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A Narrow-Stencil Finite Difference Method for Hamilton-Jacobi-Bellman Equations Xiaobing Feng Department of Mathematics The University of Tennessee, Knoxville, U.S.A. Linz, November 23, 2016 Collaborators Tom Lewis, North Carolina Stefan


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SLIDE 1

A Narrow-Stencil Finite Difference Method for Hamilton-Jacobi-Bellman Equations

Xiaobing Feng

Department of Mathematics The University of Tennessee, Knoxville, U.S.A.

Linz, November 23, 2016

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SLIDE 2

Collaborators

Tom Lewis, North Carolina Stefan Schnake, Tennessee The work to be presented here has been partially supported by NSF

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SLIDE 3

Outline

  • Motivation and Background
  • A Narrow-Stencil Finite Difference Method
  • High Order Extensions
  • Numerical Experiments
  • Conclusion
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SLIDE 4

Outline

  • Motivation and Background
  • A Narrow-Stencil Finite Difference Method
  • High Order Extensions
  • Numerical Experiments
  • Conclusion
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SLIDE 5

We consider second order fully nonlinear PDEs F(D2u, Du, u, x) = 0 Two best known classes of equations:

  • Monge-Ampére equation:

det(D2u) = f

  • HJB equations:

infν∈V(Lνu − fν) = 0, where Lνu := Aν(x) : D2u + bν(x) · ∇u + cν(x)u, ν ∈ V. Both equations arise from many applications such as differential geometry, optimal mass transfer, stochastic optimal control, mathematical finance etc. Remark: cν ≡ 0 in several applications (e.g., stochastic optimal control, Bellman reformulation of Monge-Ampère equation).

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SLIDE 6

Example: (Stochastic Optimal Control) Suppose a stochastic process x(τ) is governed by the stochastic differential equation dx(τ) = f (τ, x(τ), u(τ)) dt + σ (τ, x(τ), u(τ)) dW(τ), τ ∈ (t, T] x(t) = x ∈ Ω ⊂ Rn, W : Wiener process u : control vector and let J (t, x, u) = E t x T

t

L (τ, x(τ), u(τ)) dτ + g (x(T))

  • .

Stochastic optimal control problem involves minimizing J (t, x, u) over all u ∈ U for each (t, x) ∈ (0, T] × Ω.

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SLIDE 7

Bellman Principle Suppose u∗ ∈ U such that u∗ ∈ argmin

u∈U

J (t, x, u) , and define the value function v (t, x) = J (t, x, u∗) . Then, v is the minimal cost achieved starting from the initial value x(t) = x, and u∗ is the optimal control that attains the minimum.

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SLIDE 8

Bellman Principle (Continued) Let Ω ⊂ Rn, T > 0, and U ⊂ Rm. The Bellman Principle says v is the solution of vt = F(D2v, ∇v, v, x, t) in (0, T] × Ω, (1) for F(D2v, ∇v, v, x, t) = inf

u∈U (Luv − hu) ,

Luv =

n

  • i=1

n

  • j=1

au

i,j(t, x)vxixj + n

  • i=1

bu

i (t, x)vxi + cu (t, x) v

with Au := 1 2σσT bu := f (t, x, u) cu := 0 hu := L (t, x, u)

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SLIDE 9

Ellipticity

Definition: Let F[u] := F(D2u, ∇u, u, x) and A, B ∈ SL(n). (a) F is said to be uniformly elliptic if ∃Λ > λ > 0 such that λtr(A − B) ≤ F(A, p, r, x) − F(B, p, r, x) ≤ Λtr(A − B) ∀A ≥ B. (b) F is said to be proper elliptic if F(A, p, v, x) ≤ F(B, p, w, x) ∀A ≥ B; v, w ∈ Rd, v ≤ w. (c) F is said to be degenerate elliptic if F(A, p, r, x) ≤ F(B, p, r, x) ∀A ≥ B.

