A parallel solver for random input problems via Karhunen-Lo\`{e}ve expansion and diagonalized coarse grid correction

TL;DR

This paper introduces a hybrid parallel algorithm combining Karhunen-Lo extbackslash e{}ve expansion and coarse grid correction to improve the efficiency and scalability of solving stochastic initial-value problems with parallel-in-time methods.

Contribution

The paper presents a novel KLE-CGC algorithm that enhances initial guess quality and convergence speed for stochastic problems, maintaining theoretical convergence rates.

Findings

Reduces the number of iterations needed for convergence.

Maintains the same convergence order as standard parareal.

Improves parallel scalability significantly.

Abstract

This paper is dedicated to enhancing the computational efficiency of traditional parallel-in-time methods for solving stochastic initial-value problems. The standard parareal algorithm often suffers from slow convergence when applied to problems with stochastic inputs, primarily due to the poor quality of the initial guess. To address this issue, we propose a hybrid parallel algorithm, termed KLE-CGC, which integrates the Karhunen-Lo\`{e}ve (KL) expansion with the coarse grid correction (CGC). The method first employs the KL expansion to achieve a low-dimensional parameterization of high-dimensional stochastic parameter fields. Subsequently, a generalized Polynomial Chaos (gPC) spectral surrogate model is constructed to enable rapid prediction of the solution field. Utilizing this prediction as the initial value significantly improves the initial accuracy for the parareal iterations. A rigorous convergence analysis is provided, establishing that the proposed framework retains the same theoretical convergence rate as the standard parareal algorithm. Numerical experiments demonstrate that KLE-CGC maintains the same convergence order as the original algorithm while substantially reducing the number of iterations and improving parallel scalability.