Uniform-in-time propagation of chaos for second order interacting particle systems
Abstract
We study the long time behavior of second order particle systems interacting through global Lipschitz kernels. Combining hypocoercivity method in [37] and relative entropy method in [26], we are able to overcome the degeneracy of diffusion in position direction by controlling the relative entropy and relative Fisher information together. This implies the uniform-in-time propagation of chaos through the strong convergence of all marginals. Our method works at the level of Liouville equation and relies on the log Sobolev inequality of equilibrium of Vlasov-Fokker-Planck equation.
1 Introduction
1.1 Framework
In this article, we consider the stochastic second order particle systems for indistinguishable point-particles, subject to a confining external force and an interacting kernel ,
(1.1) |
where . We take the position in , which may be the whole space or the periodic torus , while each velocity lies in . Note that denotes independent copies of Wiener processes on . We take the diffusion coefficient before the Brownian motions as a constant for simplicity. Usually one can take , where the constant denotes the friction parameter, and is the inverse temperature. In more general models, those may depend on the number of particles , the position of particles , etc.
In many important models, the kernel is given by , where is an interacting potential. A well-known example for is the Coulomb potential. We recall that the Hamiltonian energy associated to the particle system (1.1) reads as
(1.2) |
which is the sum of the kinetic energy and the potential energy defined by
(1.3) |
We recall the Liouville equation as in [26], which describes the joint distribution of the particle system (1.1) on ,
(1.4) |
We define the associated Liouville operator as
(1.5) |
As the mean field theory indicates, when , the limiting behavior of any particle in (1.1) is described by the McKean-Vlasov SDE
(1.6) |
where , denotes a standard Brownian motion on . We then denote its phase space density by and the spatial density by
The law further satisfies the mean-field equation or the nonlinear Fokker-Planck equation
(1.7) |
If , one can check that its nonlinear equilibrium satisfies the following equation
(1.8) |
where is the constant to make a probability density. In the literature, one may use the “formal equilibrium” of Eq.(1.7) at time to refer
(1.9) |
again where is the constant to make a probability density.
It is well-known that the large limit of particle system (1.1) is mathematically formalized by the notion of originating in [29]. See also the surveys for instance [36, 18, 25, 27]. Recently, many important works have been done in quantifying propagation of chaos for different kinds of first order interacting particle systems with singualr kernels. See for instance [27, 11] for detailed descriptions of recent development. However, for 2nd order systems or Newton’s dynamcis for interacting particles, the natural question is to consider the mean field limit of a purely deterministic problem, that is as in Eq. (1.1) or our setting with the diffusion only acts on the velocity variables. Thus the limiting equation (1.7) has the Laplacian term only in its velocity variable. Consequently, we cannot treat more general kernels and long time propagation of chaos for 2nd order systems by exploiting entropy dissipation as easy as those in the first-order setting for instance as in [28].
The main purposes of this article are two-fold. Firstly, we study the long time convergence of the solution to the N-particle Liouville equation (1.4) toward its unique equilibrium (i.e. the Gibbs measure) uniformly in . Secondly, we establish propagation of chaos of (1.1) (or (1.4) )toward (1.6) (or (1.7) ) uniformly in time. We combine the entropy method developed in [26] with the hypocoercivity method refined in [37] to overcome the degeneracy of diffusion in position direction. Here we deal with the cases where the interaction kernel is globally Lipschitz and the strength of diffusion is large enough. Uniform-in-time propagation of chaos cannot hold in full generality, one of the most critical issues is that the non-linear equilibrium of (1.7) might not be unique. Furthermore, for systems (1.4) with singular interactions , for instance the Coulomb interactions, even the mean-field limit/propagation of chaos for general initial data on a fixed finite time horizon, for instance , is still widely open. The recent progress can be found for instance in [23, 24, 26, 31, 7, 6, 5]. Uniform-in- convergence of (1.4) toward its equilibrium is seldom investigated for systems even with very mild singularities. Those will be the objects of our further study.
Let us briefly describe how we combine the relative entropy with hypocoercivity to establish propagation of chaos. To illustrate the ideas, we pretend all solutions are classical and there is no regularity issue when we take derivatives. We first recall the evolution of relative entropy in [26] for systems with bounded kernel ,
(1.10) | ||||
where is the normalized relative entropy defined as
and is the error term defined as
Hereinafter we write that , and . Then by integration by parts, one can rewrite (1.10) as
(1.11) | ||||
where is a -dimensional vector defined as
Inspired by the strategy used in [19] to deal with the first order dynamics on torus, we expect to find the term
in some way to use log-Sobolev inequality for the second order system (1.1). Fortunately, hypocoercivity in entropy sense in [37] motivates us to take the derivative of normalized relative Fisher information , which is defined as
where is a positive defined matrix. If we choose the matrix as the form
where are positive definite matrices to be specified later, then we obtain
(1.12) | ||||
where are two positive constants that depend on , and . The concrete form of error terms will be given in Lemma 4 and Lemma 6. Roughly speaking, time derivative of relative entropy only provides us dissipation in the direction of velocity and time derivative of relative Fisher information provides us further dissipation in the direction of position. The reference measure of (1.10) and (1.12) could be more general. For insatnce, if we replace by , we can show the convergence from towards as .
