Neumann-Type Boundary Conditions for Hamilton-Jacobi Equations in Smooth Domains

Neumann or oblique derivative boundary conditions for viscosity solutions of Hamilton-Jacobi equations are considered. As developed by P.L. Lions, such boundary conditions are naturally associated with optimal control problems for which the state equations employ "Skorokhod" or reflection dynamics to ensure that the state remains in a prescribed set, assumed here to have a smooth boundary. We develop connections between the standard formulation of viscosity boundary conditions and an alternative formulation using a naturally occurring discontinuous Hamiltonian which incorporates the reflection dynamics directly. (This avoids the dependence of such equivalence on existence and uniqueness results, which may not be available in some applications.) At points of differentiability, equivalent conditions for the boundary conditions are given in terms of the Hamiltonian and the geometry of the state trajectories using optimal controls.     

Parametric optimization for a hyperbolic equation in divergence form with a pointwise state constraint: I

We consider an optimal control problem with a pointwise state constraint of inequality type and with dynamics described by a linear hyperbolic equation in divergence form with the homogeneous Dirichlet boundary condition. The state constraint contains a functional parameter that belongs to the class of continuous functions and occurs as an additive term. We study the properties of solutions of linear hyperbolic equations in divergence form with measures in the input data and compute the first variations of functionals on the basis of a so-called two-parameter needle variation of controls.     

The Mayer and Minimum Time Problems with Stratified State Constraints

This paper studies optimal control problems with state constraints by imposing structural assumptions on the constraint domain coupled with a tangential restriction with the dynamics. These assumptions replace pointing or controllability assumptions that are common in the literature, and provide a framework under which feasible boundary trajectories can be analyzed directly. The value functions associated with the state constrained Mayer and minimal time problems are characterized as solutions to a pair of Hamilton-Jacobi inequalities with appropriate boundary conditions. The novel feature of these inequalities lies in the choice of the Hamiltonian.     

A PDE Approach to Large-Time Asymptotics for Boundary-Value Problems for Nonconvex Hamilton–Jacobi Equations

We investigate the large-time behavior of three types of initial-boundary value problems for Hamilton–Jacobi Equations with nonconvex Hamiltonians. We consider the Neumann or oblique boundary condition, the state constraint boundary condition and Dirichlet boundary condition. We establish general convergence results for viscosity solutions to asymptotic solutions as time goes to infinity via an approach based on PDE techniques. These results are obtained not only under general conditions on the Hamiltonians but also under weak conditions on the domain and the oblique direction of reflection in the Neumann case.     

Convergence of Finite Volume Schemes for Hamilton-Jacobi Equations with Dirichlet Boundary Conditions

We study numerical methods for time-dependent Hamilton-Jacobi equations with weak Dirichlet boundary conditions. We first propose a new class of abstract monotone approximation schemes and get a convergence rate of 1/2 . Then, according to the abstract convergence results, by newly constructing monotone finite volume approximations on interior and boundary points, we obtain convergent finite volume schemes for time-dependent Hamilton-Jacobi equations with weak Dirichlet boundary conditions. Finally give some numerical results.     

Uniqueness results for a class of hamilton-jacobi equations with singular coefficients

We establish uniqueness or comparison results for a class of Hamilton-Jacobi equations and give characterizations of maximal solutions of Hamilton-Jacobi equations. The results are applied to characterizing value functions of exit time problems in optimal control.     

Large time behavior of solutions of Hamilton–Jacobi equations with periodic boundary data

We study the large time behavior of viscosity solutions of Hamilton–Jacobi equations with periodic boundary data on bounded domains. We establish a result on convergence of viscosity solutions to state constraint asymptotic solutions or periodic asymptotic solutions depending on the sign of critical value as time goes to infinity.     

Dirichlet Boundary Control of Semilinear Parabolic Equations Part 1: Problems with No State Constraints

This paper is concerned with distributed and Dirichlet boundary controls of semilinear parabolic equations, in the presence of pointwise state constraints. The paper is divided into two parts. In the first part we define solutions of the state equation as the limit of a sequence of solutions for equations with Robin boundary conditions. We establish Taylor expansions for solutions of the state equation with respect to perturbations of boundary control (Theorem 5.2). For problems with no state constraints, we prove three decoupled Pontryagin's principles, one for the distributed control, one for the boundary control, and the last one for the control in the initial condition (Theorem 2.1). Tools and results of Part 1 are used in the second part to derive Pontryagin's principles for problems with pointwise state constraints. Accepted 12 July 2001. Online publication 21 December 2001.     

