Tim Sullivan

Error bound analysis of the stochastic parareal algorithm

Error analysis for SParareal

Kamran Pentland, Massimiliano Tamborrino, and I have just uploaded a preprint of our latest article, “Error bound analysis of the stochastic parareal algorithm”, to the arXiv.

Abstract. Stochastic parareal (SParareal) is a probabilistic variant of the popular parallel-in-time algorithm known as parareal. Similarly to parareal, it combines fine- and coarse-grained solutions to an ordinary differential equation (ODE) using a predictor-corrector (PC) scheme. The key difference is that carefully chosen random perturbations are added to the PC to try to accelerate the location of a stochastic solution to the ODE. In this paper, we derive superlinear and linear mean-square error bounds for SParareal applied to nonlinear systems of ODEs using different types of perturbations. We illustrate these bounds numerically on a linear system of ODEs and a scalar nonlinear ODE, showing a good match between theory and numerics.

Published on Thursday 10 November 2022 at 10:00 UTC #preprint #prob-num #sparareal #pentland #tamborrino