Abstract
We review the Random Batch Methods (RBM) for interacting particle systems consisting of N-particles, with N being large. The computational cost of such systems is of \(\mathcal {O}(N^2)\), which is prohibitively expensive. The RBM methods use small but random batches so the computational cost is reduced, per time step, to \(\mathcal {O}(N)\). In this article we discuss these methods for both classical and quantum systems, the corresponding theory, and applications from molecular dynamics, statistical samplings, to agent-based models for collective behavior, and quantum Monte Carlo methods.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
By “chaotic configuration,” we mean that there exists a one-particle distribution f such that for any j, the j-marginal distribution is given by μ (j) = f ⊗j. Such independence in a configuration is then loosely called “chaos.” If the j-marginal distribution is more close to f ⊗j for some f, we loosely say “there is more chaos.”
References
G. Albi, N. Bellomo, L. Fermo, S-Y Ha, J. Kim, L. Pareschi, D. Poyato, and J. Soler. Vehicular traffic, crowds, and swarms: From kinetic theory and multiscale methods to applications and research perspectives. Mathematical Models and Methods in Applied Sciences, 29(10):1901–2005, 2019.
G. Albi and L. Pareschi. Binary interaction algorithms for the simulation of flocking and swarming dynamics. Multiscale Modeling & Simulation, 11(1):1–29, 2013.
J. B. Anderson. A random-walk simulation of the Schrödinger equation: H+3. The Journal of Chemical Physics, 63(4):1499–1503, 1975.
J. B. Anderson. Quantum Monte Carlo: origins, development, applications. Oxford University Press, 2007.
H. Babovsky and R. Illner. A convergence proof for Nanbu’s simulation method for the full Boltzmann equation. SIAM journal on numerical analysis, 26(1):45–65, 1989.
W. Bao, S. Jin, and P. A. Markowich. On time-splitting spectral approximations for the Schrödinger equation in the semiclassical regime. Journal of Computational Physics, 175(2):487–524, 2002.
J. Barnes and P. Hut. A hierarchical O(NlogN) force-calculation algorithm. Nature, 324:446–449, 1986.
A. L. Bertozzi, J. B. Garnett, and T. Laurent. Characterization of radially symmetric finite time blowup in multidimensional aggregation equations. SIAM J. Math. Anal., 44(2):651–681, 2012.
U. Biccari and E. Zuazua. A stochastic approach to the synchronization of coupled oscillators. Front. Energy Res., 8(115), 2020.
G. A. Bird. Approach to translational equilibrium in a rigid sphere gas. The Physics of Fluids, 6(10):1518–1519, 1963.
L. Bottou. Online learning and stochastic approximations. On-line learning in neural networks, 17(9):142, 1998.
George EP Box and George C Tiao. Bayesian inference in statistical analysis, volume 40. John Wiley & Sons, 2011.
S. Bubeck. Convex optimization: Algorithms and complexity. Foundations and Trends® in Machine Learning, 8(3–4):231–357, 2015.
H. B. Callen and T. A. Welton. Irreversibility and generalized noise. Physical Review, 83(1):34, 1951.
E. Carlen, P. Degond, and B. Wennberg. Kinetic limits for pair-interaction driven master equations and biological swarm models. Mathematical Models and Methods in Applied Sciences, 23(07):1339–1376, 2013.
J. A. Carrillo, L. Pareschi, and M. Zanella. Particle based gPC methods for mean-field models of swarming with uncertainty. Communications in Computational Physics, 25(2), 2019.
Y.-P. Choi, S.-Y. Ha, and S.-B. Yun. Complete synchronization of Kuramoto oscillators with finite inertia. Physica D: Nonlinear Phenomena, 240(1):32–44, 2011.
G. Ciccotti, D. Frenkel, and I. R. McDonald. Simulation of liquids and solids: Molecular Dynamics and Monte Carlo Methods in Statistical Mechanics. North-Holland, Amsterdam, 1987.
