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

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