BIMSA > Seminar on Control Theory and Nonlinear Filtering Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation
Particle method and quantization-based schemes for the simulation of the McKean-Vlasov equation
Organizer
Shing Toung Yau
Speaker
Zeju Sun
Time
Wednesday, May 22, 2024 2:30 PM - 3:00 PM
Venue
理科楼A-304
Abstract
In this talk, we will review some numerical schemes for McKean-Vlasov equations. The convergence rate of the particle method with respect to the Wasserstein distance will be discussed. Besides particle methods, quantization-based schemes, including the recursive quantization scheme (deterministic scheme) in the Vlasov setting, and the hybrid particle-quantization scheme (random scheme inspired by the K-means clustering) will be presented.