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Abstract
We develop an approach to the construction of Lyapunov functions
for the forward equation of a nite state nonlinear Markov process.
Nonlinear Markov processes can be obtained as a law of large number limit for a system of weakly interacting processes. The approach
exploits this connection and the fact that relative entropy denes a
Lyapunov function for the solution of the forward equation for the
many particle system. Candidate Lyapunov functions for the nonlinear Markov process are constructed via limits, and veried for certain
classes of models.
Introduction
Stochastic processes that go under the unusual title nonlinear Markov processes arise as the limits of large collections of exchangeable and weakly
interacting particles. Although these processes originally appeared as models in mathematical physics (Kac, 1956), they now appear in many other
contexts, including communication networks (Dawson et al., 2005; McDonald and Reynier, 2006; Antunes et al., 2008; Benam and Le Boudec, 2008;
Graham and Robert, 2009), economics (Dai Pra et al., 2009), and neural
networks (Laughton and Coolen, 1995).
purposes, one can eliminate the particle from the dynamics and obtain an
evolution equation for just the measure component.
An important but dicult issue in the study of nonlinear Markov processes is stability. Here, what is meant by stability is deterministic stability
of the measure component. For example, one can ask if there is a unique,
globally attracting xed point for the dynamics of the measure-valued component. When this is not the case, all the usual questions regarding stability
of deterministic systems, such as existence of multiple xed points, their local stability properties, etc., arise here as well. One is also interested in the
connection between these sorts of stability properties of the limit model and
related stability and meta-stability (in the sense of small noise stochastic
systems) questions for the prelimit model.
There are several features which make stability analysis particularly difcult for these models.
the set of probability measures on some Polish space, is not a linear space
(although it is a closed, convex subset of a Banach space).
Obvious rst
N -particle
process will be ergodic, and thus relative entropy can be used to dene a
Lyapunov function for the joint distribution of these
N -particle
To avoid all
technical complications let us assume that the state of any individual particle
N
. 1 X
(t, ) =
X i,N (t,) ,
N
N
(2.1)
t 0, ,
i=1
where
particle, say
X i,N ,
x. Then
[t, t + ]
>0
(N (t)).
(x1 , . . . , xN ), y = (y1 , . . . , yN )
X N -valued
Let x =
N -particle sysonly if x and y
process.
to
independent particles.]
is assumed to depend on
The rate of
and
only
through the values of the component that is changing as well as the empirical
measure of
(2.2)
x,
i.e.,
N
x
N
. 1 X
=
xj .
N
j=1
Set
.
N
PN (X ) = {N
x : x X } P(X ).
4
N (x, y)
Let
xj = yj
x to y, x 6= y. If x, y
N (x, y) = 0. If x and y dier in
is l {1, . . . , N } such that xl 6= yl
j 6= l,
N (x, y) = N xl , yl , N
x
(2.3)
N : X X PN (X ) 7 [0, ).
N -particle system
N =
described previously in a heuristic fashion corresponds to N xl , yl , x
xl ,yl (N
x ). (A situation that requires to also depend on N will appear in
The
X
.
N (x, x) =
N (x, y),
x XN.
y6=x
The matrix
N = (N (x, y))x,yX N
N -particle
system.
Let
matrix
X i,N
XN has piecewise constant cdlg trajectories. The assumption on the noni,N , X j,N
zero o-diagonal entries of N implies that, with probability one, X
do not jump simultaneously if
i 6= j .
N -particle state process XN can be written as in (2.1). NoP(X )-valued cdlg trajectories. Actually, N is a Markov
with values in PN (X ). Let LN denote the innitesimal generator
Then LN acts on bounded measurable functions f : PN (X ) 7 R
sponding to the
N has
tice that
process
of
N .
according to
LN (f )(p) = N
N (x, y, p) f p +
1
N y
1
N x
f (p) px .
x,yX
For later use we note that since
generator
N ,
XN
equation
d N
p (t) = pN (t)N ,
dt
(2.4)
with initial condition
all
t 0.
t 0,
Note that
pN (t) P(X N )
for
Since
and hence
XN
i-th
i {1, . . . , N }, 0 s t,
f : X 7 R,
E f (X i,N (t))|XN (s) = E f (X i,N (t))|X i,N (s), N (s) .