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SLIDE 10

Viscosity solutions

Definitions: Assume F is elliptic in a function class A ⊂ B(Ω) (set of bounded functions), (i) u ∈ A is called a viscosity subsolution of F[u] = 0 if ∀ϕ ∈ C2, when u∗ − ϕ has a local maximum at x0 then F∗(D2ϕ(x0), Dϕ(x0), u∗(x0), x0) ≤ 0 (ii) u ∈ A is called a viscosity supersolution of F[u] = 0 if ∀ϕ ∈ C2, when u∗ − ϕ has a local minimum at x0 then F ∗(D2ϕ(x0), Dϕ(x0), u∗(x0), x0) ≥ 0 (iii) u ∈ A is called a viscosity solution of F[u] = 0 if u is both a sub- and supersolution of F[u] = 0 where u∗(x) := lim sup

x′→x

u(x′) and u∗(x) := lim inf

x′→x u(x′) are the

upper and lower semi-continuous envelops of u

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SLIDE 11

Barles-Souganidis Framework I

For approximating viscosity solutions, we first recall the Barles-Souganidis framework.

Theorem (Barles-Souganidis (’91))

Suppose that the elliptic problem F[u](x) = 0 in Ω satisfies the comparison principle. Assume that the (approximation)

  • perator S : R+ × Ω × R × B(Ω) → R is consistent, monotone

and stable (as well as admissible), then the solution uρ of problem: S(ρ, x, uρ(x), uρ) = 0 in Ω, converges locally uniformly to the unique viscosity of u.

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SLIDE 12

Barles-Souganidis Framework II

(i) Admissibility and Stability. For all ρ > 0, there exists a solution uρ ∈ B(Ω) to the following problem: S(ρ, x, uρ(x), uρ) = 0 in Ω. Moreover, there exists a ρ-independent constant C > 0 such that uρL∞(Ω) ≤ C. (ii) Monotonicity. For all x ∈ Ω, t ∈ R and ρ > 0 S(ρ, x, t, u) ≤ S(ρ, x, t, v) ∀u, v ∈ B(Ω), u ≥ v. (iii) Consistency. For all x ∈ Ω and φ ∈ C∞(Ω) there hold lim sup

ρ→0 y→x ξ→0

S(ρ, y, φ(y) + ξ, φ + ξ) ρ ≤ F(D2φ(x), ∇φ(x), φ(x), x), lim inf

ρ→0 y→x ξ→0

S(ρ, y, φ(y) + ξ, φ + ξ) ρ ≥ F(D2φ(x), ∇φ(x), φ(x), x).

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SLIDE 13

Wasow-Motzkin Theorem

Theorem (Wasow-Motzkin (’53))

Any monotone and consistent method has to be a wide stencil scheme.

Theorem (Bonnans and Zidani (’03))

If Aν in the HJB equation is not diagonally dominant, then wide stencils are required to preserve monotonicity. Remark: The difficulty is the directional resolution. Wider stencils are used to increase the resolution.

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SLIDE 14

Remarks on Monotone Schemes and Wide-stencils

◮ Why monotonicity? For the numerical scheme to identify

the correct viscosity solution, it needs to respect ordering in some sense. The monotonicity provides such an

  • rdering, which is the best known one so far.

◮ A “drawback" of monotonicity is that one must use wide

stencils according to Wasow-Motzkin (’53), which could be very problematic for anisotropic problems because very fine directional resolution is required, besides the difficulty from handling boundary conditions.

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SLIDE 15

Remarks on Monotone Schemes and Wide-stencils

◮ Why monotonicity? For the numerical scheme to identify

the correct viscosity solution, it needs to respect ordering in some sense. The monotonicity provides such an

  • rdering, which is the best known one so far.

◮ A “drawback" of monotonicity is that one must use wide

stencils according to Wasow-Motzkin (’53), which could be very problematic for anisotropic problems because very fine directional resolution is required, besides the difficulty from handling boundary conditions.