Now we combine these two quantities, relative entropy and Fisher information, to form a new “modulated energy” as
where may take or . The remaining argument is to appropriately control error terms in (1.12). When , linear structure of the Liouville equation (1.4) makes error terms vanish. When , error terms in (1.12) can be written as
(1.13) |
for suitable selection of (See Corollary 2), here . However, the terms and are too difficult to control to obtain some uniform-in-time estimates for (1.13) (See Remark 15). The key observation is that and are trivial terms if we replace by its non-linear equilibrium, then we can show
(1.14) | ||||
where are some constants that only depend on and (See Theorem 1.2). To control the error between and , we use the convergence result from to its equilibrium . There exist some results studying this type of convergence . In this article, we adapt the arguments as in [21] for with small and [13] for the case when and the interaction energy is convex to establish the following estimate
(1.15) |
where depends on and depends on initial data . We give the sketch of proof of (1.15) in Theorem 1.4 and Theorem 1.5 in the appendix. In the end, we combine (1.14) with (1.15) through 2-Wasserstein distance to conclude.
Finally, we give some comments about terms and . Unfortunately we cannot directly obtain uniform-in-time estimates about these terms, otherwise we would have
for some and then finish the proof by Gronwall’s inequality. Uniform-in-time propagation of chaos can only be expected when the limiting PDE (1.7) has a unique equilibrium. Indeed, we obtain Theorem 1.3 under the assumptions in Theorem 1.2 and some assumption on which prevents the existence of multiple equilibria of Eq.(1.7). Similar arguments/estimates have also appeared in the first-order setting. For instance, the authors of [17] obtained Li-Yau type growth estimates of with respect to the position for any fixed time horizon in particular in the case of 2d Navier-Stokes equation, with a universal constant growing with time . Those type estimates are very useful when one treats the mean field limit problem set on the whole space [35, 8].
1.2 Main results and examples
Let us fix some notations first. We denote as a phase space configuration of one particle, and , and for configurations in position, velocity and phase space of particles, respectively. We also use that and . As the same spirit, we write operator , and . Those are operators on .
For two probability measures on , we denote by theset of all couplings between and . We define Wasserstein distance as
For a measure and a positive integrable function such that , we define the entropy of with respect to as
For two probability measures and , we define the relative entropy between and as
and the normalized version of relative entropy for probability measures and on as
(1.16) |
We also define relative Fisher information between and as
where is a positive definite matrix-valued function such that for some independent on . Similarly, the normalized version of relative Fisher information between two probability measures and on reads as
(1.17) |
We abuse the notation of probability measures and as probability densities if they have densities. Finally, we give definitions of some functional inequalities that we will use in the following.
Definition 1.1.
(log-Sobolev inequality) We call that the probability measure on satisfies the log-Sobolev inequality if there exists some constant such that for all smooth function with , it holds that
(1.18) |
Definition 1.2.
(Weighted log-Sobolev inequality) Let be a smooth function on . We call that the probability measure on satisfies the weighted log-Sobolev inequality with weight if there exists some constant such that for all smooth function with , it holds that
(1.19) |
In the following, we use () to denote the (weighted) log-Sobolev inequality constant of the equilibrium measure of the limiting PDE (1.7) and to denote the uniform-in- log-Sobolev inequality constant of the stationary measure of the Liouville equation (1.4).
Now we detail assumptions about interaction potential and confining potential .
Assumption 1.
Suppose that and there exist such that .
The first condition means that goes to infinity at infinity and is bounded below. It can be implied by
for some . This expression implies that the force drags particles back to some compact set. Detailed proof can be found in [20].
The second assumption implies that the potential grows at most quadratically on .
Assumption 2.
Suppose that and there exists such that .
We also treat more general confining potentials when .
Assumption 3.
Suppose that and there exist and such that . Moreover, outside a compact domain on , we assume that satisfies
for some ;
for some positive constant .
Those conditions in Assumption 3 have been explored in [10] for kinetic Langevin process with confining potentials greater than quadratic growth at infinity. The boundedness of extend the quadratic growth condition and the other two conditions guarantee the weighted log-Sobolev inequality of (See Section 2.3). We also use multiplier method developed in [10] to deal with this type of confining potentials.
Example 1.
Some important examples have been provided in [10]. The first kind of examples is . Then we have , and . Finally, we take . Then all conditions above can be satisfied.
Example 2.
Another kind of examples is provided in [10], which shows that the limit growth of must be below the exponential growth. Observing that , and , the conditions above imply and .
Assumption 4.
Suppose that and there exists such that .
Assumption 5.
The mean field functional or the interaction energy defined as
is functional convex, i.e. for every and every ,
(1.20) |
Example 3.
Remark 1.
The harmonic interaction potential does not satisfy Assumption 5. Let us take
then for ,
which does not hold in general.
With those specific statement of assumptions as above, we can now state our main results.
Theorem 1.1.
Remark 2.
We can choose matrix as the following
where
and two constants and satisfy
Then the constant can be taken as . By the selection of , we observe that , i.e. the larger diffusion strength we have, the faster convergence from to .
Our second contribution is the uniform-in- exponential convergence from to .
Theorem 1.2.
Suppose that and satisfy one of the following two cases,
For the first case, we take as a constant matrix, then for initial data of Eq.(1.4) such that and , we have
(1.22) |
where and are explicit and independent of .
For the second case, we take as a matrix function on , then for initial data of Eq.(1.4) such that and , we have
(1.23) |
where are explicit and independent of .
Remark 3.
For the first case, we also choose as in Remark 2, but two constants and now should satisfy
then the constant can be taken as which implies , and the lower bound of diffusion constant satisfies
For the second case, we choose as
where are diagonal matrices. We choose and as
where
and two constants and satisfy
where , then the constant can be taken as , which implies , and the lower bound of diffusion constant satisfies
where .
Remark 4.
Theorem 1.2 implies that second order particle system (1.1) not only exponentially converges to its equilibrium, but also converges to the unique mean field equilibrium as . If we take , the results (1.22) and (1.23) imply that,
which offers us a kind of dynamical approach to prove the concentration of the Gibbs or stationary measure of the second order particle system around the nonlinear equilibrium of the limiting equation (1.7).
