Monotone Mixed Finite Difference Scheme for Monge-Amp\`ere Equation

Abstract

In this paper, we propose a monotone mixed finite difference scheme for solving the two-dimensional Monge-Amp\`ere equation. In order to accomplish this, we convert the Monge-Amp\`ere equation to an equivalent Hamilton-Jacobi-Bellman (HJB) equation. Based on the HJB formulation, we apply the standard 7-point stencil discretization, which is second order accurate, to the grid points wherever monotonicity holds, and apply semi-Lagrangian wide stencil discretization elsewhere to ensure monotonicity on the entire computational domain. By dividing the admissible control set into six regions and optimizing the sub-problem in each region, the computational cost of the optimization problem at each grid point is reduced from $O(M^2)$ to $O(1)$ when the standard 7-point stencil discretization is applied and to $O(M)$ otherwise, where the discretized control set is $M \times M$. We prove that our numerical scheme satisfies consistency, stability, monotonicity and strong comparison principle, and hence is convergent to the viscosity solution of the Monge-Amp\`ere equation. In the numerical results, second order convergence rate is achieved when the standard 7-point stencil discretization is applied monotonically on the entire computation domain, and up to order one convergence is achieved otherwise. The proposed mixed scheme yields a smaller discretization error and a faster convergence rate compared to the pure semi-Lagrangian wide stencil scheme.