Gradient flow structure for McKean-Vlasov equations on discrete spaces

In this work, we show that a family of non-linear mean-field equations on discrete spaces can be viewed as a gradient flow of a natural free energy functional with respect to a certain metric structure we make explicit. We also prove that this gradient flow structure arises as the limit of the gradient flow structures of a natural sequence of $N$-particle dynamics, as $N$ goes to infinity.

[1]  A. Schlichting Macroscopic limit of the Becker–Döring equation via gradient flows , 2016, ESAIM: Control, Optimisation and Calculus of Variations.

[2]  J. Maas Gradient flows of the entropy for finite Markov chains , 2011, 1102.5238.

[3]  N. Dirr,et al.  Upscaling from particle models to entropic gradient flows , 2012 .

[4]  S. Serfaty,et al.  Gamma‐convergence of gradient flows with applications to Ginzburg‐Landau , 2004 .

[5]  Amarjit Budhiraja,et al.  Local stability of Kolmogorov forward equations for finite state nonlinear Markov processes , 2014, 1412.5555.

[6]  Michiel Renger,et al.  From large deviations to Wasserstein gradient flows in multiple dimensions , 2015 .

[7]  K. Oelschlager A Martingale Approach to the Law of Large Numbers for Weakly Interacting Stochastic Processes , 1984 .

[8]  J. Gärtner,et al.  Large deviations from the mckean-vlasov limit for weakly interacting diffusions , 1987 .

[9]  Patrick Billingsley,et al.  Probability and Measure. , 1986 .

[10]  F. Otto THE GEOMETRY OF DISSIPATIVE EVOLUTION EQUATIONS: THE POROUS MEDIUM EQUATION , 2001 .

[11]  Sara Daneri,et al.  Lecture notes on gradient flows and optimal transport , 2010, Optimal Transport.

[12]  A. Mielke On Evolutionary $$\varGamma $$-Convergence for Gradient Systems , 2016 .

[13]  Stefan Adams,et al.  From a Large-Deviations Principle to the Wasserstein Gradient Flow: A New Micro-Macro Passage , 2010, 1004.4076.

[14]  A. Mielke On evolutionary -convergence for gradient systems , 2014 .

[15]  C. Villani,et al.  Quantitative Concentration Inequalities for Empirical Measures on Non-compact Spaces , 2005, math/0503123.

[16]  Giuseppe Buttazzo,et al.  Semicontinuity, Relaxation and Integral Representation in the Calculus of Variations , 1989 .

[17]  Matthias Erbar Gradient flows of the entropy for jump processes , 2012, 1204.2190.

[18]  P. Cattiaux,et al.  Probabilistic approach for granular media equations in the non-uniformly convex case , 2006, math/0603541.

[19]  Giuseppe Savaré,et al.  A new class of transport distances between measures , 2008, 0803.1235.

[20]  Manh Hong Duong,et al.  WASSERSTEIN GRADIENT FLOWS FROM LARGE DEVIATIONS OF MANY-PARTICLE LIMITS , 2013 .

[21]  C. Villani,et al.  Kinetic equilibration rates for granular media and related equations: entropy dissipation and mass transportation estimates , 2003 .

[22]  École d'été de probabilités de Saint-Flour,et al.  Ecole d'été de probabilités de Saint-Flour XIX, 1989 , 1991 .

[23]  Sylvia Serfaty,et al.  Gamma-convergence of gradient flows on Hilbert and metric spaces and applications , 2011 .

[24]  J. Lynch,et al.  A weak convergence approach to the theory of large deviations , 1997 .

[25]  A. Vershik,et al.  Product of commuting spectral measures need not be countably additive , 1979 .

[26]  M. Fathi A gradient flow approach to large deviations for diffusion processes , 2014, 1405.3910.

[27]  C. Chou The Vlasov equations , 1965 .

[28]  J. Maas,et al.  Gradient flow structures for discrete porous medium equations , 2012, 1212.1129.

[29]  C. Landim,et al.  Scaling Limits of Interacting Particle Systems , 1998 .

[30]  Jan Maas,et al.  Gromov-Hausdorff Convergence of Discrete Transportation Metrics , 2012, SIAM J. Math. Anal..

[31]  C. Villani,et al.  Contractions in the 2-Wasserstein Length Space and Thermalization of Granular Media , 2006 .

[32]  L. Ambrosio,et al.  Existence and stability for Fokker–Planck equations with log-concave reference measure , 2007, Probability Theory and Related Fields.

[33]  L. Ambrosio,et al.  Gradient Flows: In Metric Spaces and in the Space of Probability Measures , 2005 .

[34]  M. Fathi,et al.  The Gradient Flow Approach to Hydrodynamic Limits for the Simple Exclusion Process , 2015, 1507.06489.

[35]  A. Sznitman Topics in propagation of chaos , 1991 .

[36]  D. Kinderlehrer,et al.  THE VARIATIONAL FORMULATION OF THE FOKKER-PLANCK EQUATION , 1996 .

[37]  J. Norris Appendix: probability and measure , 1997 .

[38]  Y. Peres,et al.  Glauber dynamics for the mean-field Ising model: cut-off, critical power law, and metastability , 2007, 0712.0790.

[39]  A. Mielke Geodesic convexity of the relative entropy in reversible Markov chains , 2013 .

[40]  Amarjit Budhiraja,et al.  Limits of relative entropies associated with weakly interacting particle systems , 2014, 1412.5553.

[41]  J. Maas,et al.  Ricci Curvature of Finite Markov Chains via Convexity of the Entropy , 2011, 1111.2687.

[42]  F. Malrieu Convergence to equilibrium for granular media equations and their Euler schemes , 2003 .

[43]  F. Hollander,et al.  McKean-Vlasov limit for interacting random processes in random media , 1996 .

[44]  N. Metropolis,et al.  Equation of State Calculations by Fast Computing Machines , 1953, Resonance.