Combining the exponential convergence from to , we could replace by in last theorem so that avoid the estimates about and . Based on this observation, we establish the uniform-in-time propagation of chaos both in the sense of the Wasserstein distance and relative entropy.
Theorem 1.3.
Suppose that and satisfy one of the following two cases,
(i) satisfies Assumption 1 and 2, satisfies Assumption 4. Moreover, we assume either is small or interaction functional satisfies Assumption 5.
(ii) satisfies Assumption 1 and 3, satisfies Assumption 4 and . Moreover, we assume either is small or interaction functional satisfies Assumption 5.
Remark 5.
Remark 6.
The main difference of assumptions in Theorem 1.3 compared with those in Theorem 1.2 is that is small or the interaction functional is convex. Those two conditions make sure that exponentially converges to . The small condition of comes from Theorem 10 in [21], which obtains the exponential convergence from to by uniform log Sobolev inequality of . The convexity condition of is inspired by Theorem 2.1 in [13], this kind of condition avoid the smallness assumption on . We extend their result to more general confining potentials in the Appendix.
Remark 7.
The uniform-in-time propagation of chaos of second order particle system (1.1) has been investigated in [20] and [13]. Compared with [20] that exploits the coupling method, our result applies to more general confining potentials. In terms of Theorem 2.3 in [13], we do not need the uniform-in- log-Sobolev inequality of measure proportional to , which is not very easy to verify.
1.3 Related literature
Hypocoercivity. Hypocoercivity is an important analytical tool to study the long time behavior of Langevin dynamics and the corresponding kinetic Fokker-Planck equation. It was initiated by Villani [37] and and then later advanced by Dolbeault, Mouhot and Schmeiser in [15] and [16]. However, those now well-known results are only restricted to the one particle dynamics without any interactions. For the particle system given by the Liouville equation (1.4), the natural stationary measure is simply the Gibbs measure given by the following form
A natural problem is that whether or not the convergence rate from toward depends on the number of particles . Many researchers have contributed to this problem. Guillin, etc study the uniform in functional inequalities in [21]. Guillin and Monmarché show uniform-in- exponential decay rate in [33] and [22] by “Generalized calculus” developed in [34] and uniform log-Sobolev inequality in [21]. Guillin, etc also use type norm to show the uniform-in- exponential decay rate by hypocoercivity and uniform Poincaré inequality in [21]. These result are all restricted to potentials with smallness of . There are also some results that treat systems with singular potentials. Baudoin, Gordina and Herzog showed convergence to equilibrium by Gamma calculus in [2] with singular potentials. Lu and Mattingly constructed new Lyapunov function to show egodicity for systems (1.1) with Coulomb potential in the sense of weighted total variation distance in [32]. However, the convergence rates, if they provides one, all depend on .
Propagation of chaos for kinetic Vlasov equation. The main result presented in this article is a further development of the relative entropy method introduced in [26], where Jabin and and the 2nd author proved a quantitative propagation of chaos for Newton’s system with bounded interaction kernel in terms of relative entropy. Lacker [30] then developed an approach based on the BBGKY hierarchy and the entropy dissipation to optimize the local convergence rate of -marginals towards the limiting law. Bresch, Jabin and Soler [6] exploited the BBGKY hierarchy approach to firstly include the 2d Vlasov-Possion-Fokker-Planck case. More recently, Bresch, Jabin and Duerinckx [5] introduced a duality approach to cover the arbitrary square-integrable interaction forces at possibly vanishing temperature. Up to now, the mean field limit or the propagation of chaos results are still very limited for second order particle system with singular interaction forces. See also for the results in [23, 24, 31, 7] and the review [25] for more detailed discussions.
For long time propagation of chaos, Monmarché showed uniform-in-time propagation of chaos in the sense of Wasserstein distance of one marginal for systems with convex potentials, i.e.
for some contant independent on and . The sharp rate with for the case has also been established there. Guillin and Monmarché [22] later improved the convergence result to all marginals but without optimality in terms of of , i.e.
for some contant independent on and . Thanks to the reflection coupling method, Guillin, Bris and Monmarché [20] proved the optimal convergence rate of for all marginals with convex or non-convex interaction potentials, i.e.
for some constant independent on and , with the smallness assumption of the Lipschitz constant of interaction force . Recently, Chen, Lin, Ren and Wang [13] showed uniform-in-time propagation of chaos with functional convexity condition. Even though they do not need smallness of , they require some uniform-in-time Poincaré inequality for the solution of the limiting PDE (1.7) . To the best of our knowledge, there is no result of uniform-in-time propagation of chaos for second order systems with singular interaction forces yet. We leave this topic for our further study.
Uniform-in-time propagation of chaos cannot hold in general. One critical obstacle is that the non-linear Vlasov-Fokker-Planck equation (1.7) may have multiple equilibria and hence exhibit phrase transition. The convergence from towards prevents the phrase transition or the presence of multiple equilibria of the limiting system. There are some results about this kind of convergence but with very limited conditions about potentials. See for instance [14] and the reference therein. Villani [37] proved that converge to the Maxwellian
on with any polynomial order in the sense of norm, which requires that and is small enough. Guillin and Monmarché showed that converges to in the sense of “mean-field entropy” in [22], which defines as
(1.26) |
for probability measure , where and . Baudoin, Feng and Li [3] established that converges to with exponential decay rate in the sense of free energy combining with “relative Fisher Information” (by our notation)
(1.27) |
where is a constant matrix and . The free energy they used is defined as
(1.28) |
They used calculus to overcome the dissipation degeneracy in direction with convexity and smallness of and . Chen, Lin, Ren and Wang also exploited the quantity (1.27) to prove exponentially converges to 0 in [13] under conditions and the functional convexity of (Assumption 5). These two groups both used the so called free energy to quantify the convergence from to , i.e.
