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NSDETimeParallel.jl

This is the documentation of NSDETimeParallel.jl, a Julia package implementing time-parallel methods — the Parareal algorithm over one shared skeleton with four execution backends.

Installation

From the Julia REPL,

]add https://github.com/giancarloantonucci/NSDETimeParallel.jl

Getting started

using NSDERungeKutta, NSDETimeParallel

problem = Lorenz([2.0, 3.0, -14.0], (0.0, 10.0))
parareal = Parareal(RK4(h = 1e-3), RK4(h = 1e-1);       # fine, coarse
                    parameters = PararealParameters(N = 10),
                    tolerance = Tolerance(ϵ = 1e-8))
solution = solve(problem, parareal)
solution.errors        # error per iteration
solution(5.0)          # interpolate

The convergence measure lives in Tolerance: the unweighted ψ₁ (default) or the weighted ψ₂ with Weights — the latter is what the zooming strategy of NSDEMovingWindow.jl acts on.

  • The Backends page covers the four execution modes and how to judge speed-ups.
  • The API holds the full reference.