On Dynamic Parallelization of Multilevel Monte Carlo Algorithm-Reference-Cited by-同舟云学术

On Dynamic Parallelization of Multilevel Monte Carlo Algorithm

Published:2020-12-01 Issue:6 Volume:20 Page:116-125
ISSN:1314-4081
Container-title:Cybernetics and Information Technologies
language:en
Short-container-title:

Author:

Shegunov Nikolay¹²,Iliev Oleg¹³

Affiliation:

1. Fraunhofer ITWM, Fraunhoferplatz 1, 67661 Kaiserslautern , Germany

2. Sofia University , FMI, 1164 Sofia, 5 James Bourchier Blvd ., Sofia , Bulgaria

3. Institute of Mathematics , BAS, Acad. G. Bonchev St., 8, 1113 Sofia , Bulgaria

Abstract

Abstract MultiLevel Monte Carlo (MLMC) attracts great interest for numerical simulations of Stochastic Partial Differential Equations (SPDEs), due to its superiority over the standard Monte Carlo (MC) approach. MLMC combines in a proper manner many cheap fast simulations with few slow and expensive ones, the variance is reduced, and a significant speed up is achieved. Simulations with MC/MLMC consist of three main components: generating random fields, solving deterministic problem and reduction of the variance. Each part is subject to a different degree of parallelism. Compared to the classical MC, MLMC introduces “levels” on which the sampling is done. These levels have different computational cost, thus, efficiently utilizing the parallel resources becomes a non-trivial problem. The main focus of this paper is the parallelization of the MLMC Algorithm.

Publisher

Walter de Gruyter GmbH

Subject

General Computer Science

Link

https://www.sciendo.com/pdf/10.2478/cait-2020-0066

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