From rough path estimates to multilevel Monte Carlo

New classes of stochastic differential equations can now be studied using rough path theory (e.g. Lyons et al. [LCL07] or Friz--Hairer [FH14]). In this paper we investigate, from a numerical analysis point of view, stochastic differential equations driven by Gaussian noise in the aforementioned sense. Our focus lies on numerical implementations, and more specifically on the saving possible via multilevel methods. Our analysis relies on a subtle combination of pathwise estimates, Gaussian concentration, and multilevel ideas. Numerical examples are given which both illustrate and confirm our findings.Comment: 34 page

Scaling Simulations of Reconfigurable Meshes.

This dissertation deals with reconfigurable bus-based models, a new type of parallel machine that uses dynamically alterable connections between processors to allow efficient communication and to perform fast computations. We focus this work on the Reconfigurable Mesh (R-Mesh), one of the most widely studied reconfigurable models. We study the ability of the R-Mesh to adapt an algorithm instance of an arbitrary size to run on a given smaller model size without significant loss of efficiency. A scaling simulation achieves this adaptation, and the simulation overhead expresses the efficiency of the simulation. We construct a scaling simulation for the Fusing-Restricted Reconfigurable Mesh (FR-Mesh), an important restriction of the R-Mesh. The overhead of this simulation depends only on the simulating machine size and not on the simulated machine size. The results of this scaling simulation extend to a variety of concurrent write rules and also translate to an improved scaling simulation of the R-Mesh itself. We present a bus linearization procedure that transforms an arbitrary non-linear bus configuration of an R-Mesh into an equivalent acyclic linear bus configuration implementable on an Linear Reconfigurable Mesh (LR-Mesh), a weaker version of the R-Mesh. This procedure gives the algorithm designer the liberty of using buses of arbitrary shape, while automatically translating the algorithm to run on a simpler platform. We illustrate our bus linearization method through two important applications. The first leads to a faster scaling simulation of the R-Mesh. The second application adapts algorithms designed for R-Meshes to run on models with pipelined optical buses. We also present a simulation of a Directional Reconfigurable Mesh (DR-Mesh) on an LR-Mesh. This simulation has a much better efficiency compared to previous work. In addition to the LR-Mesh, this simulation also runs on models that use pipelined optical buses

Convergence of discrete duality finite volume schemes for the cardiac bidomain model

We prove convergence of discrete duality finite volume (DDFV) schemes on distorted meshes for a class of simplified macroscopic bidomain models of the electrical activity in the heart. Both time-implicit and linearised time-implicit schemes are treated. A short description is given of the 3D DDFV meshes and of some of the associated discrete calculus tools. Several numerical tests are presented

An adaptive grid refinement strategy for the simulation of negative streamers

The evolution of negative streamers during electric breakdown of a non-attaching gas can be described by a two-fluid model for electrons and positive ions. It consists of continuity equations for the charged particles including drift, diffusion and reaction in the local electric field, coupled to the Poisson equation for the electric potential. The model generates field enhancement and steep propagating ionization fronts at the tip of growing ionized filaments. An adaptive grid refinement method for the simulation of these structures is presented. It uses finite volume spatial discretizations and explicit time stepping, which allows the decoupling of the grids for the continuity equations from those for the Poisson equation. Standard refinement methods in which the refinement criterion is based on local error monitors fail due to the pulled character of the streamer front that propagates into a linearly unstable state. We present a refinement method which deals with all these features. Tests on one-dimensional streamer fronts as well as on three-dimensional streamers with cylindrical symmetry (hence effectively 2D for numerical purposes) are carried out successfully. Results on fine grids are presented, they show that such an adaptive grid method is needed to capture the streamer characteristics well. This refinement strategy enables us to adequately compute negative streamers in pure gases in the parameter regime where a physical instability appears: branching streamers.Comment: 46 pages, 19 figures, to appear in J. Comp. Phy

A level-set method for thermal motion of bubbles and droplets

Published under licence in Journal of Physics: Conference Series by IOP Publishing Ltd. Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence. Any further distribution of this work must maintain attribution to the author(s) and the title of the work, journal citation and DOI.A conservative level-set model for direct simulation of two-phase flows with thermocapillary effects at dynamically deformable interface is presented. The Navier-Stokes equations coupled with the energy conservation equation are solved by means of a finite-volume/level-set method. Some numerical examples including thermocapillary motion of single and multiple fluid particles are computed by means of the present method. The results are compared with analytical solutions and numerical results from the literature as validations of the proposed model.Peer ReviewedPostprint (published version

Connectivity Compression for Irregular Quadrilateral Meshes

Applications that require Internet access to remote 3D datasets are often limited by the storage costs of 3D models. Several compression methods are available to address these limits for objects represented by triangle meshes. Many CAD and VRML models, however, are represented as quadrilateral meshes or mixed triangle/quadrilateral meshes, and these models may also require compression. We present an algorithm for encoding the connectivity of such quadrilateral meshes, and we demonstrate that by preserving and exploiting the original quad structure, our approach achieves encodings 30 - 80% smaller than an approach based on randomly splitting quads into triangles. We present both a code with a proven worst-case cost of 3 bits per vertex (or 2.75 bits per vertex for meshes without valence-two vertices) and entropy-coding results for typical meshes ranging from 0.3 to 0.9 bits per vertex, depending on the regularity of the mesh. Our method may be implemented by a rule for a particular splitting of quads into triangles and by using the compression and decompression algorithms introduced in [Rossignac99] and [Rossignac&Szymczak99]. We also present extensions to the algorithm to compress meshes with holes and handles and meshes containing triangles and other polygons as well as quads

On implementing dynamically reconfigurable architectures

Dynamically reconfigurable architectures have the ability to change their structure at each step of a computation. This dissertation studies various aspects of implementing dynamic reconfiguration, ranging from hardware building blocks and low-level architectures to modeling issues and high-level algorithm design. First we derive conditions under which classes of communication sets can be optimally scheduled on the circuit-switched tree (CST). Then we present a method to configure the CST to perform in constant time all communications scheduled for a step. This results in a constant time implementation of a step of a segmentable bus, a fundamental dynamically reconfigurable structure. We introduce a new bus delay measure (bends-cost) and define the bends-cost LR-Mesh; the LR-Mesh is a widely used reconfigurable model. Unlike the (idealized) LR-Mesh, which ignores bus delay, the bends-cost LR-Mesh uses the number of bends in a bus to estimate its delay. We present an implementation for which the bends-cost is an accurate estimate of the actual delay. We present algorithms to simulate various LR-Mesh configuration classes on the bends-cost LR-Mesh. For semimonotonic configurations, a Θ(N)*Θ(N) bends-cost LR-Mesh with bus delay at most D can simulate a step of the idealized N*N LR-Mesh in O((log N/(log D-log Δ))2) time (where Δ is the delay of an N-element segmentable bus), while employing about the same number of processors. For some special cases this time reduces to O(log N/(log D-log Δ)). If D=Nε, for an arbitrarily small constant ε \u3e 0, then the running times of bends-cost LR-Mesh algorithms are within a constant of their idealized counterparts. We also prove that with a polynomial blowup in the number of processors and D=Nε, the bends-cost LR-Mesh can simulate any step of an idealized LR-Mesh in constant time, thereby establishing that these models have the same power. We present an implementation (in VHDL) of the Enhanced Self Reconfigurable Gate Array (E-SRGA) architecture and perform a cost-benefit study for different dynamic reconfiguration features. This study shows our approach to be feasible