Finally, let us recall the convergence result in [21] and extend Theorem 2.1 in [13] to more general confining potentials. By [21], we have
Theorem 1.4.
We extend Theorem 2.1 in [13] to more general confining potentials,
Theorem 1.5.
We will give the sketch of proofs of these two theorems in the Appendix.
1.4 Outline of the article
The paper is then organized as follow: In Section 2, we develop the basic tools we will use throughout this article. In Section 2.1, we introduce the normalized relative Fisher information and compute its time evolution under the kinetic dynamics (1.4) and (1.7). In Section 2.2, we select the nontrivial matrix for relative Fisher information to deal with the confining potentials greater than a quadratic function at infinity, where the crucial idea “entropy multipliers” is inspired by the one particle case as in [10]. In Section 2.3, we introduce the weighted log-Sobolev inequality, which is essentially obtained with the entropy multiplier method. In Section 2.4, we prove a new Law of Large Number estimates for systems with Lipschitz interaction force . In Section 3, we give the complete proof of our main results, Theorem 1.1, 1.2 and 1.3. In the Appendix, we prove the convergence from to under some conditions on and .
2 Preliminary
Let us define some linear operators in we will use in this section. We denote on and on . The operator collects all of one order part of the Liouville operator in (1.5), i.e.
where is defined in (1.3). We write the infinitesimal generator of -particle system (1.1) as
(2.1) |
Lemma 1.
Proof.
In the next, we turn to the argument about Fisher information.
2.1 Hypocoercivity in entropy sense
In this subsection, we extend hypocoercivity in entropy sense in [37] to particle system with nontrivial interaction force. We also use more general reference measure in —– invariant measure or times tensor product of limiting measure , corresponding to uniform egodicity problem and uniform-in-time propagation of chaos problem.
In the following, we use notation and for convenience, may take or . Before tedious manipulations, we firstly derive the equation of .
Lemma 2.
Proof.
The proof is direct computation. In terms of Eq.(1.4), we have
(2.4) |
and for Eq.(1.7), we have
(2.5) |
we could understand as the difference of drift part between particle system (1.1) and McKean-Vlasov system (1.6). Combine Eq.(2.4) and Eq.(2.5), we have
(2.6) |
using identity
therefore, satisfies the equation
(2.7) |
recall , now we regard as reference measure and use Proposition 3 of [37], for vector function , we have
(2.8) |
now we rewrite Eq.(2.7) as following
we complete the proof. ∎
Remark 8.
Now let us compute the time derivation of relative Fisher Information. We omit the integration domain for convenience.
Lemma 3.
Assume that is a solution of Eq.(1.4). Assume that solves Eq.(1.7) with and . Let be linear differential operators on , where
and are to be confirmed, then
(2.10) |
where
(2.11) |
(2.12) |
Remark 9.
is a -tuple differential operator, but are -tuple differential operators. We denote and as and in the sense of coordinate . We omit the index for convenience in the following, i.e. and . Each of them can be identified with a vector field , in such a way that , so can be seen as a map valued in matrix. The inner products above should be understood as , .
Remark 10.
Let us explain the commutators we use. is a -tuple operator, understood as . But is a operator with components, understood as , and others follow. If are commutative with , the only nontrivial operators are and , we will compute them later.
Proof.
In this step, we claim
(2.13) |
here collects all terms with coefficient and reads as
(2.14) |
There terms comes from diffusion part of Eq.(1.4) and Eq.(1.7), we will deal with them in next step.
We directly take derivative and split into three terms:
(2.15) |
For the first term, we use Eq.(1.4) and integral by parts,
(2.16) |
For second term,
(2.17) |
Similarly, for third term,
(2.18) |
Combine (2.16), (2.17), (2.18), we complete the claim in this step.
In this step, we deal with the diffusion part, we claim
(2.19) |
where
(2.20) |
(2.21) |
The terms and collect all terms including commutators, we will take suitable operators and to simplify these commutators.
For the first term of (2.14), we use integral by parts with respect to Lebesgue measure,
(2.22) |
Recall we denote , we continue the first term of (2.22)
(2.23) |
Let us explain the notation we use: should be understood as
and
Moreover, we take the conjugate operator of w.r.t measure , we have
(2.24) |
For the second term of (2.14), we rewrite it as
and
then we have
(2.25) |
Similarly, for the fourth term of (2.14), up to the exchange of and , we have
(2.26) |
Finally, all of left terms are third and fifth term in (2.14) and underlined term in (2.22), we collect them as below,
(2.27) |
We deal with the first term of (2.27) as following,
(2.28) |
combine with the last two term of (2.27), we have
(2.29) |
After gathering (2.23), (2.25), (2.26) and (2.29), we find
(2.30) |
Based on the conjugate rule (2.24) for all similar terms, we complete the proof. ∎
Corollary 1.
Let , if is commutative with and , we have
(2.31) |
and
(2.32) |
Proof.
We recall that
(2.33) |
For the second term of (2.33), we direct compute the commutator , i.e.
by if . For the first term of (2.33), we understand the commutator as the row of operators
(2.34) |
then we have
(2.35) |
here we understand as a -tuple vector reads as , which can be operated by . Recall
then we have
(2.36) |
Up to change the position of and , we complete the proof. ∎
2.2 Entropy multipliers
In order to deal with more general potentials and , we develop the method of entropy multipliers for -particle relative Fisher information. We recommend Part 1, section 8 in [37] and [10] for “one particle version” without interaction potentials, and they only consider the invariant measure of single particle Fokker Planck equation as reference measure. Now let us consider a weight matrix to distort the relative Fisher Information, i.e.
we evolve this quantity along time in the following lemma, many ideas of manipulation are similar with Lemma 3.