More
and all
is of order
X PN (X )-valued
1/N .
Markov process.
N
of i is not
(X i,N , N ).
the limit as
of
the choice
i = 1.
We have
component
alone.
be deterministic, and thus the limit is a form of the law of large numbers.
The stability properties of the limit model are the main object of study,
though ultimately one is also interested in various properties of the prelimit
processes as well.
N (x, y, p) =
y 6= x for the rest
of this section. Since (p) is a rate matrix,
P
automatically x,x (p) =
y6=x x,y (p) for all x X . The result stated
below continues to hold if N (x, y, p) x,y (p) uniformly in p P(X )
for all x 6= y P(X ), a situation that will be encountered in Section 5.
N will be characterized via the nonlinear Kolmogorov forward
The limit of
To simplify the discussion we make the particular choice
x,y (p)
for
equation
d
p(t) = p(t)(p(t)).
dt
(2.5)
Since
{p Rd : px 0
and
Pd
x=1 px = 1}.
Thus
with
subset of
Rd
take values in
P(X ).
Proof.
In the
E = P(X ), EN = PN (X ), N N,
N px N1 ey N1 ex x,y (p),
p EN ,
FN (p) =
X
x,yX
F (p) =
p E,
x,yX
Under the assumptions of Theorem 2.1, Eq. (2.5) has a unique solution
q P(X ) and
.
p() be the unique solution to Eq. (2.5) with p(0) = q . Set q (t) = (p(t)),
t 0. Then (q (t))t0 is a time-dependent rate matrix, and we can nd
a time-inhomogeneous X -valued Markov process X with Law(X(0)) = q
(Stroock, 2005, Section 5.5.2). The evolution of the law of X at time t obeys
one can also directly construct such a process. To see this, let
let
d
p(t) = p(t)q (t),
dt
7
t 0,
p(t) = q .
p()
Since
It follows that
Law(X()) = p(),
X.
N -particle
as
tends to inn-
(XN )N N
(or (N )N N ) means the following. If q P(X ) and if for all k N
Law(X 1,N (0), . . . , X k,N (0)) converges to the product measure k q weakly
as N goes to innity, then for all k N and all t 0,
N
(2.7)
Law X 1,N (t), . . . , X k,N (t) k p(t) weakly in P(X ),
where
pN .
(N ).
N -particle
systems determined
In this section we outline an approach to the construction of Lyapunov functions for nonlinear Markov processes. As noted in the introduction, various
features of the deterministic system (2.5) make standard forms of Lyapunov
functions that might be considered unsuitable. Indeed, one of the most challenging problems in the construction of Lyapunov functions for any system
is the identication of natural forms that reect the particular features and
structure of the system. Here the ODE (2.5) is naturally related to a ow of
probability measures, and for this reason one might consider constructions
based on relative entropy.
punov function is limited to processes that are stationary and ergodic. The
ODE (2.5) corresponds to a nonstationary process, though as was discussed
in the previous section it arises naturally as a certain limit of stationary processes. The general approach is to identify ways to exploit this connection
to suggest good forms for the limit, which in general are obtained as limits
of relative entropies for the prelimit model.
d
p(t) = p(t)G.
dt
.
Dene : [0, ) 7 [0, ) by (z) = z log(z)z +1. Recall that the relative
entropy of p P(X ) with respect to q P(X ) is given by
px
. X
R (pkq) =
px log
.
qx
(3.1)
xX
px (t)
Gy,x 0.
dt
px (t)qy (t)
qx (t)
Lemma 3.1.
x,yX :x6=y
Moreover,
d
dt R (p(t)kq(t))
Proof.
[0, ),
with
is strictly convex on
(0) = 1 and (z) = 0 if and only if z = 1. Owing to the
irreducibility of G, p(t) and q(t) have no zero components and hence are
equivalent probability vectors for all t > 0. Assume for the time being that
p(0), q(0) are equivalent probability
vectors.
P
0
By assumption p
x (t) = yX py (t)Gy,x for all x X and all t 0. Since
is a rate matrix,
xX
Gy,x = 0
for all
y X.
