I have uploaded recently the final version of arXiv:1304.7569 entitled First order global asymptotics for confined particles with singular pair repulsion, written in collaboration with Nathaël Gozlan and Pierre André Zitt, and to appear in the Annals of Applied Probability. The former title was First order global asymptitics for Calogero-Sutherland gases, but we decided to follow one of the reviewers since our work goes beyond Calogero-Sutherland models.
We study a physical system of \( {N} \) interacting particles in \( {\mathbb{R}^d} \), \( {d\geq1} \), subject to pair repulsion and confined by an external field. We establish a large deviations principle for their empirical distribution as \( {N} \) tends to infinity. In the case of Riesz interaction, including Coulomb interaction in arbitrary dimension \( {d>2} \), the rate function is strictly convex and admits a unique minimum, the equilibrium measure, characterized via its potential. It follows that almost surely, the empirical distribution of the particles tends to this equilibrium measure as \( {N} \) tends to infinity. In the more specific case of Coulomb interaction in dimension \( {d>2} \), and when the external field is a convex or increasing function of the radius, then the equilibrium measure is supported in a ring. With a quadratic external field, the equilibrium measure is uniform on a ball.
Particles and configuration energy. The system is made with \( {N} \) particles at positions \( {x_1,\ldots,x_N\in\mathbb{R}^d} \), \( {d\geq1} \), with identical “charge” \( {q_N=1/N} \), subject to a confining potential \( {V:\mathbb{R}^d\rightarrow\mathbb{R}} \) coming from an external field and acting on each particle, and to an interaction potential
\[ W:\mathbb{R}^d\times\mathbb{R}^d\rightarrow(-\infty,+\infty] \]
acting on each pair of particles. The function \( {W} \) is finite outside the diagonal and symmetric: for all \( {x,y\in\mathbb{R}^d} \) with \( {x\neq y} \), we have \( {W(x,y)=W(y,x)<\infty} \). The energy \( {H_N(x_1,\ldots,x_N)} \) of the configuration \( {(x_1,\ldots,x_N)\in(\mathbb{R}^d)^N} \) takes the form
\[ \begin{array}{rcl} \notag H_N(x_1,\ldots,x_N) &=& \sum_{i=1}^Nq_NV(x_i) +\sum_{i<j}q_N^2W(x_i,x_j) \\ \notag &=& \frac{1}{N}\sum_{i=1}^NV(x_i) +\frac{1}{N^2}\sum_{i<j}W(x_i,x_j) \\ &=&\int\!V(x)\,d\mu_N(x)+\frac{1}{2}\iint_{\neq}\!W(x,y)\,d\mu_N(x)\,d\mu_N(y) \end{array} \]
where
\[ \mu_N=\frac{1}{N}\sum_{i=1}^N\delta_{x_i} \]
is the empirical measure of the particles, and where the subscript “\( {\neq} \)” indicates that the double integral is off-diagonal. The energy \( {H_N:(\mathbb{R}^d)^N\rightarrow\mathbb{R}\cup\{+\infty\}} \) is a quadratic form functional in the variable \( {\mu_N} \). We denote by \( {\left|\cdot\right|} \) the Euclidean norm of \( {\mathbb{R}^d} \) and we make the following additional assumptions:
- (H1) The function \( {W:\mathbb{R}^d\times\mathbb{R}^d\rightarrow(-\infty,+\infty]} \) is continuous on \( {\mathbb{R}^d\times \mathbb{R}^d} \), symmetric, takes finite values on \( {\mathbb{R}^d\times \mathbb{R}^d \setminus \{(x,x) ; x\in \mathbb{R}^d\}} \) and satisfies the following integrability condition: for all compact subset \( {K\subset\mathbb{R}^d} \), the function
\[ z\in\mathbb{R}^d\mapsto \sup \{W(x,y); \left|x-y\right|\geq|z|, x,y\in K\} \]
is locally Lebesgue-integrable on \( {\mathbb{R}^d} \);
- (H2) The function \( {V:\mathbb{R}^d\rightarrow\mathbb{R}} \) is continuous and such that \( {\lim_{|x| \rightarrow+ \infty } V(x)=+\infty} \) and
\[ \int_{\mathbb{R}^d} \exp(-V(x))\,dx<\infty. \]
- (H3) There exists constants \( {c\in\mathbb{R}} \) and \( {\varepsilon_o \in (0,1)} \) such that for every \( {x,y\in\mathbb{R}^d} \),
\[ W(x,y)\geq c-\varepsilon_o(V(x)+V(y)). \]
(This must be understood as “\( {V} \) dominates \( {W} \) at infinity”).
