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DOE OSTI2013

Stabilized multilevel Monte Carlo method for stiff stochastic differential equations

A multilevel Monte Carlo (MLMC) method for mean square stable stochastic differential equations with multiple scales is proposed. For such problems, that we call stiff, the performance of MLMC methods based on classical explicit methods deteriorates because of the time step restriction to resolve the fastest scales that prevents to exploit all the levels of the MLMC approach. We show that by switching to explicit stabilized stochastic methods and balancing the stabilization procedure simultaneously with the hierarchical sampling strategy of MLMC methods, the computational cost for stiff systems is significantly reduced, while keeping the computational algorithm fully explicit and easy to implement. Numerical experiments on linear and nonlinear stochastic differential equations and on a stochastic partial differential equation illustrate the performance of the stabilized MLMC method and corroborate our theoretical findings.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

DOE OSTI2018

Final Report - Subcontract B629114

During my visits to LLNL August 20-24, 2018, and September 10-14, 2018, I worked on linear system solvers. The two level hierarchical solver that initiated our study was developed to solve linear systems arising from $hp$ adaptive finite element calculations, and is implemented in the PLTMG software package, version 13. This preconditioner typically requires 3 – 20% of the space used by the stiffness matrix for higher order elements. It has multigrid like convergence rates for a wide variety of PDEs (self-adjoint positive definite elliptic equations, convection dominated convection-diffusion equations, and highly indefinite Helmholtz equations, among others). The convergence rate is not independent of the polynomial degree $p$ as $p → ∞$, but but remains strong for $p ≤$ 9, which is the highest polynomial degree allowed in PLTMG , due to limitations of the numerical quadrature rules implemented in the software package. A more complete description of the method and some numerical experiments illustrating its effectiveness appear. Like traditional geometric multilevel methods, this scheme relies on knowledge of the underlying finite element space in order to construct the smoother and the coarse grid correction.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2017

Final Report - Subcontract B623760

During my visit to LLNL during July 17{27, 2017, I worked on linear system solvers. The two level hierarchical solver that initiated our study was developed to solve linear systems arising from hp adaptive finite element calculations, and is implemented in the PLTMG software package, version 12. This preconditioner typically requires 3-20% of the space used by the stiffness matrix for higher order elements. It has multigrid like convergence rates for a wide variety of PDEs (self-adjoint positive de nite elliptic equations, convection dominated convection-diffusion equations, and highly indefinite Helmholtz equations, among others). The convergence rate is not independent of the polynomial degree p as p ! 1, but but remains strong for p 9, which is the highest polynomial degree allowed in PLTMG, due to limitations of the numerical quadrature rules implemented in the software package. A more complete description of the method and some numerical experiments illustrating its effectiveness appear in. Like traditional geometric multilevel methods, this scheme relies on knowledge of the underlying finite element space in order to construct the smoother and the coarse grid correction.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2019

Subcontract B635525 (Final Report)

During my visits to LLNL July 8–12 and July 22–26, 2019, I worked on linear system solvers. The two level hierarchical solver that initiated our study was developed to solve linear systems arising from $\textit{hp}$ adaptive finite element calculations, and is implemented in the $\textit{PLTMG}$ software package, version 13. This preconditioner typically requires 3–20% of the space used by the stiffness matrix for higher order elements. It has multigrid like convergence rates for a wide variety of PDEs (self-adjoint positive definite elliptic equations, convection dominated convection-diffusion equations, and highly indefinite Helmholtz equations, among others). The convergence rate is not independent of the polynomial degree $\textit{p}$ as $\textit{p} → ∞$, but remains strong for $\textit{p}$ ≤ 9, which is the highest polynomial degree allowed in $\textit{PLTMG}$, due to limitations of the numerical quadrature rules implemented in the soft- ware package. A more complete description of the method and some numerical experiments illustrating its effectiveness appear in. Like traditional geometric multilevel methods, this scheme relies on knowledge of the underlying finite element space in order to construct the smoother and the coarse grid correction.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2017

Final Report - Subcontract B6183769

During my visit to LLNL during July 5{15, 2016, we worked on linear system solvers. The two level hierarchical solver that initiated our study was developed to solve linear system arising from hp adaptive finite element calculations, and is implemented in the PLTMG software package, version 12 [1]. This preconditioner typically requires 3-20% of the space used by the stiffness matrix for higher order elements. It has multigrid like convergence rates for a wide variety of PDEs (self-adjoint positive definite elliptic equations, convection dominated convection-diffusion equations, and highly inde nite Helmholtz equations, among others). The convergence rate is not independent of the polynomial degree p as p ! 1, but but remains strong for p 9, which is the highest polynomial degree allowed in PLTMG, due to limitations of numerical quadrature formulae. A more complete description of the method and some numerical experiments illustrating its effectiveness appear in [2]. Like traditional geometric multilevel methods, this scheme relies on extensive knowledge of the underlying finite element space in order to construct both the smoother and the coarse grid correction components.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2024