Thus
d
R (p(t)kq(t))
dt
d X
px (t)
=
px (t) log
dt
qx (t)
xX
X
X
X
q 0 (t)
px (t)
0
+
p0x (t)
px (t) x
=
px (t) log
qx (t)
qx (t)
xX
xX
xX
X
qy (t)
px (t)
py (t) + py (t) log
=
px (t)
Gy,x
qx (t)
qx (t)
x,yX
X
py (t)
py (t) log
Gy,x
qy (t)
x,yX
X
qy (t)
py (t)qx (t)
px (t)
Gy,x
=
py (t) py (t) log
px (t)qy (t)
qx (t)
x,yX
X py (t)qx (t) py (t)qx (t)
py (t)qx (t)
qy (t)
=
log
1 px (t)
Gy,x
px (t)qy (t) px (t)qy (t)
px (t)qy (t)
qx (t)
x,yX
X
py (t)qx (t)
qy (t)
=
px (t)
Gy,x .
px (t)qy (t)
qx (t)
x,yX :x6=y
Recall that
x 6= y .
0.
qx , px 0 for all
d
R(p(t)kq(t))
0.
dt
Clearly,
It follows that
x X,
and
Gy,x 0
for all
probability vectors
d
dt R(p(t)kq(t))
all
x, y X
= 0.
If
such that
d
dt R(p(t)kq(t))
Gy,x > 0.
If
p (t)q (t)
leading from
If
q(0) =
to
x,
then, by stationarity,
q(t) =
10
for all
t 0.
py (t)qx (t)
px (t)qy (t)
= 1.
p 7 R (pk)
(3.2)
is a strict Lyapunov function for the linear forward equation (3.1). This is,
however, just one of many possibilities. Indeed, a second example is
p 7 R (kp) .
Yet a third can be constructed as follows.
T > 0
qp (0) = p.
Let
mapping
p 7 R (pkqp (T )) ,
(3.3)
where
qp ()
implies that the mapping given by (3.3) is a strict Lyapunov function for
Eq. (3.1).
R p(t)kqp(t) (T ) = R (p(t)kq(t)), where q()
with q(0) = p(T ). Note that (3.2) arises as the
This is so because
goes to innity.
tion dened in terms of the same rate matrix. However, nonlinear Markov
processes can be related to linear Markov processes through the law of large
numbers and propagation of chaos, and this suggests an indirect way to obtain natural forms of Lyapunov functions. There are in fact many dierent
ways this connection could be used to suggest forms that are suitable, and
this paper will consider two that are arguably the most straightforward.
Consider a xed point
of (2.5), i.e.,
() = 0,
dynamics
model.
For simplicity, let us assume that the initial distributions for the
N -particle systems are of the product form N q for some q P(X ), and let
pN (t) be the law of the N -particle system at time t for this initial condition.
i,N and N denote the ith particle and empirical measure.
As before, let X
11
dynamics. The discussion here is formal, being meant only to motivate the
possible forms for Lyapunov functions, which will later be justied by direct
verication.
q 7
(3.4)
where
T (0, ]
1
R pN (0)kpN (T ) ,
N
pN (T )
distribution q .
plauThe
N.
t = 0
t 7 R pN (t)kpN (T + t)
is
N
(and if p (0) is not the stationary distribution
F (q).
Then
function for
still serves as
a Lyapunov function (though not a global one), with a strict decrease at all
points that are not xed points. A second (and more signicant) potential
problem is that in the interchange of dierentiation of time and limits in
N,
even the non-increasing property may be lost. Suppose for simplicity that
T = ,
i.e., that
of the
N -particle
N
system. Let p (0)
F (p(t))
if it turns out
that
(3.5)
R N p()k N R pN ()k N + o()N,
pN (0) = N q ,
12
q 7
(3.6)
1
R pN (T )kpN (0)
N
N -particle
pN (T )
that capture
ensuring that a bound such as (3.5) is valid. It turns out that the second
issue is not symmetric for the two forms (3.4) and (3.6).
In fact, based
on large deviation calculations one can show that the bound (3.5) typically
holds for the former, and that it usually fails for the latter. However, we will
not give this calculation since for the problems we consider
is obtained in
an explicit form for both cases, and we simply test whether or not
has the
N -particle
N ,
One class of models for which this is the case are those connected with
Gibbs measures. This class of models will be discussed in Section 5. The
next simplest may be to assume that the propagation of chaos approximation
is valid over a large enough time interval that the marginals of
nearly equal to
are
pN (T )
xed
number
pN (T )
is
N p(T ) N .