Lemma 4.
Assume that is a solution of Eq.(1.4). Assume that solves Eq.(1.7) with and . Let be differential operators on , where
and are to be confirmed. Let be a matrix valued function smooth enough for all variables, then
(2.37) |
where
(2.38) |
(2.39) |
Remark 11.
The notations of inner product and commutator operators appeared above are the same as in Remark 9 and 10. Let us explain the notations associated with we used above. We denote are -tuple vectors, then it is reasonable to multiply with them. should be understood as
in the sense of coordinate . The derivative of (i.e. ) is taken componentwise.
Proof.
We use the similar argument with Lemma 3. We directly take derivative and obtain,
(2.40) |
Observe that the last term
(2.41) |
is new. Next we use the similar step in Lemma 3 to go on.
In this step, we claim the following
(2.42) |
where collects all terms with coefficient , which reads as
(2.43) |
Remark 12.
Let us explain some notations we use. Since , and are all -tuple vectors, it is reasonable to multiple them with . After that, , and are -tuple vectors.
For the first term of (2.40), recall Liouville operator (1.5) we have
(2.44) |
For the second term and third term of (2.40), using Eq.(2.3), we have
(2.45) |
In this step, we focus on the term as before, whose terms all come from diffusion. Now we claim,
(2.47) |
where
(2.48) |
(2.49) |
The terms and collect all terms including commutators, we will take suitable operators and to simplify these commutators.
For the first term of (2.43), using integral by parts with respect to Lebesgue measure,
(2.50) |
Recall we denote , we continue the first term of (2.50)
(2.51) |
For the second terms of (2.50), we rewrite it as
(2.52) |
and we continue the first term of (2.52),
now we have
Similarly, for the fourth term of (2.43), since is symmetric, using its conjugation in ,
up to the exchange of and , we have
(2.53) |
Finally, all of left terms are third and fifth term in (2.43), and underlined term in (2.50), we collect them as below,
(2.54) |
We deal with the first term of (2.54) as following,
(2.55) |
by similar argument with (2.28) and (2.29) in Lemma 3, we have
(2.56) |
Until now, let us collect all terms don’t appear in the Lemma 3:
(2.57) |
We compute the first term more precisely,
(2.58) |
using the conjugate relationship w.r.t. measure , we have
(2.59) |
recall , then we have
(2.60) |
Combine with last three terms of (2.57), all of remaining terms compared with (2.30) in the proof of Lemma 3 are
(2.61) |
Together with (2.42) in , we finish the proof. ∎
Corollary 2.
If we take as a block positive defined matrix, i.e.
(2.62) |
where are matrix-valued functions smooth enough, and take , then we have
(2.63) |
where is a matrix reads as
(2.64) |
and
Remark 13.
A easy computation shows that
(2.65) |
which is a matrix.
Proof.
The main idea is to analyse every term in (2.37). Let us compute what commutator is firstly. For each component of operator , we have
(2.66) |
and
(2.67) |
In other word, we have
(2.68) |
Then we regard as a quadratic form with matrix
(2.69) |
Since is a positive defined matrix, must be negative, so we just keep it. Moreover, are commutative with , only nontrivial terms in (2.38) and (2.39) are first line two terms. We recall and in Corollary 1, and we regard as a quadratic form with following matrix,
(2.70) |
For the last line in (2.37), we recall duality of Liouville operator (2.1), then we have
(2.71) |
2.3 Weighted log Sobolev inequality
In this section, we establish the weighted Log-Sobolev inequality for nonlinear equilibrium defined by Eq.(1.8), then we extend to the weighted -particle version by verifying tensorized invariance of weighted Log-Sobolev inequality. Before that, let us talk about the situation of first order particle system. Guillin et al. consider the uniform-in-time propagation of chaos with the following limiting equation on in [19],
(2.72) |
where is a probability density. An very useful observation in [19] is that, if there exists some constant such that
(2.73) |
for initial data of Eq.(2.72) on , then they propagate this property to all time uniformly, i.e.
(2.74) |
After controlling the upper bound of by standard energy estimates, they obtain the upper bound of and , which is essential for the proof of Theorem 1 in [19]. Another important observation in [19] is that satisfies Log-Sobolev inequality uniformly in as a result of perturbation of uniform distribution by (2.74) (See Proposition 5.1.6, [1]). These two facts help them obtain uniform-in-time propagation of chaos even for Biot-Savart kernel. But in the case of Vlasov-Fokker-Planck equation (1.7), the situation becomes totally different. The best we can expect to initial data of Eq.(1.7) is
(2.75) |
for some constant . The lack of positive lower bound of (2.75) makes the uniform-in-time upper bound of fail by the same strategy in [19], that is the reason why we replace the reference measure by .
Inspired by the argument of Gibbs measure for one particle in [10],
(2.76) |
where is the Hamiltonian defined on and is partition function. We omit the temperature constant in the following and recall some related results in [10].
Definition 2.1.
satisfies the following weighted Log-Sobolev inequality in if there exists some constant s.t. for all smooth enough with :
(2.77) |
The weighted Log-Sobolev inequality (2.77) associates with a new second order operator on ,
(2.78) |
which is symmetric in and satisfies
The following theorem tells us how to verifying the weighted Log-Sobolev inequality for suitable condition of function .
Theorem 2.1.
