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

Eric Aldrich (), Jesus Fernández-Villaverde (), A. Gallant and Juan Rubio-Ramírez ()
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Jesus Fernández-Villaverde: Department of Economics, University of Pennsylvania
Juan Rubio-Ramírez: Department of Economics, Duke University
Authors registered in the RePEc Author Service: Juan F Rubio-Ramirez and Jesus Fernandez-Villaverde

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

Abstract: 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.

Keywords: GPU computing; Dynamic Equilibrium models (search for similar items in EconPapers)
JEL-codes: C87 E0 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2010-04-10
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-mac
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Related works:
Journal Article: Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors (2011)
Working Paper: Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors (2010)
Working Paper: Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:10-014

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