Numerical schemes for Hamilton-Jacobi equations on unstructured meshes

Summary.  In this paper, a numerical scheme is presented by applying the finite element method to the viscosity equations of the Hamilton-Jacobi equations on unstructured meshes. By improving the finite element scheme, another numerical scheme is constructed. Under certain limitations, the numerical solutions of the two schemes converge to the viscosity solutions of the Hamilton-Jacobi equations. The latter numerical scheme has weaker restrictions than the former scheme for convergence. Numerical examples are provided to test the stability, convergence and sensitivity to different meshes. Received November 5, 2001 / Revised version received March 5, 2002 / Published online October 29, 2002 RID="*" ID="*" Current address: Department of Applied Mathematics, University of Petroleum, Dongying 257062, Shandong, P.R.China; e-mail: xianggui_li@sina.com Mathematics Subject Classification (1991): 65M60     

Semi-discrete central-upwind schemes with reduced dissipation for Hamilton-Jacobi equations

We introduce a new family of Godunov-type semi-discrete centralschemes for multidimensional Hamilton–Jacobi equations.These schemes are a less dissipative generalization of the central-upwindschemes that have been recently proposed in Kurganov, Noelleand Petrova (2001, SIAM J. Sci. Comput., 23, pp. 707–740).We provide the details of the new family of methods in one,two, and three space dimensions, and then verify their expectedlow-dissipative property in a variety of examples.     

Convergence of an iterative algorithm for solving Hamilton-Jacobi type equations

Solutions of the optimal control and -control problems for nonlinear affine systems can be found by solving Hamilton-Jacobi equations. However, these first order nonlinear partial differential equations can, in general, not be solved analytically. This paper studies the rate of convergence of an iterative algorithm which solves these equations numerically for points near the origin. It is shown that the procedure converges to the stabilizing solution exponentially with respect to the iteration variable. Illustrative examples are presented which confirm the theoretical rate of convergence.

     

Nonlinear explicit difference schemes for solving parabolic equations

A method is proposed for solving initial-boundary-value problems for parabolic equations by means of reducing them to Cauchy problems for systems of ordinary differential equations and applying to the latter nonlinear explicit numerical methods.Translated from Matematicheskie Metody i Fiziko-Mekhanicheskie Polya, No. 25, pp. 28–30, 1987.     

Convergence of MUSCL and filtered schemes for scalar conservation laws and Hamilton-Jacobi equations

Summary. This paper considers the questions of convergence of: (i) MUSCL type (i.e. second-order, TVD) finite-difference approximations towards the entropic weak solution of scalar, one-dimensional conservation laws with strictly convex flux and (ii) higher-order schemes (filtered to ``preserve' an upper-bound on some weak second-order finite differences) towards the viscosity solution of scalar, multi-dimensional Hamilton-Jacobi equations with convex Hamiltonians. Received May 16, 1994     

Regularity theory for Hamilton-Jacobi equations

The objective of this paper is to discuss the regularity of viscosity solutions of time independent Hamilton-Jacobi Equations. We prove analogs of the KAM theorem, show stability of the viscosity solutions and Mather sets under small perturbations of the Hamiltonian.     

Finite-difference schemes for solving multidimensional hyperbolic equations and their systems

A numerical algorithm for integrating second-order multidimensional hyperbolic equations and hyperbolic systems is described. Conditionally and unconditionally stable finite-difference schemes are constructed. The analysis of the schemes is based on the general regularization principle proposed by A.A. Samarskii.     

Second-order schemes for solving decoupled forward backward stochastic differential equations

In this paper,by using trapezoidal rule and the integration-by-parts formula of Malliavin calculus,we propose three new numerical schemes for solving decoupled forward-backward stochastic differential equations.We theoretically prove that the schemes have second-order convergence rate.To demonstrate the effectiveness and the second-order convergence rate,numerical tests are given.     

On some high accuracy difference schemes for solving elliptic equations

Summary Two well known high accuracy Alternating Direction Implicit difference schemes for solving Laplace's equation and the Biharmonic equation are considered. The set of iteration parameters of Douglas is used in both problems. More complete optimum values of the parameters involved are given.     

Error estimates for approximation schemes of effective Hamiltonians arising in stochastic homogenization of Hamilton-Jacobi equations

We study approximation schemes for effective Hamiltonians arising in the homogenization of first order Hamilton-Jacobi equations in stationary ergodic settings. In particular, we prove error estimates concerning the rate of convergence of the approximated solution to the effective Hamiltonian. Our main motivations are front propagation problems, but our results can be generalized to other types of Hamiltonians.     

