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Type Conference or Workshop Paper
Scope Discipline-based scholarship
Published in Proceedings Yes
Title Parallelized Dimensional Decomposition for Large-Scale Dynamic Stochastic Economic Models
Organization Unit
Authors
  • Aryan Eftekhari
  • Simon Scheidegger
  • Olaf Schenk
Presentation Type paper
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
ISBN 978-1-4503-5062-4
Page Range 1 - 11
Event Title The PASC17 Conference
Event Type conference
Event Location Lugano, Switzerland
Event Start Date July 26 - 2017
Event End Date July 28 - 2017
Series Name Proceedings of the Platform for Advanced Scientific Computing Conference
Place of Publication New York, USA
Publisher ACM Press
Abstract Text 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.
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
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Digital Object Identifier 10.1145/3093172.3093234
Other Identification Number merlin-id:15110
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