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A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation

Lionel Lenôtre 1, *
* Corresponding author
1 SAGE - Simulations and Algorithms on Grids for Environment
Inria Rennes – Bretagne Atlantique , IRISA-D1 - SYSTÈMES LARGE ÉCHELLE
Abstract : In this paper, we present some investigations on the parallelization of stochastic Lagrangian simulations. The challenge is the proper management of the random numbers. We review two different object-oriented strategies: to draw the random numbers on the fly within each MPI's process or to use a different random number generator for each simulated path. We show the benefits of the second technique which is implemented in the PALMTREE software developed by the Project-team Sage of Inria Rennes. The efficiency of PALMTREE is demonstrated on two classical examples.
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Lionel Lenôtre. A Strategy for Parallel Implementations of Stochastic Lagrangian Simulation. Springer Proceedings in Mathematics & Statistics, Springer, 2016, Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014, 163, ⟨10.1007/978-3-319-33507-0_26⟩. ⟨hal-01066410v3⟩

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