Entropic Convergence of Random Batch Methods for Interacting Particle Diffusion. (arXiv:2206.03792v1 [math.PR])

We propose a co-variance corrected random batch method for interacting
particle systems. By establishing a certain entropic central limit theorem, we
provide entropic convergence guarantees for the law of the entire trajectories
of all particles of the proposed method to the law of the trajectories of the
discrete time interacting particle system whenever the batch size $B \gg
(\alpha n)^{\frac{1}{3}}$ (where $n$ is the number of particles and $\alpha$ is
the time discretization parameter). This in turn implies that the …

arxiv convergence diffusion math pr random