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Parametric Fokker-Planck equation (1903.10076v2)
Published 24 Mar 2019 in math.OC
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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