A Parallel Dynamic Asynchronous Framework for Uncertainty Quantification by Hierarchical Monte Carlo Algorithms

Abstract

The necessity of dealing with uncertainties is growing in many different fields of science and engineering. Due to the constant development of computational capabilities, current solvers must satisfy both statistical accuracy and computational efficiency. The aim of this work is to introduce an asynchronous framework for Monte Carlo and Multilevel Monte Carlo methods to achieve such a result. The proposed approach presents the same reliability of state of the art techniques, and aims at improving the computational efficiency by adding a new level of parallelism with respect to existing algorithms: between batches, where each batch owns its hierarchy and is independent from the others. Two different numerical problems are considered and solved in a supercomputer to show the behavior of the proposed approach.