Introduction to the Parareal Algorithm

Ma. Cristina Bargo

Laboratoire Jacques-Louis Lions

Université Pierre et Marie Curie
University of the Philippines Diliman

Math 296
January 10, 2011

MC Bargo Intro to Parareal Algorithm

Classical Discretization

The Problem
Find u such that
(
∂t u = A (t, u) , t ∈ (t0 , T ]
(1)
u = u0 , t = t0

where A : R × V → V 0 (V a Hilbert space) and t0 > 0.

MC Bargo Intro to Parareal Algorithm

Classical Discretization

The Problem
Find u such that
(
∂t u = A (t, u) , t ∈ (t0 , T ]
(1)
u = u0 , t = t0

where A : R × V → V 0 (V a Hilbert space) and t0 > 0.

The Discrete Problem

Let t0 = T0 < T1 < · · · < TN = T with Ti+1 − Ti = ∆T
(uniform). Let Ui be an approximation of u(Ti ) solution to (1) at
t = Ti . Then U0 = u0 and ∀i = 0, . . . , N − 1

Ui+1 = F (Ti+1 ; Ti , Ui )

MC Bargo Intro to Parareal Algorithm

Classical Discretization

Example
 
0 −1 5
u (t) = u(t), t ∈ (0, 1.5]
−5 −1
with  
1
u(0) =
0

∆T = 0.1
F : One-step implicit Euler scheme

MC Bargo Intro to Parareal Algorithm

Classical Discretization
Exact Solution

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T0

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T1

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T2

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T3

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T4

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T5

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T6

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T7

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T8

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T9

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T10

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T11

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T12

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T13

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T14

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T15

MC Bargo Intro to Parareal Algorithm

Classical Discretization

Remarks:
more accurate results using small time steps
computationally costly due to sequential nature of the scheme

MC Bargo Intro to Parareal Algorithm

Classical Discretization

Remarks:
more accurate results using small time steps
computationally costly due to sequential nature of the scheme

Going back to example...

∆T = 0.1
F : 15-step implicit Euler scheme, δt = 6.67 × 10−3

MC Bargo Intro to Parareal Algorithm

Classical Discretization
Exact Solution

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T0

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 2δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 3δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 4δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 5δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 6δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 7δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 8δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 9δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 10δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 11δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 12δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 13δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 14δt

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = 15δt = T1

MC Bargo Intro to Parareal Algorithm

Classical Discretization
t = T15

MC Bargo Intro to Parareal Algorithm

Classical Discretization

Goal: Find a fast algorithm without sacrificing accuracy

high order schemes (ex. Crank-Nicholson, Runge-Kutta, etc.)
use multiple processors and solve the problem in parallel
parallel in the spatial domain
parallel in the system
parallel in the method
parallel in the time domain

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm

PARAREAL - parallel in real time

Lions, Maday and Turinici [1], 2001
Résolution d’EDP par un schéma en temps “pararéel”
Bal and Maday [2], 2002
A “parareal” time discretization for nonlinear PDE’s with
application to the pricing of an American put
Baffico et al [3], 2002
Parallel-in-time molecular-dynamics simulations

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm

Notations:
Fine solver F (Ti+1 ; Ti , Ui ) - accurate but computationally
costly
Coarse solver G (Ti+1 ; Ti , Ui ) - less accurate than F but
computationally cheap

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm

Notations:
Fine solver F (Ti+1 ; Ti , Ui ) - accurate but computationally
costly
Coarse solver G (Ti+1 ; Ti , Ui ) - less accurate than F but
computationally cheap

U00 = u0 and
U0n+1 = G (Tn+1 ; Tn , U0n )
For k = 1, 2, · · · , Uk0 = u0 and

Uk+1 k+1
n+1 = G (Tn+1 ; Tn , Un )
+ F (Tn+1 ; Tn , Ukn ) − G (Tn+1 ; Tn , Ukn )

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm

Uk+1 k+1 k k
n+1 = G (Tn+1 ; Tn , Un ) + F (Tn+1 ; Tn , Un ) − G (Tn+1 ; Tn , Un )

F (Tn+1 ; Tn , Ukn ) − G (Tn+1 ; Tn , Ukn ): corrector (parallel)

G (Tn+1 ; Tn , Uk+1
n ): predictor (sequential)

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm

Uk+1 k+1 k k
n+1 = G (Tn+1 ; Tn , Un ) + F (Tn+1 ; Tn , Un ) − G (Tn+1 ; Tn , Un )

F (Tn+1 ; Tn , Ukn ) − G (Tn+1 ; Tn , Ukn ): corrector (parallel)

G (Tn+1 ; Tn , Uk+1
n ): predictor (sequential)

Going back to example...

