A multigrid-like algorithm for probabilistic domain decomposition Articles uri icon

publication date

  • October 2016

start page

  • 1790

end page

  • 1810


  • 7


  • 72

International Standard Serial Number (ISSN)

  • 0898-1221

Electronic International Standard Serial Number (EISSN)

  • 1873-7668


  • We present an iterative scheme, reminiscent of the Multigrid method, to solve large boundary value problems with Probabilistic Domain Decomposition (PDD). In it, increasingly accurate approximations to the solution are used as control variates in order to reduce the Monte Carlo error of the following iterates—resulting in an overall acceleration of PDD for a given error tolerance. The key feature of the proposed algorithm is the ability to approximately predict the speedup with little computational overhead and in parallel. Besides, the theoretical framework allows to explore other aspects of PDD, such as stability. One numerical example is worked out, yielding an improvement between one and two orders of magnitude over the previous version of PDD.


  • Mathematics


  • pdd; domain decomposition; scalability; high-performance supercomputing; variance reduction; feynman-kac formula