Parallel Multigrid Monte Carlo (MGMC)

ParMGMC is a C library implementation of the Multigrid Monte Carlo method in PETSc to sample from high-dimensional Gaussian distributions on distributed memory machines.

Dependencies

ParMGMC has the following dependencies:

• An MPI installation (e.g., OpenMPI or MPICH)
• PETSc (tested with version 3.21, anything >= 3.19 should work) built with MUMPS and C/Pardiso enabled
• Intel MKL

After Intel MKL has been installed, the remaining dependencies can be installed via PETSc's ./configure command by running

./configure --download-mpich      \
            --with-petsc4py       \
            --download-mumps      \
            --download-scalapack  \
            --with-mkl_cpardiso   \
            --with-mkl_pardiso    \
            --with-blas-lapack-dir=/opt/intel/oneapi/mkl/latest/lib

after downloading PETSc (the path to the Intel MKL might differ depending on the platform).

If the Python bindings should be enabled, pybind11 and petsc4py are also required.

Building the library

CMake is used to configure and simplify building ParMGMC. To compile the library and examples run

$ git clone https://github.com/nilsfriess/ParMGMC.git
$ cd ParMGMC
$ mkdir build && cd build
$ cmake .. -DCMAKE_PREFIX_PATH=/path/to/petsc
$ make

To specify a custom compiler (e.g., a MPI compiler wrapper) add -DCMAKE_CXX_COMPILER=mpicxx and/or -DCMAKE_C_COMPILER=mpicc (the library itself is written in C but can also be used from C++ as shown in the examples in the examples_cpp folder).

Installing the library

To install the library to some directory, add -DCMAKE_INSTALL_PREFIX=/path/to/install during CMake configuration. Then run make install to copy the compiled library and headers to the specified directory. This also generates a pkg-config file that can be used to simplify using this library in other projects. If the environment variable PKG_CONFIG_PATH contains both the path to parmgmc.pc (located in /path/to/install/lib/pkgconfig) and the path to PETSc's pkg-config file (located in /path/to/petsc/lib/pkgconfig), then a program using ParMGMC can be compiled with

gcc main.c -o main $(pkg-config --cflags --libs petsc parmgmc)

Python bindings

The library can also be used from Python. If the necessary requirements are satisfied, pass -DPARMGMC_ENABLE_PYTHON_BINDINGS=True during the CMake config to enable Python bindings. See the files in the examples_py folder for examples.