A Practical Guide to Parallelization in Economics

Abstract

This guide provides a practical introduction to parallel computing in economics. After a brief introduction to the basic ideas of parallelization, we show how to parallelize a prototypical application in economics using, on CPUs, Julia, Matlab, R, Python, C++ - OpenMP, Rcpp - OpenMP, and C++ - MPI, and, on GPUs, CUDA and OpenACC. We provide code that the user can download and fork, present comparative results, and explain the strengths and weaknesses of each approach. We conclude with some additional remarks about alternative approaches.

Keywords: Computational Methods, Parallel Computing, Programming Languages

JEL Classification: C63, C68, E37