∆T = 0.1
G : one-step implicit Euler scheme
F : 15-step implicit Euler scheme

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
The Exact Solution

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 0

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 2δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 3δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 4δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 5δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 6δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 7δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 8δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 9δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 10δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 11δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 12δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 13δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 14δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = Ti + 15δt

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: End of Parallel Part

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T1

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T1

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T2

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T2

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T3

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T3

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T4

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T5

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T6

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T7

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T8

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T9

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T10

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T11

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T12

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T13

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T14

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 1: t = T15

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 2

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 3

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 4

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Iteration 5

MC Bargo Intro to Parareal Algorithm

The Parareal Algorithm
Fine scheme vs. Parareal algorithm

MC Bargo Intro to Parareal Algorithm

ANR PITAC

Past Work: http://www.ljll.math.upmc.fr/PITAC/

theoretical: convergence and stability ([4] and [5])
applications
molecular dynamic simulations [3]
American put option pricing [2]
Navier-Stokes equations [6]
control problems [7]
Schrödinger equation [8]
stochastic ordinary differential equations [9]
To do:
general results for convergence and stability
improve speedup and efficiency
use on “large” problems

MC Bargo Intro to Parareal Algorithm

J.-L. Lions, Y. Maday, and G. Turinici, “Résolution d’EDP par
un schéma en temps “pararéel”,” C. R. Acad. Sci. Paris Sér. I
Math., vol. 332, no. 7, pp. 661–668, 2001.
G. Bal and Y. Maday, “A “parareal” time discretization for
nonlinear PDE’s with application to the pricing of an american
put,” in Recent Developments in Domain Decomposition
Methods (L. Pavarino and A. Toselli, eds.), vol. 23 of Lecture
Notes in Computational Science and Engineering,
pp. 189–202, Berlin: Springer-Verlag, 2002.
L. Baffico, S. Bernard, Y. Maday, G. Turinici, and G. Zérah,
“Parallel-in-time molecular-dynamics simulations,” Phys. Rev.
E, vol. 66, p. 057701, Nov 2002.
M. Gander and S. Vandewalle, “On the superlinear and linear
convergence of the parareal algorithm,” in Domain
Decomposition Methods in Science and Engineering XVI (T. J.
Barth, M. Griebel, D. E. Keyes, R. M. Nieminen, D. Roose,
T. Schlick, O. B. Widlund, and D. E. Keyes, eds.), vol. 55 of
MC Bargo Intro to Parareal Algorithm
Lecture Notes in Computational Science and Engineering,
pp. 291–298, Springer Berlin Heidelberg, 2007.
G. Bal, “On the convergence and the stability of the parareal
algorithm to solve partial differential equations,” in Domain
Decomposition Methods in Science and Engineering (T. J.
Barth, M. Griebel, D. E. Keyes, R. M. Nieminen, D. Roose,
T. Schlick, T. J. Barth, M. Griebel, D. E. Keyes, R. M.
Nieminen, D. Roose, T. Schlick, R. Kornhuber, R. Hoppe,
J. Priaux, O. Pironneau, O. Widlund, and J. Xu, eds.), vol. 40
of Lecture Notes in Computational Science and Engineering,
pp. 425–432, Springer Berlin Heidelberg, 2005.
P. F. Fischer, F. Hecht, and Y. Maday, “A parareal in time
semi-implicit approximation of the Navier-Stokes equations,”
in Domain Decomposition Methods in Science and
Engineering, vol. 40 of Lecture Notes in Computational
Science and Engineering, pp. 433–440, Berlin: Springer, 2005.

MC Bargo Intro to Parareal Algorithm

Y. Maday and G. Turinici, “A parareal in time procedure for
the control of partial differential equations,” Comptes Rendus
Mathematique, vol. 335, no. 4, pp. 387–392, 2002.
Y. Maday and G. Turinici, “Parallel in time algorithms for
quantum control: Parareal time discretization scheme,” Int. J.
Quantum Chem., vol. 93, no. 3, pp. 223–228, 2003.
G. Bal, “Parallelization in time of (stochastic) ordinary
differential equations.” Submitted, available at
http://www.columbia.edu/ gb2030/PAPERS/paralleltime.pdf.

MC Bargo Intro to Parareal Algorithm