University of California-Santa Cruz
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Information about this author at RePEc
NBER Working Papers and Publications
|April 2010||Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors|
with Jesús Fernández-Villaverde, A. Ronald Gallant, Juan F. Rubio-Ramírez: w15909
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.
Published: Aldrich, Eric M. & Fernández-Villaverde, Jesús & Ronald Gallant, A. & Rubio-Ramírez, Juan F., 2011. "Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors," Journal of Economic Dynamics and Control, Elsevier, vol. 35(3), pages 386-393, March. citation courtesy of