10 research outputs found
Hybrid PDE solver for data-driven problems and modern branching
The numerical solution of large-scale PDEs, such as those occurring in
data-driven applications, unavoidably require powerful parallel computers and
tailored parallel algorithms to make the best possible use of them. In fact,
considerations about the parallelization and scalability of realistic problems
are often critical enough to warrant acknowledgement in the modelling phase.
The purpose of this paper is to spread awareness of the Probabilistic Domain
Decomposition (PDD) method, a fresh approach to the parallelization of PDEs
with excellent scalability properties. The idea exploits the stochastic
representation of the PDE and its approximation via Monte Carlo in combination
with deterministic high-performance PDE solvers. We describe the ingredients of
PDD and its applicability in the scope of data science. In particular, we
highlight recent advances in stochastic representations for nonlinear PDEs
using branching diffusions, which have significantly broadened the scope of
PDD.
We envision this work as a dictionary giving large-scale PDE practitioners
references on the very latest algorithms and techniques of a non-standard, yet
highly parallelizable, methodology at the interface of deterministic and
probabilistic numerical methods. We close this work with an invitation to the
fully nonlinear case and open research questions.Comment: 23 pages, 7 figures; Final SMUR version; To appear in the European
Journal of Applied Mathematics (EJAM
Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity
This paper proposes a new multilevel Monte Carlo (MLMC) method for the
ergodic SDEs which do not satisfy the contractivity condition. By introducing
the change of measure technique, we simulate the path with contractivity and
add the Radon-Nykodim derivative to the estimator. We can show the strong error
of the path is uniformly bounded with respect to Moreover, the variance of
the new level estimators increase linearly in which is a great reduction
compared with the exponential increase in standard MLMC. Then the total
computational cost is reduced to
from of the standard Monte Carlo
method. Numerical experiments support our analysis.Comment: 39 pages, 7 figure
Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
This paper proposes and analyses a new multilevel Monte Carlo method for the estimation of mean exit times for multi-dimensional Brownian diffusions, and associated functionals which correspond to solutions to high dimensional parabolic PDEs through the Feynman-Kac formula. In particular, it is proved that the complexity to achieve an ε root-mean-square error is O (ε−2 |log ε|3)
Multilevel estimation of expected exit times and other functionals of stopped diffusions
See README file within datase
Multilevel estimation of expected exit times and other functionals of stopped diffusions
This paper proposes and analyzes a new multilevel Monte Carlo method for the estimation of mean exit times for multidimensional Brownian diffusions and associated functionals which correspond to solutions to high-dimensional parabolic PDEs through the Feynman–Kac formula. In particular, it is proved that the complexity to achieve an ε root-mean-square error is O(ε −2 |log ε| 3 )
Multilevel estimation of expected exit times and other functionals of stopped diffusions
This paper proposes and analyzes a new multilevel Monte Carlo method for the estimation of mean
exit times for multidimensional Brownian diffusions and associated functionals which correspond to
solutions to high-dimensional parabolic PDEs through the Feynman–Kac formula. In particular, it
is proved that the complexity to achieve an ε root-mean-square error is O(ε
−2
|log ε|
3
)
Multilevel estimation of expected exit times and other functionals of stopped diffusions
See README file within datase