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

A new approach to improve ill-conditioned parabolic optimal control problem via time domain decomposition

In this paper we present a new steepest-descent type algorithm for convex optimization problems. Our algorithm pieces the unknown into sub-blocs of unknowns and considers a partial optimization over each sub-bloc. In quadratic optimization, our method involves Newton technique to compute the step-lengths for the sub-blocs resulting descent directions. Our optimization method is fully parallel and easily implementable, we first presents it in a general linear algebra setting, then we highlight its applicability to a parabolic optimal control problem, where we consider the blocs of unknowns with respect to the time dependency of the control variable. The parallel tasks, in the last problem, turn "on" the control during a specific time-window and turn it "off" elsewhere. We show that our algorithm significantly improves the computational time compared with recognized methods. Convergence analysis of the new optimal control algorithm is provided for an arbitrary choice of partition. Numerical experiments are presented to illustrate the efficiency and the rapid convergence of the method.Comment: 28 page

Parareal in time 3D numerical solver for the LWR Benchmark neutron diffusion transient model

We present a parareal in time algorithm for the simulation of neutron diffusion transient model. The method is made efficient by means of a coarse solver defined with large time steps and steady control rods model. Using finite element for the space discretization, our implementation provides a good scalability of the algorithm. Numerical results show the efficiency of the parareal method on large light water reactor transient model corresponding to the Langenbuch-Maurer-Werner (LMW) benchmark [1]

New time domain decomposition methods for parabolic control problems I: Dirichlet-Neumann and Neumann-Dirichlet algorithms

We present new Dirichlet-Neumann and Neumann-Dirichlet algorithms with a time domain decomposition applied to unconstrained parabolic optimal control problems. After a spatial semi-discretization, we use the Lagrange multiplier approach to derive a coupled forward-backward optimality system, which can then be solved using a time domain decomposition. Due to the forward-backward structure of the optimality system, three variants can be found for the Dirichlet-Neumann and Neumann-Dirichlet algorithms. We analyze their convergence behavior and determine the optimal relaxation parameter for each algorithm. Our analysis reveals that the most natural algorithms are actually only good smoothers, and there are better choices which lead to efficient solvers. We illustrate our analysis with numerical experiments

Mini-Workshop: Adaptive Methods for Control Problems Constrained by Time-Dependent PDEs

Optimization problems constrained by time-dependent PDEs (Partial Differential Equations) are challenging from a computational point of view: even in the simplest case, one needs to solve a system of PDEs coupled globally in time and space for the unknown solutions (the state, the costate and the control of the system). Typical and practically relevant examples are the control of nonlinear heat equations as they appear in laser hardening or the thermic control of flow problems (Boussinesq equations). Specifically for PDEs with a long time horizon, conventional time-stepping methods require an enormous storage of the respective other variables. In contrast, adaptive methods aim at distributing the available degrees of freedom in an a-posteriori-fashion to capture singularities and are, therefore, most promising

Multiscale differential Riccati equations for linear quadratic regulator problems

We consider approximations to the solutions of differential Riccati equations in the context of linear quadratic regulator problems, where the state equation is governed by a multiscale operator. Similarly to elliptic and parabolic problems, standard finite element discretizations perform poorly in this setting unless the grid resolves the fine-scale features of the problem. This results in unfeasible amounts of computation and high memory requirements. In this paper, we demonstrate how the localized orthogonal decomposition method may be used to acquire accurate results also for coarse discretizations, at the low cost of solving a series of small, localized elliptic problems. We prove second-order convergence (except for a logarithmic factor) in the $L^2$ operator norm, and first-order convergence in the corresponding energy norm. These results are both independent of the multiscale variations in the state equation. In addition, we provide a detailed derivation of the fully discrete matrix-valued equations, and show how they can be handled in a low-rank setting for large-scale computations. In connection to this, we also show how to efficiently compute the relevant operator-norm errors. Finally, our theoretical results are validated by several numerical experiments.Comment: Accepted for publication in SIAM J. Sci. Comput. This version differs from the previous one only by the addition of Remark 7.2 and minor changes in formatting. 21 pages, 12 figure

The PDD method for solving linear, nonlinear, and fractional PDEs problems

We review the Probabilistic Domain Decomposition (PDD) method for the numerical solution of linear and nonlinear Partial Differential Equation (PDE) problems. This Domain Decomposition (DD) method is based on a suitable probabilistic representation of the solution given in the form of an expectation which, in turns, involves the solution of a Stochastic Differential Equation (SDE). While the structure of the SDE depends only upon the corresponding PDE, the expectation also depends upon the boundary data of the problem. The method consists of three stages: (i) only few values of the sought solution are solved by Monte Carlo or Quasi-Monte Carlo at some interfaces; (ii) a continuous approximation of the solution over these interfaces is obtained via interpolation; and (iii) prescribing the previous (partial) solutions as additional Dirichlet boundary conditions, a fully decoupled set of sub-problems is finally solved in parallel. For linear parabolic problems, this is based on the celebrated Feynman-Kac formula, while for semilinear parabolic equations requires a suitable generalization based on branching diffusion processes. In case of semilinear transport equations and the Vlasov-Poisson system, a generalization of the probabilistic representation was also obtained in terms of the Method of Characteristics (characteristic curves). Finally, we present the latest progress towards the extension of the PDD method for nonlocal fractional operators. The algorithm notably improves the scalability of classical algorithms and is suited to massively parallel implementation, enjoying arbitrary scalability and fault tolerance properties. Numerical examples conducted in 1D and 2D, including some for the KPP equation and Plasma Physics, are given.info:eu-repo/semantics/acceptedVersio