An efficient filtered scheme for some first order time-dependent Hamilton-Jacobi equations

DOI10.1137/140998482MaRDI QIDQ3464422zbMATH OpenOpenAlexFDO

Authors Olivier Bokanowski, M. Falcone, Smita Sahu

Publication date 27 January 2016

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.01518

zbMATH Keywords

\(\epsilon\)-monotone schemeerror estimatesHamilton-Jacobi equationhigh-order schemesviscosity solutions

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Initial value problems for nonlinear first-order PDEs (35F25) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Error bounds for boundary value problems involving PDEs (65N15)

Abstract: We introduce a new class of "filtered" schemes for some first order non-linear Hamilton-Jacobi-Bellman equations. The work follows recent ideas of Froese and Oberman (SIAM J. Numer. Anal., Vol 51, pp.423-444, 2013). The proposed schemes are not monotone but still satisfy some $epsilon$-monotone property. Convergence results and precise error estimates are given, of the order of $sqrtDeltax$ where $Deltax$ is the mesh size. The framework allows to construct finite difference discretizations that are easy to implement, high--order in the domains where the solution is smooth, and provably convergent, together with error estimates. Numerical tests on several examples are given to validate the approach, also showing how the filtered technique can be applied to stabilize an otherwise unstable high--order scheme.

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Cited in

(21)

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• A numerical construction of the universal feedback control in problems of nonlinear controls under disturbance
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• Hamilton-Jacobi-Bellman equations
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• A high-order scheme for image segmentation via a modified level-set method
• A Class of High Resolution Difference Schemes for Nonlinear Hamilton--Jacobi Equations with Varying Time and Space Grids
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