arXiv subjects

Giovanni Samaey

Publications and source records attributed to Giovanni Samaey.

At least 37 records · Page 2Linked to original sources

arXiv2025

Fluid boundary conditions in kinetic-diffusion Monte Carlo

The Kinetic-Diffusion Monte Carlo (KDMC) method is a powerful tool for simulating neutral particles in fusion reactors. It is a hybrid fluid-kinetic method that is significantly faster than pure kinetic methods at the cost of a small bias due to fluid approximations. Unfortunately, when simulating particles close to a boundary, it needs to switch to a purely kinetic method, which is significantly slower. In this paper, we will extend the method so that it can accurately take boundary conditions into account without switching to a purely kinetic method. Experiments show that this extension can lead to a speedup of up to 500 times compared to a KDMC method that switches to a purely kinetic method, while not sacrificing too much accuracy.

math.NA↗

arXiv2025

Kinetic-Diffusion-Rotation Algorithm for Dose Estimation in Electron Beam Therapy

Monte Carlo methods are state-of-the-art when it comes to dosimetric computations in radiotherapy. However, the execution time of these methods suffers in high-collisional regimes. We address this problem by introducing a kinetic-diffusion particle tracing scheme. This algorithm, first proposed in the context of neutral transport in fusion energy, relies on explicit simulation of the kinetic motion in low-collisional regimes and dynamically switches to motion based on a random walk in high-collisional regimes. The random walk motion maintains the first two moments (mean and variance) of the kinetic motion. We derive an analytic formula for the mean kinetic motion and discuss the addition of a multiple scattering distribution to the algorithm. In contrast to neutral transport, the radiation transfer setting does not readily admit to an analytical expression for the variance of the kinetic motion, and we therefore resort to the use of a lookup table. We test the algorithm for dosimetric computations in radiation therapy on a 2D CT scan of a lung patient. Using a simple particle model, our Python implementation of the algorithm is nearly 33 times faster than an equivalent kinetic simulation at the cost of a small modeling error.

q-bio.QM↗

arXiv2025

Predicting the statistical error of analog particle tracing Monte Carlo

Large particle systems are often described by high-dimensional (linear) kinetic equations that are simulated using Monte Carlo methods for which the asymptotic convergence rate is independent of the dimensionality. Even though the asymptotic convergence rate is known, predicting the actual value of the statistical error remains a challenging problem. In this paper, we show how the statistical error of an analog particle tracing Monte Carlo method can be calculated (expensive) and predicted a priori (cheap) when estimating quantities of interest (QoI) on a histogram. We consider two types of QoI estimators: point estimators for which each particle provides one independent contribution to the QoI estimates, and analog estimators for which each particle provides multiple correlated contributions to the QoI estimates. The developed statistical error predictors can be applied to other QoI estimators and nonanalog simulation routines as well. The error analysis is based on interpreting the number of particle visits to a histogram bin as the result of a (correlated) binomial experiment. The resulting expressions can be used to optimize (non)analog particle tracing Monte Carlo methods and hybrid simulation methods involving a Monte Carlo component, as well as to select an optimal particle tracing Monte Carlo method from several available options. Additionally, the cheap statistical error predictors can be used to determine a priori the number of particles N that is needed to reach a desired accuracy. We illustrate the theory using a linear kinetic equation describing neutral particles in the plasma edge of a fusion device and show numerical results. The code used to perform the numerical experiments is openly available.

physics.comp-ph↗

arXiv2025

Single-ensemble multilevel Monte Carlo for discrete ensemble Kalman methods

Ensemble Kalman methods solve problems in domains such as filtering and inverse problems with interacting particles that evolve over time. For computationally expensive problems, the cost of attaining a high accuracy quickly becomes prohibitive. We exploit a hierarchy of approximations to the underlying forward model and apply multilevel Monte Carlo (MLMC) techniques, improving the asymptotic cost-to-error relation. More specifically, we use MLMC at each time step to estimate the interaction term in a single, globally-coupled ensemble. This technique was proposed by Hoel et al. for the ensemble Kalman filter; our goal is to study its applicability to a broader family of ensemble Kalman methods.

math.NA↗

arXiv2025

Convergence of the micro-macro Parareal Method for a Linear Scale-Separated Ornstein-Uhlenbeck SDE: extended version

