874 research outputs found
Arc length based WENO scheme for Hamilton-Jacobi Equations
In this article, novel smoothness indicators are presented for calculating
the nonlinear weights of weighted essentially non-oscillatory scheme to
approximate the viscosity numerical solutions of Hamilton-Jacobi equations.
These novel smoothness indicators are constructed from the derivatives of
reconstructed polynomials over each sub-stencil. The constructed smoothness
indicators measure the arc-length of the reconstructed polynomials so that the
new nonlinear weights could get less absolute truncation error and gives a
high-resolution numerical solution. Extensive numerical tests are conducted and
presented to show the performance capability and the numerical accuracy of the
proposed scheme with the comparison to the classical WENO scheme.Comment: 14 pages, 9 figure
High-order filtered schemes for time-dependent second order HJB equations
In this paper, we present and analyse a class of "filtered" numerical schemes
for second order Hamilton-Jacobi-Bellman equations. Our approach follows the
ideas introduced in B.D. Froese and A.M. Oberman, Convergent filtered schemes
for the Monge-Amp\`ere partial differential equation, SIAM J. Numer. Anal.,
51(1):423--444, 2013, and more recently applied by other authors to stationary
or time-dependent first order Hamilton-Jacobi equations. For high order
approximation schemes (where "high" stands for greater than one), the
inevitable loss of monotonicity prevents the use of the classical theoretical
results for convergence to viscosity solutions. The work introduces a suitable
local modification of these schemes by "filtering" them with a monotone scheme,
such that they can be proven convergent and still show an overall high order
behaviour for smooth enough solutions. We give theoretical proofs of these
claims and illustrate the behaviour with numerical tests from mathematical
finance, focussing also on the use of backward difference formulae (BDF) for
constructing the high order schemes.Comment: 27 pages, 16 figures, 4 table
Value iteration convergence of ε-monotone schemes for stationary Hamilton-Jacobi equations
International audienceWe present an abstract convergence result for the xed point approximation of stationary Hamilton{Jacobi equations. The basic assumptions on the discrete operator are invariance with respect to the addition of constants, "-monotonicity and consistency. The result can be applied to various high-order approximation schemes which are illustrated in the paper. Several applications to Hamilton{Jacobi equations and numerical tests are presented
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