◮ Consequently, in order to avoid using wide stencils, one

must relax (or abandon) the concept of monotonicity (in the sense of Barles and Souganidis).

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SLIDE 16

Outline

  • Motivation and Background
  • A Narrow-Stencil Finite Difference Method
  • High Order Extensions
  • Numerical Experiments
  • Conclusion
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SLIDE 17

Goals:

◮ To construct finite difference methods (FDMs) whose

solutions converge to viscosity solutions of the underlying fully nonlinear 2nd order PDE problems, especially, to go beyond the domain of Barles-Souganidis’ framework and to be more suitable for FDMs and DG methods. Remark: A few existing “narrow-stencil" methods are

◮ Glowinski et al. (’04-’12): Mixed FE for MA eqns (H2 solns). ◮ Brenner et al. (’09-’13): DG for MA eqns (classical solns). ◮ Jensen-Smears (’12): Linear FE for isotropic HJB eqns. ◮ Smears-Süli (’14): DG-FE for (Cordes-) HJB (H2 solns). ◮ F

.-Neilan (’07-’11): FE and DG based on the vanishing moment approach.

◮ · · ·

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SLIDE 18

Finite Difference Operators

Let {ej}d

j=1 denote the canonical basis of Rd. Define

δ+

xk,hk v(x) ≡ v(x + hkek) − v(x)

hk , δ−

xk,hk v(x) ≡ v(x) − v(x − hkek)

hk δµν

xk,hk v(x) ≡ δν xk,hk δµ xk,hk v(x),

δµν

xk,hk;xℓ,hℓv(x) ≡ δν xℓ,hℓδµ xk,hk v(x)

Discrete Gradients: Two natural "sided" choices

  • ∇±

h

  • k ≡ δ±

xk,hk

Discrete Hessians: Four natural "sided" choices

  • Dµν

h

  • k,ℓ ≡ δµν

xk,hk;xℓ,hℓ,

µ, ν ∈ {−, +} Remark: Low-regularity can be resolved by using “sided" gradient and Hessian approximations.

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SLIDE 19

Ideas Used for 1st Order Hamilton-Jacobi Equations

(Crandall and Lions, ’84) FD schemes with the form

  • H(∇−

h Uα, ∇+ h Uα, Uα, xα) = 0

converge to the viscosity solution of a Hamilton-Jacobi equation assuming

◮ Consistency:

H(q, q, u, x) = H(q, u, x),

◮ Monotonicity:

H(↑, ↓, u, x).

  • H is called a numerical Hamiltonian.

H is a function of both ∇−

h Uα and ∇+ h Uα.

◮ The monotonicity requirement is compatible with a discrete first

derivative test.

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SLIDE 20

Vanishing Viscosity and Numerical Viscosity

H(∇u, u, x) = 0 − → −ǫ∆uǫ + H(∇uǫ, uǫ, x) = 0

(E. Tadmor, ’97) Every convergent monotone finite difference scheme for HJ equations implicitly approximates the differential equation −βh“∆u” + H(∇u, x) = 0 for sufficiently large and possibly nonlinear β > 0, where −βh“∆u” is called a numerical viscosity. Note: If hk ≡ h, then 1 ·

  • ∇+

h Uα − ∇− h Uα

  • = h∆hUα ≡ h

d

  • k=1

δ2

xk,hUα.

Lax-Friedrichs numerical Hamiltonian

  • H(q−, q+, u, x) ≡ H

q− + q+ 2 , u, x

  • − b · (q+ − q−)
  • Numerical Viscosity
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SLIDE 21

FD Approximations of F(D2u, ∇u, u, x) = 0

◮ Since uxixj may be discontinuous at xα, it needs be

approximated from multiple directions.

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SLIDE 22

FD Approximations of F(D2u, ∇u, u, x) = 0

◮ Since uxixj may be discontinuous at xα, it needs be

approximated from multiple directions.

