Some algorithms and analysis for first order interacting particle systems

Monday, January 28, 2019 - 15:00
Speaker Information
Lei Li
Shanghai Jiao Tong University and CMU

Abstract or Additional Information


We focus on first order interacting particle systems, which can be viewed as overdamped Langevin equations.  In the first part, we will look at the so-called random batch methods (RBM) for simulating the interacting particle systems. The algorithms are motivated by the mini-batch idea in machine learning. For some special cases, we show the convergence of RBMs for the first marginal under Wasserstein distance. In the second part, we look at the Coulomb interaction in 3D space. We show that as the number of particles go to infinity, almost surely, the empirical measure converges in law to weak solutions of the limiting nonlinear Fokker-Planck equation.  This talk is based on joint works with Shi Jin (Shanghai Jiao Tong), Jian-Guo Liu (Duke University) and Pu Yu (Peking University).