Time-parallel methods can reduce the wall clock time required for the accurate numerical solution of differential equations by parallelizing across the time-dimension. In this paper, we present and test the convergence behavior of a multiscale, micro-macro version of a Parareal method for stochastic differential equations (SDEs). In our method, the fine propagator of the SDE is based on a high-dimensional slow-fast microscopic model; the coarse propagator is based on a model-reduced version of the latter, that captures the low-dimensional, effective dynamics at the slow time scales. We investigate how the model error of the approximate model influences the convergence of the micro-macro Parareal algorithm and we support our analysis with numerical experiments. This is an extended and corrected version of [Domain Decomposition Methods in Science and Engineering XXVII. DD 2022, vol 149 (2024), pp. 69-76, Bossuyt, I., Vandewalle, S., Samaey, G.].

math.NA↗

arXiv2025

Multilevel Markov Chain Monte Carlo with likelihood scaling for Bayesian inversion with high-resolution observations

We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent data resolution and introduce a suitable likelihood scaling to enable consistent cross-level comparisons. We theoretically show that this approach attains the same convergence rates as when using level-independent treatment of data, but at significantly reduced computational cost. The convergence analysis focuses on Lipschitz continuous transformations of Gaussian random fields with Matérn covariance structure. These results are illustrated using numerical experiments for a 2D plane stress problem, where the Young's modulus is estimated from discretisations of the displacement field.

math.NA↗

arXiv2024

Efficient parallel inversion of ParaOpt preconditioners

Recently, the ParaOpt algorithm was proposed as an extension of the time-parallel Parareal method to optimal control. ParaOpt uses quasi-Newton steps that each require solving a system of matching conditions iteratively. The state-of-the-art parallel preconditioner for linear problems leads to a set of independent smaller systems that are currently hard to solve. We generalize the preconditioner to the nonlinear case and propose a new, fast inversion method for these smaller systems, avoiding disadvantages of the current options with adjusted boundary conditions in the subproblems.

math.NA↗

arXiv2024

Micro-macro Parareal, from ODEs to SDEs and back again

In this paper, we are concerned with the micro-macro Parareal algorithm for the simulation of initial-value problems. In this algorithm, a coarse (fast) solver is applied sequentially over the time domain, and a fine (time-consuming) solver is applied as a corrector in parallel over smaller chunks of the time interval. Moreover, the coarse solver acts on a reduced state variable, which is coupled to the fine state variable through appropriate coupling operators. We first provide a contribution to the convergence analysis of the micro-macro Parareal method for multiscale linear ordinary differential equations (ODEs). Then, we extend a variant of the micro-macro Parareal algorithm for scalar stochastic differential equations (SDEs) to higher-dimensional SDEs.

math.NA↗

arXiv2024

Cell Escape Probabilities for Markov Processes on a Grid

Kinetic equations describe physical processes in a high-dimensional phase space and are often simulated using Markov process-based Monte Carlo routines. The quantities of interest are typically defined on the lower-dimensional position space and estimated on a grid (histogram). In several applications, such as the construction of diffusion Monte Carlo-like techniques and variance prediction for particle tracing Monte Carlo methods, the cell escape probabilities, i.e., the probabilities with which particles escape a grid cell during one step of the Markov process, are of interest. In this paper, we derive formulas to calculate the cell escape probabilities for common mesh elements in one, two, and three dimensions. Deterministic calculation of cell escape probabilities in higher dimensions becomes expensive and prone to quadrature errors due to the involved high-dimensional integrals. We therefore also introduce a stochastic Monte Carlo algorithm to calculate the escape probabilities, which is more robust at the cost of a statistical error. The code used to perform the numerical experiments and accompanying GeoGebra tutorials are openly available at https://gitlab.kuleuven.be/numa/public/escape-probabilities-markov-processes.

math-ph↗

arXiv2024

On generalized preconditioners for time-parallel parabolic optimal control

The ParaDiag family of algorithms solves differential equations by using preconditioners that can be inverted in parallel through diagonalization. In the context of optimal control of linear parabolic PDEs, the state-of-the-art ParaDiag method is limited to solving self-adjoint problems with a tracking objective. We propose three improvements to the ParaDiag method: the use of alpha-circulant matrices to construct an alternative preconditioner, a generalization of the algorithm for solving non-self-adjoint equations, and the formulation of an algorithm for terminal-cost objectives. We present novel analytic results about the eigenvalues of the preconditioned systems for all discussed ParaDiag algorithms in the case of self-adjoint equations, which proves the favorable properties the alpha-circulant preconditioner. We use these results to perform a theoretical parallel-scaling analysis of ParaDiag for self-adjoint problems. Numerical tests confirm our findings and suggest that the self-adjoint behavior, which is backed by theory, generalizes to the non-self-adjoint case. We provide a sequential, open-source reference solver in Matlab for all discussed algorithms.

