Filtered schemes for Hamilton–Jacobi equations: A simple construction of convergent accurate difference schemes

We build a simple and general class of finite difference schemes for first order Hamilton–Jacobi (HJ) Partial Differential Equations. These filtered schemes are convergent to the unique viscosity solution of the equation. The schemes are accurate: we implement second, third and fourth order accurate schemes in one dimension and second order accurate schemes in two dimensions, indicating how to build higher order ones. They are also explicit, which means they can be solved using the fast sweeping method. The accuracy of the method is validated with computational results for the eikonal equation and other HJ equations in one and two dimensions, using filtered schemes made from standard centered differences, higher order upwinding and ENO interpolation.