Solving Dynamic Programming Problems on a Computational Grid

Yongyang Cai, Kenneth Judd, Greg Thain and Stephen J. Wright

No 18714, NBER Working Papers from National Bureau of Economic Research, Inc

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. We implement value function iteration for several 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 use of HTCondor can increase a researcher's computational productivity by at least two orders of magnitude.

JEL-codes: C61 C63 G11 (search for similar items in EconPapers)
Date: 2013-01
New Economics Papers: this item is included in nep-cmp and nep-dge
Note: TWP
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Citations: View citations in EconPapers (4)

Published as Yongyang Cai & Kenneth Judd & Greg Thain & Stephen Wright, 2015. "Solving Dynamic Programming Problems on a Computational Grid," Computational Economics, Society for Computational Economics, vol. 45(2), pages 261-284, February.

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Journal Article: Solving Dynamic Programming Problems on a Computational Grid (2015)
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