Value Function Iteration Toolkit: In Matlab, on the GPU

Robert Kirkby

No 9122, EcoMod2016 from EcoMod

Abstract: As part of evaluating economic policies Economists often want to solve Value Function Iteration problems, and then simulate various model outputs. The VFI Toolkit allows the user to easily solve these problems, automatically taking advantage of parallelization on the GPU and CPUs. Using the VFI Toolkit allows Economists to concentrate on the economics of the problem at hand. VFI Toolkit is already available from vfitoolkit.com. A Matlab Toolkit that makes it easy for the user to solve Value Function Iteration problems. Makes automatic use of parallelization on the GPU and CPUs. Roughly, the main command take the Return Function as an input, and gives the Value Function and Optimal Policy Functions as outputs. Work is completed, not preliminary. If it is felt that the presentation at EcoMod would benefit from a more applied example I am happy to construct one based on water management together with a colleague in my department who works on this topic. PS. If it is possible to do a poster in addition to an oral presentation that would be of interest.

Keywords: Not applicable.; Modeling: new developments; Optimization models (search for similar items in EconPapers)
Date: 2016-07-04
New Economics Papers: this item is included in nep-cmp
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Persistent link: https://EconPapers.repec.org/RePEc:ekd:009007:9122

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