High-Dimensional Dynamic Stochastic Model Representation

26 Pages Posted: 11 Jun 2020 Last revised: 10 Feb 2022

See all articles by Aryan Eftekhari

Aryan Eftekhari

Università della Svizzera italiana - Institute of Computational Science

Simon Scheidegger

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Date Written: May 17, 2020

Abstract

We propose a scalable method for computing global solutions of nonlinear, high-dimensional dynamic stochastic economic models. First, within a time iteration framework, we approximate economic policy functions using an adaptive, high-dimensional model representation scheme, combined with adaptive sparse grids to address the ubiquitous challenge of the curse of dimensionality. Moreover, the adaptivity within the individual component functions increases sparsity since grid points are added only where they are most needed, that is, in regions with steep gradients or at non-differentiabilities. Second, we introduce a performant vectorization scheme for the interpolation compute kernel. Third, the algorithm is hybrid parallelized, leveraging both distributed- and shared-memory architectures. We observe significant speedups over the state-of-the-art techniques, and almost ideal strong scaling up to at least 1,000 compute nodes of a Cray XC50 system at the Swiss National Supercomputing Center. Finally, to demonstrate our method's broad applicability, we compute global solutions to two variates of a high-dimensional international real business cycle model up to 300 continuous state variables. In addition, we highlight a complementary advantage of the framework, which allows for a priori analysis of the model complexity.

Keywords: Generalized ANOVA, Dimensional Decomposition, High-Dimensional Model Representation, Adaptive Sparse Grids, High-Performance Computing, International Real Business Cycles, Occasionally Binding Constraints

JEL Classification: C63, E30, F44

Suggested Citation

Eftekhari, Aryan and Scheidegger, Simon, High-Dimensional Dynamic Stochastic Model Representation (May 17, 2020). Available at SSRN: https://ssrn.com/abstract=3603294 or http://dx.doi.org/10.2139/ssrn.3603294

Aryan Eftekhari

Università della Svizzera italiana - Institute of Computational Science ( email )

Via Giuseppe Buffi 13
Lugano, Ticino 6900
Switzerland

Simon Scheidegger (Contact Author)

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015
Switzerland

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