◮ There are 4 possible FD approximations of uxi,xj(xα):

uxi,xj(xα) ≈ δµ

xiδν xju(xα)

µ, ν ∈ {+, −}. and D2u(xα) ≈ Dµν

h u(xα)

µ, ν ∈ {+, −}.

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SLIDE 23

FD Approximations of F(D2u, ∇u, u, x) = 0

Inspired by the above observations, we propose the following form of FD methods for F(D2u, ∇u, u, x) = 0:

  • F(D++

h

Uα, D+−

h

Uα, D−+

h

Uα, D−−

h

Uα, ∇−

h Uα, ∇+ h Uα, Uα, xα) = 0

  • F is called a numerical operator, which needs to satisfy
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SLIDE 24

FD Approximations of F(D2u, ∇u, u, x) = 0

Inspired by the above observations, we propose the following form of FD methods for F(D2u, ∇u, u, x) = 0:

  • F(D++

h

Uα, D+−

h

Uα, D−+

h

Uα, D−−

h

Uα, ∇−

h Uα, ∇+ h Uα, Uα, xα) = 0

  • F is called a numerical operator, which needs to satisfy

◮ Consistency:

F(P, P, P, P, q, q, u, x) = F(P, q, u, x),

◮ Generalized Monotonicity:

F(↑, ↓, ↓, ↑, ↑, ↓, ↑, x), uses the natural (partial) orderings for symmetric matrices, vectors, and scalars

◮ Solvability/Admissibility and Stability: ∃h0 > 0 and

C0 > 0, which is independent h, such that F[Uα, xα] = 0 has a (unique) solution U and Uℓ∞(Th) < C0 for h < h0.

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SLIDE 25

Remarks on Numerical Operator F

F depends on all four "sided" Hessians and both "sided" gradients.

◮ The generalized monotonicity requirement is an extension

  • f the Crandall and Lions framework that enforces the

elliptic structure of the PDE with respect to the mixed discrete Hessians D±∓

h

.

◮ If F is not continuous,

F may not be continuous either. In this case the consistency definition should be replaced by

lim inf

Pk →P,r→q s→t,y→x

  • F(P1, P2, P3, P4, r, s, y) ≥ F∗(P, q, t, x),

lim sup

Pk →P,r→qn s→t,y→x

  • F(P1, P2, P3, P4, r, s, y) ≤ F∗(P, q, t, x).

◮ Above consistency and monotonicity are different from

Barles-Souganidis’ definitions.

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SLIDE 26

Examples of Numerical Operators F I

Lax-Friedrichs-like schemes: 1-D (F-Lewis-Kao, ’14)

  • F1(p1, p2, p3, x) := F

p1 + p2 + p3 3 , x

  • + α(p1 − 2p2 + p3)
  • F2(p1, p2, p3, x) := F(p2, x) + α(p1 − 2p2 + p3)
  • F3(p1, p2, p3, x) := F

p1 + p3 2 , x

  • + α(p1 − 2p2 + p3)
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SLIDE 27

Examples of Numerical Operators F II

Godunov-like schemes: 1-D (F-Lewis-Kao, ’14):

  • F4(p1, p2, p3, x) :=

ext

p∈I(p1,p2,p3) F(p, x)

where I(p1, p2, p3) := [p1 ∧ p2 ∧ p3, p1 ∨ p2 ∨ p3] and ext

p∈I(p1,p2,p3) :=

                 min

p∈I(p1,p2,p3)

if p2 ≥ max{p1, p3}, max

p∈I(p1,p2,p3)

if p2 ≤ min{p1, p3}, min

p1≤p≤p2

if p1 < p2 < p3, min

p3≤p≤p2

if p3 < p2 < p1.

