Primal-dual hybrid gradient algorithms for computing time-implicit Hamilton-Jacobi equations

T Meng, W Hao, S Liu, SJ Osher, W Li - arXiv preprint arXiv:2310.01605, 2023 - arxiv.org
arXiv preprint arXiv:2310.01605, 2023arxiv.org
Hamilton-Jacobi (HJ) partial differential equations (PDEs) have diverse applications
spanning physics, optimal control, game theory, and imaging sciences. This research
introduces a first-order optimization-based technique for HJ PDEs, which formulates the time-
implicit update of HJ PDEs as saddle point problems. We remark that the saddle point
formulation for HJ equations is aligned with the primal-dual formulation of optimal transport
and potential mean-field games (MFGs). This connection enables us to extend MFG …
Hamilton-Jacobi (HJ) partial differential equations (PDEs) have diverse applications spanning physics, optimal control, game theory, and imaging sciences. This research introduces a first-order optimization-based technique for HJ PDEs, which formulates the time-implicit update of HJ PDEs as saddle point problems. We remark that the saddle point formulation for HJ equations is aligned with the primal-dual formulation of optimal transport and potential mean-field games (MFGs). This connection enables us to extend MFG techniques and design numerical schemes for solving HJ PDEs. We employ the primal-dual hybrid gradient (PDHG) method to solve the saddle point problems, benefiting from the simple structures that enable fast computations in updates. Remarkably, the method caters to a broader range of Hamiltonians, encompassing non-smooth and spatiotemporally dependent cases. The approach's effectiveness is verified through various numerical examples in both one-dimensional and two-dimensional examples, such as quadratic and Hamiltonians with spatial and time dependence.
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