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This volume contains a complete and self-contained treatment of Hamilton-Jacobi equations. The author gives a new presentation of classical methods and of the relations between Hamilton-Jacobi equations and other fields. This complete treatment of both classical and recent aspects of the subject is presented in such a way that it requires only elementary notions of analysis and partial differential equations.
These Lecture Notes contain the material relative to the courses given at the CIME summer school held in Cetraro, Italy from August 29 to September 3, 2011. The topic was "Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications". The courses dealt mostly with the following subjects: first order and second order Hamilton-Jacobi-Bellman equations, properties of viscosity solutions, asymptotic behaviors, mean field games, approximation and numerical methods, idempotent analysis. The content of the courses ranged from an introduction to viscosity solutions to quite advanced topics, at the cutting edge of research in the field. We believe that they opened perspectives on new and delicate issues. These lecture notes contain four contributions by Yves Achdou (Finite Difference Methods for Mean Field Games), Guy Barles (An Introduction to the Theory of Viscosity Solutions for First-order Hamilton-Jacobi Equations and Applications), Hitoshi Ishii (A Short Introduction to Viscosity Solutions and the Large Time Behavior of Solutions of Hamilton-Jacobi Equations) and Grigory Litvinov (Idempotent/Tropical Analysis, the Hamilton-Jacobi and Bellman Equations).
This softcover book is a self-contained account of the theory of viscosity solutions for first-order partial differential equations of Hamilton–Jacobi type and its interplay with Bellman’s dynamic programming approach to optimal control and differential games. It will be of interest to scientists involved in the theory of optimal control of deterministic linear and nonlinear systems. The work may be used by graduate students and researchers in control theory both as an introductory textbook and as an up-to-date reference book.
"Volume 204, number 960 (fourth of 5 numbers)."
The goal of this thesis is to present two frameworks for the computation of the solutions of Hamilton-Jacobi-Bellman (HJB) equations. In Chapter 2, we present a framework for computing solutions to HJB equations on smooth hypersurfaces. It is well known that the viscosity solution of the HJB equation is equivalent to the value function of a corresponding optimal control problem. We extend the optimal control problem given on the surface to an equivalent one defined in a sufficiently thin narrow band of surface. The extension is done appropriately so that the viscosity solution of the extended HJB equation in the narrow band is identical to the constant normal extension of the viscosity solution of the HJB equation on the surface. With this framework, we can easily use efficient, existing (high order) numerical methods developed on Cartesian grids to solve HJB equations on surfaces, with a computational cost that scales with the dimension of the surfaces. This framework also provides a systematic way for solving HJB equations on unstructured point clouds that are sampled from a surface. In Chapter 3, we present a parallelizable domain decomposition algorithm to solve Eikonal equations, a special case of HJB equations. The method is an iterative two-scale method that uses a parareal-like update scheme in combination with standard Eikonal solvers. The purpose of the two scales is to accelerate convergence and maintain accuracy. We adapt a weighted version of the parareal method for stability, and the optimal weights are studied via a model problem. One can view the new method as a general framework where an effective coarse grid solver is computed “on the fly” from coarse and fine grid solutions that are computed in previous iterations. To demonstrate the framework, we develop a specific scheme using Cartesian grids and the fast sweeping method for solving Eikonal equations. Numerical examples are given to demonstrate the method’s effectiveness on a variety of stereotypes of Eikonal equations
"Volume 204, number 960 (fourth of 5 numbers)."
This book gives an extensive survey of many important topics in the theory of Hamilton–Jacobi equations with particular emphasis on modern approaches and viewpoints. Firstly, the basic well-posedness theory of viscosity solutions for first-order Hamilton–Jacobi equations is covered. Then, the homogenization theory, a very active research topic since the late 1980s but not covered in any standard textbook, is discussed in depth. Afterwards, dynamical properties of solutions, the Aubry–Mather theory, and weak Kolmogorov–Arnold–Moser (KAM) theory are studied. Both dynamical and PDE approaches are introduced to investigate these theories. Connections between homogenization, dynamical aspects, and the optimal rate of convergence in homogenization theory are given as well. The book is self-contained and is useful for a course or for references. It can also serve as a gentle introductory reference to the homogenization theory.
Consisting of two parts, the first part of this volume is an essentially self-contained exposition of the geometric aspects of local and global regularity theory for the Monge–Ampère and linearized Monge–Ampère equations. As an application, we solve the second boundary value problem of the prescribed affine mean curvature equation, which can be viewed as a coupling of the latter two equations. Of interest in its own right, the linearized Monge–Ampère equation also has deep connections and applications in analysis, fluid mechanics and geometry, including the semi-geostrophic equations in atmospheric flows, the affine maximal surface equation in affine geometry and the problem of finding Kahler metrics of constant scalar curvature in complex geometry. Among other topics, the second part provides a thorough exposition of the large time behavior and discounted approximation of Hamilton–Jacobi equations, which have received much attention in the last two decades, and a new approach to the subject, the nonlinear adjoint method, is introduced. The appendix offers a short introduction to the theory of viscosity solutions of first-order Hamilton–Jacobi equations.