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 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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