F. Cucker and S. Smale. Emergent behavior in flocks. IEEE Transactions on automatic control, 52(5):852–862, 2007.
B. Dai, N. He, H. Dai, and L. Song. Provable Bayesian inference via particle mirror descent. In Artificial Intelligence and Statistics, pages 985–994, 2016.
P. Degond, J.-G. Liu, and R. L. Pego. Coagulation–fragmentation model for animal group-size statistics. Journal of Nonlinear Science, 27(2):379–424, 2017.
P. Degond, J.-G. Liu, and C. Ringhofer. Evolution of the distribution of wealth in an economic environment driven by local Nash equilibria. Journal of Statistical Physics, 154(3):751–780, 2014.
Markus Deserno and Christian Holm. How to mesh up Ewald sums. II. An accurate error estimate for the particle-particle particle-mesh algorithm. The Journal of Chemical Physics, 109(18):7694–7701, 1998.
G. Detommaso, T. Cui, Y. Marzouk, A. Spantini, and R. Scheichl. A Stein variational Newton method. In Advances in Neural Information Processing Systems, pages 9187–9197, 2018.
Z. H. Duan and R. Krasny. An Ewald summation based multipole method. J. Chem. Phys., 113:3492–3495, 2000.
J. Duchi, E. Hazan, and Y. Singer. Adaptive subgradient methods for online learning and stochastic optimization. Journal of Machine Learning Research, 12(Jul):2121–2159, 2011.
R. Durrett. Probability: Theory and Examples. Cambridge Series in Statistical and Probabilistic Mathematics. Cambridge University Press, 4 edition, 2010.
R. Durstenfeld. Algorithm 235: random permutation. Communications of the ACM, 7(7):420, 1964.
Weinan E, Tiejun Li, and Eric Vanden-Eijnden. Applied stochastic analysis, volume 199. American Mathematical Soc., 2019.
A. Eberle, A. Guillin, and R. Zimmer. Couplings and quantitative contraction rates for Langevin dynamics. The Annals of Probability, 47(4):1982–2010, 2019.
L. Erdos and H.-T. Yau. Dynamical approach to random matrix theory. Courant Lecture Notes in Mathematics, 28, 2017.
WMC Foulkes, Lubos Mitas, RJ Needs, and Guna Rajagopal. Quantum Monte Carlo simulations of solids. Reviews of Modern Physics, 73(1):33, 2001.
R. H. French, V. A. Parsegian, R. Podgornik, R. F. Rajter, A. Jagota, J. Luo, D. Asthagiri, M. K. Chaudhury, Y.-M. Chiang, S. Granick, S. Kalinin, M. Kardar, R. Kjellander, D. C. Langreth, J. Lewis, S. Lustig, D. Wesolowski, J. S. Wettlaufer, W.-Y. Ching, M. Finnis, F. Houlihan, O. A. von Lilienfeld, C. J. van Oss, and T. Zemb. Long range interactions in nanoscale science. Rev. Mod. Phys., 82(2):1887–1944, 2010.
D. Frenkel and B. Smit. Understanding molecular simulation: from algorithms to applications, volume 1. Elsevier, 2001.
D. Gamerman and H. F. Lopes. Markov chain Monte Carlo: stochastic simulation for Bayesian inference. Chapman and Hall/CRC, 2006.
Y. Gao and J.-G. Liu. A note on parametric Bayesian inference via gradient flows. Annals of Mathematical Sciences and Applications, 5(2):261–282, 2020.
A. Georges, G. Kotliar, W. Krauth, and M. J. Rozenberg. Dynamical mean-field theory of strongly correlated fermion systems and the limit of infinite dimensions. Reviews of Modern Physics, 68(1):13, 1996.
S. Gershman, M. Hoffman, and D. Blei. Nonparametric variational inference. In Proceedings of the 29th International Conference on International Conference on Machine Learning, pages 235–242, 2012.
