Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

By Eric M. Aldrich, Jesús Fernández-Villaverde, Ronald Gallant and Juan F. Rubio-Ramírez

http://d.repec.org/n?u=RePEc:pen:papers:10-014&r=dge

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 uni.ed device architecture (CUDA) 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.

There are fewer and fewer excuses for someone claiming a problem is too complex to solve. Computers have gained a lot of power, and this paper shows how to tap the unused part of your computer. Next up, the supposedly 90% of our brain we do not use.

About these ads

One Response to Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

  1. Yeah, but try really global optimization, not local, or pretend it’s global with a super inadequate technique. That’s still going to often be very difficult with more realistic models, and is going to often rely more on intelligence than brute speed.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

Follow

Get every new post delivered to your Inbox.

Join 253 other followers

%d bloggers like this: