Rates of Convergence for Approximation Schemes in Optimal Control
SIAM Journal on Control and Optimization
Journal of Computational Physics
Error Bounds for Monotone Approximation Schemes for Hamilton-Jacobi-Bellman Equations
SIAM Journal on Numerical Analysis
SIAM Journal on Numerical Analysis
Fast Two-scale Methods for Eikonal Equations
SIAM Journal on Scientific Computing
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We consider a numerical scheme for the one dimensional time dependent Hamilton-Jacobi equation in the periodic setting. This scheme consists in a semi-discretization using monotone approximations of the Hamiltonian in the spacial variable. From classical viscosity solution theory, these schemes are known to converge. In this paper we present a new approach to the study of the rate of convergence of the approximations based on the nonlinear adjoint method recently introduced by L.C. Evans. We estimate the rate of convergence for convex Hamiltonians and recover the O(h) convergence rate in terms of the L^~ norm and O(h) in terms of the L^1 norm, where h is the size of the spacial grid. We discuss also possible generalizations to higher dimensional problems and present several other additional estimates. The special case of quadratic Hamiltonians is considered in detail in the end of the paper.