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SLIDE 28

Examples of Numerical Operators F III

Godunov-like schemes: 1-D (F-Lewis-Kao, ’14) (continued):

  • F5(p1, p2, p3, x) :=

extr

p∈I(p1,p2,p3) F(p, x)

where I(p1, p2, p3) := [p1 ∧ p2 ∧ p3, p1 ∨ p2 ∨ p3] and extr

p∈I(p1,p2,p3) :=

                 min

p∈I(p1,p2,p3)

if p2 ≥ max{p1, p3}, max

p∈I(p1,p2,p3)

if p2 ≤ min{p1, p3}, max

p2≤p≤p3

if p1 < p2 < p3, max

p2≤p≤p1

if p3 < p2 < p1.

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SLIDE 29

Higher Dimensional Lax-Friedrichs-like Schemes

Central Discrete Hessian: D

2 hUα ≡ 1

4

  • D++

h

+ D+−

h

+ D−+

h

+ D−−

h

Central Discrete Gradient: ∇hUα ≡ 1 2

  • ∇+

h + ∇− h

Lax-Friedrichs-like Numerical Operator:

  • F[Uα, xα] ≡ F
  • D

2 hUα, ∇2 hUα, Uα, xα

  • + A(Uα, xα) :
  • D++

h

Uα − D+−

h

Uα − D−+

h

Uα + D−−

h

  • − b(Uα, xα) ·
  • ∇+

h Uα − ∇− h Uα

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SLIDE 30

Numerical Moment I

The discrete operator A(Uα, xα) :

  • D++

h

Uα − D+−

h

Uα − D−+

h

Uα + D−−

h

  • is called a numerical moment.

Observation:

  • δ+

xk,hkδ+ xℓ,hℓ − δ+ xk,hkδ− xℓ,hℓ − δ− xk,hkδ+ xℓ,hℓ + δ− xk,hkδ− xℓ,hℓ

= hkhℓδ2

xk,hkδ2 xℓ,hℓUα

= hkhℓδ2

xℓ,hℓδ2 xk,hkUα,

an O

  • h2

k + h2 ℓ

  • approximation of uxkxkxℓxℓ(xα) scaled by hkhℓ.

1d×d :

  • D++

h

Uα − D+−

h

Uα − D−+

h

Uα + D−−

h

  • ≈ h2∆2u(xα),
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SLIDE 31

Numerical Moment II

Remark:

◮ Here the numerical moment plays a similar role for the 2rd

  • rder fully nonlinear PDEs to what the numerical viscosity

does for the 1st order fully nonlinear PDEs.

◮ The introduction of numerical moments is very much

consistent with the vanishing moment method (at the PDE level) proposed and analyzed by F . and Neilan (’07-’12): ε∆2uε + F(D2uε, ∇uε, uε, x) = 0, with the special choice of the parameter ε = αh2.

◮ Is there an analogue of E. Tadmor’s result for 2rd order

PDEs?

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SLIDE 32

Convergence I

Assumption: F is uniformly elliptic and Lipschitz continuous in the Hessian argument, and A and b are uniformly bounded for the family of linear operators defining the HJB problem with Dirichlet boundary data. Assume c ≡ 0.

Theorem (F-Lewis, ’16)

The Lax-Friedrichs-like scheme is admissible, consistent, stable, and generalized-monotone. Main ingredients of proof:

◮ Consistency is trivial. ◮ Generalized monotonicity is also “easy" by choosing the

numerical moment large enough (related to the Lipschitz constant of F).

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SLIDE 33

Convergence II

◮ Admissibility and stability are the most difficult to verify.

The idea is to show that the mapping Mρ : Uα → Uα defined by

  • ∆h

Uα = ∆hUα − ρ F[Uα] is monotone and a contraction for small enough ρ > 0. ∆h is an enhanced discrete Laplacian.

◮ Stability follows from applying Crandall-Tartar lemma to

Mρ which commutes with additive constants (this is the reason to assume c ≡ 0).

