A blob method for inhomogeneous diffusion with applications to multi-agent control and sampling

K Craig, K Elamvazhuthi, M Haberland… - Mathematics of …, 2023 - ams.org
Mathematics of Computation, 2023ams.org
As a counterpoint to classical stochastic particle methods for linear diffusion equations, such
as Langevin dynamics for the Fokker-Planck equation, we develop a deterministic particle
method for the weighted porous medium equation and prove its convergence on bounded
time intervals. This generalizes related work on blob methods for unweighted porous
medium equations. From a numerical analysis perspective, our method has several
advantages: it is meshfree, preserves the gradient flow structure of the underlying PDE …
Abstract
As a counterpoint to classical stochastic particle methods for linear diffusion equations, such as Langevin dynamics for the Fokker-Planck equation, we develop a deterministic particle method for the weighted porous medium equation and prove its convergence on bounded time intervals. This generalizes related work on blob methods for unweighted porous medium equations. From a numerical analysis perspective, our method has several advantages: it is meshfree, preserves the gradient flow structure of the underlying PDE, converges in arbitrary dimension, and captures the correct asymptotic behavior in simulations.
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