W. R Gilks, S. Richardson, and D. Spiegelhalter. Markov chain Monte Carlo in practice. Chapman and Hall/CRC, 1995.
F. Golse. The mean-field limit for the dynamics of large particle systems. Journées équations aux dérivées partielles, 9:1–47, 2003.
F. Golse, S. Jin, and T. Paul. The random batch method for n-body quantum dynamics. J. Comp. Math., arXiv preprint arXiv:1912.07424 (2019).
L. Greengard and V. Rokhlin. A fast algorithm for particle simulations. J. Comput. Phys., 73:325–348, 1987.
S. Y. Ha, S. Jin, D. Kim, and D. Ko. Convergence toward equilibrium of the first-order consensus model with random batch interactions. Journal of Differential Equations, 302, 585–616, 2021.
S.-Y. Ha and Z. Li. Complete synchronization of Kuramoto oscillators with hierarchical leadership. Communications in Mathematical Sciences, 12(3):485–508, 2014.
S.-Y. Ha and J.-G. Liu. A simple proof of the Cucker-Smale flocking dynamics and mean-field limit. Commun. Math. Sci., 7(2):297–325, 2009.
Seung-Yeal Ha, Shi Jin, Doheon Kim, and Dongnam Ko. Uniform-in-time error estimate of the random batch method for the Cucker-Smale model. Math. Models Methods Appl. Sci., 31(6):1099–1135, 2021.
Seung-Yeal Ha and Eitan Tadmor. From particle to kinetic and hydrodynamic descriptions of flocking. Kinet. Relat. Models, 1(3):415–435, 2008.
W. K. Hastings. Monte Carlo Sampling Methods Using Markov Chains and Their Applications. Oxford University Press, 1970.
B. Hetenyi, K. Bernacki, and B. J. Berne. Multiple “time step” Monte Carlo. J. Chem. Phys., 117(18):8203–8207, 2002.
W. G. Hoover. Canonical dynamics: Equilibrium phase-space distributions. Physical review A, 31(3):1695, 1985.
D. Horstmann. From 1970 until present: the Keller-Segel model in chemotaxis and its consequences. Jahresber. Dtsch. Math.-Ver., 105:103–165, 2003.
Pierre-Emmanuel Jabin and Zhenfu Wang. Mean field limit for stochastic particle systems. In Active Particles, Volume 1, pages 379–402. Springer, 2017.
S. Jin and L. Li. On the mean field limit of the Random Batch Method for interacting particle systems. Science China Mathematics, pages 1–34, 2021.
S. Jin, L. Li, and J.-G. Liu. Random Batch methods (RBM) for interacting particle systems. Journal of Computational Physics, 400:108877, 2020.
S. Jin, L. Li, and J.-G. Liu. Convergence of the random batch method for interacting particles with disparate species and weights. SIAM Journal on Numerical Analysis, 59(2):746–768, 2021.
S. Jin, L. Li, and Y. Sun. On the Random Batch Method for second order interacting particle systems. arXiv preprint arXiv:2011.10778, 2020.
S. Jin and X. Li. Random batch algorithms for quantum Monte Carlo simulations. Commun. Comput. Phys., 28(5):1907–1936, 2020.
S. Jin, P. Markowich, and C. Sparber. Mathematical and computational methods for semiclassical Schrödinger equations. Acta Numerica, 20:121–209, 2011.
Shi Jin, Lei Li, Zhenli Xu, and Yue Zhao. A Random Batch Ewald Method for Particle Systems with Coulomb Interactions. SIAM J. Sci. Comput., 43(4):B937–B960, 2021.
J. K. Johnson, J. A. Zollweg, and K. E. Gubbins. The Lennard-Jones equation of state revisited. Molecular Physics, 78(3):591–618, 1993.