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SLIDE 34

Convergence III

Theorem (F-Lewis, ’16)

In addition, suppose F[u] = 0 satisfies the comparison

  • principle. Let U be the solution to the Lax-Friedrichs-like

scheme and uh be its piecewise constant extension. Then uh converges to u locally uniformly as h → 0+. Main ingredients of proof

◮ Follow and modify Barles-Souganidis’ proof to show that

u(x) := lim inf uh(x) and u(x) := lim sup uh(x) are respectively viscosity super- and sub-solution.

◮ First work with quadratic test functions, then with general

test functions.

◮ Use the numerical moment to control the off-diagonal

entries in the discrete Hessians (this is the most difficult and technical step).

◮ Use the consistency and comparison principle to get u = u.

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SLIDE 35

The Local Stencil (2D)

◮ The extra nodes in the Cartesian directions smooth the

approximation through the diagonal components of the vanishing moment.

◮ Directional resolution is no longer necessary avoiding the

need for a wide-stencil.

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SLIDE 36

Overcoming a Lack of Monotonicity

xk v

x0 δ2

xk ,hk v(x0 ± hk ek ) < δ2 xk ,hk v(x0) < 0

δ2

xk ,hk v(x0) − δ2 xk ,hk v(x0) < 0

xk v

x0 δ2

xk ,hk v(x0 ± hk ek ) > 0 and δ2 xk ,hk v(x0) < 0

δ2

xk ,hk v(x0) − δ2 xk ,hk v(x0) > 0

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SLIDE 37

Outline

  • Motivation and Background
  • A Narrow-Stencil Finite Difference Method
  • High Order Extensions
  • Numerical Experiments
  • Conclusion
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SLIDE 38

Extensions

Goals: To develop high order methods and to use unstructured meshes

◮ “Bad" news: It is not possible to construct higher than 2nd

  • rder monotone FD schemes (we have yet given up since

g-monotonicity is a weaker requirement)

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SLIDE 39

Extensions

Goals: To develop high order methods and to use unstructured meshes

◮ “Bad" news: It is not possible to construct higher than 2nd

  • rder monotone FD schemes (we have yet given up since

g-monotonicity is a weaker requirement)

◮ “Good" news: Inspired by a work of Yan-Osher (JCP

, ’11) for fully nonlinear 1st order Hamilton-Jacobi equations, we are able to construct high order MDG (mixed DG) and LDG (local DG) methods.

◮ Ideas of MDG: write F(uxx, x) = 0 as

  • F(

pR,

pM,

pR, x) = 0 pL = u−

xx

pM = ua

xx

pR = u+

xx

and use different numerical fluxes on the linear equations.

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SLIDE 40

Extensions (continued)

◮ Ideas of LDG: write F(uxx, ux, u, x) = 0 as

  • F(

p1,

p2,

p3,

p4,

q1,

q2, u, x) = 0, q1 = ux(x−), q2 = ux(x+), p1 = q1x(x−), p2 = q1x(x+), p3 = q2x(x−), p4 = q2x(x+),

where ux(x−) (resp. qjx(x−)) and ux(x+) (resp. qjx(x+)) denote the left and right limits of ux (resp. qjx) at x. They dictate how numerical fluxes should be chosen in the

  • discretization. ↑ and ↓ stands for monotone increasing

and decreasing, respectively. r = 0 is allowed!

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SLIDE 41

Outline

  • Motivation and Background
  • A Narrow-Stencil Finite Difference Method
  • High Order Extensions
  • Numerical Experiments
  • Conclusion
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SLIDE 42

1-D simulations Test 1: Consider the problem −u2

xx + 1 = 0,

0 < x < 1 u(0) = 0, u(1) = 0.5 This problem has the pointwise solutions u+(x) = 0.5x2 (convex), u−(x) = −0.5x2 + x (concave) Computed using Lax-Friedrichs-like scheme F1 with α = 1 (left) and α = −1 (right)

