Score-based Transport Modeling for Mean-Field Fokker-Planck Equations

Jianfeng Lu, Yue Wu, Yang Xiang
4/21/2023
math.NAcs.LG

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Abstract

We use the score-based transport modeling method to solve the mean-field Fokker-Planck equations, which we call MSBTM. We establish an upper bound on the time derivative of the Kullback-Leibler (KL) divergence to MSBTM numerical estimation from the exact solution, thus validates the MSBTM approach. Besides, we provide an error analysis for the algorithm. In numerical experiments, we study two types of mean-field Fokker-Planck equation and their corresponding dynamics of particles in interacting systems. The MSBTM algorithm is numerically validated through qualitative and quantitative comparison between the MSBTM solutions, the results of integrating the associated stochastic differential equation and the analytical solutions if available.

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Cite this paper

@article{lu2023scorebased,
  title  = {Score-based Transport Modeling for Mean-Field Fokker-Planck Equations},
  author = {Jianfeng Lu and Yue Wu and Yang Xiang},
  year   = {2023},
  eprint = {2305.03729},
  archivePrefix = {arXiv},
  url    = {http://arxiv.org/abs/2305.03729v1}
}

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