IDEAS home Printed from https://ideas.repec.org/a/eee/dyncon/v35y2011i3p386-393.html
   My bibliography  Save this article

Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors

Author

Listed:
  • Aldrich, Eric M.
  • Fernández-Villaverde, Jesús
  • Ronald Gallant, A.
  • Rubio-Ramírez, Juan F.

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)Â 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 M. & Fernández-Villaverde, Jesús & Ronald Gallant, A. & Rubio-Ramírez, Juan F., 2011. "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 386-393, March.
    • Handle: RePEc:eee:dyncon:v:35:y:2011:i:3:p:386-393
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(10)00221-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
    2. Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
    3. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
    4. Burkhard Heer & Alfred Maußner, 2024. "Dynamic General Equilibrium Modeling," Springer Texts in Business and Economics, Springer, edition 3, number 978-3-031-51681-8, June.
    5. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kenneth L. Judd & Lilia Maliar & Serguei Maliar & Inna Tsener, 2017. "How to solve dynamic stochastic models computing expectations just once," Quantitative Economics, Econometric Society, vol. 8(3), pages 851-893, November.
    2. Hull, Isaiah, 2015. "Approximate dynamic programming with post-decision states as a solution method for dynamic economic models," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 57-70.
    3. Aruoba, S. Boragan & Fernandez-Villaverde, Jesus & Rubio-Ramirez, Juan F., 2006. "Comparing solution methods for dynamic equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2477-2508, December.
    4. Barillas, Francisco & Fernandez-Villaverde, Jesus, 2007. "A generalization of the endogenous grid method," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2698-2712, August.
    5. Dario Caldara & Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Wen Yao, 2012. "Computing DSGE Models with Recursive Preferences and Stochastic Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 188-206, April.
    6. Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2010. "A new algorithm for solving dynamic stochastic macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 388-403, March.
    7. Hintermaier, Thomas & Koeniger, Winfried, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2074-2088, October.
    8. Moody Chu & Chun-Hung Kuo & Matthew Lin, 2013. "Tensor Spline Approximation in Economic Dynamics with Uncertainties," Computational Economics, Springer;Society for Computational Economics, vol. 42(2), pages 175-198, August.
    9. Heer Burkhard & Maußner Alfred, 2011. "Value Function Iteration as a Solution Method for the Ramsey Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(4), pages 494-515, August.
    10. Ayse Kabukcuoglu & Enrique Martínez-García, 2016. "The Market Resources Method for Solving Dynamic Optimization Problems," Koç University-TUSIAD Economic Research Forum Working Papers 1607, Koc University-TUSIAD Economic Research Forum.
    11. Yasuo Hirose & Takeki Sunakawa, 2019. "Review of Solution and Estimation Methods for Nonlinear Dynamic Stochastic General Equilibrium Models with the Zero Lower Bound," The Japanese Economic Review, Springer, vol. 70(1), pages 51-104, March.
    12. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    13. Dario Caldara & Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Wen Yao, 2009. "Computing DSGE Models with Recursive Preferences," PIER Working Paper Archive 09-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    14. Carlo A. Favero, 2009. "The Econometrics of Monetary Policy: An Overview," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 16, pages 821-850, Palgrave Macmillan.
    15. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    16. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, July.
    17. John Stachurski, 2009. "Economic Dynamics: Theory and Computation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262012774, April.
    18. Karen Kopecky & Richard Suen, 2010. "Finite State Markov-chain Approximations to Highly Persistent Processes," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(3), pages 701-714, July.
    19. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Economie & Prévision, La Documentation Française, vol. 0(2), pages 115-126.
    20. Ben Malin, 2006. "Lower-Frequency Macroeconomic Fluctuations: Living Standards and Leisure," 2006 Meeting Papers 752, Society for Economic Dynamics.

    More about this item

    Keywords

    CUDA Dynamic programming Parallelization Growth model Business cycles;

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:35:y:2011:i:3:p:386-393. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jedc .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.