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SLIDE 43

Test 2: Consider the problem min

θ∈{1,2} −Aθuxx − S(x) = 0,

−1 < x < 1 u(−1) = −1, u(1) = 1 A1 = 1, A2 = 2, S(x) =

  • 12x2,

if x < 0 −24x2, if x ≥ 0 This problem has the exact solution u(x) = x|x|3

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SLIDE 44

Test 3: Consider the problem −u3

xx + 8 sign(x) = 0,

−1 < x < 1 u(−1) = −1, u(1) = 1. This problem has the exact solution u(x) = x|x| ∈ C1([−1, 1]) which is not classical

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SLIDE 45

2-D simulations Test 4: Let Ω = (0, 1)2. Consider Monge-Ampére equation det(D2u) = 1 in Ω u = 0

  • n ∂Ω

Remark: No explicit solution formula and solution is not classical.

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SLIDE 46

( α < 0: concave solution) ( α > 0: convex solution)

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SLIDE 47

Test 5: Let Ω = (−1, 1)2. Consider Monge-Ampére equation det(D2u(x, y)) = 0 in Ω u = g

  • n ∂Ω

Choose g such that the exact solution is u(x, y) = |x|.

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SLIDE 48

hx L∞ norm

  • rder

L2 norm

  • rder

2.50E-01 3.86E-02 3.42E-02 1.25E-01 2.08E-02 0.89 1.85E-02 0.88 8.33E-02 1.38E-02 1.02 1.24E-02 0.99

Top: α = I, r = 1, and hy = 1/3 fixed. Bottom: α = I, r = 1, and

  • dd number of intervals in the x-direction.
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SLIDE 49

3-D Simulations Test 6: Let Ω = (0, 1)3. Consider Monge-Ampére equation det(D2u) = f in Ω u = g

  • n ∂Ω

f(x, y, z) = (1 + x2 + y2 + z2)e

3(x2+y2+z2) 2

g(x, y, z) =                          e

y2+z2 2

if x = 0 e

x2+z2 2

if y = 0 e

x2+y2 2

if z = 0 e

y2+z2+1 2

if x = 1 e

x2+z2+1 2

if y = 1 e

x2+y2+1 2

if z = 1 The exact solution is u0(x, y, z) = e

x2+y2+z2 2

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(computed solution) (error function)

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Test 7: Let Ω = (0, 1)3. Consider Monge-Ampére equation det(D2u) = 1 in Ω u = 0

  • n ∂Ω

Remark: No explicit solution formula and solution is not classical.

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computed solution (α > 0)

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Outline

  • Motivation and Background
  • A Narrow-Stencil Finite Difference Method
  • High Order Extensions
  • Numerical Experiments
  • Conclusion
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Concluding Remarks

◮ The generalized monotone structure allows us to deal with low

regularity functions by considering multiple gradient and Hessian approximations.

◮ The key new concept is that of a numerical moment which can

be used to design generalized monotone methods such as the Lax-Friedrichs-like scheme.

◮ By using narrow stencil schemes that can be expressed using

  • nly forward and backward difference quotients, the methods

can be easily extended to higher-order and non-Cartesian domains/grids using the DG techniques (or DG Finite Element Calculus).

◮ Formulation easily extends to Monge-Ampère type equations

either directly or based on its HJB reformulation, although the analysis is not yet.

◮ Many open problems/issues: such as extension to degenerate

PDES, rate of convergence in C0-norm, boundary layers, parabolic PDEs, nonlinear solvers, etc.

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References

◮ XF, R. Glowinski and M. Neilan, “Recent Developments in

Numerical Methods for Fully Nonlinear 2nd Order PDEs", SIAM Review, 55:1-64, 2013

◮ M. Neilan, A. Salgado and W. Zhang, “Numerical Analysis of

Strongly Nonlinear PDEs", arxiv.org/abs/1610.07992, to appear in Acta Numerica.

◮ Check arxiv.org for more (and new) references.

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Thanks for Your Attention!