A bibliography on parallel and vector numerical algorithms

This is a bibliography of numerical methods. It also includes a number of other references on machine architecture, programming language, and other topics of interest to scientific computing. Certain conference proceedings and anthologies which have been published in book form are listed also

Efficient hierarchical approximation of high-dimensional option pricing problems

A major challenge in computational finance is the pricing of options that depend on a large number of risk factors. Prominent examples are basket or index options where dozens or even hundreds of stocks constitute the underlying asset and determine the dimensionality of the corresponding degenerate parabolic equation. The objective of this article is to show how an efficient discretisation can be achieved by hierarchical approximation as well as asymptotic expansions of the underlying continuous problem. The relation to a number of state-of-the-art methods is highlighted

Solution of partial differential equations on vector and parallel computers

The present status of numerical methods for partial differential equations on vector and parallel computers was reviewed. The relevant aspects of these computers are discussed and a brief review of their development is included, with particular attention paid to those characteristics that influence algorithm selection. Both direct and iterative methods are given for elliptic equations as well as explicit and implicit methods for initial boundary value problems. The intent is to point out attractive methods as well as areas where this class of computer architecture cannot be fully utilized because of either hardware restrictions or the lack of adequate algorithms. Application areas utilizing these computers are briefly discussed

Doctor of Philosophy

dissertationRadiation is the dominant mode of heat transfer in high temperature combustion environments. Radiative heat transfer affects the gas and particle phases, including all the associated combustion chemistry. The radiative properties are in turn affected by the turbulent flow field. This bi-directional coupling of radiation turbulence interactions poses a major challenge in creating parallel-capable, high-fidelity combustion simulations. In this work, a new model was developed in which reciprocal monte carlo radiation was coupled with a turbulent, large-eddy simulation combustion model. A technique wherein domain patches are stitched together was implemented to allow for scalable parallelism. The combustion model runs in parallel on a decomposed domain. The radiation model runs in parallel on a recomposed domain. The recomposed domain is stored on each processor after information sharing of the decomposed domain is handled via the message passing interface. Verification and validation testing of the new radiation model were favorable. Strong scaling analyses were performed on the Ember cluster and the Titan cluster for the CPU-radiation model and GPU-radiation model, respectively. The model demonstrated strong scaling to over 1,700 and 16,000 processing cores on Ember and Titan, respectively

Uncertainty Quantification by MLMC and Local Time-stepping For Wave Propagation

Because of their robustness, efficiency and non-intrusiveness, Monte Carlo methods are probably the most popular approach in uncertainty quantification to computing expected values of quantities of interest (QoIs). Multilevel Monte Carlo (MLMC) methods significantly reduce the computational cost by distributing the sampling across a hierarchy of discretizations and allocating most samples to the coarser grids. For time dependent problems, spatial coarsening typically entails an increased time-step. Geometric constraints, however, may impede uniform coarsening thereby forcing some elements to remain small across all levels. If explicit time-stepping is used, the time-step will then be dictated by the smallest element on each level for numerical stability. Hence, the increasingly stringent CFL condition on the time-step on coarser levels significantly reduces the advantages of the multilevel approach. By adapting the time-step to the locally refined elements on each level, local time-stepping (LTS) methods permit to restore the efficiency of MLMC methods even in the presence of complex geometry without sacrificing the explicitness and inherent parallelism

Probabilistic structural mechanics research for parallel processing computers

Aerospace structures and spacecraft are a complex assemblage of structural components that are subjected to a variety of complex, cyclic, and transient loading conditions. Significant modeling uncertainties are present in these structures, in addition to the inherent randomness of material properties and loads. To properly account for these uncertainties in evaluating and assessing the reliability of these components and structures, probabilistic structural mechanics (PSM) procedures must be used. Much research has focused on basic theory development and the development of approximate analytic solution methods in random vibrations and structural reliability. Practical application of PSM methods was hampered by their computationally intense nature. Solution of PSM problems requires repeated analyses of structures that are often large, and exhibit nonlinear and/or dynamic response behavior. These methods are all inherently parallel and ideally suited to implementation on parallel processing computers. New hardware architectures and innovative control software and solution methodologies are needed to make solution of large scale PSM problems practical

Probabilistic finite elements for fatigue and fracture analysis

An overview of the probabilistic finite element method (PFEM) developed by the authors and their colleagues in recent years is presented. The primary focus is placed on the development of PFEM for both structural mechanics problems and fracture mechanics problems. The perturbation techniques are used as major tools for the analytical derivation. The following topics are covered: (1) representation and discretization of random fields; (2) development of PFEM for the general linear transient problem and nonlinear elasticity using Hu-Washizu variational principle; (3) computational aspects; (4) discussions of the application of PFEM to the reliability analysis of both brittle fracture and fatigue; and (5) a stochastic computational tool based on stochastic boundary element (SBEM). Results are obtained for the reliability index and corresponding probability of failure for: (1) fatigue crack growth; (2) defect geometry; (3) fatigue parameters; and (4) applied loads. These results show that initial defect is a critical parameter

Parallel Tempering Simulation of the three-dimensional Edwards-Anderson Model with Compact Asynchronous Multispin Coding on GPU

Monte Carlo simulations of the Ising model play an important role in the field of computational statistical physics, and they have revealed many properties of the model over the past few decades. However, the effect of frustration due to random disorder, in particular the possible spin glass phase, remains a crucial but poorly understood problem. One of the obstacles in the Monte Carlo simulation of random frustrated systems is their long relaxation time making an efficient parallel implementation on state-of-the-art computation platforms highly desirable. The Graphics Processing Unit (GPU) is such a platform that provides an opportunity to significantly enhance the computational performance and thus gain new insight into this problem. In this paper, we present optimization and tuning approaches for the CUDA implementation of the spin glass simulation on GPUs. We discuss the integration of various design alternatives, such as GPU kernel construction with minimal communication, memory tiling, and look-up tables. We present a binary data format, Compact Asynchronous Multispin Coding (CAMSC), which provides an additional $28.4\%$ speedup compared with the traditionally used Asynchronous Multispin Coding (AMSC). Our overall design sustains a performance of 33.5 picoseconds per spin flip attempt for simulating the three-dimensional Edwards-Anderson model with parallel tempering, which significantly improves the performance over existing GPU implementations.Comment: 15 pages, 18 figure

Error analysis of truncated expansion solutions to high-dimensional parabolic PDEs

We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and which is particularly effective if there are a low number of dominant principal components. The focus of the present article is the derivation of sharp error bounds for the constant coefficient case and a first and second order approximation. We give a precise characterisation when these bounds hold for (non-smooth) option pricing applications and provide numerical results demonstrating that the practically observed convergence speed is in agreement with the theoretical predictions