A hybrid parareal Monte Carlo algorithm for parabolic problems *
Résumé
In this work, we propose a novel hybrid Monte Carlo/deterministic “parareal-in-time” approach
dedicated to further speed up to solution time of unsteady Monte Carlo simulations over massively
parallel computing environments.
This parareal approach iterates on two different solvers: a low-cost “coarse” solver based on a very
cheap deterministic Galerkin scheme and a “fine” solver based on a precise Monte Carlo resolution.
In a set of benchmark numerical experiments based on a toy model concerning the time-dependent
diffusion equation, we compare our hybrid parareal strategy with a standard full Monte Carlo solution.
In particular, we show that for a large number of processors, our hybrid strategy significantly reduces
the computational time of the simulation while preserving its accuracy. The convergence properties of
the proposed Monte Carlo/deterministic parareal strategy are also discussed.
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