A hybrid parareal Monte Carlo algorithm for parabolic problems * - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2021

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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Dates et versions

hal-03143554 , version 1 (16-02-2021)
hal-03143554 , version 2 (11-03-2021)
hal-03143554 , version 3 (23-06-2022)
hal-03143554 , version 4 (24-09-2022)
hal-03143554 , version 5 (11-10-2022)

Identifiants

  • HAL Id : hal-03143554 , version 2

Citer

Jad Dabaghi, Yvon Maday, Andrea Zoia. A hybrid parareal Monte Carlo algorithm for parabolic problems *. 2021. ⟨hal-03143554v2⟩
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