GParareal: A time-parallel ODE solver using Gaussian process emulation

GParareal: A time-parallel ODE solver using Gaussian process emulation

GParareal: A time-parallel ODE solver using Gaussian process emulation 150 150 UKAEA Opendata
UKAEA-CCFE-PR(22)59

GParareal: A time-parallel ODE solver using Gaussian process emulation

Sequential numerical methods for integrating initial value problems (IVPs) can be prohibitively expensive when high numerical accuracy is required over the entire interval of integration. One remedy is to integrate in a parallel fashion, “predicting” the solution serially using a cheap (coarse) solver and “correcting” these values using an expensive (fine) solver that runs in parallel on a number of temporal subintervals. We propose an adaptive time-parallel algorithm that solves IVPs by modelling the correction term, i.e. the difference between fine and coarse solutions, using a Gaussian process emulator. This approach compares favourably with the classic parareal algorithm and has the additional advantage of being able to use archives of legacy solutions, i.e. solutions from prior runs of the IVP for different initial conditions, to further accelerate convergence of the method.

Collection:
Journals
Journal:
Statistics and Computing
Publisher:
Springer
Published date:
21/12/2022