Task-based adaptive multiresolution for time-space multi-scale reaction-diffusion systems on multi-core architectures

A new solver featuring time-space adaptation and error control has been recently introduced to tackle the numerical solution of stiff reaction-diffusion systems. Based on operator splitting, finite volume adaptive multiresolution and high order time integrators with specific stability properties for each operator, this strategy yields high computational efficiency for large multidimensional computations on standard architectures such as powerful workstations. However, the data structure of the original implementation, based on trees of pointers, provides limited opportunities for efficiency enhancements, while posing serious challenges in terms of parallel programming and load balancing. The present contribution proposes a new implementation of the whole set of numerical methods including Radau5 and ROCK4, relying on a fully different data structure together with the use of a specific library, TBB, for shared-memory, task-based parallelism with work-stealing. The performance of our implementation is assessed in a series of test-cases of increasing difficulty in two and three dimensions on multi-core and many-core architectures, demonstrating high scalability

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

Achieving Extreme Resolution in Numerical Cosmology Using Adaptive Mesh Refinement: Resolving Primordial Star Formation

As an entry for the 2001 Gordon Bell Award in the "special" category, we describe our 3-d, hybrid, adaptive mesh refinement (AMR) code, Enzo, designed for high-resolution, multiphysics, cosmological structure formation simulations. Our parallel implementation places no limit on the depth or complexity of the adaptive grid hierarchy, allowing us to achieve unprecedented spatial and temporal dynamic range. We report on a simulation of primordial star formation which develops over 8000 subgrids at 34 levels of refinement to achieve a local refinement of a factor of 10^12 in space and time. This allows us to resolve the properties of the first stars which form in the universe assuming standard physics and a standard cosmological model. Achieving extreme resolution requires the use of 128-bit extended precision arithmetic (EPA) to accurately specify the subgrid positions. We describe our EPA AMR implementation on the IBM SP2 Blue Horizon system at the San Diego Supercomputer Center.Comment: 23 pages, 5 figures. Peer reviewed technical paper accepted to the proceedings of Supercomputing 2001. This entry was a Gordon Bell Prize finalist. For more information visit http://www.TomAbel.com/GB

On the fundamental resonant mode of inhomogeneous soil deposits

The problem of estimating seismic ground deformation is central to state-of-practice procedures of designing and maintaining infrastructure in earthquake-prone areas. Particularly, the problem of estimating the displacement field in a soft shallow layer overlying rigid bedrock induced by simple shear wave excitation has been favored by engineers due to its simplicity combined with inherent relevance for practical scenarios. We here derive analytical estimates for both the fundamental frequency and the amplitude of the first resonant mode of such systems by applying an intuitive argument based on resonance of single-degree-of-freedom systems. Our estimates do not presuppose a continuous velocity distribution, and can be used for fast assessment of site response in seismic hazard assessment and engineering design. On the basis of the said estimates of fundamental frequency and amplitude, we next propose a novel definition of “equivalent homogeneous shear modulus” of the inhomogeneous deposit, and we show that the response of the fundamental mode is controlled primarily by the properties of the layers contiguous to the bedrock. We finally discuss the validity of our argument, and evaluate the accuracy of our results by comparison with analytical and numerical solutions