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Parallelized Dimensional Decomposition for Large-Scale Dynamic Stochastic Economic Models


Eftekhari, Aryan; Scheidegger, Simon; Schenk, Olaf (2017). Parallelized Dimensional Decomposition for Large-Scale Dynamic Stochastic Economic Models. In: The PASC17 Conference, Lugano, Switzerland, 26 July 2017 - 28 July 2017, 1-11.

Abstract

We introduce and deploy a generic, highly scalable computational method to solve high-dimensional dynamic stochastic economic models on high-performance computing platforms. Within an MPI---TBB parallel, nonlinear time iteration framework, we approximate economic policy functions using an adaptive sparse grid algorithm with d-linear basis functions that is combined with a dimensional decomposition scheme. Numerical experiments on "Piz Daint" (Cray XC30) at the Swiss National Supercomputing Centre show that our framework scales nicely to at least 1,000 compute nodes. As an economic application, we compute global solutions to international real business cycle models up to 200 continuous dimensions with significant speedup values over state-of-the-art techniques.

Abstract

We introduce and deploy a generic, highly scalable computational method to solve high-dimensional dynamic stochastic economic models on high-performance computing platforms. Within an MPI---TBB parallel, nonlinear time iteration framework, we approximate economic policy functions using an adaptive sparse grid algorithm with d-linear basis functions that is combined with a dimensional decomposition scheme. Numerical experiments on "Piz Daint" (Cray XC30) at the Swiss National Supercomputing Centre show that our framework scales nicely to at least 1,000 compute nodes. As an economic application, we compute global solutions to international real business cycle models up to 200 continuous dimensions with significant speedup values over state-of-the-art techniques.

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Additional indexing

Item Type:Conference or Workshop Item (Paper), refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Event End Date:28 July 2017
Deposited On:07 Mar 2019 11:02
Last Modified:30 Jun 2019 07:22
Publisher:ACM Press
Series Name:Proceedings of the Platform for Advanced Scientific Computing Conference
ISBN:978-1-4503-5062-4
OA Status:Closed
Publisher DOI:https://doi.org/10.1145/3093172.3093234
Official URL:http://delivery.acm.org/10.1145/3100000/3093234/a9-Eftekhari.pdf?ip=130.60.47.186&id=3093234&acc=ACTIVE%20SERVICE&key=FC66C24E42F07228%2E59B42124C4E2603D%2E4D4702B0C3E38B35%2E4D4702B0C3E38B35&__acm__=1551956786_498c1d8a91119823791ab3696e5fdd9e
Related URLs:https://pasc17.pasc-conference.org/ (Publisher)
Other Identification Number:merlin-id:15110

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