math.NA↗

arXiv2024

Projective Integration Methods in the Runge-Kutta Framework and the Extension to Adaptivity in Time

Projective Integration methods are explicit time integration schemes for stiff ODEs with large spectral gaps. In this paper, we show that all existing Projective Integration methods can be written as Runge-Kutta methods with an extended Butcher tableau including many stages. We prove consistency and order conditions of the Projective Integration methods using the Runge-Kutta framework. Spatially adaptive Projective Integration methods are included via partitioned Runge-Kutta methods. New time adaptive Projective Integration schemes are derived via embedded Runge-Kutta methods and step size variation while their accuracy, stability, convergence, and error estimators are investigated analytically and numerically.

math.NA↗

arXiv2023

Reversible random number generation for adjoint Monte Carlo simulation of the heat equation

In PDE-constrained optimization, one aims to find design parameters that minimize some objective, subject to the satisfaction of a partial differential equation. A major challenges is computing gradients of the objective to the design parameters, as applying the chain rule requires computing the Jacobian of the design parameters to the PDE's state. The adjoint method avoids this Jacobian by computing partial derivatives of a Lagrangian. Evaluating these derivatives requires the solution of a second PDE with the adjoint differential operator to the constraint, resulting in a backwards-in-time simulation. Particle-based Monte Carlo solvers are often used to compute the solution to high-dimensional PDEs. However, such solvers have the drawback of introducing noise to the computed results, thus requiring stochastic optimization methods. To guarantee convergence in this setting, both the constraint and adjoint Monte Carlo simulations should simulate the same particle trajectories. For large simulations, storing full paths from the constraint equation for re-use in the adjoint equation becomes infeasible due to memory limitations. In this paper, we provide a reversible extension to the family of permuted congruential pseudorandom number generators (PCG). We then use such a generator to recompute these time-reversed paths for the heat equation, avoiding these memory issues.

math.NA↗

arXiv2023

Hilbert expansion based fluid models for kinetic equations describing neutral particles in the plasma edge of a fusion device

Neutral particles in the plasma edge of fusion devices based on magnetic confinement are described by a transient kinetic equation incorporating ionization, recombination, and charge-exchange collisions. In charge-exchange dominated regimes, the neutral particle velocity distribution approaches the drifting Maxwellian defined by the mean velocity and temperature of the plasma. This enables model order reduction from the kinetic equation to approximate fluid models. We derive transient fluid models consistent with the kinetic equation by exploring a splitting based approach. We split the kinetic equation in sources and sinks on the one hand, and transport combined with charge-exchange on the other hand. Combining transport with charge-exchange collisions allows for deriving Hilbert expansion based fluid models. The retrieved fluid models depend on the assumed importance (scaling) of the different terms in the split equation describing transport and charge-exchange. We explore two scalings: the hydrodynamic scaling and the diffusive scaling. The performance of the fluid models with respect to a discrete velocity model and a Monte Carlo reference solver is assessed in numerical experiments. The code used to perform the numerical experiments is openly available.

physics.plasm-ph↗

arXiv2023

A micro/macro parallel-in-time (parareal) algorithm applied to a climate model with discontinuous non-monotone coefficients and oscillatory forcing

We present the application of a micro/macro parareal algorithm for a 1-D energy balance climate model with discontinuous and non-monotone coefficients and forcing terms. The micro/macro parareal method uses a coarse propagator, based on a (macroscopic) 0-D approximation of the underlying (microscopic) 1-D model. We compare the performance of the method using different versions of the macro model, as well as different numerical schemes for the micro propagator, namely an explicit Euler method with constant stepsize and an adaptive library routine. We study convergence of the method and the theoretical gain in computational time in a realization on parallel processors. We show that, in this example and for all settings, the micro/macro parareal method converges in fewer iterations than the number of used parareal subintervals, and that a theoretical gain in performance of up to 10 is possible.

math.NA↗

arXiv2023

Diagonalization-based preconditioners and generalized convergence bounds for ParaOpt