This crude
(3.7)
1
1
.
R (pN (0)kpN (T )) R N qk N = R (qk) = F (q).
N
N
One would expect this to yield a useful Lyapunov function only when the
interaction between particles is limited (which is related to but distinct from
the strength of the interaction as measured by
1/N ).
13
(where both methods apply), one can identify important correction terms
that are lost by neglecting the correlations between particles.
adaptation,
slow
d 2
(p) be the
rate matrix for a nonlinear Markov process, and assume that p 7 (p) is
Lipschitz continuous for p P(X ). Assume also that P(X ) is a xed
point of the corresponding ODE. Then for any [0, 1], is also a xed
0
point for the ODE dened by p = ((p ) + ). The rate matrix (p) =
((p ) + ) corresponds to a version of the original system but with slow
adaptation when > 0 is small. With (0, 1] xed, the rate matrices
(p), p P(X ), determine a family of nonlinear Markov processes. The
Recall that
elements.
Let
(4.1)
d
p (t) = p (t) (p (t))
dt
p(0) P(X ).
We are
slow adaptation.
Following the discussion of the last section, the mapping
(4.2)
is a natural candidate for
F (p) = R (pk)
>0
but small.
d
F (p (t)) 0,
dt
14
Proof.
x, y X ,
all
> 0,
all
C <
p P(X ),
yx (p) yx () Ckp k,
. P
kp k = x |px x |. Using calculations similar to those in the
+ 1 yx (p)
R p (t)k =
py log
dt
x
x,yX
X
px y
px y
=
py log
+ 1 yx ()
py x
py x
x,yX :x6=y
X
px
yx (p) yx ()
+
py log
x
x,yX
X
px y
px y
=
py log
+ 1 yx ()
py x
py x
x,yX :x6=y
X
px y
+
py log
yx (p) yx () .
py x
where
x,yX :x6=y
For
x, y X
with
x 6= y
set
px y
px y
.
yx (p) = py log
+ 1 yx (),
py x
py x
px y
.
yx (p) = py log
yx (p) yx () .
py x
0 > 0
yx (p) + yx (p) 0
X
(4.3)
such that
for all
[0, 0 ],
x,y:x6=y
p = .
that s 7 log(s) s + 1
s [0, ),
c > 0,
s = 1. Since P(X )
p, such that
not depending on
yx (p) ckp k2 .
x,yX :x6=y
15
is
(4.4)
x,y:x6=y
Set
1 X
c
yx (p).
yx (p) kp k2 +
2
2
x,y:x6=y
.
min = min{yx () : yx () > 0}.
Then
min > 0
since
maxxX
Let
.
< since min = minxX x > 0.
. p
x, y X , x 6= y , and set z = pxy xy .
1
2 or
(),
being
Notice that
1
x
yx (p)
yx () 0,
then, since
| log(s)| 2|s 1|
for all
If
1
2,
yx (p) = py log(z) yx (p) yx ()
px y
1 yx (p) yx ()
2py
py x
2
=
|px y py x |yx (p) yx ()
x
2
(y |px x | + x |y py |) Ckp k.
min
yx (p) yx () < 0 and z [0, 12 ), then yx () min since yx (p) 0
for x 6= y , and, since log(s) s + 1 0 for all s 0,
1
1
(p)
+
(p)
=
p
(log(z)
z
+
1)
()
+
log(z)
(p)
()
yx
y
yx
yx
yx
yx
2
2
1
py 2 (log(z) z + 1) min + | log(z)|2C
If
min
16C . Consequently,
x,y:x6=y
X
c
2C
kp k2 +
kp k
(y |px x | + x |y py |)
2
min
x,y:x6=y
X
X
c
2C
kp k2 +
kp k
|px x | +
|y py |
2
min
xX
c
4C
kp k2 +
kp k2 .
2
min
16
yX
min
min
< min{ 16C
, c 8C
} and p 6= ,
min
min
and zero for p = . Choosing 0 (0, min{
,
c
})
, we nd that (4.3)
16C
8C
holds, with equality if and only if p = .
The bound on
on
()
and
can be found.
