Lax-Hopf Based Incorporation of Internal Boundary Conditions Into Hamilton-Jacobi Equation. Part I: Theory

This article proposes a new approach for computing a semi-explicit form of the solution to a class of Hamilton–Jacobi (HJ) partial differential equations (PDEs), using control techniques based on viability theory. We characterize the epigraph of the value function solving the HJ PDE as a capture basin of a target through an auxiliary dynamical system, called “characteristic system”. The properties of capture basins enable us to define components as building blocks of the solution to the HJ PDE in the Barron/Jensen-Frankowska sense. These components can encode initial conditions, boundary conditions, and internal “boundary” conditions, which are the topic of this article. A generalized Lax-Hopf formula is derived, and enables us to formulate the necessary and sufficient conditions for a mixed initial and boundary conditions problem with multiple internal boundary conditions to be well posed. We illustrate the capabilities of the method with a data assimilation problem for reconstruction of highway traffic flow using Lagrangian measurements generated from Next Generation Simulation (NGSIM) traffic data.