The ParaOpt algorithm was recently introduced as a time-parallel solver for optimal-control problems with a terminal-cost objective, and convergence results have been presented for the linear diffusive case with implicit-Euler time integrators. We reformulate ParaOpt for tracking problems and provide generalized convergence analyses for both objectives. We focus on linear diffusive equations and prove convergence bounds that are generic in the time integrators used. For large problem dimensions, ParaOpt's performance depends crucially on having a good preconditioner to solve the arising linear systems. For the case where ParaOpt's cheap, coarse-grained propagator is linear, we introduce diagonalization-based preconditioners inspired by recent advances in the ParaDiag family of methods. These preconditioners not only lead to a weakly-scalable ParaOpt version, but are themselves invertible in parallel, making maximal use of available concurrency. They have proven convergence properties in the linear diffusive case that are generic in the time discretization used, similarly to our ParaOpt results. Numerical results confirm that the iteration count of the iterative solvers used for ParaOpt's linear systems becomes constant in the limit of an increasing processor count. The paper is accompanied by a sequential MATLAB implementation.

math.NA↗

arXiv2023

Pseudo-Marginal Approximation to the Free Energy in a Micro-Macro Markov Chain Monte Carlo Method

We introduce a generalised micro-macro Markov chain Monte Carlo (mM-MCMC) method with pseudo-marginal approximation to the free energy, that is able to accelerate sampling of the microscopic Gibbs distributions when there is a time-scale separation between the macroscopic dynamics of a reaction coordinate and the remaining microscopic degrees of freedom. The mM-MCMC method attains this efficiency by iterating four steps: i) Propose a new value of the reaction coordinate; ii) Accept or reject the macroscopic sample; iii) Run a biased simulation that creates a microscopic molecular instance that lies close to the newly sampled macroscopic reaction coordinate value; iv) Microscopic accept/reject step for the new microscopic sample. In the present paper, we eliminate the main computational bottleneck of earlier versions of this method: the necessity to have an accurate approximation of the free energy. We show that introduction of a pseudo-marginal approximation significantly reduces the computational cost of the microscopic accept/reject step, while still providing unbiased samples. We illustrate the method's behaviour on several molecular systems with low-dimensional reaction coordinates.

math.NA↗

arXiv2023

Accelerated simulation of Boltzmann-BGK equations near the diffusive limit with asymptotic-preserving multilevel Monte Carlo

Kinetic equations model the position-velocity distribution of particles subject to transport and collision effects. Under a diffusive scaling, these combined effects converge to a diffusion equation for the position density in the limit of an infinite collision rate. Despite this well-defined limit, numerical simulation is expensive when the collision rate is high but finite, as small time steps are then required. In this work, we present an asymptotic-preserving multilevel Monte Carlo particle scheme that makes use of this diffusive limit to accelerate computations. In this scheme, we first sample the diffusive limiting model to compute a biased initial estimate of a Quantity of Interest, using large time steps. We then perform a limited number of finer simulations with transport and collision dynamics to correct the bias. The efficiency of the multilevel method depends on being able to perform correlated simulations of particles on a hierarchy of discretization levels. We present a method for correlating particle trajectories and present both an analysis and numerical experiments. We demonstrate that our approach significantly reduces the cost of particle simulations in high-collisional regimes, compared with prior work, indicating significant potential for adopting these schemes in various areas of active research.

math.NA↗

arXiv2022

Efficiency and Parameter Selection of a micro-macro Markov chain Monte Carlo method for molecular dynamics

We recently introduced a mM-MCMC scheme that is able to accelerate the sampling of Gibbs distributions when there is a time-scale separation between the complete molecular dynamics and the slow dynamics of a low dimensional reaction coordinate. The mM-MCMC Markov chain works in three steps: 1) compute the reaction coordinate value associated to the current molecular state; 2) generate a new macroscopic proposal using some approximate macroscopic distribution; 3) reconstruct a molecular configuration that is consistent with the newly sampled macroscopic value. There are a number of method parameters that impact the efficiency of the mM-MCMC method. On the macroscopic level, the proposal- and approximate macroscopic distributions are important, while on the microscopic level the reconstruction distribution is of significant importance. In this manuscript, we will investigate the impact of these parameters on the efficiency of the mM-MCMC method on two molecules: a simple three-atom molecule and butane.

math.NA↗