A Narrow-Stencil Finite Difference Method for Hamilton-Jacobi-Bellman Equations
Xiaobing Feng
Department of Mathematics The University of Tennessee, Knoxville, U.S.A.
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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
Department of Mathematics The University of Tennessee, Knoxville, U.S.A.
Tom Lewis, North Carolina Stefan Schnake, Tennessee The work to be presented here has been partially supported by NSF
t
u∈U
u∈U (Luv − hu) ,
n
n
i,j(t, x)vxixj + n
i (t, x)vxi + cu (t, x) v
x′→x
x′→x u(x′) are the
(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).
◮ Why monotonicity? For the numerical scheme to identify
◮ A “drawback" of monotonicity is that one must use wide
◮ Why monotonicity? For the numerical scheme to identify
◮ A “drawback" of monotonicity is that one must use wide
◮ Consequently, in order to avoid using wide stencils, one
◮ To construct finite difference methods (FDMs) whose
◮ 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
◮ · · ·
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)
h
xk,hk
h
xk,hk;xℓ,hℓ,
(Crandall and Lions, ’84) FD schemes with the form
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 a function of both ∇−
h Uα and ∇+ h Uα.
◮ The monotonicity requirement is compatible with a discrete first
derivative test.
(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
d
δ2
xk,hUα.
◮ Since uxixj may be discontinuous at xα, it needs be
◮ Since uxixj may be discontinuous at xα, it needs be
◮ There are 4 possible FD approximations of uxi,xj(xα):
xiδν xju(xα)
h u(xα)
h
Uα, D+−
h
Uα, D−+
h
Uα, D−−
h
Uα, ∇−
h Uα, ∇+ h Uα, Uα, xα) = 0
h
Uα, D+−
h
Uα, D−+
h
Uα, D−−
h
Uα, ∇−
h Uα, ∇+ h Uα, Uα, xα) = 0
◮ Consistency:
◮ Generalized Monotonicity:
◮ Solvability/Admissibility and Stability: ∃h0 > 0 and
◮
◮ The generalized monotonicity requirement is an extension
h
◮ If F is not continuous,
lim inf
Pk →P,r→q s→t,y→x
lim sup
Pk →P,r→qn s→t,y→x
◮ Above consistency and monotonicity are different from
p∈I(p1,p2,p3) F(p, x)
p∈I(p1,p2,p3) :=
p∈I(p1,p2,p3)
p∈I(p1,p2,p3)
p1≤p≤p2
p3≤p≤p2
p∈I(p1,p2,p3) F(p, x)
p∈I(p1,p2,p3) :=
p∈I(p1,p2,p3)
p∈I(p1,p2,p3)
p2≤p≤p3
p2≤p≤p1
2 hUα ≡ 1
h
h
h
h
h + ∇− h
2 hUα, ∇2 hUα, Uα, xα
h
h
h
h
h Uα − ∇− h Uα
h
h
h
h
xk,hkδ+ xℓ,hℓ − δ+ xk,hkδ− xℓ,hℓ − δ− xk,hkδ+ xℓ,hℓ + δ− xk,hkδ− xℓ,hℓ
xk,hkδ2 xℓ,hℓUα
xℓ,hℓδ2 xk,hkUα,
k + h2 ℓ
h
h
h
h
◮ Here the numerical moment plays a similar role for the 2rd
◮ The introduction of numerical moments is very much
◮ Is there an analogue of E. Tadmor’s result for 2rd order
◮ Consistency is trivial. ◮ Generalized monotonicity is also “easy" by choosing the
◮ Admissibility and stability are the most difficult to verify.
◮ Stability follows from applying Crandall-Tartar lemma to
◮ Follow and modify Barles-Souganidis’ proof to show that
◮ First work with quadratic test functions, then with general
◮ Use the numerical moment to control the off-diagonal
◮ Use the consistency and comparison principle to get u = u.
◮ The extra nodes in the Cartesian directions smooth the
◮ Directional resolution is no longer necessary avoiding the
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
◮ “Bad" news: It is not possible to construct higher than 2nd
◮ “Bad" news: It is not possible to construct higher than 2nd
◮ “Good" news: Inspired by a work of Yan-Osher (JCP
◮ Ideas of MDG: write F(uxx, x) = 0 as
↑
pR,
↓
pM,
↑
pR, x) = 0 pL = u−
xx
pM = ua
xx
pR = u+
xx
◮ Ideas of LDG: write F(uxx, ux, u, x) = 0 as
↑
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+),
xx + 1 = 0,
θ∈{1,2} −Aθuxx − S(x) = 0,
xx + 8 sign(x) = 0,
( α < 0: concave solution) ( α > 0: convex solution)
hx L∞ norm
L2 norm
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
3(x2+y2+z2) 2
y2+z2 2
x2+z2 2
x2+y2 2
y2+z2+1 2
x2+z2+1 2
x2+y2+1 2
x2+y2+z2 2
(computed solution) (error function)
computed solution (α > 0)
◮ 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
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.
◮ 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.