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

Eric M. Aldrich, Jesús Fernández-Villaverde, A. Ronald Gallant, Juan F. Rubio-Ramírez

Research output: Contribution to journalArticle

35 Scopus citations

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 unified 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.

Original languageEnglish (US)
Pages (from-to)386-393
Number of pages8
JournalJournal of Economic Dynamics and Control
Volume35
Issue number3
DOIs
StatePublished - Mar 1 2011

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Control and Optimization
  • Applied Mathematics

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