A MULTILEVEL FAST MARCHING METHOD FOR THE MINIMUM TIME PROBLEM

We introduce a new numerical method to approximate the solutions of a class of stationary Hamilton-Jacobi (HJ) partial differential equations arising from minimum time optimal control problems. We rely on nested grid approximations and look for the optimal trajectories by using the coarse grid approximations to reduce the search space in fine grids. This provides an infinitesimal version of the ``highway hierarchy" method which has been developed to solve shortest path problems (with discrete time and discrete state). We obtain, for each level, an approximate value function on a subdomain of the state space. We show that the sequence obtained in this way does converge to the viscosity solution of the HJ equation. Moreover, for our multilevel algorithm, if 0 < γ \leqslant 1 is the convergence rate of the classical numerical scheme, then the number of arithmetic operations needed to obtain an error in O(ε) is in O<sup>∼</sup>(ε<sup>-θ</sup>), with θ < <sub>γ</sub><sup>d</sup> , to be compared with O<sup>∼</sup>(ε<sup>-d/γ</sup>) for ordinary grid-based methods. Here d is the dimension of the problem, θ depends on d, γ and on the ``stiffness" of the value function around optimal trajectories, and the notation O^∼ ignores logarithmic factors. In particular, in typical smooth cases, one has γ = 1 and θ = (d + 1)/2.