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Section: New Results

Numerical methods for HJ equations

An adaptive sparse grid semi-lagrangian scheme for first order Hamilton-Jacobi Bellman equations

Participant : Olivier Bokanowski.

The paper [14] , co-authored with M. Griebel (Fraunhofer SCAI & Univ. Bonn), J. Garcke and I. Klopmpaker (TUB, Berlin) proposes a semi-Lagrangian scheme using a spatially adaptive sparse grid to deal with non-linear time-dependent Hamilton-Jacobi Bellman equations. We focus in particular on front propagation models in higher dimensions which are related to control problems. We test the numerical efficiency of the method on several benchmark problems up to space dimension d=8, and give evidence of convergence towards the exact viscosity solution. In addition, we study how the complexity and precision scale with the dimension of the problem.

A discontinuous Galerkin scheme for front propagation with obstacles

Participant : Olivier Bokanowski.

In [33] , co-authored with C.-W. Shu (Brown Univ.) and Y. Cheng (Michigan Univ.), some front propagation problems in the presence of obstacles are analysed. We extend a previous work (Bokanowski, Cheng and Shu, SIAM J. Scient. Comput., 2011), to propose a simple and direct discontinuous Galerkin (DG) method adapted to such front propagation problems. We follow the formulation of (Bokanowski, Forcadel and Zidani, SIAM J. Control Optim. 2010), leading to a level set formulation driven by min(ut+H(x,u),u-g(x))=0, where g(x) is an obstacle function. The DG scheme is motivated by the variational formulation when the Hamiltonian H is a linear function of u, corresponding to linear convection problems in the presence of obstacles. The scheme is then generalized to nonlinear equations, written in an explicit form. Stability analysis is performed for the linear case with Euler forward, a Heun scheme and a Runge-Kutta third order time discretization using the technique proposed in (Zhang and Shu, SIAM J. Control and Optim., 2010). Several numerical examples are provided to demonstrate the robustness of the method. Finally, a narrow band approach is considered in order to reduce the computational cost.

Semi-Lagrangian discontinuous Galerkin schemes for some first and second order PDEs

Participant : Olivier Bokanowski.

Explicit, unconditionally stable, high order schemes for the approximation of some first and second order linear, time-dependent partial differential equations (PDEs) are proposed in [34] , in collaboration with G. Simarmata (internship 2011, currently in RI dep. of Rabobank). The schemes are based on a weak formulation of a semi-Lagrangian scheme using discontinuous Galerkin elements. It follows the ideas of the recent works of Crouseilles, Mehrenberger and Vecil (2010) and of Qiu and Shu (2011), for first order equations, based on exact integration, quadrature rules, and splitting techniques. In particular we obtain high order schemes, unconditionally stable and convergent, in the case of linear second order PDEs with constant coefficients. In the case of non-constant coefficients, we construct "almost" unconditionally stable second order schemes and give precise convergence results. The schemes are tested on several academic examples, including the Black and Scholes PDE in finance.