Assume that goes to infinity at infinity and that there exists such that .
(1) If satisfies the weighted Log-Sobolev inequality (2.77), then, there exists a Lyapunov function, i.e. a smooth function such that for all , two positive constant and such that
(2.79) |
A natural choice of Lyapunov function is with , we refer [9] and [10] to readers for more details. A simple perturbation argument in [1] could extend the weighted Log-Sobolev inequality to .
Proposition 1.
Assume that satisfies the weighted Log-Sobolev inequality (2.77), let be a probability measure with density with respect to such that for some constant , then satisfies
(2.81) |
Proof.
We use the following lemma in [1] (Page240, Lemma 5.1.7),
Lemma 5.
Let on some open interval be convex of class . For every bounded or suitably integrable measurable function with values in ,
(2.82) |
Now we verify the invariance of weighted Log-Sobolev constant, by which we extend weighted Log-Sobolev inequality (2.77) to the measure of tensorized form .
Proposition 2.
Assume that satisfy the weighted Log-Sobolev inequality (2.77) with constant and , then satisfies
(2.83) |
with .
Proof.
We denote
and of course , then
Observe that
Next we estimate ,
for terms on the right hand side, observe the weight only concerns the first variable,
and use Cauchy-Schwarz inequality, we have
Similarly,
then we finish the proof. ∎
Corollary 3.
2.4 Large deviation estimates
In this subsection, we deal with the error terms we mentioned before. For relative entropy, we recall Lemma 1 and the error term reads as,
(2.85) |
For relative fisher information, we recall Corollary 2 and we estimate the following term,
(2.86) |
Our main tool comes from Jabin-Wang’s large derivation type estimates for propagation of chaos for singular kernels in series of paper [26], [28]. We refer Theorem 3 in [26] or Theorem 3 and Theorem 4 in [28] to readers for more details to this kind of technique, now we apply it to our cases — bounded or lipschtiz kernels.
The following lemma gives more precise analysis to error term (2.86). Here we take .
Lemma 6.
Let be a positive defined matrix function which takes as (2.62). Assume that are block diagonal positive defined matrices, i.e. , and , where and are positive defined matrices. Then we have
(2.87) |
where is diffusion constant, and
(2.88) |
(2.89) |
(2.90) |
Remark 14.
Here we understand or as a matrix, and are dimensional vectors, we omit the summation about these components for convenience. The meaning of this lemma is to divide the error term of relative Fisher Information into norm of and small terms we can absorb by negative part in (2.63).
Proof.
We directly compute and use the Young inequality. For each component in position direction, we have
(2.91) |
we denote these three lines above by
where
is a matrix,
is a dimensional vector and
is a dimensional vector. Recall that we take as a block matrix
and are diagonal matrices. Hence, we use integral by parts for each component of the first term of (2.91), we have
(2.92) | ||||
Using Young inequality, we have,
(2.93) | ||||
similarly,
(2.94) |
Actually the computation above is the same if we take , then we finish the estimates. For the third term of (2.91), by Young inequality, we have
(2.95) |
(2.96) |
moreover, we rewrite as
by . In the end, the second term disappears by if we take . Now we finish the estimates of all error terms in position direction.
For each component in velocity direction, we simply have only one term
We take and use Young inequality, then we obtain
(2.97) |
(2.98) |
now we finish the estimates of error terms on velocity direction.
Remark 15.
For error terms of relative Fisher Information, the most difficult part is to show the uniform-in-time estimates for the following terms,
It is not easy to deal with the terms and by uniform-in-time way, that is one of the most important reason we select the reference measure as . It is natural to conjecture that for some positive order . We might explore how to control these terms better in further study.
Now let us focus on three error terms in Lemma 6. We rewrite them as following as Theorem 3 in [28] has talked about,
(2.99) |
(2.100) |
We also define the moment of for any ,
(2.102) |
By similar argument in Section 1.4 in [26], we have
(2.103) |
where satisfies
(2.104) |
We easily take in the following.
By Lemma 1 in [28], i.e. Gibbs inequality, we have
for some and , it is sufficient to show that
(2.105) |
and
(2.106) |
for some . We observe that is bounded by Assumption 4 and , which implies that we can directly use Theorem 3 in [28] for this type of . We recall the following proposition in [28],
Proposition 3.
Assume that with , and for any fixed ,
then
(2.107) |
where and is independent of .
Proof.
Theorem 3 of [28]. ∎
Now let for some , we obtain the desired result. For the cases and , we prove the following proposition:
Proposition 4.
Assume that with , and for any fixed , . Here takes position pair or velocity pair , then we have
(2.108) |
where and is independent of .
Proof.
We use to denote position pair or velocity pair , and we show the proof of these two cases together. Since
it suffices only to bound the series with even terms,
where in general the -th term can be expanded as
(2.109) |
Now we divide the proof in two different cases: where is small compared to and in the simpler case where is comparable to or larger than .
In this case, for each term of (2.109), we have
(2.110) |
since we have cancellation condition , the whole estimates relies on how many choices of multi-indices leading to a non-vanishing term. By notations of Theorem 3 and Theorem 4 in [26], we could denote the set of multi-indices s.t.
(2.111) |
by since for all , we also denote the multiplicity for , i.e.
(2.112) |
Actually, if there exists s.t. , then the variable enters exactly once in the integration, assume for simplicity that then
by the assumption of vanishing condition for , provided . Using these notations, we have
(2.113) |
where for the first line, we mean that for each fixed former indices in , we add all possible cases about later indices in , moreover, we have
(2.114) |
with the convention that , then we have
and
(2.115) |
we denote
(2.116) |
where
(2.117) |
using (2.13) and Lemma 6 of [26], we have
(2.118) |
Insert (2.115) and (2.118) into (2.113), we obtain that
(2.119) |
furthermore, by Stirling’s formula
(2.120) |
and by assumption gives that , thus
(2.121) |
we finish the proof of this case.
