Ergodicity and long-time behavior of the Random Batch Method for interacting particle systems

Abstract

We study the geometric ergodicity and the long time behavior of the Random Batch Method for interacting particle systems, which exhibits superior numerical performance in recent large-scale scientific computing experiments. We show that for both the interacting particle system (IPS) and the random batch interacting particle system (RB-IPS), the distribution laws converge to their respective invariant distributions exponentially, and the convergence rate does not depend on the number of particles $N$, the time step $\tau$ for batch divisions or the batch size $p$. Moreover, the Wasserstein distance between the invariant distributions of the IPS and the RB-IPS is bounded by $O(\sqrt{\tau})$, showing that the RB-IPS can be used to sample the invariant distribution of the IPS accurately with greatly reduced computational cost.