Fast Bellman algorithm for real Monge-Ampère equation

Abstract: In this paper, we introduce a new numerical algorithm for solving the Dirichlet problem for the real Monge-Amp`ere equation. The idea is to represent the Monge-Amp`ere operator as an infimum of a class of linear elliptic operators and use Bellman's principle to construct a numeric scheme for approximating the operator attaining this infimum. We discuss the strengths and weaknesses of the proposed algorithm and demonstrate the performance of the method on several examples with various degrees of degeneracy and compare the results to two existing methods. Our method runs considerably faster than the ones used for comparison, improving the running time by a factor of 3-10 for smooth, strictly convex examples, and by a factor of 20-100 or more for mildly degenerate examples.