Multilevel Monte Carlo methods for the Grad-Shafranov free boundary problem

The equilibrium configuration of a plasma in an axially symmetric reactor is described mathematically by a free boundary problem associated with the celebrated Grad-Shafranov equation. The presence of uncertainty in the model parameters introduces the need to quantify the variability in the predictions. This is often done by computing a large number of model solutions on a computational grid for an ensemble of parameter values and then obtaining estimates for the statistical properties of solutions. In this study, we explore the savings that can be obtained using multilevel Monte Carlo methods, which reduce costs by performing the bulk of the computations on a sequence of spatial grids that are coarser than the one that would typically be used for a simple Monte Carlo simulation. We examine this approach using both a set of uniformly refined grids and a set of adaptively refined grids guided by a discrete error estimator. Numerical experiments show that multilevel methods dramatically reduce the cost of simulation, with cost reductions typically on the order of 60 or more and possibly as large as 200. Furthermore, adaptive griding results in more accurate computation of geometric quantities such as x-points associated with the model.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

DOE OSTI2021

Multilevel Hierarchical Decomposition of Finite Element White Noise with Application to Multilevel Markov Chain Monte Carlo

In this work we develop a new hierarchical multilevel approach to generate Gaussian random field realizations in an algorithmically scalable manner that is well suited to incorporating into multilevel Markov chain Monte Carlo (MCMC) algorithms. This approach builds off of other partial differential equation (PDE) approaches for generating Gaussian random field realizations; in particular, a single field realization may be formed by solving a reaction-diffusion PDE with a spatial white noise source function as the right-hand side. While these approaches have been explored to accelerate forward uncertainty quantification tasks, e.g., multilevel Monte Carlo, the previous constructions are not directly applicable to multilevel MCMC frameworks which build fine-scale random fields in a hierarchical fashion from coarse-scale random fields. Our new hierarchical multilevel method relies on a hierarchical decomposition of the white noise source function in $L^2$ which allows us to form Gaussian random field realizations across multiple levels of discretization in a way that fits into multilevel MCMC algorithmic frameworks. After presenting our main theoretical results and numerical scaling results to showcase the utility of this new hierarchical PDE method for generating Gaussian random field realizations, this method is tested on a four-level MCMC algorithm to explore its feasibility.

algebraic multigrid↗

DOE OSTI2014

Robust parallel iterative solvers for linear and least-squares problems (Final Technical Report)

The primary goal of this project is to study and develop robust iterative methods for solving linear systems of equations and least squares systems. The focus of the Minnesota team is on algorithms development, robustness issues, and on tests and validation of the methods on realistic problems. 1. The project begun with an investigation on how to practically update a preconditioner obtained from an ILU-type factorization, when the coefficient matrix changes. 2. We investigated strategies to improve robustness in parallel preconditioners in a specific case of a PDE with discontinuous coefficients. 3. We explored ways to adapt standard preconditioners for solving linear systems arising from the Helmholtz equation. These are often difficult linear systems to solve by iterative methods. 4. We have also worked on purely theoretical issues related to the analysis of Krylov subspace methods for linear systems. 5. We developed an effective strategy for performing ILU factorizations for the case when the matrix is highly indefinite. The strategy uses shifting in some optimal way. The method was extended to the solution of Helmholtz equations by using complex shifts, yielding very good results in many cases. 6. We addressed the difficult problem of preconditioning sparse systems of equations on GPUs. 7. A by-product of the above work is a software package consisting of an iterative solver library for GPUs based on CUDA. This was made publicly available. It was the first such library that offers complete iterative solvers for GPUs. 8. We considered another form of ILU which blends coarsening techniques from Multigrid with algebraic multilevel methods. 9. We have released a new version on our parallel solver - called pARMS [new version is version 3]. As part of this we have tested the code in complex settings - including the solution of Maxwell and Helmholtz equations and for a problem of crystal growth.10. As an application of polynomial preconditioning we considered the problem of evaluating f(A)v which arises in statistical sampling. 11. As an application to the methods we developed, we tackled the problem of computing the diagonal of the inverse of a matrix. This arises in statistical applications as well as in many applications in physics. We explored probing methods as well as domain-decomposition type methods. 12. A collaboration with researchers from Toulouse, France, considered the important problem of computing the Schur complement in a domain-decomposition approach. 13. We explored new ways of preconditioning linear systems, based on low-rank approximations.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2013

