Second-order in time schemes for gradient flows in Wasserstein and geodesic metric spaces |
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Authors: | Guillaume Legendre Gabriel Turinici |
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Affiliation: | 1. Université Paris-Dauphine, PSL Research University, CNRS, UMR 7534, CEREMADE, 75016 Paris, France;2. Institut universitaire de France, France |
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Abstract: | The time discretization of gradient flows in metric spaces uses variants of the celebrated implicit Euler-type scheme of Jordan, Kinderlehrer, and Otto [9]. We propose in this Note a different approach, which allows us to construct two second-order in time numerical schemes. In a metric space framework, we show that the schemes are well defined and prove the convergence for one of them under some regularity assumptions. For the particular case of a Fokker–Planck gradient flow in the Wasserstein space, we obtain (theoretically and numerically) the second-order convergence. |
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