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

A multigrid platform for real-time motion computation with discontinuity-preserving variational methods

Variational methods are among the most accurate techniques for estimating the optic flow. They yield dense flow fields and can be designed such that they preserve discontinuities, allow to deal with large displacements and perform well under noise or varying illumination. However, such adaptations render the minimisation of the underlying energy functional very expensive in terms of computational costs: Typically, one or more large linear or nonlinear systems of equations have to be solved in order to obtain the desired solution. Consequently, variational methods are considered to be too slow for real-time performance. In our paper we address this problem in two ways: (i) We present a numerical framework based on bidirectional multigrid methods for accelerating a broad class of variational optic flow methods with different constancy and smoothness assumptions. In particular, discontinuity-preserving regularisation strategies are thereby in the focus of our work. (ii) We show by the examples of classical as well as more advanced variational techniques that real-time performance is possible - even for very complex optic flow models with high accuracy. Experiments show frame rates up to 63 dense flow fields per second for real-world image sequences of size 160 x 120 on a standard PC. Compared to classical iterative methods this constitutes a speedup of two to four orders of magnitude

Adaptive control in rollforward recovery for extreme scale multigrid

With the increasing number of compute components, failures in future exa-scale computer systems are expected to become more frequent. This motivates the study of novel resilience techniques. Here, we extend a recently proposed algorithm-based recovery method for multigrid iterations by introducing an adaptive control. After a fault, the healthy part of the system continues the iterative solution process, while the solution in the faulty domain is re-constructed by an asynchronous on-line recovery. The computations in both the faulty and healthy subdomains must be coordinated in a sensitive way, in particular, both under and over-solving must be avoided. Both of these waste computational resources and will therefore increase the overall time-to-solution. To control the local recovery and guarantee an optimal re-coupling, we introduce a stopping criterion based on a mathematical error estimator. It involves hierarchical weighted sums of residuals within the context of uniformly refined meshes and is well-suited in the context of parallel high-performance computing. The re-coupling process is steered by local contributions of the error estimator. We propose and compare two criteria which differ in their weights. Failure scenarios when solving up to $6.9\cdot10^{11}$ unknowns on more than 245\,766 parallel processes will be reported on a state-of-the-art peta-scale supercomputer demonstrating the robustness of the method

Computing the force distribution on the surface of complex, deforming geometries using vortex methods and Brinkman penalization

The distribution of forces on the surface of complex, deforming geometries is an invaluable output of flow simulations. One particular example of such geometries involves self-propelled swimmers. Surface forces can provide significant information about the flow field sensed by the swimmers, and are difficult to obtain experimentally. At the same time, simulations of flow around complex, deforming shapes can be computationally prohibitive when body-fitted grids are used. Alternatively, such simulations may employ penalization techniques. Penalization methods rely on simple Cartesian grids to discretize the governing equations, which are enhanced by a penalty term to account for the boundary conditions. They have been shown to provide a robust estimation of mean quantities, such as drag and propulsion velocity, but the computation of surface force distribution remains a challenge. We present a method for determining flow- induced forces on the surface of both rigid and deforming bodies, in simulations using re-meshed vortex methods and Brinkman penalization. The pressure field is recovered from the velocity by solving a Poisson's equation using the Green's function approach, augmented with a fast multipole expansion and a tree- code algorithm. The viscous forces are determined by evaluating the strain-rate tensor on the surface of deforming bodies, and on a 'lifted' surface in simulations involving rigid objects. We present results for benchmark flows demonstrating that we can obtain an accurate distribution of flow-induced surface-forces. The capabilities of our method are demonstrated using simulations of self-propelled swimmers, where we obtain the pressure and shear distribution on their deforming surfaces

Self-gravitational Magnetohydrodynamics with Adaptive Mesh Refinement for Protostellar Collapse

A new numerical code, called SFUMATO, for solving self-gravitational magnetohydrodynamics (MHD) problems using adaptive mesh refinement (AMR) is presented. A block-structured grid is adopted as the grid of the AMR hierarchy. The total variation diminishing (TVD) cell-centered scheme is adopted as the MHD solver, with hyperbolic cleaning of divergence error of the magnetic field also implemented. The self-gravity is solved by a multigrid method composed of (1) full multigrid (FMG)-cycle on the AMR hierarchical grids, (2) V-cycle on these grids, and (3) FMG-cycle on the base grid. The multigrid method exhibits spatial second-order accuracy, fast convergence, and scalability. The numerical fluxes are conserved by using a refluxing procedure in both the MHD solver and the multigrid method. The several tests are performed indicating that the solutions are consistent with previously published results.Comment: 23 pages, 15 figures. PASJ in press. Document with high resolution figures is available in http://redmagic.i.hosei.ac.jp/~matsu/AMR06/matsumotoAMR.pd

Variational optic flow computation in real-time

Variational methods for optic flow computation have the reputation of producing good results at the expense of being too slow for realtime applications. We show that real-time variational computation of optic flow fields is possible when appropriate methods are combined with modern numerical techniques. We consider the CLG method, a recent variational technique that combines the quality of the dense flow fields of the Horn and Schunck approach with the noise robustness of the Lucas-Kanade method. For the linear system of equations resulting from the discretised Euler-Lagrange equations, we present different multigrid schemes in detail. We show that under realistic accuracy requirements they are up to 247 times more efficient than the widely used Gauß-Seidel algorithm. On a 3.06 GHz PC, we have computed 40 dense flow fields of size 200 x 200 pixels within a single second