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

DOI10.1016/J.JEDC.2010.10.001MaRDI QIDQ621284zbMATH OpenOpenAlexFDO

Authors Jesús Fernández-Villaverde, A. Ronald Gallant, Eric Mark Aldrich, Juan Francisco Rubio-Ramıŕez

Publication date 2 February 2011

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://economics.sas.upenn.edu/sites/default/files/filevault/working-papers/10-014.pdf

zbMATH Keywords

business cyclesCUDAdynamic programminggrowth modelparallelization

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) General equilibrium theory (91B50) Economic dynamics (91B55)

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Cites work

• Comparing solution methods for dynamic equilibrium economies
• Dynamic General Equilibrium Modelling
• Projection methods for solving aggregate growth models

Cited in

(12)

• Technological heterogeneity and corporate investment
• Approximate dynamic programming with post-decision states as a solution method for dynamic economic models
• Numerical solution of dynamic equilibrium models under Poisson uncertainty
• A hardware approach to value function iteration
• GPU-based block-wise nonlocal means denoising for 3D ultrasound images
• Benchmarking machine-learning software and hardware for quantitative economics
• Dynamic programming with Hermite approximation
• Striated Metropolis-Hastings sampler for high-dimensional models
• Graphics card as a cheap supercomputer.
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• Programming FPGAs for economics: an introduction to electrical engineering economics
• High-performance statistical computing (HPSC): challenges, opportunities, and future directions

Describes a project that uses

Uses Software

• CUDA

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