Hybrid PDE solver for data-driven problems and modern branching

Francisco Bernal, Gonçalo Dos Reis, Greig Smith

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best possible use of them. In fact, considerations about the parallelization and scalability of realistic problems are often critical enough to warrant acknowledgement in the modelling phase. The purpose of this paper is to spread awareness of the Probabilistic Domain Decomposition (PDD) method, a fresh approach to the parallelization of PDEs with excellent scalability properties. The idea exploits the stochastic representation of the PDE and its approximation via Monte Carlo in combination with deterministic high-performance PDE solvers. We describe the ingredients of PDD and its applicability in the scope of data science. In particular, we highlight recent advances in stochastic representations for non-linear PDEs using branching diffusions, which have significantly broadened the scope of PDD. We envision this work as a dictionary giving large-scale PDE practitioners references on the very latest algorithms and techniques of a non-standard, yet highly parallelizable, methodology at the interface of deterministic and probabilistic numerical methods. We close this work with an invitation to the fully non-linear case and open research questions.

Original languageEnglish
Pages (from-to)949-972
Number of pages24
JournalEuropean Journal of Applied Mathematics
Issue number6
Publication statusPublished - Dec 2017


  • 2010 AMS Subject Classification: Primary: 65C05 65C30 Secondary: 65N55 60H35 91-XX 35CXX


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