Solving Dynamic Programming Problems on a Computational Grid

Yongyang Cai, Kenneth Judd, Greg Thain () and Stephen Wright ()

Computational Economics, 2015, vol. 45, issue 2, 284 pages

Abstract: We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is implemented using the Master–Worker library running on the HTCondor grid computing platform, which can be deployed on many networks. We implement value function iteration for large dynamic programming problems of two kinds: optimal growth problems and dynamic portfolio problems. We present examples that solve in hours on HTCondor but would take weeks if executed on a single workstation. The cost of using HTCondor is small because it uses CPU resources that otherwise would be idle. The use of HTCondor can increase a researcher’s computational productivity by at least two orders of magnitude. Copyright Springer Science+Business Media New York 2015

Keywords: Numerical dynamic programming; Parallel computing; Grid computing; Value function iteration; Dynamic portfolio optimization; Multi-country optimal growth; C61; C63; G11 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (9)

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Working Paper: Solving Dynamic Programming Problems on a Computational Grid (2013)
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DOI: 10.1007/s10614-014-9419-x

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