Commuting projections on graphs

For a given (connected) graph, we consider vector spaces of (discrete) functions defined on its vertices and its edges. These two spaces are related by a discrete gradient operator, Grad and its adjoint, ₋Div, referred to as (negative) discrete divergence. We also consider a coarse graph obtained by aggregation of vertices of the original one. Then a coarse vertex space is identified with the subspace of piecewise constant functions over the aggregates. We consider the ℓ 2 -projection Q H onto the space of these piecewise constants. In the present paper, our main result is the construction of a projection π H from the original edge-space onto a properly constructed coarse edge-space associated with the edges of the coarse graph. The projections π H and Q H commute with the discrete divergence operator, i.e., we have div π H = Q H div. The respective pair of coarse edge-space and coarse vertexspace offer the potential to construct two-level, and by recursion, multilevel methods for the mixed formulation of the graph Laplacian which utilizes the discrete divergence operator. The performance of one two-level method with overlapping Schwarz smoothing and correction based on the constructed coarse spaces for solving such mixed graph Laplacian systems is illustrated on a number of graph examples.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2022

Weighted relaxation for multigrid reduction in time

Current trends in computer architectures now mean that faster computation speed must come primarily from increased concurrency, not faster clock speeds, which are stagnating. Thus, this situation creates bottlenecks for serial algorithms, including the well-known bottleneck for sequential time-integration, where each individual time-value (i.e., time-step) is computed sequentially. One approach to alleviate this and achieve parallelism in time is with multigrid. Here, in this work, we consider multigrid-reduction-in-time (MGRIT), a multilevel method applied to the time dimension that computes multiple time-steps in parallel. Like all multigrid methods, MGRIT relies on the complementary relationship between relaxation on a fine-grid and a correction from the coarse grid to solve the problem. All current MGRIT implementations are based on unweighted-Jacobi relaxation; here we introduce the concept of weighted relaxation to MGRIT. We derive new convergence bounds for weighted relaxation, and use this analysis to guide the selection of relaxation weights. Numerical results then demonstrate that by choosing appropriate non-unitary relaxation weights, one can achieve faster convergence rates and lower iteration counts for MGRIT when compared with unweighted relaxation. In most cases, weighted relaxation yields a 10%–20% saving in iterations, which is significant when using large high-performance computers. For A-stable integration schemes, results also illustrate that under-relaxation can restore convergence in some cases where unweighted relaxation is not convergent.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2016

Block Preconditioners for Stable Mixed Nodal and Edge finite element Representations of Incompressible Resistive MHD

The scalable iterative solution of strongly coupled three-dimensional incompressible resistive magnetohydrodynamics (MHD) equations is quite challenging because disparate time scales arise from the electromagnetics, the hydrodynamics, as well as the coupling between these systems. This study considers a mixed finite element discretization of a dual saddle point formulation of the incompressible resistive MHD equations using a stable nodal (Q2/Q1) discretization for the hydrodynamics and a stable edge-node discretization of a reduced form of the Maxwell equations. This paper introduces new approximate block factorization preconditioners for this system which reduce the system to approximate Schur complement systems that can be solved using algebraic multilevel methods. These preconditioners include a new augmentation-based approximation for the magnetic induction saddle point system as well as efficient approximations of the Schur complements that arise from the complex coupling between the Navier--Stokes equations and the Maxwell equations.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2014

Final Technical Report for "Applied Mathematics Research: Simulation Based Optimization and Application to Electromagnetic Inverse Problems"

The focus of research was: Developing adaptive mesh for the solution of Maxwell's equations; Developing a parallel framework for time dependent inverse Maxwell's equations; Developing multilevel methods for optimization problems with inequality constraints; A new inversion code for inverse Maxwell's equations in the 0th frequency (DC resistivity); A new inversion code for inverse Maxwell's equations in low frequency regime. Although the research concentrated on electromagnetic forward and in- verse problems the results of the research was applied to the problem of image registration.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗

DOE OSTI2012

ML Enhancements via the Calculation of Rigid Body Modes (RBMs) for Mechanics Problems Implemented within the Albany Code Base

The algebraic multigrid approach known as smoothed aggregation is very efficient at solving systems that arise from elasticity problems. In order to construct an efficient algebraic multilevel method, a multigrid solver should be provided with a small set of vectors that represent the error components that are difficult to resolve. It is well-known that for linear elasticity problems, these components correspond to the the so-called rigid body modes (RBMs). The present document summarizes some new development within the Albany code base that has enabled the application of algebraic multigrid preconditioners from the ML package of Trilinos to mechanics problems implemented within Albany via a new function that calculates the RBMs using information about the problem's underlying mesh. The performance of these preconditioners is evaluated on four problems: a 3D static elasticity problem, a 3D non-linear elasticity problem, a 3D thermo-elasticity problem, and a 3D thermo-poro-plasticity problem. The tests reveal the superiority of the ML preconditioners over ILU preconditioners from the Trilinos Ifpack package for mechanics problems in Albany.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2022

Generalized Bootstrap AMG and AIR-AMG for coupled PDE systems with a focus on spacetime discretizatoins