Lyapunov Functions for Infinite-Dimensional Systems

We study Lyapunov functions for infinite-dimensional dynamical systems governed by general maximal monotone operators. We obtain a characterization of Lyapunov pairs by means of the associated Hamilton-Jacobi partial differential equations, whose solutions are meant in the viscosity sense, as evolved in works of Tataru and Crandall-Lions. Our approach also leads to a new sufficient condition for Lyapunov pairs, generalizing a classical result of Pazy.     

(mM)∞算子及Hamilton-Jacobi方程粘性解

Hamilton-Jacobi equations are frequently encountered in applications, e.g. , in control theory, differential games, and theory of economics, construct viscosity solutions of Hamilton-Jacobi equations having a nonconvex flux and a nonconvex initial value. The main idea is. decomposit flux into convex flux plus concave flux, with the help of a newly designed operator (mM)^∞ and Legendre transform, the viscosity solutions of Hamilton-Jacobi equations can be exactly ex-pressed. The (mM)^∞ type Solutions is proved to be the viscosity solutions ofHamilton-Jacobi equations. In fact our ( (mM)^∞ ) formula is a nonconvex generalization of the convex Lax-Oleinik-Hopf’s formula.     

Bounded-from-below solutions of the Hamilton-Jacobi equation for optimal control problems with exit times: vanishing lagrangians,eikonal equations,and shape-from-shading

We study the Hamilton-Jacobi equation for undiscounted exit time control problems with general nonnegative Lagrangians using the dynamic programming approach. We prove theorems characterizing the value function as the unique bounded-from-below viscosity solution of the Hamilton-Jacobi equation that is null on the target. The result applies to problems with the property that all trajectories satisfying a certain integral condition must stay in a bounded set. We allow problems for which the Lagrangian is not uniformly bounded below by positive constants, in which the hypotheses of the known uniqueness results for Hamilton-Jacobi equations are not satisfied. We apply our theorems to eikonal equations from geometric optics, shape-from-shading equations from image processing, and variants of the Fuller Problem.     

Robust control problems for the multilayer quasi-geostrophic system

In this article, we study some robust control problems associated with the multilayer quasi-geostrophic equations of the ocean and related to data assimilation in oceanography. We consider higher norms (compared to [T. Tachim Medjo, Robust control problems associated with the multilayer quasi-geostrophic equations of the ocean, Appl. Math. Optim. 51(3) (2005) 333–360]) in the definition of the cost functionals. We prove the existence and uniqueness of solutions. The result relies on better a priori estimates on the solutions to the multilayer quasi-geostrophic system obtained using a new formulation that we introduce for the multilayer quasi-geostrophic equation of the ocean. The new formulation replaces the non-homogenous boundary conditions (and the non-local constraint) on the stream-function by a simple homogenous Dirichlet boundary condition.     

Optimal fields for problems with delays

The theory of optimal fields is developed for optimal control problems in which the state variables are solutions of integral equations with delayed arguments. The maximum principle obtained reflects the effects of the delay in the control argument. The Hamilton-Jacobi equations are derived for this problem.     

The impact of finite precision arithmetic and sensitivity on the numerical solution of partial differential equations

In this paper, we address some fundamental issues concerning “time marching” numerical schemes for computing steady state solutions of boundary value problems for nonlinear partial differential equations. Simple examples are used to illustrate that even theoretically convergent schemes can produce numerical steady state solutions that do not correspond to steady state solutions of the boundary value problem. This phenomenon must be considered in any computational study of nonunique solutions to partial differential equations that govern physical systems such as fluid flows. In particular, numerical calculations have been used to “suggest” that certain Euler equations do not have a unique solution. For Burgers' equation on a finite spatial interval with Neumann boundary conditions the only steady state solutions are constant (in space) functions. Moreover, according to recent theoretical results, for any initial condition the corresponding solution to Burgers' equation must converge to a constant as t → ∞. However, we present a convergent finite difference scheme that produces false nonconstant numerical steady state “solutions.” These erroneous solutions arise out of the necessary finite floating point arithmetic inherent in every digital computer. We suggest the resulting numerical steady state solution may be viewed as a solution to a “nearby” boundary value problem with high sensitivity to changes in the boundary conditions. Finally, we close with some comments on the relevance of this paper to some recent “numerical based proofs” of the existence of nonunique solutions to Euler equations and to aerodynamic design.     