By Cauchy inequality, we have
(2.122) |
then we have
(2.123) | ||||
which follows the same argument of Proposition 4 of [26].
3 Proof of the main results
In this section, we prove three main theorems we claimed in Section 1.2. We roughly divide all three proofs into two steps.
Step one is show the uniform-in- estimates for the time evolution of our new quantity . The key point is to select suitable weight matrix function to estimate the lower bound of new matrix on the right hand side of (2.63), and the lower bound of matrix should be independent on particle number . In the case of uniform-in-time propagation of chaos, we also need to deal with the second term on the right hand side of (2.63),
this is exactly what we do in Lemma 6.
Step two is to establish the Gronwall type inequality for time evolution of our new quantity by some functional inequalities developed in Section 2.3 and large deviation estimates proved in Section 2.4. In the case of uniform-in-time propagation of chaos, we require Log-Sobolev inequality and weighted Log-Sobolev inequality for non-linear equilibrium . However, we require that the particle invariant measure satisfies uniform-in- Log-Sobolev inequality for the long time convergence of Eq.(1.4), which is more harder than the case of uniform in time propagation of chaos which takes the reference measure as the tensor form . We refer [21] for the study of uniform-in- functional inequalities.
3.1 Proof of Theorem 1.1
Proof.
Let us take and . We observe that and , then the matrix in (2.63) of Corollary 2 reads as
Now we select the weight matrix as a constant matrix,
(3.1) |
where are constant diagonal matrices and are to be confirmed, then the matrix reduces to
Observe that the top left corner matrix implies the entropy dissipation in position direction, and right down corner concerns the entropy dissipation in velocity direction. If has a positive lower bound, i.e. for some , then we have . However, our assumptions also treat doesn’t have positive lower bound. Since we assume that and , we have . Now for right down corner, we choose such that , then we have
(3.2) |
and
(3.3) |
For top right corner and left down corner, we deal with cross terms. It is easy to obtain that
(3.4) | ||||
by (3.2) in the third line and Cauchy inequality in the fourth line. Combining (3.3) and (3.4), we have
(3.5) | ||||
provided . Now we choose such that , then we have
(3.6) |
and
(3.7) |
provided and . Finally we obtain the entropy dissipation in and direction with constants which are independent of .
3.2 Proof of Theorem 1.2
In this subsection, we prove the particle system (1.1) approximates the unique equilibrium (1.8) of Vlasov-Fokker-Planck equation (1.7) when diffusion strength is large enough. We deal with two kinds of confining potentials by selecting different weight matrix . When confining potentials satisfy Assumption 2, we choose
(3.9) |
where are constant diagonal matrices and are to be confirmed. When confining potentials satisfy Assumption 3, we choose
where are also diagonal matrices, and are diagonal matrices which should be understood as , and , we omit the symbol “” for convenience. We choose and as
where
and are to be confirmed. In the next, we establish Gronwall type inequality for the quantity .
Proof.
The confining potentials satisfy Assumption 2 and we select as constant diagonal matrix defined by (3.9).
The matrix is exactly the same as we have used in the last subsection, we immediately have
(3.10) | ||||
provided and . By Lemma 6, we have
(3.11) | ||||
provided and . By Lemma 1 and Young inequality, we have
(3.12) |
Combining , and , we obtain
(3.13) | ||||
where and . Recall we choose such that , now we update such that
(3.14) |
then we have and . In the next we choose such that
(3.15) |
we have . Finally, we update (3.13) as
(3.16) | ||||
We start from (3.16). By Proposition 3, we have
(3.17) |
and by Proposition 4, we have
(3.18) |
where , the constant satisfies and the constant depends on and . Using (3.17) and (3.18), we have
(3.19) | ||||
where
Now let us determine the value of , and such that
where is the Log-Sobolev inequality constant of (See Corollary 3). Recall the constant satisfies
now we choose
(3.20) |
by (3.15). We also choose with satisfies in Proposition 3 and 4. Observing that by and , we only need
Now we choose and to make every term of less than ,
(3.21) |
We choose such that
by the first line above and (3.14), for example, saying
then we have the range of diffusion constant in our result,
(3.22) |
Finally, we update (3.19) as the following
(3.23) | ||||
we finish the proof of this case.
The confining potentials satisfy Assumption 3 and we select as diagonal mateix function defined by (3.2).
