Parametric Fokker-Planck equation
Optimization and Control
2020-06-16 v2
Abstract
We derive the Fokker-Planck equation on the parametric space. It is the Wasserstein gradient flow of relative entropy on the statistical manifold. We pull back the PDE to a finite dimensional ODE on parameter space. Some analytical example and numerical examples are presented.
Cite
@article{arxiv.1903.10076,
title = {Parametric Fokker-Planck equation},
author = {Wuchen Li and Shu Liu and Hongyuan Zha and Haomin Zhou},
journal= {arXiv preprint arXiv:1903.10076},
year = {2020}
}