article › peer-review

51 Scopus citations

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 unified 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.

Original language	English (US)
Pages (from-to)	386-393
Number of pages	8
Journal	Journal of Economic Dynamics and Control
Volume	35
Issue number	3
DOIs	https://doi.org/10.1016/j.jedc.2010.10.001
State	Published - Mar 2011

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Control and Optimization
Applied Mathematics

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10.1016/j.jedc.2010.10.001

Cite this

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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 unified 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.",

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Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors

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All Science Journal Classification (ASJC) codes

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