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This article presents a new method for explicitly computing solutions to a Hamilton-Jacobi partial differential equation for which initial, boundary and internal conditions are prescribed as piecewise affine functions. Based on viability theory, a Lax-Hopf formula is used to construct analytical solutions for the individual contribution of each affine condition to the solution of the problem. The results are assembled into a Lax-Hopf algorithm which can be used to compute the solution to the partial differential equation at any arbitrary time at no other cost than evaluating a semi-analytical expression numerically. The method being semi-analytical, it performs at machine accuracy (compared to the discretization error inherent to finite difference schemes). The performance of the method is assessed with benchmark analytical examples. The running time of the algorithm is compared with the running time of a Godunov scheme.
Date of Publication: May 2010