Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton-Jacobi-Bellman Equations

We analyse two practical aspects that arise in the numerical solution of Hamilton-Jacobi-Bellman (HJB) equations by a particular class of monotone approximation schemes known as semi-Lagrangian schemes. These schemes make use of a wide stencil to achieve convergence and result in discretization matrices that are less sparse and less local than those coming from standard finite difference schemes. This leads to computational difficulties not encountered there. In particular, we consider the overstepping of the domain boundary and analyse the accuracy and stability of stencil truncation. This truncation imposes a stricter CFL condition for explicit schemes in the vicinity of boundaries than in the interior, such that implicit schemes become attractive. We then study the use of geometric, algebraic and aggregation-based multigrid preconditioners to solve the resulting discretised systems from implicit time stepping schemes efficiently. Finally, we illustrate the performance of these techniques numerically for benchmark test cases from the literature

Multigrid optimization for space-time discontinuous Galerkin discretizations of advection dominated flows

The goal of this research is to optimize multigrid methods for higher order accurate space-time discontinuous Galerkin discretizations. The main analysis tool is discrete Fourier analysis of two- and three-level multigrid algorithms. This gives the spectral radius of the error transformation operator which predicts the asymptotic rate of convergence of the multigrid algorithm. In the optimization process we therefore choose to minimize the spectral radius of the error transformation operator. We specifically consider optimizing h-multigrid methods with explicit Runge-Kutta type smoothers for second and third order accurate space-time discontinuous Galerkin finite element discretizations of the 2D advection-diffusion equation. The optimized schemes are compared with current h-multigrid techniques employing Runge-Kutta type smoothers. Also, the efficiency of h-, p- and hp-multigrid methods for solving the Euler equations of gas dynamics with a higher order accurate space-time DG method is investigated

HP-multigrid as smoother algorithm for higher order discontinuous Galerkin discretizations of advection dominated flows. Part II. Optimization of the Runge-Kutta smoother

Using a detailed multilevel analysis of the complete hp-Multigrid as Smoother algorithm accurate predictions are obtained of the spectral radius and operator norms of the multigrid error transformation operator. This multilevel analysis is used to optimize the coefficients in the semi-implicit Runge-Kutta smoother, such that the spectral radius of the multigrid error transformation operator is minimal under properly chosen constraints. The Runge-Kutta coefficients for a wide range of cell Reynolds numbers and a detailed analysis of the performance of the hp-MGS algorithm are presented. In addition, the computational complexity of the hp-MGS algorithm is investigated. The hp-MGS algorithm is tested on a fourth order accurate space-time discontinuous Galerkin finite element discretization of the advection-diffusion equation for a number of model problems, which include thin boundary layers and highly stretched meshes, and a non-constant advection velocity. For all test cases excellent multigrid convergence is obtained