A stochastic method for solving time-fractional differential equations

DOI10.1016/J.CAMWA.2024.02.020MaRDI QIDQ6202618zbMATH OpenFDO

Authors

Publication date 26 March 2024

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

Full work available at URL https://arxiv.org/abs/2303.15458

zbMATH Keywords

Mittag-Leffler functionMonte Carlo methodparallel algorithmsanomalous diffusionhigh performance computingmatrix functionstime-fractional differential equations

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Numerical analysis (65-XX)

Abstract: We present a stochastic method for efficiently computing the solution of time-fractional partial differential equations (fPDEs) that model anomalous diffusion problems of the subdiffusive type. After discretizing the fPDE in space, the ensuing system of fractional linear equations is solved resorting to a Monte Carlo evaluation of the corresponding Mittag-Leffler matrix function. This is accomplished through the approximation of the expected value of a suitable multiplicative functional of a stochastic process, which consists of a Markov chain whose sojourn times in every state are Mittag-Leffler distributed. The resulting algorithm is able to calculate the solution at conveniently chosen points in the domain with high efficiency. In addition, we present how to generalize this algorithm in order to compute the complete solution. For several large-scale numerical problems, our method showed remarkable performance in both shared-memory and distributed-memory systems, achieving nearly perfect scalability up to 16,384 CPU cores.

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Cited in

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• A Fast Monte Carlo Algorithm for Evaluating Matrix Functions with Application in Complex Networks

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