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On variational inequalities with vanishing zero term
Journal of Inequalities and Applications volume 2013, Article number: 438 (2013)
Abstract
In this paper, we are concerned with variational inequalities (VIs), where the ‘discount factor’ (i.e., the zero-order term) is set to zero. Especially, we introduce a new method for studying the finite element approximation, based on an algorithm of Bensoussan-Lions type and the concept of subsolutions.
MSC:65N15, 65N30.
1 Introduction
Ergodic control problems may be solved by considering the variational inequality (VI)
as α tends to 0+.
Here Ω is a bounded domain of with smooth boundary Γ, f is a positive right-hand side in , ψ is a positive obstacle in such that on Γ, where n is the outward normal, and
Such problems play a fundamental role in the solution of problems of stochastic control with ergodic control type payoffs (see [1] and the references therein).
For , there exists a unique solution of (1.1) which belongs to , (see [2]).
Let denote the inner product in , let be the bilinear form
and
The weak formulation of (1.1) being
it can be shown that converges uniformly in , as , to , the solution of the VI
Also, denoting by the finite element space consisting of continuous piecewise linear functions, , the usual interpolation operator, and by
it can be proved that the solution of the discrete VI
converges uniformly in , as , to , the solution of the VI
In this paper, our primary aim is to study the finite element approximation in the norm for VIs (1.4) and (1.5). More precisely, we establish the following optimal error estimates:
and, as ,
where C is a constant independent of both α and h and denotes the -norm.
The finite element approximation of variational inequalities with vanishing zero-order term was first studied in [3] and error estimates were derived by means of the concept of subsolutions. In [4], a quasi-optimal convergence order was derived by adapting an algorithmic approach due to [5] for quasi-variational of impulse control problems. This method combines the approximation of both the continuous and discrete solutions of VIs (1.4) and (1.7) by monotone geometrically convergent iterative schemes of Bensoussan-Lions type and an estimation of the error in the maximum norm between the n th iterate of the iterative scheme and its finite element counterpart.
In this paper, this algorithmic approach is improved and optimal convergence order is derived. Besides the optimal convergence order (1.9) and (1.10), the other important novelty in this paper is the optimal error estimate that is established between the n th iterate of the iterative scheme and its finite element counterpart, which we achieve by employing the concept of subsolutions.
It is worth mentioning that the approach introduced in this paper is new and different from the one employed in [3]. Moreover, it also has the merit of providing a basic computational scheme for the solution of (1.8). It may also be extended to the quasi-variational inequality of ergodic impulse control problems studied by Lions and Perthame [6].
The paper is organized as follows. In Section 2, we construct a monotone iterative scheme and establish its geometrical convergence to the solution of VI (1.4). In Section 3, the same study is reproduced for the discrete problems. Section 4 is devoted to the finite element error analysis and proofs of the main results of this paper.
2 The continuous problem
Let α be fixed in the open interval , . Then (1.4) is equivalent to the VI
with
Notice that the bilinear form (2.2) is independent of α, as its zero-order term is equal to 1.
2.1 Construction of monotone sequences for VI (1.4)
Let us first consider the following mapping:
where is the unique solution of the following VI
So, we obviously have
Let be the solution of the equation
Thanks to [2], problem (2.6) has a unique solution which belongs to , . Moreover, is independent of α, as the bilinear form (2.2) is itself independent of α.
Lemma 1 Let . Then the mapping T is increasing, concave, and satisfies , .
Proof It is an easy adaptation of [2]. □
Now, starting from , the solution of (2.6), and from , we define the sequences
and
respectively.
As a result of Lemma 1, it is clear that both sequences and are well defined in ℂ. Moreover, they are monotone decreasing and increasing, respectively.
Next, we shall establish the geometrical convergence of these sequences.
2.2 Geometrical convergence
Lemma 2 The solution of VI (1.4) or (2.1) satisfies .
