A multigrid-like algorithm for probabilistic domain decomposition

DOI10.1016/j.camwa.2016.07.030zbMath1361.65094arXiv1512.02818OpenAlexW2962831939MaRDI QIDQ521522

Juan A. Acebrón, Francisco Bernal

Publication date: 11 April 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.02818

zbMATH Keywords

algorithmstabilitynumerical exampleparallel computationscalabilityvariance reductionFeynman-Kac formulahigh-performance supercomputingMonte Carlo errorprobabilistic domain decomposition

Mathematics Subject Classification ID

Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Error bounds for boundary value problems involving PDEs (65N15) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Parallel numerical computation (65Y05)

Related Items

A hybrid probabilistic domain decomposition algorithm suited for very large-scale elliptic PDEs, An implementation of Milstein's method for general bounded diffusions, Hybrid PDE solver for data-driven problems and modern branching

Uses Software

• Matlab

Cites Work

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