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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
Federal Reserve Bank of Atlanta, 1000 Peachtree St. NE, Atlanta, GA 30030, USA
Journal of Economic Dynamics and Control, Volume 35, Issue 3, Pages 386-393, 2011

@article{aldrich2011tapping,

   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 Ronald Gallant, A. and Rubio-Ram{‘i}rez, J.F.},

   journal={Journal of Economic Dynamics and Control},

   volume={35},

   number={3},

   pages={386–393},

   year={2011},

   publisher={Elsevier}

}

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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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