Fast weak-KAM integrators for separable Hamiltonian systems
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Hamilton-Jacobi equations (35F21) Initial value problems for nonlinear first-order PDEs (35F25) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Numerical methods for Hamiltonian systems including symplectic integrators (65P10)
Abstract: We consider a numerical scheme for Hamilton-Jacobi equations based on a direct discretization of the Lax-Oleinik semi-group. We prove that this method is convergent with respect to the time and space stepsizes provided the solution is Lipschitz, and give an error estimate. Moreover, we prove that the numerical scheme is a geometric integrator satisfying a discrete weak-KAM theorem which allows to control its long time behavior. Taking advantage of a fast algorithm for computing min-plus convolutions based on the decomposition of the function into concave and convex parts, we show that the numerical scheme can be implemented in a very efficient way.
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Cited in
(6)- Weak KAM theory for action minimizing random walks
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