Probability flow solution of the Fokker-Planck equation. (arXiv:2206.04642v1 [cs.LG])

The method of choice for integrating the time-dependent Fokker-Planck
equation in high-dimension is to generate samples from the solution via
integration of the associated stochastic differential equation. Here, we
introduce an alternative scheme based on integrating an ordinary differential
equation that describes the flow of probability. Unlike the stochastic
dynamics, this equation deterministically pushes samples from the initial
density onto samples from the solution at any later time. The method has the
advantage of giving direct access to quantities that …

arxiv equation flow lg probability solution