Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors
13 Pages Posted: 19 Apr 2010
Date Written: April 2010
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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By Klaus Wälde