A hybrid parareal Monte Carlo algorithm for parabolic problems
Résumé
In this work, we propose a hybrid Monte Carlo/deterministic “parareal-in-
time” approach devoted to accelerating Monte Carlo simulations over massively
parallel computing environments for the simulation of time-dependent problems.
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 high-fidelity Monte Carlo resolution.
In a set of benchmark numerical experiments based on a toy model con-
cerning 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 conver-
gence properties of the proposed Monte Carlo/deterministic parareal strategy
are also discussed.
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