NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Solving Dynamic Programming Problems on a Computational Grid

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

NBER Working Paper No. 18714
Issued in January 2013
NBER Program(s):   TWP

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.

download in pdf format
   (313 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w18714

Published: 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. citation courtesy of

Users who downloaded this paper also downloaded these:
Cai, Judd, Lontzek, Michelangeli, and Su w19034 Nonlinear Programming Method for Dynamic Programming
Cai and Judd w18540 Dynamic Programming with Hermite Approximation
Cai, Judd, and Xu w18709 Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs
Cai, Judd, and Lontzek w18704 The Social Cost of Stochastic and Irreversible Climate Change
Judd, Maliar, and Maliar w18501 Merging Simulation and Projection Approaches to Solve High-Dimensional Problems
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us