We take as the following tensorized matrices,
(3.24) |
we take as scalar functions read as
(3.25) |
where
(3.26) |
and are to be confirmed. We recommend [10] to readers for similar argument of one particle version. Now let us estimate the lower bound of matrix in Corollary 2. We recall
after we take , we have
(3.27) |
For the left top corner element, the diagonal matrix still offers the dissipation in position direction. Observing that is a diagonal matrix, we could estimate them like scalar. Before that, we firstly estimate the upper bound of and . For some , we have
Recall we assume that in this case, we have
now we choose large enough, which satisfies , we have
(3.28) |
For -th component of , we have
again we choose such that , we have
(3.29) |
provided satisfies
(3.30) |
For the right down corner of , we recall the formulation of matrix in , and we have by Assumption 3, then we obtain
(3.31) |
provided for convenience. Combining (3.28) and (3.31), we immediately have
we choose such that , we have
(3.32) | ||||
For cross terms, by (3.28) and similar argument above, we have
(3.33) | ||||
Now we collect (3.32), (3.33) and (3.29), we have
(3.34) |
where . Recall we choose for convenience, and again by Lemma 6,
(3.35) | ||||
provided and . We only need to estimate the last two term. By the computation (3.28), we have
(3.36) | ||||
and
(3.37) | ||||
Now we insert (3.36) and (3.37) into (3.35), and combine with (3.34), we obtain
(3.38) | ||||
provided and . By Lemma 1 and Young inequality, we have
(3.39) |
Finally, we combine (3.38) and (3.39), and update the constants and as
(3.40) |
and
(3.41) |
where comes from (3.34), we obtain,
(3.42) | ||||
. We start from (3.42). By similar argument of the last case and using Proposition 3 and 4,
where , we have
(3.43) | ||||
the constant satisfies , the constant depends on and , and the constant collects all coefficients of error terms which reads as
Now let us determine the value of such that
where is the constant of weighted Log-Sobolev inequality constant of (See Corollary 3). Recall the constant satisfies
by (3.40). Now we choose
(3.44) |
by (3.41), where . We also choose with satisfies in Proposition 3 and 4. Observing that by and , we only need
Recall the lower bound of in ,
by (3.30) and (3.31), now we choose such that
(3.45) |
we have
(3.46) |
In the next, we make every term of less than . For the first term of ,
we obtain the range of constant
for example, we can take as
For other terms, we obtain the range of diffusion constant by similar argument of (3.21) in the last case,
(3.47) |
Finally, we update (3.43) as the following
(3.48) | ||||
we finish the proof of this case. ∎
3.3 Proof of Theorem 1.3
In the last subsection, we have shown that converges to in the sense of quantity as and . In this subsection, we eliminate the effect of replacement of by by proving exponential decay from to . By triangle inequality of Wasserstein distance, the error between and is only a time exponential decay factor. Combining with short time propagation of chaos result, we obtain uniform-in-time propagation of chaos.
Proof.
In this case, we take weight matrix as (3.9). We have shown that
in Theorem 1.2, where and depends on and . Moreover, Theorem 1.4 implies that
with some under condition . Theorem 1.5 also implies the same conclusion under condition that the interaction function is functional convex (See Assumption 5). Hence, by triangle inequality of -Wasserstein distance, we have
(3.49) |
where constant . If we take chaotic initial data for Liouville equation (1.4), i.e. , we have
(3.50) |
For -marginal distribution, we have
(3.51) |
In this case, we take weight matrix as (3.2). The main argument of this case is the same with . By Theorem 1.2, we have
provided and . By Theorem 1.5, we have
with constant under condition that the interaction function is functional convex. We can also use the similar result under condition that the constant is small, which have been proved by Guillin, Le Bris and Momarché in [4] (See Theorem 1.1). All in all, we have
provided some constant . Now we take , we have
If we take chaotic initial data for Liouville equation (1.4), i.e. , we have
(3.52) |
For -marginal distribution, we have
(3.53) |
∎
4 Appendix
In appendix, we give the sketch of proof of Theorem 1.4 and Theorem 1.5. The main idea of proof has already appeared in other articles, like [22] and [13]. For the completeness of the article, we reprove them under the current setting in the following.
4.1 Proof of Theorem 1.4
The main idea originates from Theorem 10 in [21] and Theorem 3 in [22]. By the finite time propagation of chaos result for lipschitz force and , we could conclude that converges to weakly for each , then by lower semi-continuity of relative entropy, we have
where , then we get
For the first term, we use Lemma 18 in [21], we have
(4.1) |
For the second term, we use and weakly converges to for each , hence
For third term, we conclude by [14] that
Hence we have
Now by Theorem 1.1 with constant , we obtain that
where the constant is the same as Theorem 1.1. Furthermore, we use Lemma 17 and Lemma 23 in [21] with , let , we have
Again, by Theorem 3 in [21], we have
4.2 Proof of Theorem 1.5
In this subsection, we show the convergence from to for limiting equation (1.7) with more general confinement potential . We use the quantity to show the convergence, which combines free energy and relative Fisher Information of and , i.e.
(4.2) |
where , the later term is
(4.3) |
where , and is the weighted matrix which is to be decided. We follow the idea of Theorem 2.1 in [13] to deal with the nonlinear term of Eq.(1.7). Now let us compute the time evolution of . We omit the footnote “” for convenience. For free energy part , we directly use the result in Theorem 2.1 in [13],
(4.4) |
For distorted Fisher Information part, we formally write the equation of as following
by similar computation of Lemma 2, we have the equation of ,
(4.5) |
where , , which is conjugate operator of in the sense of , . Then by Lemma 4 and Corollary 2, if we take , where are smooth matrix-valued functions, then we have
(4.6) |
where is a matrix reads as
and , and . Now we follow the similar argument of the Case 2 of Theorem 1.2, we select where are to be confirmed. We firstly estimate the upper bound of and . For some , we have
then we have
Now we can replace the norm by in the Case 2 in Theorem 1.2 and use completely the same argument of (3.29)-(3.33), we have
(4.7) |
where and satisfy
For second term of (4.6), we have , but
(4.8) |
where
By (4.14) of [13], we then have
therefore
(4.9) |
Combining (4.4), (4.7) and (4.9), we have
Now we choose such that
(4.10) |
i.e.
(4.11) |
where , then we have
(4.12) |
By weighted Log Sobolev inequality of and , we have
furthermore, by convexity of functional , we have entropy sandwich inequality , we have
then we finish the proof.
Acknowledgements
Zhenfu Wang was partially supported by the National Key R&D Program of China, Project Number 2021YFA1002800, NSFC grant No.12171009 and Young Elite Scientist Sponsorship Program by China Association for Science and Technology (CAST) No. YESS20200028.
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