Boundary treatment and multigrid preconditioning for semi-Lagrangian schemes applied to Hamilton-Jacobi-Bellman equations
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Publication:2399158
CFL conditionconvergencefinite difference schemefully nonlinear PDEsHamilton-Jacobi-Bellman equationsmonotone approximation schemesmultigridnumerical examplespreconditionerssemi-Lagrangian schemesstabilitywide stencils
Hamilton-Jacobi equations (35F21) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Preconditioners for iterative methods (65F08) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
Abstract: We analyse two practical aspects that arise in the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes. These schemes make use of a wide stencil to achieve convergence and result in discretization matrices that are less sparse and less local than those coming from standard finite difference schemes. This leads to computational difficulties not encountered there. In particular, we consider the overstepping of the domain boundary and analyse the accuracy and stability of stencil truncation. This truncation imposes a stricter CFL condition for explicit schemes in the vicinity of boundaries than in the interior, such that implicit schemes become attractive. We then study the use of geometric, algebraic and aggregation-based multigrid preconditioners to solve the resulting discretised systems from implicit time stepping schemes efficiently. Finally, we illustrate the performance of these techniques numerically for benchmark test cases from the literature.
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