Heterogeneous Computing in Economics: A Simplified Approach
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This paper shows the potential of heterogeneous computing in solving dynamic equilibrium models in economics. We illustrate the power and simplicity of C++ Accelerated Massive Parallelism (C++ AMP) recently introduced by Microsoft. Starting from the same exercise as Aldrich et al. (J Econ Dyn Control 35:386–393, 2011) we document a speed gain together with a simplified programming style that naturally enables parallelization.
KeywordsCUDA C++ C++ AMP DSGE models Econometrics Heterogeneous computing
We are grateful to an anonymous Referee and the Editor for their helpful comments and suggestions. We also thank the participants at Norges Bank research seminar held in Oslo and the CFE’12 Conference held in Oviedo. We acknowledge financial support by the Center for Research in Econometric Analysis of Time Series, CREATES, funded by the Danish National Research Foundation.
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