Interacting particle solutions of Fokker–Planck equations through gradient–log–density estimation
Published in Entropy, 2020
We introduced an interacting particle system with purely deterministic dynamics that provides accurate Fokker–Planck solutions for diffusive systems. The formulation relies on a variational representation of the logarithmic gradient of the instaneous Fokker-Planck probability density. Our approach does not require the knowledge (or even the existence) of a steady state, and is thereby relevant even for systems with time inhomogeneous dynamics.
Recommended citation: Maoutsa, D; Reich, S; Opper, M. (2020). "Interacting particle solutions of Fokker–Planck equations through gradient–log–density estimation." Entropy. 22.8 (2020): 802.
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