A Convergent Quadrature Based Method For The Monge-Ampère Equation

Abstract: We introduce an integral representation of the Monge-Amp`ere equation, which leads to a new finite difference method based upon numerical quadrature. The resulting scheme is monotone and fits immediately into existing convergence proofs for the Monge-Amp`ere equation with either Dirichlet or optimal transport boundary conditions. The use of higher-order quadrature schemes allows for substantial reduction in the component of the error that depends on the angular resolution of the finite difference stencil. This, in turn, allows for significant improvements in both stencil width and formal truncation error. The resulting schemes can achieve a formal accuracy that is arbitrarily close to $\mathcal{O}(h^2)$, which is the optimal consistency order for monotone approximations of second order operators. We present three different implementations of this method. The first two exploit the spectral accuracy of the trapezoid rule on uniform angular discretizations to allow for computation on a nearest-neighbors finite difference stencil over a large range of grid refinements. The third uses higher-order quadrature to produce superlinear convergence while simultaneously utilizing narrower stencils than other monotone methods. Computational results are presented in two dimensions for problems of various regularity.