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

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.

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Year of publication:	2010-04-10
Authors:	Aldrich, Eric M. ; Fernández-Villaverde, Jesús ; Gallant, Ronald ; Rubio-Ramírez, Juan F.
Institutions:	Department of Economics, University of Pennsylvania
Subject:	GPU computing \| Dynamic Equilibrium models

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Extent:	application/pdf
Series:	PIER Working Paper Archive.
Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	E0 - Macroeconomics and Monetary Economics. General ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008456511