Entropic Convergence of Random Batch Methods for Interacting Particle Diffusion
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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 ≫ (α n)^1/3 (where n is the number of particles and α is the time discretization parameter). This in turn implies that the outputs of these methods are nearly statistically indistinguishable when B is even moderately large. Previous works mainly considered convergence in Wasserstein distance with required stringent assumptions on the potentials or the bounds had an exponential dependence on the time horizon. This work makes minimal assumptions on the interaction potentials and in particular establishes that even when the particle trajectories diverge to infinity, they do so in the same way for both the methods. Such guarantees are very useful in light of the recent advances in interacting particle based algorithms for sampling.
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