Proof First, notice that as f and ψ are both positive. On the other hand, as , by taking in (2.1) and in (2.6), we obtain by addition
So,
which, thanks to the coercivity of the bilinear form , implies
Thus,
□
Lemma 3 Let on , and assume that , where is a positive constant, and
Then
where
Proof Let us first show that
Indeed, in view of the choice of μ in (2.11), it is clear that can be taken as a test function for the VI whose is a solution. So, is also a test function for that VI, and we then have
Also, taking as a test function in equation (2.6), we get
which, multiplied by −μ, yields
So, by addition, we obtain
because and .
But in view of the choice of μ, we have
So,
and therefore
Thus, by the coercivity of , we get
and hence
We are now in a position to prove (2.10). Indeed, (2.9) implies
and since T is nondecreasing, we have
So, using the concavity of T, we get
and since , we have
which completes the proof. □
Remark 1 The constant μ defined in (2.11) is independent of α as ψ, f, and are themselves independent of α.
Theorem 1 The sequences defined in (2.7) and (2.8) converge geometrically to , the unique solution of VI (1.4), that is,
Proof The proof will be carried out by induction. We shall give only the proof of (2.15) as that of (2.16) is similar. Indeed, we clearly have
Then, using (2.10) with and the fact that , we get
or
Now, assume that
Then, making use of (2.10) with , we obtain
or
Thus, (2.15) follows. □
Next, we shall give the existence and uniqueness for VI (1.5).
Theorem 2 The solution of VI (1.4) converges uniformly in and strongly in , , to , the unique solution of VI (1.5).
Proof For uniqueness, see [1]. Let us give the existence.
First, set in (2.1). Since , then g is uniformly bounded in , i.e.,
So, using Lewy-Stampacchia inequality [2] associated with the operator
we get
where
Hence,
and thus
Consequently,
and from (2.17), we also have
Let us now pass to the limit. Indeed, since
then
So, combining (2.18) and (2.19), we get
that is, solves (1.5). In addition, choosing , we obtain
and thus
proving the strong convergence in . □
3 The discrete problem
We assume that Ω is polyhedral. The extension to the general case can be set up by the usual techniques (see [7]). Let be a regular and quasi-uniform triangulation of Ω consisting of triangles of diameter less than h. Let also , , be the basis functions of , and be the stiffness matrix associated with the bilinear form .
The discrete maximum principle assumption (DMP) We assume that the matrix is an M-Matrix [8, 9].
It is not hard to see that VI (1.7) is equivalent to the VI: find such that
As in the continuous case, we shall construct two discrete sequences and prove their geometrical convergence to the solution of VI (1.7).
3.1 Construction of monotone sequences for VI (1.7)
Indeed, consider the mapping
where is the unique solution of the following VI:
So, clearly,
Let be the solution of
Lemma 4 Let . Then, under the DMP, the mapping is increasing, concave, and satisfies , .
Now, starting from and , we define the sequences
and
respectively.
Thanks to Lemma 4, the sequences and are well defined in . Moreover, they are monotone decreasing and increasing, respectively.
3.1.1 Geometrical convergence
As in the continuous case, in order to establish the geometrical convergence of sequences (3.6) and (3.7), we shall need the following lemmas. Their proofs will be omitted as they are very similar to those of their respective continuous counterparts.
Lemma 5 Let the DMP hold. Then the solution of VI (1.7) or (3.1) satisfies .
Lemma 6 Let . Then, under the DMP, the mapping is increasing, concave, and satisfies , .
Remark 2 Thanks to Lemma 6, sequences (3.6) and (3.7) are well defined in . Moreover, they are monotone decreasing and increasing, respectively.
Lemma 7 Assume that , where is a positive constant, and
Then
where
Remark 3 The constant μ is independent of α as ψ, f, and are themselves independent of α.
