| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18714 |
| 来源ID | Working Paper 18714 |
| Solving Dynamic Programming Problems on a Computational Grid | |
| Yongyang Cai; Kenneth L. Judd; Greg Thain; Stephen J. Wright | |
| 发表日期 | 2013-01-17 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is implemented using the Master-Worker library running on the HTCondor grid computing platform. We implement value function iteration for several large dynamic programming problems of two kinds: optimal growth problems and dynamic portfolio problems. We present examples that solve in hours on HTCondor but would take weeks if executed on a single workstation. The use of HTCondor can increase a researcher's computational productivity by at least two orders of magnitude. |
| 主题 | Microeconomics ; Mathematical Tools ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18714 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576388 |
| 推荐引用方式 GB/T 7714 | Yongyang Cai,Kenneth L. Judd,Greg Thain,et al. Solving Dynamic Programming Problems on a Computational Grid. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18714.pdf（312KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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