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

DOI10.1016/j.jedc.2010.10.001zbMath1232.91006OpenAlexW3123335567MaRDI QIDQ621284

Jesús Fernández-Villaverde, A. Ronald Gallant, Juan Francisco Rubio-Ramıŕez, Eric Mark Aldrich

Publication date: 2 February 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://economics.sas.upenn.edu/sites/default/files/filevault/working-papers/10-014.pdf

zbMATH Keywords

dynamic programmingbusiness cyclesparallelizationgrowth modelCUDA

Mathematics Subject Classification ID

General equilibrium theory (91B50) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Economic dynamics (91B55)

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Striated Metropolis-Hastings sampler for high-dimensional models ⋮ Technological heterogeneity and corporate investment ⋮ THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL ⋮ A hardware approach to value function iteration ⋮ Numerical solution of dynamic equilibrium models under Poisson uncertainty ⋮ GPU-based block-wise nonlocal means denoising for 3D ultrasound images ⋮ Benchmarking machine-learning software and hardware for quantitative economics ⋮ Dynamic programming with Hermite approximation

Uses Software

• CUDA

Cites Work

• Comparing solution methods for dynamic equilibrium economies
• Projection methods for solving aggregate growth models
• Dynamic General Equilibrium Modelling

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