Domain decomposition methods for some aerodynamic noise problems

Abstract not available

A domain decomposition based algorithm for non-linear 2D inverse heat conduction problems

Inverse heat conduction problems (IHCPs) appear in many important scientific and technological fields. Hence analysis, design, implementation and testing of inverse algorithms are also of great scientific and technological interest. The numerical simulation of 2-D and –D inverse (or even direct) problems involves a considerable amount of computation. Therefore, the investigation and exploitation of parallel properties of such algorithms are equally becoming very important. Domain decomposition (DD) methods are widely used to solve large scale engineering problems and to exploit their inherent ability for the solution of such problems.

Time domain decomposition for European options in financial modelling

Finance is one of the fastest growing areas in modern applied mathematics with real world applications. The interest of this branch of applied mathematics is best described by an example involving shares. Shareholders of a company receive dividends which come from the profit made by the company. The proceeds of the company, once it is taken over or wound up, will also be distributed to shareholders. Therefore shares have a value that reflects the views of investors about the likely dividend payments and capital growth of the company. Obviously such value will be quantified by the share price on stock exchanges. Therefore financial modelling serves to understand the correlations between asset and movements of buy/sell in order to reduce risk. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. There are other financial activities and it is not an intention of this paper to discuss all of these activities. The main concern of this paper is to propose a parallel algorithm for the numerical solution of an European option. This paper is organised as follows. First, a brief introduction is given of a simple mathematical model for European options and possible numerical schemes of solving such mathematical model. Second, Laplace transform is applied to the mathematical model which leads to a set of parametric equations where solutions of different parametric equations may be found concurrently. Numerical inverse Laplace transform is done by means of an inversion algorithm developed by Stehfast. The scalability of the algorithm in a distributed environment is demonstrated. Third, a performance analysis of the present algorithm is compared with a spatial domain decomposition developed particularly for time-dependent heat equation. Finally, a number of issues are discussed and future work suggested.

Development of a domain decomposition method for computational aeroacoustics

Abstract not available

Solutions of boundary element equations by a flexible elimination process

Abstract not available

A Distributed algorithm for 1-D non-linear heat conduction with an unknown point source

Abstract not available

Comparison of three algorithms for nonlinear metal cutting problems

This paper compares three alternative numerical algorithms applied to a nonlinear metal cutting problem. One algorithm is based on an explicit method and the other two are implicit. Domain decomposition (DD) is used to break the original domain into subdomains, each containing a properly connected, well-formulated and continuous subproblem. The serial version of the explicit algorithm is implemented in FORTRAN and its parallel version uses MPI (Message Passing Interface) calls. One implicit algorithm is implemented by coupling the state-of-the-art PETSc (Portable, Extensible Toolkit for Scientific Computation) software with in-house software in order to solve the subproblems. The second implicit algorithm is implemented completely within PETSc. PETSc uses MPI as the underlying communication library. Finally, a 2D example is used to test the algorithms and various comparisons are made.

A single-code software model for multiphysics analysis-engine on parallel and distributed computers with the PHYSICA toolkit

Abstract not available

Communication latency hiding in a parallel conjugate gradient method

Abstract not available

Issues and strategies in the parallelisation of unstructured multiphysics code

Unstructured mesh based codes for the modelling of continuum physics phenomena have evolved to provide the facility to model complex interacting systems. Such codes have the potential to provide a high performance on parallel platforms for a small investment in programming. The critical parameters for success are to minimise changes to the code to allow for maintenance while providing high parallel efficiency, scalability to large numbers of processors and portability to a wide range of platforms. The paradigm of domain decomposition with message passing has for some time been demonstrated to provide a high level of efficiency, scalability and portability across shared and distributed memory systems without the need to re-author the code into a new language. This paper addresses these issues in the parallelisation of a complex three dimensional unstructured mesh Finite Volume multiphysics code and discusses the implications of automating the parallelisation process.

Modelling continuum mechanics phenomena using three dimensional unstructured meshes on massively parallel processors

The difficulties encountered in implementing large scale CM codes on multiprocessor systems are now fairly well understood. Despite the claims of shared memory architecture manufacturers to provide effective parallelizing compilers, these have not proved to be adequate for large or complex programs. Significant programmer effort is usually required to achieve reasonable parallel efficiencies on significant numbers of processors. The paradigm of Single Program Multi Data (SPMD) domain decomposition with message passing, where each processor runs the same code on a subdomain of the problem, communicating through exchange of messages, has for some time been demonstrated to provide the required level of efficiency, scalability, and portability across both shared and distributed memory systems, without the need to re-author the code into a new language or even to support differing message passing implementations. Extension of the methods into three dimensions has been enabled through the engineering of PHYSICA, a framework for supporting 3D, unstructured mesh and continuum mechanics modeling. In PHYSICA, six inspectors are used. Part of the challenge for automation of parallelization is being able to prove the equivalence of inspectors so that they can be merged into as few as possible.

Sound generation by vortex-blade interactions

Abstract not available

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.