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Solving Finite Mixture Models in Parallel

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  • Christopher Ferrall

    (Queen's University)

Abstract

Many economic models are completed by finding a parameter vector that optimizes a function f, a task that only be accomplished by iterating from a starting vector. Use of a generic iterative optimizer to carry out this task can waste enormous amounts of computation when applied to a class of problems defined here as finite mixture models. The finite mixture class is large and important in economics and eliminating wasted computations requires only limited changes to standard code. Further, the approach described here greatly increases gains from parallel execution and opens possibilities for re-writing objective functions to make further efficiency gains.

Suggested Citation

  • Christopher Ferrall, 2003. "Solving Finite Mixture Models in Parallel," Computational Economics 0303003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpco:0303003
    Note: Type of Document - PDF; prepared on MikTeX; pages: 47; figures: included/
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/comp/papers/0303/0303003.pdf
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Christopher Ferrall, 2002. "Estimation And Inference In Social Experiments," Working Paper 1008, Economics Department, Queen's University.
    2. Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
    3. Morozov, Sergei & Mathur, Sudhanshu, 2009. "Massively parallel computation using graphics processors with application to optimal experimentation in dynamic control," MPRA Paper 30298, University Library of Munich, Germany, revised 04 Apr 2011.
    4. Sergei Morozov & Sudhanshu Mathur, 2012. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 151-182, August.
    5. Mathur, Sudhanshu & Morozov, Sergei, 2009. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," MPRA Paper 16721, University Library of Munich, Germany.

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    More about this item

    Keywords

    Numerical Optimization; Heterogeneous Agent Models;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • 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

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