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

The LifeV library: engineering mathematics beyond the proof of concept

LifeV is a library for the finite element (FE) solution of partial differential equations in one, two, and three dimensions. It is written in C++ and designed to run on diverse parallel architectures, including cloud and high performance computing facilities. In spite of its academic research nature, meaning a library for the development and testing of new methods, one distinguishing feature of LifeV is its use on real world problems and it is intended to provide a tool for many engineering applications. It has been actually used in computational hemodynamics, including cardiac mechanics and fluid-structure interaction problems, in porous media, ice sheets dynamics for both forward and inverse problems. In this paper we give a short overview of the features of LifeV and its coding paradigms on simple problems. The main focus is on the parallel environment which is mainly driven by domain decomposition methods and based on external libraries such as MPI, the Trilinos project, HDF5 and ParMetis. Dedicated to the memory of Fausto Saleri.Comment: Review of the LifeV Finite Element librar

A bibliography on parallel and vector numerical algorithms

This is a bibliography of numerical methods. It also includes a number of other references on machine architecture, programming language, and other topics of interest to scientific computing. Certain conference proceedings and anthologies which have been published in book form are listed also

Analysis of a parallelized nonlinear elliptic boundary value problem solver with application to reacting flows

A parallelized finite difference code based on the Newton method for systems of nonlinear elliptic boundary value problems in two dimensions is analyzed in terms of computational complexity and parallel efficiency. An approximate cost function depending on 15 dimensionless parameters is derived for algorithms based on stripwise and boxwise decompositions of the domain and a one-to-one assignment of the strip or box subdomains to processors. The sensitivity of the cost functions to the parameters is explored in regions of parameter space corresponding to model small-order systems with inexpensive function evaluations and also a coupled system of nineteen equations with very expensive function evaluations. The algorithm was implemented on the Intel Hypercube, and some experimental results for the model problems with stripwise decompositions are presented and compared with the theory. In the context of computational combustion problems, multiprocessors of either message-passing or shared-memory type may be employed with stripwise decompositions to realize speedup of O(n), where n is mesh resolution in one direction, for reasonable n

Algorithms and data structures for adaptive multigrid elliptic solvers

Adaptive refinement and the complicated data structures required to support it are discussed. These data structures must be carefully tuned, especially in three dimensions where the time and storage requirements of algorithms are crucial. Another major issue is grid generation. The options available seem to be curvilinear fitted grids, constructed on iterative graphics systems, and unfitted Cartesian grids, which can be constructed automatically. On several grounds, including storage requirements, the second option seems preferrable for the well behaved scalar elliptic problems considered here. A variety of techniques for treatment of boundary conditions on such grids are reviewed. A new approach, which may overcome some of the difficulties encountered with previous approaches, is also presented

Domain decomposition methods for the parallel computation of reacting flows

Domain decomposition is a natural route to parallel computing for partial differential equation solvers. Subdomains of which the original domain of definition is comprised are assigned to independent processors at the price of periodic coordination between processors to compute global parameters and maintain the requisite degree of continuity of the solution at the subdomain interfaces. In the domain-decomposed solution of steady multidimensional systems of PDEs by finite difference methods using a pseudo-transient version of Newton iteration, the only portion of the computation which generally stands in the way of efficient parallelization is the solution of the large, sparse linear systems arising at each Newton step. For some Jacobian matrices drawn from an actual two-dimensional reacting flow problem, comparisons are made between relaxation-based linear solvers and also preconditioned iterative methods of Conjugate Gradient and Chebyshev type, focusing attention on both iteration count and global inner product count. The generalized minimum residual method with block-ILU preconditioning is judged the best serial method among those considered, and parallel numerical experiments on the Encore Multimax demonstrate for it approximately 10-fold speedup on 16 processors

Nonoverlapping domain decomposition preconditioners for discontinuous Galerkin approximations of Hamilton--Jacobi--Bellman equations

We analyse a class of nonoverlapping domain decomposition preconditioners for nonsymmetric linear systems arising from discontinuous Galerkin finite element approximation of fully nonlinear Hamilton--Jacobi--Bellman (HJB) partial differential equations. These nonsymmetric linear systems are uniformly bounded and coercive with respect to a related symmetric bilinear form, that is associated to a matrix $\mathbf{A}$. In this work, we construct a nonoverlapping domain decomposition preconditioner $\mathbf{P}$, that is based on $\mathbf{A}$, and we then show that the effectiveness of the preconditioner for solving the} nonsymmetric problems can be studied in terms of the condition number $\kappa(\mathbf{P}^{-1}\mathbf{A})$. In particular, we establish the bound $\kappa(\mathbf{P}^{-1}\mathbf{A}) \lesssim 1+ p^6 H^3 /q^3 h^3$, where $H$ and $h$ are respectively the coarse and fine mesh sizes, and $q$ and $p$ are respectively the coarse and fine mesh polynomial degrees. This represents the first such result for this class of methods that explicitly accounts for the dependence of the condition number on $q$; our analysis is founded upon an original optimal order approximation result between fine and coarse discontinuous finite element spaces. Numerical experiments demonstrate the sharpness of this bound. Although the preconditioners are not robust with respect to the polynomial degree, our bounds quantify the effect of the coarse and fine space polynomial degrees. Furthermore, we show computationally that these methods are effective in practical applications to nonsymmetric, fully nonlinear HJB equations under $h$-refinement for moderate polynomial degrees