Neural parametric Fokker-Planck equation
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Publication:5087103
deep learningoptimal transportimplicit Euler schemenumerical analysisneural parametric Fokker-Planck equationtransport information geometry
Optimal transportation (49Q22) Artificial neural networks and deep learning (68T07) Fokker-Planck equations (35Q84) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference and finite volume methods for ordinary differential equations (65L12) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Methods of ordinary differential equations applied to PDEs (35A24) PDEs on graphs and networks (ramified or polygonal spaces) (35R02)
Abstract: In this paper, we develop and analyze numerical methods for high dimensional Fokker-Planck equations by leveraging generative models from deep learning. Our starting point is a formulation of the Fokker-Planck equation as a system of ordinary differential equations (ODEs) on finite-dimensional parameter space with the parameters inherited from generative models such as normalizing flows. We call such ODEs neural parametric Fokker-Planck equations. The fact that the Fokker-Planck equation can be viewed as the -Wasserstein gradient flow of Kullback-Leibler (KL) divergence allows us to derive the ODEs as the constrained -Wasserstein gradient flow of KL divergence on the set of probability densities generated by neural networks. For numerical computation, we design a variational semi-implicit scheme for the time discretization of the proposed ODE. Such an algorithm is sampling-based, which can readily handle the Fokker-Planck equations in higher dimensional spaces. Moreover, we also establish bounds for the asymptotic convergence analysis of the neural parametric Fokker-Planck equation as well as the error analysis for both the continuous and discrete versions. Several numerical examples are provided to illustrate the performance of the proposed algorithms and analysis.
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Cited in
(16)- Fisher information and shape-morphing modes for solving the Fokker-Planck equation in higher dimensions
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