The Pennsylvania State University (“Subcontractor”) has worked on the design of new algebraic, parallel, multilevel methods that obtain the full space and time solution of systems of PDEs. In particular, the PI and his collaborators explored semi-intrusive approaches based on algebraic multigrid (AMG). The focus of the research has been on the development of these techniques for the Euler equations in 1d and 2d. The overall research focused on the development of adaptive AIR (approximate ideal restriction) AMG solvers for these problems. The PI also explored the use of smoothed aggregation and root-node energy-based AMG solvers for these problems.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2023

Block smoothers and generalized ideal interpolation in AMG (Final Report)

The Pennsylvania State University (“Subcontractor”) worked on developing new parallel algebraic multilevel methods suitable for solving PDEs. Specifically, work on the design of multigrid solvers for coupled systems of partial differential equations arising in numerical modeling of various applications was completed. A main emphasis was on the design of new ideal algebraic multigrid interpolation for problems such as Maxwell’s equations where block smoothers are needed and the standard form of ideal interpolation is not an effective choice.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2016

An improved multilevel Monte Carlo method for estimating probability distribution functions in stochastic oil reservoir simulations

In this paper, we develop an improved multilevel Monte Carlo (MLMC) method for estimating cumulative distribution functions (CDFs) of a quantity of interest, coming from numerical approximation of large-scale stochastic subsurface simulations. Compared with Monte Carlo (MC) methods, that require a significantly large number of high-fidelity model executions to achieve a prescribed accuracy when computing statistical expectations, MLMC methods were originally proposed to significantly reduce the computational cost with the use of multifidelity approximations. The improved performance of the MLMC methods depends strongly on the decay of the variance of the integrand as the level increases. However, the main challenge in estimating CDFs is that the integrand is a discontinuous indicator function whose variance decays slowly. To address this difficult task, we approximate the integrand using a smoothing function that accelerates the decay of the variance. In addition, we design a novel a posteriori optimization strategy to calibrate the smoothing function, so as to balance the computational gain and the approximation error. The combined proposed techniques are integrated into a very general and practical algorithm that can be applied to a wide range of subsurface problems for high-dimensional uncertainty quantification, such as a fine-grid oil reservoir model considered in this effort. The numerical results reveal that with the use of the calibrated smoothing function, the improved MLMC technique significantly reduces the computational complexity compared to the standard MC approach. Finally, we discuss several factors that affect the performance of the MLMC method and provide guidance for effective and efficient usage in practice.

37 INORGANIC, ORGANIC, PHYSICAL, AND ANALYTICAL CH↗

DOE OSTI2020

Advanced Multilevel Monte Carlo Methods

This article reviews the application of some advanced Monte Carlo techniques in the context of multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations, which can be biassed in some sense, for instance, by using the discretization of an associated probability law. The MLMC approach works with a hierarchy of biassed approximations, which become progressively more accurate and more expensive. Additionally, using a telescoping representation of the most accurate approximation, the method is able to reduce the computational cost for a given level of error versus i.i.d. sampling from this latter approximation. All of these ideas originated for cases where exact sampling from couples in the hierarchy is possible. This article considers the case where such exact sampling is not currently possible. We consider some Markov chain Monte Carlo and sequential Monte Carlo methods, which have been introduced in the literature, and we describe different strategies that facilitate the application of MLMC within these methods.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2018

An efficient Bayesian data-worth analysis using a multilevel Monte Carlo method

Improving the understanding of subsurface systems and thus reducing prediction uncertainty requires collection of data. As the collection of subsurface data is costly, it is important that the data collection scheme is cost-effective. Design of a cost-effective data collection scheme, i.e., data-worth analysis, requires quantifying model parameter, prediction, and both current and potential data uncertainties. Assessment of these uncertainties in large-scale stochastic subsurface hydrological model simulations using standard Monte Carlo (MC) sampling or surrogate modeling is extremely computationally intensive, sometimes even infeasible. In this paper, we propose an efficient Bayesian data-worth analysis using a multilevel Monte Carlo (MLMC) method. Compared to the standard MC that requires a significantly large number of high-fidelity model executions to achieve a prescribed accuracy in estimating expectations, the MLMC can substantially reduce computational costs using multifidelity approximations. Since the Bayesian data-worth analysis involves a great deal of expectation estimation, the cost saving of the MLMC in the assessment can be outstanding. While the proposed MLMC-based data-worth analysis is broadly applicable, we use it for a highly heterogeneous two-phase subsurface flow simulation to select an optimal candidate data set that gives the largest uncertainty reduction in predicting mass flow rates at four production wells. Finally, the choices made by the MLMC estimation are validated by the actual measurements of the potential data, and consistent with the standard MC estimation. But compared to the standard MC, the MLMC greatly reduces the computational costs.

97 MATHEMATICS AND COMPUTING↗