Probabilistic Numerics and Uncertainty in Computations

We deliver a call to arms for probabilistic numerical methods: algorithms for numerical tasks, including linear algebra, integration, optimization and solving differential equations, that return uncertainties in their calculations. Such uncertainties, arising from the loss of precision induced by numerical calculation with limited time or hardware, are important for much contemporary science and industry. Within applications such as climate science and astrophysics, the need to make decisions on the basis of computations with large and complex data has led to a renewed focus on the management of numerical uncertainty. We describe how several seminal classic numerical methods can be interpreted naturally as probabilistic inference. We then show that the probabilistic view suggests new algorithms that can flexibly be adapted to suit application specifics, while delivering improved empirical performance. We provide concrete illustrations of the benefits of probabilistic numeric algorithms on real scientific problems from astrometry and astronomical imaging, while highlighting open problems with these new algorithms. Finally, we describe how probabilistic numerical methods provide a coherent framework for identifying the uncertainty in calculations performed with a combination of numerical algorithms (e.g. both numerical optimisers and differential equation solvers), potentially allowing the diagnosis (and control) of error sources in computations.Comment: Author Generated Postprint. 17 pages, 4 Figures, 1 Tabl

Accelerating moderately stiff chemical kinetics in reactive-flow simulations using GPUs

The chemical kinetics ODEs arising from operator-split reactive-flow simulations were solved on GPUs using explicit integration algorithms. Nonstiff chemical kinetics of a hydrogen oxidation mechanism (9 species and 38 irreversible reactions) were computed using the explicit fifth-order Runge-Kutta-Cash-Karp method, and the GPU-accelerated version performed faster than single- and six-core CPU versions by factors of 126 and 25, respectively, for 524,288 ODEs. Moderately stiff kinetics, represented with mechanisms for hydrogen/carbon-monoxide (13 species and 54 irreversible reactions) and methane (53 species and 634 irreversible reactions) oxidation, were computed using the stabilized explicit second-order Runge-Kutta-Chebyshev (RKC) algorithm. The GPU-based RKC implementation demonstrated an increase in performance of nearly 59 and 10 times, for problem sizes consisting of 262,144 ODEs and larger, than the single- and six-core CPU-based RKC algorithms using the hydrogen/carbon-monoxide mechanism. With the methane mechanism, RKC-GPU performed more than 65 and 11 times faster, for problem sizes consisting of 131,072 ODEs and larger, than the single- and six-core RKC-CPU versions, and up to 57 times faster than the six-core CPU-based implicit VODE algorithm on 65,536 ODEs. In the presence of more severe stiffness, such as ethylene oxidation (111 species and 1566 irreversible reactions), RKC-GPU performed more than 17 times faster than RKC-CPU on six cores for 32,768 ODEs and larger, and at best 4.5 times faster than VODE on six CPU cores for 65,536 ODEs. With a larger time step size, RKC-GPU performed at best 2.5 times slower than six-core VODE for 8192 ODEs and larger. Therefore, the need for developing new strategies for integrating stiff chemistry on GPUs was discussed.Comment: 27 pages, LaTeX; corrected typos in Appendix equations A.10 and A.1

A parallel nearly implicit time-stepping scheme

Across-the-space parallelism still remains the most mature, convenient and natural way to parallelize large scale problems. One of the major problems here is that implicit time stepping is often difficult to parallelize due to the structure of the system. Approximate implicit schemes have been suggested to circumvent the problem. These schemes have attractive stability properties and they are also very well parallelizable.\ud The purpose of this article is to give an overall assessment of the parallelism of the method

DPM-Solver-v3: Improved Diffusion ODE Solver with Empirical Model Statistics

Diffusion probabilistic models (DPMs) have exhibited excellent performance for high-fidelity image generation while suffering from inefficient sampling. Recent works accelerate the sampling procedure by proposing fast ODE solvers that leverage the specific ODE form of DPMs. However, they highly rely on specific parameterization during inference (such as noise/data prediction), which might not be the optimal choice. In this work, we propose a novel formulation towards the optimal parameterization during sampling that minimizes the first-order discretization error of the ODE solution. Based on such formulation, we propose DPM-Solver-v3, a new fast ODE solver for DPMs by introducing several coefficients efficiently computed on the pretrained model, which we call empirical model statistics. We further incorporate multistep methods and a predictor-corrector framework, and propose some techniques for improving sample quality at small numbers of function evaluations (NFE) or large guidance scales. Experiments show that DPM-Solver-v3 achieves consistently better or comparable performance in both unconditional and conditional sampling with both pixel-space and latent-space DPMs, especially in 5$\sim$10 NFEs. We achieve FIDs of 12.21 (5 NFE), 2.51 (10 NFE) on unconditional CIFAR10, and MSE of 0.55 (5 NFE, 7.5 guidance scale) on Stable Diffusion, bringing a speed-up of 15%$\sim$30% compared to previous state-of-the-art training-free methods. Code is available at https://github.com/thu-ml/DPM-Solver-v3.Comment: Accepted at NeurIPS 202