Stable strong order 1.0 schemes for solving stochastic ordinary differential equations

The Balanced method was introduced as a class of quasi-implicit methods, based upon the Euler-Maruyama scheme, for solving stiff stochastic differential equations. We extend the Balanced method to introduce a class of stable strong order 1.0 numerical schemes for solving stochastic ordinary differential equations. We derive convergence results for this class of numerical schemes. We illustrate the asymptotic stability of this class of schemes is illustrated and is compared with contemporary schemes of strong order 1.0. We present some evidence on parametric selection with respect to minimising the error convergence terms. Furthermore we provide a convergence result for general Balanced style schemes of higher orders.     

Entropy penalization methods for Hamilton-Jacobi equations

In this paper we present a new entropy penalization problem and we discuss its relations with approximate solutions of Hamilton-Jacobi equations, the convergence of associated discrete schemes, as well as several applications, such as: a generalization of the Hopf-Cole transformation which converts non-linear Hamilton-Jacobi equations into linear evolution equations, the study of fixed point problems, approximation of certain linear evolution equations, and the construction of entropy penalized Mather measures.     

Uniqueness results for nonlocal Hamilton-Jacobi equations

We are interested in nonlocal eikonal equations describing the evolution of interfaces moving with a nonlocal, non-monotone velocity. For these equations, only the existence of global-in-time weak solutions is available in some particular cases. In this paper, we propose a new approach for proving uniqueness of the solution when the front is expanding. This approach simplifies and extends existing results for dislocation dynamics. It also provides the first uniqueness result for a Fitzhugh-Nagumo system. The key ingredients are some new perimeter estimates for the evolving fronts as well as some uniform interior cone property for these fronts.     

On shock generation for Hamilton-Jacobi equations

The subject of this paper is the generation of singularities of solutions of Hamilton-Jacobi equations set in (0, ∞) × ? fordataofclass C∞. Shockwaves originate from conjugate points. To show sharpness of a known Hausdorff estimate, an example is given in which the set of conjugate, regular points includes uncountably many affine subspaces of dimension n − 1.     

WENO schemes with Lax–Wendroff type time discretizations for Hamilton–Jacobi equations

In this paper, a class of weighted essentially non-oscillatory (WENO) schemes with a Lax–Wendroff time discretization procedure, termed WENO-LW schemes, for solving Hamilton–Jacobi equations is presented. This is an alternative method for time discretization to the popular total variation diminishing (TVD) Runge–Kutta time discretizations. We explore the possibility in avoiding the nonlinear weights for part of the procedure, hence reducing the cost but still maintaining non-oscillatory properties for problems with strong discontinuous derivative. As a result, comparing with the original WENO with Runge–Kutta time discretizations schemes (WENO-RK) of Jiang and Peng [G. Jiang, D. Peng, Weighted ENO schemes for Hamilton–Jacobi equations, SIAM J. Sci. Comput. 21 (2000) 2126–2143] for Hamilton–Jacobi equations, the major advantages of WENO-LW schemes are more cost effective for certain problems and their compactness in the reconstruction. Extensive numerical experiments are performed to illustrate the capability of the method.     

Expansion of the global error for numerical schemes solving stochastic differential equations

Given the solution (X_t ) of a Stochastic Differential System, two situat,ions are considered: computat,ion of Ef(X_t ) by a Monte–Carlo method and, in the ergodic case, integration of a function f w.r.t. the invariant probability law of (X_t ) by simulating a simple t,rajectory.

For each case it is proved the expansion of the global approximat,ion error—for a class of discret,isat,ion schemes and of funct,ions f—in powers of the discretisation step size, extending in the fist case a result of Gragg for deterministic O.D.E.

Some nn~nerical examples are shown to illust,rate the applicat,ion of extrapolation methods, justified by the foregoing expansion, in order to improve the approximation accuracy     

A Runge-Kutta/WENO method for solving equations for small-amplitude wave propagation in a saturated elastic porous medium

A high-accuracy Runge-Kutta/WENO method of up to fourth order with respect to time and fifth order with respect to space is developed for the numerical modeling of small-amplitude wave propagation in a steady fluid-saturated elastic porous medium. A system of governing equations is derived from a general thermodynamically consistent model of a compressible fluid flow through a saturated elastic porous medium, which is described by a hyperbolic system of conservation laws with allowance for finite deformations of the medium. The results of numerical solution of one- and two-dimensional wave fields demonstrate the efficiency of the method.