Theorem 3 Sequences (3.6) and (3.7) converge, geometrically, to , the unique solution of VI (1.7), that is,
4 -Error estimates
This section is devoted to proving the main results of this paper. For that, let us recall some useful properties enjoyed by elliptic variational inequalities of obstacle type.
4.1 Elliptic variational inequality
Let g in , ψ in be such that on Γ, let be the bilinear form defined in (2.2), and let ω be the solution of the following variational inequality:
Definition 1 is said to be a subsolution for VI (4.1) if
Theorem 4 [2]
Let X denote the set of continuous subsolutions. Then the solution ω of VI (4.1) is the least upper bound of the set X.
Theorem 5 [2]
Let g and in and ω and be the corresponding solutions to (4.1). Then
Similarly, let be the finite element counterpart of ω, that is,
Definition 2 is said to be a subsolution for VI (4.1) if
Theorem 6 Let denote the set of discrete subsolutions. Then, under the DMP, the solution of VI (4.3) is the least upper bound of the set .
Theorem 7 Let g and be in , and let and be the corresponding solutions to (4.1). Then
Let us now introduce two auxiliary variational inequalities.
4.2 Two auxiliary sequences of variational inequalities
We define the sequence such that solves the continuous VI
where is defined in (3.6), and the sequence is such that solves the discrete VI
where is defined in (2.7).
Lemma 8 There exists a constant C independent of α, h, and n such that
and
Proof Since (independent of α, h, and n) and (independent of α, h, and n), making use of [10], we get both (4.6) and (4.7). □
4.3 Optimal -error estimates
Next, we shall estimate the error in the maximum norm between the n th iterates and defined in (2.7) and (3.6), respectively.
Theorem 8
In order to prove Theorem 8, we need the following lemma.
Lemma 9 There exists a sequence of continuous subsolutions such that
and
and a sequence of discrete subsolution such that
and
Proof Consider the VI
Then, as is solution to a VI, it is also a subsolution, i.e.,
But
Then
So, is a subsolution for the VI whose solution is . Then, as , making use of Theorem 5, we have
Hence, making use of Theorem 4, we have
Putting
we get
and
Consider now the discrete VI
Then
or
So, is a subsolution for the VI whose solution is . And, as , making use of Theorem 7, we get
and, making use of Theorem 6, we have
Now, taking
we have
and
Thus, combining (4.9), (4.10) and (4.11), (4.12), we obtain
That is,
Step n. Let us now assume that
and prove that
For that, consider the VI
Then
or
So, using (4.13), we get
Hence, is a subsolution for the VI whose solution is . Then, as , making use of Theorem 5, we have
Hence, applying Theorem 4, we get
Putting
we get
and
Consider now the discrete VI
Then
and, making use of (4.13), we obtain
So, is a subsolution for the VI whose solution is . And, as , making use of Theorem 7, we get
and, making use of Theorem 6, we have
Now, taking
we have
and
Thus, combining (4.14), (4.15) and (4.16), (4.17), we obtain
That is,
□
Theorem 9 There exists a constant C independent of both α and h such that
Proof Indeed, combining estimates (2.15), (3.11), and (4.8), we get
So, passing to the limit, as , we get
□
Theorem 10 The solution of VI (1.7) converges, as , uniformly in to , the solution of discrete VI (1.8).
Proof Since , then taking as a trial function in the VI
we get
That is,
On the other hand, we have from the theorem
Then, by the inverse inequality, we have
and therefore
The rest of the proof is similar to that of Theorem 2. □
Next, combining Theorems 2, 9, and 10, we are in a position to derive the main result of this paper.
Theorem 11 There exists a constant independent of both α and h such that
Proof Indeed, using estimate (4.18), we have
So, passing to the limit, as , we get
Thus
□
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Boulbrachene, M. On variational inequalities with vanishing zero term. J Inequal Appl 2013, 438 (2013). https://doi.org/10.1186/1029-242X-2013-438
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DOI: https://doi.org/10.1186/1029-242X-2013-438