Convergence to global equilibrium for Fokker-Planck equations on a graph and Talagrand-type inequalities

DOI10.1016/J.JDE.2016.05.003MaRDI QIDQ288752zbMATH OpenOpenAlexFDO

Authors Rui Che, Wen Huang, Yao Li, Prasad Tetali

Publication date 27 May 2016

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.0711

zbMATH Keywords

graphFokker-Planck equationGibbs densityTalagrand inequality

Mathematics Subject Classification ID

Diffusion processes (60J60) Dynamical systems involving maps of trees and graphs (37E25) Generation, random and stochastic difference and differential equations (37H10) Continuous-time Markov processes on discrete state spaces (60J27)

Abstract: In recent work, Chow, Huang, Li and Zhou introduced the study of Fokker-Planck equations for a free energy function defined on a finite graph. When $Nge2$ is the number of vertices of the graph, they show that the corresponding Fokker-Planck equation is a system of $N$ nonlinear ordinary differential equations defined on a Riemannian manifold of probability distributions. The different choices for inner products on the space of probability distributions result in different Fokker-Planck equations for the same process. Each of these Fokker-Planck equations has a unique global equilibrium, which is a Gibbs distribution. In this paper we study the {em speed of convergence} towards global equilibrium for the solution of these Fokker-Planck equations on a graph, and prove that the convergence is indeed exponential. The rate as measured by the decay of the $L_2$ norm can be bound in terms of the spectral gap of the Laplacian of the graph, and as measured by the decay of (relative) entropy be bound using the modified logarithmic Sobolev constant of the graph. With the convergence result, we also prove two Talagrand-type inequalities relating relative entropy and Wasserstein metric, based on two different metrics introduced in [CHLZ] The first one is a local inequality, while the second is a global inequality with respect to the "lower bound metric" from [CHLZ].

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Cited in

(8)

• Entropy dissipation semi-discretization schemes for Fokker-Planck equations
• The Łojasiewicz inequality for free energy functionals on a graph
• Convergence to equilibrium for linear Fokker-Planck equations
• Fokker-Planck equations for a free energy functional or Markov process on a graph
• Entropy dissipation of Fokker-Planck equations on graphs
• Entropic Ricci curvature for discrete spaces
• Influence prediction for continuous-time information propagation on networks
• Exponential convergence toward equilibrium for homogeneous Fokker-Planck-type equations

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