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Static load balancing for multi-level Monte Carlo finite volume solvers

by J. Sukys and S. Mishra and Ch. Schwab

(Report number 2011-32)

Abstract
The Multi-Level Monte Carlo finite volumes (MLMC-FVM) algorithm was shown to be a robust and fast solver for uncertainty quantification in the solutions of multi- dimensional systems of stochastic conservation laws. A novel load balancing procedure is used to ensure scalability of the MLMC algorithm on massively parallel hardware. We describe this procedure together with other arising challenges in great detail. Finally, numerical experiments in multi-dimensions showing strong and weak scaling of our implementation are presented.

Keywords: uncertainty quantification, conservation laws, multi-level Monte Carlo, finite volumes, static load balancing, linear scaling

@Techreport{SMS11_93,
  author = {J. Sukys and S. Mishra and Ch. Schwab},
  title = {Static load balancing for multi-level Monte Carlo finite volume solvers},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2011-32},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2011/2011-32.pdf },
  year = {2011}
}

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