A Parareal Algorithm with Spectral Coarse Solver

Gander, Martin J; Ohlberger, Mario; Rave, Stephan

Abstract

We consider a new class of Parareal algorithms, which use ideas from localized reduced basis methods to construct the coarse solver from spectral approximations of the transfer operators mapping initial values for a given time interval to the solution at the end of the interval. By leveraging randomized singular value decompositions, these spectral approximations are obtained embarrassingly parallel by computing local fine solutions for random initial values. We show a priori and a posteriori error bounds in terms of the computed singular values of the transfer operators. Our numerical experiments demonstrate that our approach can significantly outperform Parareal with single-step coarse solvers. At the same time, it permits to further increase parallelism in Parareal by trading global iterations for a larger number of independent local solves.