In this section we carry out the program outlined in Section 3 for a class
of problems where the stationary distribution for the
N -particle
system is
known. Subsection 5.1 introduces the class of weakly interacting Markov processes and the corresponding nonlinear Markov processes. The construction
starts from the denition of the stationary distribution as a Gibbs measure
for the
N -particle
functions for the limit systems as limits of relative entropy. As we will see,
(3.4) is suitable while (3.6) is not, and there are interesting terms that are
not needed when one restricts to systems with slow adaptation as in the last
section. In Subsection 5.3, the functions obtained from (3.4) are shown to be
indeed strict Lyapunov functions for the limit systems. Subsection 5.4 contains a discussion of Tamura (1987), where the somewhat analogous situation
of nonlinear It diusions of Gibbs type is studied.
Recall that
models at both the prelimit and limit are obtained for the symmetrized
N
N X
N
X
X
. 1
(5.1)
N (x) =
exp
V (xi )
W (xi , xj ) ,
ZN
N
version of
i=1
i=1 j=1
17
where
ZN
N
N X
N
X
X
X
.
exp
=
V (xi )
W (xi , xj )
N
N
i=1
xX
i=1 j=1
partition function ).
often called Glauber dynamics; see, for instance, Stroock (2005, 5.4) or
N .
N -particle energy function, by
N
N
X
. X
UN (x) =
V (xi ) +
W (xi , xj ).
N
i=1
x, y X N ,
N (x)
= eUN (y)UN (x) .
N (y)
(5.2)
Let
i,j=1
A = ((x, y))x,yX
diagonal entries equal to zero and o-diagonal entries either one or zero.
will identify those states of a single particle that can be reached in one jump
18
UN (y) UN (x)
=
N
X
(V (yi ) V (xi )) +
i=1
N
X
(W (yi , yj ) W (xi , xj ))
N
i,j=1
= V (yl ) V (xl ) +
N
X
j=1
= V (yl ) V (xl )
(W (yl , xl ) + W (xl , yl ))
N
N
X
(W (yl , xj ) W (xl , xj ) + W (xj , yl ) W (xj , xl ))
+
N
j=1
= V (yl ) V (xl )
2 X
1
N
+
(W (yl , z) W (xl , z)) x xl ({z}),
N
N
zX
xl and N
x is the empirical measure
of x
= #{j {1, . . . , N } : xj = z}/N . Let M1 (X )
denote the set of subprobability measures on X . Dene : X X M1 (X ) 7
R by
X
.
(x, y, ) = V (y) V (x) + 2
W (y, z) W (x, z) z .
where
xl
N
as in (2.2), i.e., x ({z})
zX
Then for
x, y X N
as above,
UN (y) UN (x) = xl , yl , N
x
(5.3)
1
N xl
N that corresponds
x, y X N , x 6= y, set either
N .
(5.4a)
(5.4b)
or
(5.4c)
or
+
.
N (x, y) = e(UN (y)UN (x)) AN (x, y)
1
.
N (x, y) = 1 + eUN (y)UN (x)
AN (x, y)
. 1
N (x, y) =
1 + e(UN (y)UN (x)) AN (x, y).
2
P
.
N
set N (x, x) =
y6=x N (x, y), x X . The
19
model
as
consider only (5.4a), the analysis for the other dynamics being completely
analogous.
The matrix
X N such that
xl 6= yl
for some
N (x, y) = e
+
1
xl ,yl ,N
x N xl
for
x, y
AN (x, y).
N : X X PN (X ) 7 [0, )
is dened in terms of
given by
+
1
x,y,p N x
N (x, y, p) = e
|x y| = 1 and zero
V , W according to
.
V (1) = 0,
.
V (2) = log(r1 ),
.
W (3, 2) = W (2, 3) = w3 ,
.
V (3) = log(r2 ) log(r1 ),
.
W (x, y) = 0 otherwise.
Then
w3 0
and
r2 < e2w3
20
N .
will asymptotically be
r1 e2w3 p3
r2 e
2w3 (p2 p3 )
1
1
where
For
p P(X )
let
(p)
(x,y (p))x,yX
if
given by
+
.
x,y (p) = e((x,y,p)) (x, y), x 6= y,
P
.
and with diagonal entries x,x (p) =
yX x,y (p), x X . If p P(X )
is xed then (p) is the generator of an ergodic nite-state Markov process,
and the unique invariant distribution on X is given by (p) with
X
1
.
