Convergence of a semi-discretization scheme for the Hamilton--Jacobi equation: a new approach with the adjoint method

Cagnetti, F, Tran, H V and Gomes, D (2013) Convergence of a semi-discretization scheme for the Hamilton--Jacobi equation: a new approach with the adjoint method. Applied Numerical Mathematics, 73. pp. 2-15. ISSN 0168-9274

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Abstract

We consider a numerical scheme for the one dimensional time dependent Hamilton--Jacobi equation in the periodic setting. This scheme consists in a semi-discretization using monotone approximations of the Hamiltonian in the spacial variable. From classical viscosity solution theory, these schemes are known to converge. In this paper we present a new approach to the study of the rate of convergence of the approximations based on the nonlinear adjoint method recently introduced by L. C. Evans. We estimate the rate of convergence for convex Hamiltonians and recover the O(sqrt{h}) convergence rate in terms of the L^infty norm and O(h) in terms of the L^1 norm, where h is the size of the spacial grid. We discuss also possible generalizations to higher dimensional problems and present several other additional estimates. The special case of quadratic Hamiltonians is considered in detail in the end of the paper.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics
Depositing User: Filippo Cagnetti
Date Deposited: 20 Oct 2014 06:11
Last Modified: 06 Mar 2017 18:35
URI: http://sro.sussex.ac.uk/id/eprint/50647

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