Entropic regularisation of non-gradient systems

Abstract: The theory of Wasserstein gradient flows in the space of probability measures has made an enormous progress over the last twenty years. It constitutes a unified and powerful framework in the study of dissipative partial differential equations (PDEs) providing the means to prove well-posedness, regularity, stability and quantitative convergence to the equilibrium. The recently developed entropic regularisation technique paves the way for fast and efficient numerical methods for solving these gradient flows. However, many PDEs of interest do not have a gradient flow structure and, a priori, the theory is not applicable. In this paper, we develop a time-discrete entropy regularised variational scheme for a general class of such non-gradient PDEs. We prove the convergence of the scheme and illustrate the breadth of the proposed framework with concrete examples including the non-linear kinetic Fokker-Planck (Kramers) equation and a non-linear degenerate diffusion of Kolmogorov type. Numerical simulations are also provided.