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A fast sweeping method for eikonal equations. (English) Zbl 1070.65113
The eikonal equation $| \nabla u(x)| =f(x),\;\;x\in{\mathbb R}^n$ has various applications. This nice paper gives an elegant numerical method for numerical approximation of the positive solution of the eikonal equation with Dirichlet boundary condition stated on the boundary $$\Gamma$$ of a given domain. The method is based on the so called upwind finite difference scheme, a variant of the Godunov method. The method is presented with all details in the two dimensional case. Let $$u_{j,k}$$ be the numerical solution at an interior grid point $$x_{j,k}$$ on a square grid with the step $$h$$. The Godunov scheme for $$u_{j,k}$$ reads as follows: $[(u_{j,k}-u_{x,min})^+]^2+[(u_{j,k}-u_{y,min})^+]^2=h^2f(x_{j,k})^2,$ here $$(\cdot)^+$$ gives the value of the expression in brackets if it is positive, and zero otherwise; $$u_{x,min}=\min\{u_{j-1,k},u_{j+1,k}\}$$, and similarly for the variable $$y$$. The above system of quadratic equations is solved by iteration of the Gauss-Seidel type. In the two dimensional case the whole domain is sweeped with four alternating ordering: in both opposite direction with respect to $$j$$, and then similarly, with respect to $$k$$. Various properties of the proposed method are proven: the most important is its monotonicity, and in consequence its convergence as well as its optimal complexity. Several numerical examples are joint.

##### MSC:
 65N06 Finite difference methods for boundary value problems involving PDEs 65N12 Stability and convergence of numerical methods for boundary value problems involving PDEs 65N15 Error bounds for boundary value problems involving PDEs 35L50 Initial-boundary value problems for first-order hyperbolic systems 35L60 First-order nonlinear hyperbolic equations
##### Keywords:
Eikonal equation; upwind scheme; Gauss-Seidel iteration
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