Journal of Economic Dynamics and Control, 74, 2011, 1005-1003

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors <

Eric M. Aldrich
Department of Economics, Duke University

Jesus Fernandez-Villaverde
Department of Economics, University of Pennslyvania

A. Ronald Gallant
Fuqua School of Business, Duke University

Juan F. Rubio-Ramirez
Department of Economics, Duke University

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.