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2018
Previous editions: 2017 | 2016 | 2015 | 2014
Giovanni Ballarin

Konstanz U



GPU-Accelerated Value Function Iteration in Julia: Faster Macroeconomic Modeling

Among the many computational techniques that economists, and more specifically macroeconomists use to solve models, value function iteration (VFI) is probably the most commonly used. VFI is simple to implement, conceptually very close to the theoretical results of dynamic programming and works over a wide range of models, especially if these entail complex stochastic elements. Unfortunately, VFI algorithms are computationally very taxing even for modern machines, usually requiring long times (in the order of hours) to converge to a solution. To address this problem, much in the footsteps laid down by the paper by Aldrich, Fernandez-Villaverde,Gallant and Rubio-Ramirez “Tapping the Supercomputer under your Desk: Solving Dynamic Equilibrium Models with Graphics Processors” , I would like to present how it is almost trivial to use Julia, OpenCL, and the packages GPUArrays.jl and CLArrays.jl to run VFI algorithms orders of magnitude faster, using only a consumer (integrated) graphics card and without loosing appreciable precision. We focus our attention on the following topics:

Speaker's bio

I am an M.SC in Economics student in my second and last year at Konstanz University, Germany, in a double degree program with the University of Rome Tor Vergata. I have an undergraduate degree in Mathematics (which is and will be my secret passion), even thought I’ve now turned to Macroeconomics. My passions are: programming, tennis, pasta all’amatriciana and listening to music during long car trips. I don’t have to write code, but it gives me much joy.