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

17 Pages Posted: 15 Dec 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; 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: October 18, 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.

Keywords: CUDA, Dynamic Programming, Parallelization, Growth Model, Business Cycles

JEL Classification: C88

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 (October 18, 2010). Economic Research Initiatives at Duke Working Paper No. 86. Available at SSRN: https://ssrn.com/abstract=1724957 or http://dx.doi.org/10.2139/ssrn.1724957

Eric Mark Aldrich (Contact Author)

University of California, Santa Cruz ( email )

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

HOME PAGE: http://ealdrich.com

Jesús Fernández-Villaverde

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 ( email )

100 Fuqua Drive
Durham, NC 27708-0204
United States

New York University (NYU)

Bobst Library, E-resource Acquisitions
20 Cooper Square 3rd Floor
New York, NY 10003-711
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

Register to save articles to
your library

Register

Paper statistics

Downloads
191
Abstract Views
1,671
rank
137,046
PlumX Metrics