Parallel algorithm for solving the Black-Scholes equation
A generalization of the spatially one-dimensional parallel pipe-line algorithm for solution of the initial-boundary-value problem using explicit difference method to the two-dimensional case is presented. The suggested algorithm has been verified by implementation on a workstation-cluster running under PVM (Parallel Virtual Machine). Theoretical estimates of the speed-up are presented.
The present paper discusses real parallel computations. On the basis of a selected group of dynamic programming algorithms, a number of factors affecting the efficiency of parallel computations such as, e.g., the way of distributing tasks, the interconnection structure between particular elements of the parallel system or the way of organizing of interprocessor communication are analyzed. Computations were implemented in the parallel multitransputer SUPER NODE 1000 system using from 5 to 50 transputers....
We present here some details of our implementation of Wavelet-Galerkin method for Poisson equation in C language parallelized by POSIX threads library and show its performance in dimensions .
We present in this paper a proof of well-posedness and convergence for the parallel Schwarz Waveform Relaxation Algorithm adapted to an N-dimensional semilinear heat equation. Since the equation we study is an evolution one, each subproblem at each step has its own local existence time, we then determine a common existence time for every problem in any subdomain at any step. We also introduce a new technique: Exponential Decay Error Estimates, to prove the convergence of the Schwarz Methods, with...
Parallelization is one of possible approaches for obtaining better results in terms of algorithm performance and overcome the limits of the sequential computation. In this paper, we present a study of parallelization of the opt-aiNet algorithm which comes from Artificial Immune Systems, one part of large family of population based algorithms inspired by nature. The opt-aiNet algorithm is based on an immune network theory which incorporates knowledge about mammalian immune systems in order to create...
In this paper, we investigate the coupling between operator splitting techniques and a time parallelization scheme, the parareal algorithm, as a numerical strategy for the simulation of reaction-diffusion equations modelling multi-scale reaction waves. This type of problems induces peculiar difficulties and potentially large stiffness which stem from the broad spectrum of temporal scales in the nonlinear chemical source term as well as from the presence of large spatial gradients in the reactive...