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This 3 hour course provides a detailed overview of grid-free Monte Carlo methods for solving partial differential equations (PDEs) based on the walk on spheres (WoS) algorithm, with a special emphasis on problems with high geometric complexity. PDEs are a basic building block of models and algorithms used throughout science, engineering and visual computing. Yet despite decades of research, conventional PDE solvers struggle to capture the immense geometric complexity of the natural world. A perennial challenge is spatial discretization: traditionally, one must partition the domain into a high-quality volumetric mesh—a process that can be brittle, memory intensive, and difficult to parallelize. WoS makes a radical departure from this approach, by reformulating the problem in terms of recursive integral equations that can be estimated using the Monte Carlo method, eliminating the need for spatial discretization. Since these equations strongly resemble those found in light transport theory, one can leverage deep knowledge from Monte Carlo rendering to develop new PDE solvers that share many of its advantages: no meshing, trivial parallelism, and the ability to evaluate the solution at any point without solving a global system of equations. The course is divided into two parts. Part I will cover the basics of using WoS to solve fundamental PDEs like the Poisson equation. Topics include formulating the solution as an integral equation, generating samples via recursive random walks, and employing accelerated distance and ray intersection queries to efficiently handle complex geometries. Participants will also gain experience setting up demo applications involving data interpolation, heat transfer, and geometric optimization using the open-source “Zombie” library, which implements various grid-free Monte Carlo PDE solvers. Part II will feature a mini-panel of academic and industry contributors covering advanced topics including variance reduction, differentiable and multi-physics simulation, and applications in industrial design and robust geometry processing.
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Mesh-Clustered Gaussian Process Emulator for Partial Differential Equation Boundary Value Problems
Partial differential equations (PDEs) have become an essential tool for modeling complex physical systems. Such equations are typically solved numerically via mesh-based methods, such as finite element methods, with solutions over the spatial domain. However, obtaining these solutions are often prohibitively costly, limiting the feasibility of exploring parameters in PDEs. In this article, we propose an efficient emulator that simultaneously predicts the solutions over the spatial domain, with theoretical justification of its uncertainty quantification. The novelty of the proposed method lies in the incorporation of the mesh node coordinates into the statistical model. In particular, the proposed method segments the mesh nodes into multiple clusters via a Dirichlet process prior and fits Gaussian process models with the same hyperparameters in each of them. Most importantly, by revealing the underlying clustering structures, the proposed method can provide valuable insights into qualitative features of the resulting dynamics that can be used to guide further investigations. Real examples are demonstrated to show that our proposed method has smaller prediction errors than its main competitors, with competitive computation time, and identifies interesting clusters of mesh nodes that possess physical significance, such as satisfying boundary conditions. An R package for the proposed methodology is provided in an open repository.
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- Award ID(s):
- 2113407
- PAR ID:
- 10546512
- Publisher / Repository:
- Taylor & Francis
- Date Published:
- Journal Name:
- Technometrics
- Volume:
- 66
- Issue:
- 3
- ISSN:
- 0040-1706
- Page Range / eLocation ID:
- 406 to 421
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1080/00401706.2024.2320211
