Error Analysis of Time-Discrete Random Batch Method for Interacting Particle Systems and Associated Mean-Field Limits

arXiv2206.02166MaRDI QIDQ6401170FDOQ6401170

Authors: Zhennan Zhou 

Publication date: 5 June 2022

Abstract: The random batch method provides an efficient algorithm for computing statistical properties of a canonical ensemble of interacting particles. In this work, we study the error estimates of the fully discrete random batch method, especially in terms of approximating the invariant distribution. Using a triangle inequality framework, we show that the long-time error of the method is $O(sqrtau+e^{-lambdat})$, where $au$ is the time step and $lambda$ is the convergence rate which does not depend on the time step $au$ or the number of particles $N$. Our results also apply to the McKean-Vlasov process, which is the mean-field limit of the interacting particle system as the number of particles $Nightarrowinfty$.

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Simulation of dynamical systems (37M05)

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