Convergence Rate for the Ordered Upwind Method

The ordered upwind method (OUM) is used to approximate the viscosity solution of the static Hamilton---Jacobi---Bellman with direction-dependent weights on unstructured meshes. The method has been previously shown to provide a solution that converges to the exact solution, but no convergence rate has been theoretically proven. In this paper, it is shown that the solutions produced by the OUM in the boundary value formulation converge at a rate...