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

13 Pages Posted: 19 Apr 2010 Last revised: 21 Jun 2024

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; New York University (NYU)

Juan Francisco Rubio-Ramirez

Federal Reserve Bank of Atlanta - Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: April 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 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.

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 2010). NBER Working Paper No. w15909, Available at SSRN: https://ssrn.com/abstract=1590719

Eric Mark Aldrich (Contact Author)

University of California, Santa Cruz ( email )

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Jesús Fernández-Villaverde

University of Pennsylvania - Department of Economics ( email )

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A. Ronald Gallant

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Juan Francisco Rubio-Ramirez

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

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