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

Eric M. Aldrich, Jesus Fernandez-Villaverde, A. Ronald Gallant, Juan F. Rubio-Ramirez
Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, 3718 Locust Walk
Journal of Economic Dynamics and Control (13 October 2010)

@article{aldrich2010tapping,

   title={Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors},

   author={Aldrich, E.M. and Fern{‘a}ndez-Villaverde, J. and Gallant, A.R. and Rubio-Ramirez, J.F.},

   journal={NBER Working Paper},

   year={2010}

}

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.
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