Special Session 57: Dynamics and Numerics of Stochastic Differential Equations

Wasserstein Hamiltonian Flow and Its Structure Preserving Numerical Scheme

Jianbo Cui
Hong Kong Polytechnic University
Hong Kong
Co-Author(s):    Luca Dieci and Haomin Zhou
Abstract:
We study discretizations of Hamiltonian systems on the probability density manifold equipped with the L2-Wasserstein metric. For low dimensional problems, based on discrete optimal transport theory, several Wasserstein Hamiltonian flows (WHFs) on graph are derived. They can be viewed as spatial discretizations to the original systems. By regularizing the system using Fisher information, we propose a novel regularized symplectic scheme which could preserve several desirable longtime behaviors. Furthermore, we use the coupling idea and WHF to propose a supervised learning scheme for some high-dimensional problem.