Convergent finite difference solvers for viscosity solutions of the elliptic Monge-Ampère equation in dimensions two and higher (1007.0765v3)

Abstract: The elliptic Monge-Amp`ere equation is a fully nonlinear Partial Differential Equation that originated in geometric surface theory and has been applied in dynamic meteorology, elasticity, geometric optics, image processing and image registration. Solutions can be singular, in which case standard numerical approaches fail. Novel solution methods are required for stability and convergence to the weak (viscosity) solution. In this article we build a wide stencil finite difference discretization for the \MA equation. The scheme is monotone, so the Barles-Souganidis theory allows us to prove that the solution of the scheme converges to the unique viscosity solution of the equation. Solutions of the scheme are found using a damped Newton's method. We prove convergence of Newton's method and provide a systematic method to determine a starting point for the Newton iteration. Computational results are presented in two and three dimensions, which demonstrates the speed and accuracy of the method on a number of exact solutions, which range in regularity from smooth to non-differentiable.