Hybrid PDE solver for data-driven problems and modern branching

DOI10.1017/S0956792517000109MaRDI QIDQ3133609zbMATH OpenOpenAlexFDO

Authors Francisco Bernal, Gonçalo dos Reis, Greig Smith

Publication date 5 February 2018

Published in European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.03666

zbMATH Keywords

Monte Carlo methodsprobabilistic domain decompositionhigh-performance parallel computinghybrid nonlinear PDE solversmarked branching diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations about the parallelization and scalability of realistic problems are often critical enough to warrant acknowledgement in the modelling phase. The purpose of this paper is to spread awareness of the Probabilistic Domain Decomposition (PDD) method, a fresh approach to the parallelization of PDEs with excellent scalability properties. The idea exploits the stochastic representation of the PDE and its approximation via Monte Carlo in combination with deterministic high-performance PDE solvers. We describe the ingredients of PDD and its applicability in the scope of data science. In particular, we highlight recent advances in stochastic representations for nonlinear PDEs using branching diffusions, which have significantly broadened the scope of PDD. We envision this work as a dictionary giving large-scale PDE practitioners references on the very latest algorithms and techniques of a non-standard, yet highly parallelizable, methodology at the interface of deterministic and probabilistic numerical methods. We close this work with an invitation to the fully nonlinear case and open research questions.

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Cited in

(5)

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• An unbiased Itô type stochastic representation for transport PDEs: a toy example
• A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
• Introduction: Big data and partial differential equations
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