Parallelized Dimensional Decomposition for Large-Scale Dynamic Stochastic Economic Models

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… (More)
DOI: 10.1145/3093172.3093234

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Cite this paper

@inproceedings{Eftekhari2017ParallelizedDD, title={Parallelized Dimensional Decomposition for Large-Scale Dynamic Stochastic Economic Models}, author={Aryan Eftekhari and Simon Scheidegger and Olaf Schenk}, booktitle={PASC '17}, year={2017} }