(5.6)
(p)x =
exp V (x) 2
W (x, y)py ,
Z(p)
(5.5)
yX
where
X
. X
Z(p) =
exp V (x) 2
W (x, y)py .
xX
yX
valued random variables satises a law of large numbers with limit determined by Eq. (2.5), the nonlinear forward equation. More precisely, if
21
N (0)
q P(X )
converges in distribution to
as
d
p(t) = p(t)(p(t)),
dt
The nonlinear generator
to (5.5).
Thus
()
p()
N ()
con-
of
p(0) = q.
N N,
dene
FN : P(X ) 7 [0, ]
To
by
. 1
FN (p) = R N p
N .
N
(5.7)
Proof.
Let
(5.7)
. Then there
W (x, y)px py C.
x,yX
p P(X ).
N
1 X Y
FN (p) =
pxi log
N
N
i=1
xX
N
X
N
1 X Y
=
p xi
N
N
log(pxi )
i=1
i=1
xX
!
p
x
i
i=1
N (x)
!
QN
1
log(ZN )
N
N
N
N
X
X
1 X Y
p xi
V (xi ) +
+
W (xi , xj ) .
N
N
N
xX
Let
(Xi )iN
i=1
be a sequence of i.i.d.
distribution
i,j=1
X -valued
N
1 X Y
pxi
N
N
xX
i=1
i=1
N
X
i=1
!
log(pxi )
#
N
1 X
log (pXi ) = E [log (pX1 )] ,
=E
N
"
i=1
22
N
1 X Y
pxi
N
N
i=1
xX
and as
N
X
!
V (xi )
#
N
1 X
V (Xi ) = E [V (X1 )] ,
=E
N
"
i=1
i=1
N
N
N
X
X
X Y
1
pxi
W (xi , xj ) = E 2
W (Xi , Xj )
N
N
N
N
i=1
xX
i,j=1
i,j=1
N2 N
E [W (X1 , X2 )]
N2
E [W (X1 , X2 )] .
=
: P(X ) R
1
N
log(ZN ),
by
X
.
(q) =
W (x, y)qx qy .
x,yX
Let
tributed
lim
N
Note that
1
.
=
log(ZN ) = inf {R(qk) + (q)} + log(Z)
C.
N
qP(X )
is nite and does not depend on
Recalling that
distribution
p,
X1 , X2
p.
we nd
xX
xX
x,yX
R (pk(p)) = log(Z(p)) +
px log(px ) +
xX
+ 2
W (x, y)px py .
x,yX
23
X
xX
V (x)px
Therefore
W (x, y)px py C.
x,yX
The constant
(5.8)
p.
limN FN (p)
in The-
X
.
F (p) = R (pk(p)) log(Z(p))
W (x, y)px py .
x,yX
also takes
the form
(5.9)
F (p) =
px log(px ) +
xX
V (x)px +
xX
W (x, y)px py .
x,yX
p, F
is the sum of a
P(X ).
This
with
y6=x
P
.
Ptan (X ) = { Rd : di=1 i = 0}. The directional derivative
direction Ptan (X ) is given by
X
X
x log(px ) + V (x) + 2
W (x, y)py .
F (p) =
Set
xX
If the derivatives of
p P(X )
then
in any
y6=x
in all directions in
Ptan (X )
Theorem 5.3.
24
Proof.
Recall that
and hence
z6=x
(5.11)
log(py ) V (y) + 2
W (y, z)pz .
z6=y
.
(x y ) is the derivative in direction v Ptan (X ) with vx = 1,
.
.
vy = 1, vz = 0 for z X \ {x, y}.
p = (p)
since
= 0
(i.e.,
or
W 0)
on
and Eq. (2.5) has a unique equilibrium point, namely the unique stationary
distribution associated with
In general, Eq. (2.5) can have multiple equilibria, stable and unstable.
Let us illustrate this by a simple example.
Example 5.4.
Then
Assume that
F (p) = f (p1 )
with
.
f (x) = x log(x) + (1 x) log(1 x) + 2(1 x)x,
The critical points of
the critical points of
x [0, 1].
25
1
1
+
4.
x 1x
of the limit model as given by Eq. (2.5), the nonlinear forward equation.
