Solving the Fokker-Planck equation of discretized Dean-Kawasaki models with functional hierarchical tensor

Abstract

We introduce a novel numerical scheme for solving the Fokker-Planck equation of discretized Dean-Kawasaki models with a functional tensor network ansatz. The Dean-Kawasaki model describes density fluctuations of interacting particle systems, and it is a highly singular stochastic partial differential equation. By performing a finite-volume discretization of the Dean-Kawasaki model, we derive a stochastic differential equation (SDE). To fully characterize the discretized Dean-Kawasaki model, we solve the associated Fokker-Planck equation of the SDE dynamics. In particular, we use a particle-based approach whereby the solution to the Fokker-Planck equation is obtained by performing a series of density estimation tasks from the simulated trajectories, and we use a functional hierarchical tensor model to represent the density. To address the challenge that the sample trajectories are supported on a simplex, we apply a coordinate transformation from the simplex to a Euclidean space by logarithmic parameterization, after which we apply a sketching-based density estimation procedure on the transformed variables. Our approach is general and can be applied to general density estimation tasks over a simplex. We apply the proposed method successfully to the 1D and 2D Dean-Kawasaki models. Moreover, we show that the proposed approach is highly accurate in the presence of external potential and particle interaction.