Parametric Fokker-Planck equation
arXiv:1903.10076 · doi:10.1007/978-3-030-26980-7_74
Abstract
We derive the Fokker-Planck equation on the parametric space. It is the Wasserstein gradient flow of relative entropy on the statistical manifold. We pull back the PDE to a finite dimensional ODE on parameter space. Some analytical example and numerical examples are presented.
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