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

13 Pages Posted: 12 Apr 2010

See all articles by Eric M. Aldrich

Eric M. Aldrich

University of California, Santa Cruz

Jesús Fernández-Villaverde

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

A. Ronald Gallant

Duke University - Fuqua School of Business, Economics Group; New York University - Department of Economics

Juan Francisco Rubio-Ramirez

Federal Reserve Bank of Atlanta - Research Department

Date Written: April 10, 2010

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.

Keywords: GPU computing, Dynamic Equilibrium models

JEL Classification: E0, C87

Suggested Citation

Aldrich, Eric Mark and Fernández-Villaverde, Jesús and Gallant, A. Ronald and Rubio-Ramirez, Juan Francisco, Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models With Graphics Processors (April 10, 2010). PIER Working Paper No. 10-014. Available at SSRN: https://ssrn.com/abstract=1588093 or http://dx.doi.org/10.2139/ssrn.1588093

Eric Mark Aldrich

University of California, Santa Cruz ( email )

Santa Cruz, CA 95064
United States
831-459-4247 (Phone)

HOME PAGE: http://ealdrich.com

Jesús Fernández-Villaverde (Contact Author)

University of Pennsylvania - Department of Economics ( email )

3718 Locust Walk
160 McNeil Building
Philadelphia, PA 19104
United States
215-898-1504 (Phone)
215-573-2057 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

A. Ronald Gallant

Duke University - Fuqua School of Business, Economics Group ( email )

Box 90097
Durham, NC 27708-0097
United States

New York University - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

Juan Francisco Rubio-Ramirez

Federal Reserve Bank of Atlanta - Research Department ( email )

1000 Peachtree Street, NE
Atlanta, GA 30309-4470
United States
404-498-8057 (Phone)
404-498-8956 (Fax)

HOME PAGE: http://www.econ.umn.edu/~rubio

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