Multi-step variant of the parareal algorithm: convergence analysis and numerics

¹ Inria, team LEMON / IMAG, Univ. Montpellier, CNRS, 34095 Montpellier, France
² Sorbonne Université, CNRS, Université Paris Cité, Laboratoire Jacques-Louis Lions (LJLL), F-75005 Paris, France
³ Institut Universitaire de France, Paris, France

^* Corresponding author: katia.ait-ameur@inria.fr

Received: 26 February 2023
Accepted: 1 March 2024

Abstract

In this paper, we consider the problem of accelerating the numerical simulation of time dependent problems involving a multi-step time scheme by the parareal algorithm. The parareal method is based on combining predictions made by a coarse and cheap propagator, with corrections computed with two propagators: the previous coarse and a precise and expensive one used in a parallel way over the time windows. A multi-step time scheme can potentially bring higher approximation orders than plain one-step methods but the initialisation of each time window needs to be appropriately chosen. Our main contribution is the design and analysis of an algorithm adapted to this type of discretisation without being too much intrusive in the coarse or fine propagators. At convergence, the parareal algorithm provides a solution that coincides with the solution of the fine solver. In the classical version of parareal, the local initial condition of each time window is corrected at every iteration. When the fine and/or coarse propagators is a multi-step time scheme, we need to choose a consistent approximation of the solutions involved in the initialisation of the fine solver at each time windows. Otherwise, the initialisation error will prevent the parareal algorithm to converge towards the solution with fine solver’s accuracy. In this paper, we develop a variant of the algorithm that overcome this obstacle. Thanks to this, the parareal algorithm is more coherent with the underlying time scheme and we recover the properties of the original version. We show both theoretically and numerically that the accuracy and convergence of the multi-step variant of parareal algorithm are preserved when we choose carefully the initialisation of each time window.