Asynchronous time-parallel method based on Laplace transform

被引:1
作者
Magoules, Frederic [1 ]
Zou, Qinmeng [1 ]
机构
[1] Univ Paris Saclay, Cent Supelec, Gif Sur Yvette, France
关键词
Laplace transform; Gaver-Stehfest algorithm; asynchronous iterations; parallel computing; quasilinear equation; option pricing; NUMERICAL INVERSION; ITERATIVE ALGORITHMS; PARABOLIC PROBLEMS; CONVERGENCE; OPTIONS; DISCRETIZATION; COMMUNICATION; LIBRARY;
D O I
10.1080/00207160.2020.1737029
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Laplace transform method has proved to be very efficient and easy to parallelize for the solution of time-dependent problems. However, the synchronization delay among processors implies an upper bound on the expectable acceleration factor, which leads to a lot of wasted time. In this paper, we propose an original asynchronous Laplace transform method formalized for quasilinear problems based on the well-known Gaver-Stehfest algorithm. Parallel experiments show the convergence of our new method, as well as several interesting properties compared with the classical algorithms.
引用
收藏
页码:179 / 194
页数:16
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