Theorem 5.5.
(2.5)
with some
d
d
F (p(t)) = R (p(t)k(q))
0.
dt
dt
q=p(t)
Moreover,
Proof.
d
dt F (p(t))
p()
p(0) = q
then
(5.12)
d
d
F (p(t))
= R (p(t)k(q)) .
dt
dt
t=0
t=0
In view of the semigroup property of solutions to the ODE (2.5), the forward
q is
q = p(t),
d
dt R (p(t)k(q)),
for all
d
dt F (p(t))
t 0.
P
p(0) = q . By Eq. (5.9) and since xX p0x (0) = 0,
X
X
d
F (p(t))
log(qx )p0x (0) +
V (x)p0x (0)
=
dt
t=0
xX
xX
X
X
0
+
W (x, y)px (0)qy +
W (x, y)p0y (0)qx .
Let
x,yX
x,yX
X
X
d
=
log(qx )p0x (0) +
V (x)p0x (0)
R (p(t)k(q))
dt
t=0
xX
xX
X
X
0
+
W (x, y)px (0)qy +
W (y, x)p0x (0)qy .
x,yX
x,yX
26
Since
x,y
x,y
holds.
The rest of the assertion follows from the observation that
(q)
is the
(q)
and from the strict Lyapunov property of relative entropy in case of ergodic
Remark 5.6. It was noted in Subsection 3.2 that the reversed form of
1
.
F (p) = lim
R N k N p .
N N
P
to
F (p) = R (
pkp) + log Z(
p).
In contrast to
(p), p X ,
dened
For [0, 1], p X , set (p) = (p + (p p )). The rate matrices (p)
zX
Fix
0.
X
X
. X
F (p) =
px log(px ) +
V , (x)px +
W (x, y)px py
xX
xX
x,yX
!
=
px log(px ) +
xX
V (x) + 2(1 )
xX
X
zX
W (x, y)px py
x,yX
27
W (x, z)pz
px
d
p(t) = p(t) (p(t))
dt
(p), p X . Proposition 4.1, on the other hand, implies
(p)=R (pkp ) is also a strict Lyapunov function when is positive but
that F
xX
xX
!
=
px log(px ) + log(Z(p )) +
xX
which is equal to
V (x) + 2
xX
F (p) + log(Z(p ))
for
= 0.
W (x, z)pz
px ,
zX
Observe that the term
p.
1 W X(t), y) t (dy) dt + 2dB(t),
Z
dX(t) = V X(t) + 2
Rd
where
function
stants have been chosen in analogy with the nite-state models considered
here. Solutions of Eq. (5.13) arise as weak limits of the empirical measure
processes associated with weakly interacting It diusions. The
N -particle
2 X
dX i,N (t) = V X i,N (t) dt
1 W X i,N (t), X j,N (t) dt+ 2dB i (t),
N
j=1
where
tions,
28
F : P(Rd ) 7 [0, ]
is
.
F () =
Z
log (f (x)) f (x)dx +
Z Z
V (x)(dx) +
W (x, y)(dx)(dy).
.
F () = .
t is frozen at
d
P(R ). In contrast, in our case the orbital derivative of the Lyapunov
(p)
p.
in fact carries over to the diusion case in the sense that for all
d
d
F (t ) = R (t k )=t ,
dt
dt
(5.15)
where
t 0,
t = Law(X(t)), X
P(Rd ) is given by
Z
. 1
exp V (x) 2
W (x, y)(dy) dx
(dx) =
Z
Rd
(5.16)
with
(p) P(X )
dened in (5.6).
29
not
Concluding remarks
In this paper we have exploited a connection between nonlinear Markov process and approximating
N -particle
as a limit of normalized relative entropies. Explicit identication was carried out for two classes of models, based on very dierent approximations.
However, there are other quite natural approximations that should be considered so that the technique can be developed more broadly. The goal of
these approximations should be to bring in more information on the correlations between particles when the
N -particle
system is quasi-stationary,
but hopefully without requiring that full information on the stationary distribution be available. For example, as an improvement on the very crude
product form approximation used for the case of slow adaptation, one might
consider the mapping
1
R N pkqN (T ) ,
N N
p 7 lim
where
point
qN () is
of ().
qN (0) = N ,
with
a xed
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32