M. H. Kalos and P. A. Whitlock. Monte Carlo methods. John Wiley & Sons, 2009.
K. Kawasaki. Simple derivations of generalized linear and nonlinear Langevin equations. Journal of Physics A: Mathematical, Nuclear and General, 6(9):1289, 1973.
P. E. Kloeden and E. Platen. Numerical solution of stochastic differential equations, volume 23. Springer Science & Business Media, 2013.
D. Ko, S.-Y. Ha, S. Jin, and D. Kim. Uniform error estimates for the random batch method to the first-order consensus models with antisymmetric interaction kernels. Studies Appl. Math., 146(4):983–1022, 2021.
D. Ko and Z. Enrique. Model predictive control with random batch methods for a guiding problem. Mathematical Models and Methods in Applied Sciences, 31(8):1569-1592, 2021.
J.-M. Lasry and P.-L. Lions. Mean field games. Japanese journal of mathematics, 2(1):229–260, 2007.
L. Li, Y. Li, J.-G. Liu, Z. Liu, and J. Lu. A stochastic version of Stein variational gradient descent for efficient sampling. Communications in Applied Mathematics and Computational Science, 15(1):37–63, 2020.
L. Li, J.-G. Liu, and Y. Tang. A direct simulation approach for the Poisson-Boltzmann equation using the Random Batch Method. arXiv preprint arXiv:2004.05614, 2020.
L. Li, J.-G. Liu, and P. Yu. On mean field limit for Brownian particles with Coulomb interaction in 3D. J. Math. Phys., 60(111501), 2019.
L. Li, Z. Xu, and Y. Zhao. A random-batch Monte Carlo method for many-body systems with singular kernels. SIAM Journal on Scientific Computing, 42(3):A1486–A1509, 2020.
J. Liang, P. Tan, Y. Zhao, L. Li, S., Jin, L. Hong, and Z. Xu. Superscalability of the random batch Ewald method. J. Chem. Phys., 156, 014114 (2022).
Evgenii Mikhailovich Lifshitz and Lev Petrovich Pitaevskii. Statistical physics: theory of the condensed state, volume 9. Elsevier, 2013.
Q. Liu. Stein variational gradient descent as gradient flow. In Advances in neural information processing systems, pages 3115–3123, 2017.
Q. Liu and D. Wang. Stein variational gradient descent: A general purpose Bayesian inference algorithm. In Advances In Neural Information Processing Systems, pages 2378–2386, 2016.
J. Lu, Y. Lu, and J. Nolen. Scaling limit of the stein variational gradient descent: The mean field regime. SIAM J. Math. Anal., 51(2):648–671, 2019.
B. A. Luty, M. E. Davis, I. G. Tironi, and W. F. Van Gunsteren. A comparison of particle-particle, particle-mesh and Ewald methods for calculating electrostatic interactions in periodic molecular systems. Mol. Simul., 14:11–20, 1994.
M. G. Martin, B. Chen, and J. I. Siepmann. A novel Monte Carlo algorithm for polarizable force fields: application to a fluctuating charge model for water. The Journal of chemical physics, 108(9):3383–3385, 1998.
J. C. Mattingly, A. M. Stuart, and D. J. Higham. Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise. Stochastic processes and their applications, 101(2):185–232, 2002.
H. P. McKean. Propagation of chaos for a class of non-linear parabolic equations. Stochastic Differential Equations (Lecture Series in Differential Equations, Session 7, Catholic Univ., 1967), pages 41–57, 1967.
W. L. McMillan. Ground state of liquid he4. Physical Review, 138(2A):A442, 1965.
N. Metropolis, A. W. Rosenbluth, M. N. Rosenbluth, A. H. Teller, and E. Teller. Equation of state calculations by fast computing machines. J. Chem. Phys., 21(6):1087–1092, 1953.
G. N. Milstein and M. V. Tretyakov. Stochastic numerics for mathematical physics. Springer Science & Business Media, 2013.
