A parallel method for solving pentadiagonal systems of linear equations

A new parallel approach for solving a pentadiagonal linear system is presented. The parallel partition method for this system and the TW parallel partition method on a chain of P processors are introduced and discussed. The result of this algorithm is a reduced pentadiagonal linear system of order P \Gamma 2 compared with a system of order 2P \Gamma 2 for the parallel partition method. More importantly the new method involves only half the number of communications startups than the parallel partition method (and other standard parallel methods) and hence is a far more efficient parallel algorithm.

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.

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.

Load-balancing for parallel adaptive unstructured grids

A parallel method for the dynamic partitioning of unstructured meshes is outlined. The method includes diffusive load-balancing techniques and an iterative optimisation technique known as relative gain optimisationwhich both balances theworkload and attempts to minimise the interprocessor communications overhead. It can also optionally include amultilevel strategy. Experiments on a series of adaptively refined meshes indicate that the algorithmprovides partitions of an equivalent or higher quality to static partitioners (which do not reuse the existing partition) and much more rapidly. Perhaps more importantly, the algorithm results in only a small fraction of the amount of data migration compared to the static partitioners.

Parallel dynamic load-balancing for adaptive unstructured meshes

This chapter describes a parallel optimization technique that incorporates a distributed load-balancing algorithm and provides an extremely fast solution to the problem of load-balancing adaptive unstructured meshes. Moreover, a parallel graph contraction technique can be employed to enhance the partition quality and the resulting strategy outperforms or matches results from existing state-of-the-art static mesh partitioning algorithms. The strategy can also be applied to static partitioning problems. Dynamic procedures have been found to be much faster than static techniques, to provide partitions of similar or higher quality and, in comparison, involve the migration of a fraction of the data. The method employs a new iterative optimization technique that balances the workload and attempts to minimize the interprocessor communications overhead. Experiments on a series of adaptively refined meshes indicate that the algorithm provides partitions of an equivalent or higher quality to static partitioners (which do not reuse the existing partition) and much more quickly. The dynamic evolution of load has three major influences on possible partitioning techniques; cost, reuse, and parallelism. The unstructured mesh may be modified every few time-steps and so the load-balancing must have a low cost relative to that of the solution algorithm in between remeshing.

Dynamic load-balancing for parallel adaptive unstructured meshes

A parallel method for dynamic partitioning of unstructured meshes is described. The method employs a new iterative optimisation technique which both balances the workload and attempts to minimise the interprocessor communications overhead. Experiments on a series of adaptively refined meshes indicate that the algorithm provides partitions of an equivalent or higher quality to static partitioners (which do not reuse the existing partition) and much more quickly. Perhaps more importantly, the algorithm results in only a small fraction of the amount of data migration compared to the static partitioners.

Parallel partitioning of unstructured meshes

A method is outlined for optimising graph partitions which arise in mapping un- structured mesh calculations to parallel computers. The method employs a combination of iterative techniques to both evenly balance the workload and minimise the number and volume of interprocessor communications. They are designed to work efficiently in parallel as well as sequentially and when combined with a fast direct partitioning technique (such as the Greedy algorithm) to give an initial partition, the resulting two-stage process proves itself to be both a powerful and flexible solution to the static graph-partitioning problem. The algorithms can also be used for dynamic load-balancing and a clustering technique can additionally be employed to speed up the whole process. Experiments indicate that the resulting parallel code can provide high quality partitions, independent of the initial partition, within a few seconds.

Quality balancing for parallel adaptive FEM

We present a dynamic distributed load balancing algorithm for parallel, adaptive finite element simulations using preconditioned conjugate gradient solvers based on domain-decomposition. The load balancer is designed to maintain good partition aspect ratios. It can calculate a balancing flow using different versions of diffusion and a variant of breadth first search. Elements to be migrated are chosen according to a cost function aiming at the optimization of subdomain shapes. We show how to use information from the second step to guide the first. Experimental results using Bramble's preconditioner and comparisons to existing state-ot-the-art load balancers show the benefits of the construction.

Load balancing for parallel adaptive FEM

We present a dynamic distributed load balancing algorithm for parallel, adaptive finite element simulations using preconditioned conjugate gradient solvers based on domain-decomposition. The load balancer is designed to maintain good partition aspect ratios. It calculates a balancing flow using different versions of diffusion and a variant of breadth first search. Elements to be migrated are chosen according to a cost function aiming at the optimization of subdomain shapes. We show how to use information from the second step to guide the first. Experimental results using Bramble's preconditioner and comparisons to existing state-of-the-art balancers show the benefits of the construction.

Mesh partitioning and load balancing for distributed memory parallel systems

A method is outlined for optimising graph partitions which arise in mapping unstructured mesh calculations to parallel computers. The method employs a relative gain iterative technique to both evenly balance the workload and minimise the number and volume of interprocessor communications. A parallel graph reduction technique is also briefly described and can be used to give a global perspective to the optimisation. The algorithms work efficiently in parallel as well as sequentially and when combined with a fast direct partitioning technique (such as the Greedy algorithm) to give an initial partition, the resulting two-stage process proves itself to be both a powerful and flexible solution to the static graph-partitioning problem. Experiments indicate that the resulting parallel code can provide high quality partitions, independent of the initial partition, within a few seconds. The algorithms can also be used for dynamic load-balancing, reusing existing partitions and in this case the procedures are much faster than static techniques, provide partitions of similar or higher quality and, in comparison, involve the migration of a fraction of the data.

Parallel dynamic graph-partitioning for unstructured meshes

A parallel method for the dynamic partitioning of unstructured meshes is described. The method introduces a new iterative optimisation technique known as relative gain optimisation which both balances the workload and attempts to minimise the interprocessor communications overhead. Experiments on a series of adaptively refined meshes indicate that the algorithm provides partitions of an equivalent or higher quality to static partitioners (which do not reuse the existing partition) and much more rapidly. Perhaps more importantly, the algorithm results in only a small fraction of the amount of data migration compared to the static partitioners.