Optimality principles and uniqueness for Bellman equations of unbounded control problems with discontinuous running cost

We study viscosity solutions of Hamilton-Jacobi equations that arise in optimal control problems with unbounded controls and discontinuous Lagrangian. In our assumptions, the comparison principle will not hold, in general. We prove optimality principles that extend the scope of the results of [23] under very general assumptions, allowing unbounded controls. In particular, our results apply to calculus of variations problems under Tonelli type coercivity conditions. Optimality principles can be applied to obtain necessary and sufficient conditions for uniqueness in boundary value problems, and to characterize minimal and maximal solutions when uniqueness fails. We give examples of applications of our results in this direction.     

On the Hamilton-Jacobi equation in the framework of generalized functions

In this work we study, in the framework of Colombeau?s generalized functions, the Hamilton-Jacobi equation with a given initial condition. We have obtained theorems on existence of solutions and in some cases uniqueness. Our technique is adapted from the classical method of characteristics with a wide use of generalized functions. We were led also to obtain some general results on invertibility and also on ordinary differential equations of such generalized functions.     

On the first eigenpair of singularly perturbed operators with oscillating coefficients

The paper deals with a Dirichlet spectral problem for a singularly perturbed second order elliptic operator with rapidly oscillating locally periodic coefficients. We study the limit behavior of the first eigenpair (ground state) of this problem. The main tool in deriving the limit \mbox(effective) problem is the viscosity solutions technique for Hamilton-Jacobi equations. The effective problem need not have a unique solution. We study the non-uniqueness issue in a particular case of zero potential and construct the higher order term of the ground state asymptotics.     

Small time and semiclassical asymptotics for stochastic heat equations driven by Lévy noise

The paper is devoted to the study of stochastic heat equations driven by Lévy noise. Applying the WKB method, we obtain multiplicative small time and semiclassical asymptotics for the Green functions and for solutions of the Cauchy problem for the heat equation under some natural additional assumptions on their coefficients. The first step in this construction consists in solving the corresponding stochastic Hamilton-Jacobi equations which constitute the "classical part" of the semiclassical approximation. In its turn, the corresponding Hamilton-Jacobi equations can be solved via solutions of the corresponding Hamiltonian systems, which gives rise to the method of stochastic characteristics. The relevant theory of stochastic Hamiltonian systems and stochastic Hamilton-Jacobi equations was developed in our previous papers. Here we put the final rung on the ladder: stochastic Hamiltonian systems, stochastic Hamilton-Jacobi equations, stochastic heat equations.     

On a coupled nonlinear singular thermoelastic system

For a coupled nonlinear singular system of thermoelasticity with one space dimension, we consider its initial boundary value problem on an interval. For one of the unknowns a classical condition is replaced by a nonlocal constraint of integral type. Because of the presence of a memory term in one of the equations and the presence of a weighted boundary integral condition, the solution requires a delicate set of techniques. We first solve a particular case of the given nonlinear problem by using a functional analysis approach. On the basis of the results obtained and an iteration method we establish the well-posedness of solutions in weighted Sobolev spaces.     

Explicit Hopf-Lax type formulas for Hamilton-Jacobi equations and conservation laws with discontinuous coefficients

We deal with a Hamilton-Jacobi equation with a Hamiltonian that is discontinuous in the space variable. This is closely related to a conservation law with discontinuous flux. Recently, an entropy framework for single conservation laws with discontinuous flux has been developed which is based on the existence of infinitely many stable semigroups of entropy solutions based on an interface connection. In this paper, we characterize these infinite classes of solutions in terms of explicit Hopf-Lax type formulas which are obtained from the viscosity solutions of the corresponding Hamilton-Jacobi equation with discontinuous Hamiltonian. This also allows us to extend the framework of infinitely many classes of solutions to the Hamilton-Jacobi equation and obtain an alternative representation of the entropy solutions for the conservation law. We have considered the case where both the Hamiltonians are convex (concave). Furthermore, we also deal with the less explored case of sign changing coefficients in which one of the Hamiltonians is convex and the other concave. In fact in convex-concave case we cannot expect always an existence of a solution satisfying Rankine-Hugoniot condition across the interface. Therefore the concept of generalised Rankine-Hugoniot condition is introduced and prove existence and uniqueness.