Neural Fokker-Planck Equation 114


Wuchen Li, UCLA Department of Mathematics


2020.05.05 10:30-11:30




Conference ID: 960-7971-9623
Password: 182510


In this talk, 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 equation. The fact that the Fokker-Planck equation can be viewed as the L2-Wasserstein gradient flow of Kullback-Leibler (KL) divergence allows us to derive the ODEs as the constrained L2-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 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 its error analysis for both the continuous and discrete (forward-Euler time discretization) versions. Several numerical examples are provided to illustrate the performance of the proposed algorithms and analysis.


李务晨出生于中国山东临沂。他于2009年获得山东大学数学理学学士学位, 2016年获得佐治亚理工学院的数学博士学位。从2016到现在, 他在加州大学洛杉矶分校做博士后。今年8月,他将前往南卡罗莱纳大学从事助理教授的工作。他的主要研究领域包括运输信息几何和数据科学。