Econometrics on GPUs
Creel, Michael (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica)
Mandal, Sonik (Old Dominion University)
Zubair, Mohammad (Old Dominion University)
Universitat Autònoma de Barcelona. Unitat de Fonaments de l'Anàlisi Econòmica
Institut d'Anàlisi Econòmica

Date:	2012
Description:	16 p.
Abstract:	A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing is the practice of using a GPU device for scientific or general purpose computations that are not necessarily related to the display of images. Many problems in econometrics have a structure that allows for successful use of GPU computing. We explore two examples. The first is simple: repeated evaluation of a likelihood function at different parameter values. The second is a more complicated estimator that involves simulation and nonparametric fitting. We find speedups from 1. 5 up to 55. 4 times, compared to computations done on a single CPU core. These speedups can be obtained with very little expense, energy consumption, and time dedicated to system maintenance, compared to equivalent performance solutions using CPUs. Code for the examples is provided.
Rights:	Tots els drets reservats.
Language:	Anglès
Series:	Departament d'Economia i d'Història Econòmica. Unitat de Fonaments de l'Anàlisi Econòmica / Institut d'Anàlisi Econòmica (CSIC). Working papers
Series:	Working papers ; 921.12
Document:	Working paper
Subject:	Econometria ; Decisió estadística bayesiana, Teoria de la ; Simulació, Mètodes de

16 p, 232.5 KB

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Research literature > Working papers > Fundamentals Unit of the Economic Analysis. Working papers