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Parallel Extended Path Method for Solving Perfect Foresight Models

Author

Listed:
  • N. B. Melnikov

    (Lomonosov Moscow State University
    RAS)

  • A. P. Gruzdev

    (Lomonosov Moscow State University)

  • M. G. Dalton

    (National Oceanic and Atmospheric Administration)

  • M. Weitzel

    (European Commission, Joint Research Centre)

  • B. C. O’Neill

    (University of Denver)

Abstract

We parallelize the extended path method for solving rational expectations models, and apply it to compute perfect foresight competitive equilibrium for the global economy with multiple goods, regions, industries, and households. At each iteration, first intertemporal variables are updated, then equations for intra-temporal variables are solved in parallel. We compare serial, and parallel, versions of the extended path method in high-performance computing environments based on scenarios with long time horizons that include future populations, economic growth, energy use, and carbon dioxide emissions. Relative to the serial version, the speedup factor for the parallel extended path method grows almost linearly up to about 30 times with 18 cores, and computing times reduced from over 10 h for the serial version down to about 20 min for the parallel version.

Suggested Citation

  • N. B. Melnikov & A. P. Gruzdev & M. G. Dalton & M. Weitzel & B. C. O’Neill, 2021. "Parallel Extended Path Method for Solving Perfect Foresight Models," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 517-534, August.
    • Handle: RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10044-y
    DOI: 10.1007/s10614-020-10044-y
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    More about this item

    Keywords

    Perfect foresight; Intertemporal general equilibrium; Economic growth; Iterative methods; Parallel computing; Energy economics; Climate impacts;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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