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arXiv · 2306.03292

Convex Relaxation for Fokker-Planck

Yian Chen·Yuehaw Khoo·Lek-Heng Lim
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Abstract

We propose an approach to directly estimate the moments or marginals for a high-dimensional equilibrium distribution in statistical mechanics, via solving the high-dimensional Fokker-Planck equation in terms of low-order cluster moments or marginals. With this approach, we bypass the exponential complexity of estimating the full high-dimensional distribution and directly solve the simplified partial differential equations for low-order moments/marginals. Moreover, the proposed moment/marginal relaxation is fully convex and can be solved via off-the-shelf solvers. We further propose a time-dependent version of the convex programs to study non-equilibrium dynamics. We show the proposed method can recover the meanfield approximation of an equilibrium density. Numerical results are provided to demonstrate the performance of the proposed algorithm for high-dimensional systems.

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Yian Chen, Yuehaw Khoo, Lek-Heng Lim. 2023-06-05. Convex Relaxation for Fokker-Planck. https://arxiv.org/abs/2306.03292

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