S. Motsch and E. Tadmor. Heterophilious dynamics enhances consensus. SIAM Review, 56(4):577–621, 2014.
K. Nanbu. Direct simulation scheme derived from the Boltzmann equation. i. monocomponent gases. Journal of the Physical Society of Japan, 49(5):2042–2049, 1980.
S. Nosé. A molecular dynamics method for simulations in the canonical ensemble. Molecular physics, 52(2):255–268, 1984.
T. Pang. Diffusion Monte Carlo: a powerful tool for studying quantum many-body systems. American Journal of Physics, 82(10):980–988, 2014.
P. J. Reynolds, D. M. Ceperley, B. J. Alder, and W. A. Lester Jr. Fixed-node quantum Monte Carlo for molecules. The Journal of Chemical Physics, 77(11):5593–5603, 1982.
D. J. Rezende and S. Mohamed. Variational inference with normalizing flows. In International Conference on Machine Learning, pages 1530–1538, 2015.
H. Robbins and S. Monro. A stochastic approximation method. The Annals of Mathematical Statistics, pages 400–407, 1951.
V. Rokhlin. Rapid solution of integral equations of classical potential theory. Journal of computational physics, 60(2):187–207, 1985.
F. Santambrogio. Optimal transport for applied mathematicians. Birkäuser, NY, pages 99–102, 2015.
H. E. Stanley. Phase transitions and critical phenomena. Clarendon Press, Oxford, 1971.
Albert Tarantola. Inverse problem theory and methods for model parameter estimation. SIAM, 2005.
J. Toner and Y. Tu. Flocks, herds, and schools: A quantitative theory of flocking. Physical review E, 58(4):4828, 1998.
T. Vicsek, A. CzirĂłk, E. Ben-Jacob, I. Cohen, and O. Shochet. Novel type of phase transition in a system of self-driven particles. Physical review letters, 75(6):1226, 1995.
W. von der Linden. A quantum Monte Carlo approach to many-body physics. Physics Reports, 220(2–3):53–162, 1992.
R. Ward, X. Wu, and L. Bottou. Adagrad stepsizes: sharp convergence over nonconvex landscapes. In International Conference on Machine Learning, pages 6677–6686, 2019.
M. Welling and Y. W. Teh. Bayesian learning via stochastic gradient Langevin dynamics. In Proceedings of the 28th International Conference on Machine Learning (ICML-11), pages 681–688, 2011.
PA Whitlock, GV Chester, and B Krishnamachari. Monte Carlo simulation of a helium film on graphite. Physical Review B, 58(13):8704, 1998.
A. T. Winfree. The geometry of biological time, volume 12. Springer Science & Business Media, 2001.
L. Ying, G. Biros, and D. Zorin. A kernel-independent adaptive fast multipole algorithm in two and three dimensions. J. Comput. Phys., 196:591–626, 2004.
Acknowledgements
S. Jin was partially supported by the NSFC grant No.12031013. The work of L. Li was partially sponsored by NSFC 11901389, 11971314, and Shanghai Sailing Program 19YF1421300. Both authors were also supported by Shanghai Science and Technology Commission Grant No. 20JC144100.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2022 The Author(s), under exclusive license to Springer Nature Switzerland AG
About this chapter
Cite this chapter
Jin, S., Li, L. (2022). Random Batch Methods for Classical and Quantum Interacting Particle Systems and Statistical Samplings. In: Bellomo, N., Carrillo, J.A., Tadmor, E. (eds) Active Particles, Volume 3. Modeling and Simulation in Science, Engineering and Technology. Birkhäuser, Cham. https://doi.org/10.1007/978-3-030-93302-9_5
Download citation
DOI: https://doi.org/10.1007/978-3-030-93302-9_5
Published:
Publisher Name: Birkhäuser, Cham
Print ISBN: 978-3-030-93301-2
Online ISBN: 978-3-030-93302-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)