A variational formulation of the BDF2 method for metric gradient flows

Zentrum für Mathematik, Technische Universität München, 85747 Garching, Germany

^* Corresponding author: matthes@ma.tum.de

Received: 22 December 2017
Accepted: 17 July 2018

Abstract

We propose a variational form of the BDF2 method as an alternative to the commonly used minimizing movement scheme for the time-discrete approximation of gradient flows in abstract metric spaces. Assuming uniform semi-convexity – but no smoothness – of the augmented energy functional, we prove well-posedness of the method and convergence of the discrete approximations to a curve of steepest descent. In a smooth Hilbertian setting, classical theory would predict a convergence order of two in time, we prove convergence order of one-half in the general metric setting and under our weak hypotheses. Further, we illustrate these results with numerical experiments for gradient flows on a compact Riemannian manifold, in a Hilbert space, and in the L²-Wasserstein metric.