Solving stationary nonlinear Fokker-Planck equations via sampling

Abstract

Solving the stationary nonlinear Fokker-Planck equations is important in applications and examples include the Poisson-Boltzmann equation and the two layer neural networks. Making use of the connection between the interacting particle systems and the nonlinear Fokker-Planck equations, we propose to solve the stationary solution by sampling from the $N$-body Gibbs distribution. This avoids simulation of the $N$-body system for long time and more importantly such a method can avoid the requirement of uniform propagation of chaos from direct simulation of the particle systems. We establish the convergence of the Gibbs measure to the stationary solution when the interaction kernel is bounded (not necessarily continuous) and the temperature is not very small. Numerical experiments are performed for the Poisson-Boltzmann equations and the two-layer neural networks to validate the method and the theory.