Hessian transport gradient flows

DOI10.1007/S40687-019-0198-9zbMATH Open1427.35282arXiv1905.04556OpenAlexW2982448168MaRDI QIDQ2336045FDOQ2336045

Authors: Wuchen Li, Lexing Ying 

Publication date: 18 November 2019

Published in: Research in the Mathematical Sciences (Search for Journal in Brave)

Abstract: We derive new gradient flows of divergence functions in the probability space embedded with a class of Riemannian metrics. The Riemannian metric tensor is built from the transported Hessian operator of an entropy function. The new gradient flow is a generalized Fokker-Planck equation and is associated with a stochastic differential equation that depends on the reference measure. Several examples of Hessian transport gradient flows and the associated stochastic differential equations are presented, including the ones for the reverse Kullback--Leibler divergence, alpha-divergence, Hellinger distance, Pearson divergence, and Jenson--Shannon divergence.

Full work available at URL: https://arxiv.org/abs/1905.04556

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zbMATH Keywords

optimal transportgeneralized de Bruijn identityHessian transportHessian transport stochastic differential equationsinformation/Hessian geometry

Mathematics Subject Classification ID

Heat equation (35K05) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (9)

• Diffusion hypercontractivity via generalized density manifold
• Computational mean-field information dynamics associated with reaction-diffusion equations
• Controlling conservation laws. I: entropy-entropy flux
• Spherical Hellinger-Kantorovich gradient flows
• Hessian Riemannian Gradient Flows in Convex Programming
• Unconditionally energy stable and bound-preserving schemes for phase-field surfactant model with moving contact lines
• Transport information Bregman divergences
• Covariance-modulated optimal transport and gradient flows
• Hessian metric via transport information geometry

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