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A fault tolerant implementation of Multi-Level Monte Carlo methods
Stefan Pauli, Manuel Kohler, Peter Arbenz
471 - 480
10.3233/978-1-61499-381-0-471
Advances in Parallel Computing
Volume 25: Parallel Computing: Accelerating Computational Science and Engineering (CSE)
Abstract

The theory behind fault tolerant multi-level Monte Carlo (FT-MLMC) methods was recently developed and tested. These tests were made without a real fault tolerant implementation. We implemented an MPI-parallelized fault tolerant MLMC version of an existing parallel MLMC code (ALSVID-UQ). It is based on the User Level Failure Mitigation, a fault tolerant extension of MPI. We confirm our FT-MLMC theory by means of simulations of the two-dimensional stochastic Euler equations of gas dynamics.

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