Related papers: Two semi-Lagrangian fast methods for Hamilton-Jaco…
We extend the Barles-Perthame procedure of semi-relaxed limits of viscosity solutions of Hamilton-Jacobi equations of the type f - lambda H f = h. The convergence result allows for equations on a `converging sequence of spaces' as well as…
For pricing American options, %after suitable discretization in space and time, a sequence of discrete linear complementarity problems (LCPs) or equivalently Hamilton-Jacobi-Bellman (HJB) equations need to be solved in a sequential…
This paper presents an implicit solution formula for the Hamilton-Jacobi partial differential equation (HJ PDE). The formula is derived using the method of characteristics and is shown to coincide with the Hopf and Lax formulas in the case…
In this paper, we combine the nonlinear HWENO reconstruction in \cite{newhwenozq} and the fixed-point iteration with Gauss-Seidel fast sweeping strategy, to solve the static Hamilton-Jacobi equations in a novel HWENO framework recently…
We present a semi-real-time algorithm for minimal-time optimal path planning based on optimal control theory, dynamic programming, and Hamilton-Jacobi (HJ) equations. Partial differential equation (PDE) based optimal path planning methods…
In this note we study the convergence of monotone P1 finite element methods on unstructured meshes for fully non-linear Hamilton-Jacobi-Bellman equations arising from stochastic optimal control problems with possibly degenerate, isotropic…
We propose a new approach to the numerical solution of ergodic problems arising in the homogenization of Hamilton-Jacobi (HJ) equations. It is based on a Newton-like method for solving inconsistent systems of nonlinear equations, coming…
We explore the approximation of feedback control of integro-differential equations containing a fractional Laplacian term. To obtain feedback control for the state variable of this nonlocal equation we use the Hamilton--Jacobi--Bellman…
Here, we consider periodic homogenization for time-fractional Hamilton--Jacobi equations. By using the perturbed test function method, we establish the convergence, and give estimates on a rate of convergence. A main difficulty is the…
We consider the problem of time-optimal path planning for simple nonholonomic vehicles. In previous similar work, the vehicle has been simplified to a point mass and the obstacles have been stationary. Our formulation accounts for a…
This paper presents a new methodology to craft navigation functions for nonlinear systems with stochastic uncertainty. The method relies on the transformation of the Hamilton-Jacobi-Bellman (HJB) equation into a linear partial differential…
We introduce a new class of "filtered" schemes for some first order non-linear Hamilton-Jacobi-Bellman equations. The work follows recent ideas of Froese and Oberman (SIAM J. Numer. Anal., Vol 51, pp.423-444, 2013). The proposed schemes are…
Developing analytical methods for solving fractional partial differential equations (FPDEs) is an active area of research. Especially finding exact solutions of FPDEs is a challenging task. In the present paper we extend Sumudu transform…
In this paper, we generalize weak KAM theorem from positive Lagrangian systems to "proper" Hamilton-Jacobi equations. We introduce an implicitly defined solution semigroup of evolutionary Hamilton-Jacobi equations. By exploring the…
Numerical solutions for flows in partially saturated porous media pose challenges related to the non-linearity and elliptic-parabolic degeneracy of the governing Richards' equation. Iterative methods are therefore required to manage the…
We present a family of integral equation-based solvers for the linear or semilinear heat equation in complicated moving (or stationary) geometries. This approach has significant advantages over more standard finite element or finite…
We propose a high order numerical scheme for time-dependent first order Hamilton--Jacobi--Bellman equations. In particular we propose to combine a semi-Lagrangian scheme with a Central Weighted Non-Oscillatory reconstruction. We prove a…
Employing a suitable nonlinear Lagrange functional, we derive generalized Hamilton-Jacobi equations for dynamical systems subject to linear velocity constraints. As long as a solution of the generalized Hamilton-Jacobi equation exists, the…
To sidestep the curse of dimensionality when computing solutions to Hamilton-Jacobi-Bellman partial differential equations (HJB PDE), we propose an algorithm that leverages a neural network to approximate the value function. We show that…
We discuss the Simple Equations Method (SEsM) for obtaining exact solutions of nonlinear partial differential equations. We show that the Jacobi Elliptic Function Expansion Method, F-Expansion method, Modified Simple Equation method, Trial…