Boltzmann-Gibbs distribution. Let \( {{(\beta_N)}_{N}} \) be a sequence of positive real numbers such that \( {\beta_N\rightarrow+\infty} \) as \( {N\rightarrow\infty} \). Under (H2)-(H3), there exists an integer \( {N_0} \) depending on \( {\varepsilon_o} \) such that for any \( {N\geq N_0} \), we have
\[ Z_N=\int_{\mathbb{R}^d}\cdots\int_{\mathbb{R}^d}\! \exp\left(-\beta_NH_N(x_1,\ldots,x_N)\right)\,dx_1\cdots{}dx_N<\infty, \]
so that we can define the Boltzmann-Gibbs probability measure \( {P_N} \) on \( {(\mathbb{R}^d)^N} \) by
\[ dP_N(x_1,\ldots,x_N) =\frac{\exp\left(-\beta_N H_N(x_1,\ldots,x_N)\right)}{Z_N}\,dx_1\cdots dx_N. \]
The law \( {P_N} \) is the equilibrium distribution of a system of \( {N} \) interacting Brownian particles in \( {\mathbb{R}^d} \), at inverse temperature \( {\beta_N} \), with equal individual “charge” \( {1/N} \), subject to a confining potential \( {V} \) acting on each particle, and to an interaction potential \( {W} \) acting on each pair of particles. For \( {\beta_N=N^2} \), the quantity \( {\beta_NH_N} \) can also be interpreted as the distribution of a system of \( {N} \) particles living in \( {\mathbb{R}^d} \), with unit “charge”, subject to a confining potential \( {NV} \) acting on each particle, and to an interaction potential \( {W} \) acting on each pair of particles.
Physical control problem. Our work is motivated by the following physical control problem: given the (internal) interaction potential \( {W} \), for instance a Coulomb potential, a target probability measure \( {\mu_\star} \) on \( {\mathbb{R}^d} \), for instance the uniform law on the unit ball, and a cooling scheme \( {\beta_N\rightarrow+\infty} \), for instance \( {\beta_N=N^2} \), can we tune the (external) confinement potential \( {V} \) (associated to an external confinement field) such that \( {\mu_N\rightarrow\mu_\star} \) as \( {N\rightarrow\infty} \)? In this direction, we provide some partial answers in our main results stated in the sequel.
Limiting energy. Let \( {\mathcal{M}_1(\mathbb{R}^d)} \) be the set of probability measures on \( {\mathbb{R}^d} \). The mean-field symmetries of the model suggest to study, under the exchangeable measure \( {P_N} \), the behavior as \( {N\rightarrow\infty} \) of the empirical measure \( {\mu_N} \), which is a random variable on \( {\mathcal{M}_1(\mathbb{R}^d)} \). With this asymptotic analysis in mind, we introduce the functional \( {I:\mathcal{M}_1(\mathbb{R}^d)\rightarrow (-\infty,+\infty]} \) given by
\[ I(\mu) = \frac{1}{2}\iint\!\left(V(x)+V(y)+W(x,y)\right)\,d\mu(x)d\mu(y). \]
The assumptions (H2)–(H3) imply that the function under the integral is bounded from below, so that the integral defining \( {I} \) makes sense in \( {\mathbb{R}\cup\{+\infty\}=(-\infty,+\infty]} \). If it is finite, then \( {\int\!Vd\mu} \) and \( {\iint Wd\mu^2} \) both exist, so that
\[ I(\mu) = \int\!V d\mu + \frac{1}{2} \iint W d\mu^2. \]
The energy \( {H_N} \) is “almost” given by \( {I(\mu_N)} \), where the infinite terms on the diagonal are forgotten.
Large deviations principle. Theorem 1 below is our first main result. It is of topological nature, inspired from the available results for logarithmic Coulomb gases in random matrix theory BenArous and Guionnet, BenArous and Zeitouni, Hiai and Petz, Hardy. We equip \( {\mathcal{M}_1(\mathbb{R}^d)} \) with the weak topology, defined by duality with bounded continuous functions. For any set \( {A\subset\mathcal{M}_1(\mathbb{R}^d)} \) we denote by \( {\mathrm{int}{A}} \), \( {\mathrm{clo}{A}} \) the interior and closure of \( {A} \) with respect to this topology. This topology can be metrized by the Fortet-Mourier distance defined by (see also Rachev and Rüschendorf):
\[ d_{\mathrm{FM}}(\mu,\nu)= \sup_{\max(|f|_\infty,|f|_{\mathrm{Lip}})\leq 1}\left\{\int\!f\,d\mu-\int\!f\,d\nu\right\}, \]
where
\[ |f|_\infty=\sup|f| \quad\mbox{and}\quad |f|_{\mathrm{Lip}}=\sup_{x\neq y}\frac{|f(x)-f(y)|}{|x-y|}. \]
To formulate the large deviations result we need to introduce the following additional technical assumption:
- (H4) For all \( {\nu \in \mathcal{M}_1(\mathbb{R}^d)} \) such that \( {I(\nu)<+\infty} \), there is a sequence \( {(\nu_n)_{n\in \mathbb{N}}} \) of probability measures, absolutely continuous with respect to Lebesgue, such that \( {\nu_n} \) converges weakly to \( {\nu} \) and \( {I(\nu_n) \rightarrow I(\nu),} \) when \( {n\rightarrow\infty.} \)
It turns out that assumption (H4) is satisfied for a very large class of potentials \( {V,W} \), including the special case in which the function \( {I} \) is convex, which is typically the case for the Coulomb and Riesz intercations.
In all the paper, if \( {(a_N)_{N}} \) and \( {(b_N)_{N}} \) are non negative sequences, the notation \( {a_N \gg b_N} \) means that \( {a_N=b_Nc_N} \), for some \( {c_N} \) that goes to \( {+\infty} \) when \( {N\rightarrow\infty.} \)
Theorem 1 (Large Deviations Principle) Suppose that
\[ \beta_N\gg N\log(N). \]
If (H1)-(H2)-(H3) are satisfied then
- \( {I} \) has compact level sets (and is thus lower semi-continuous) and
\[ \inf_{\mathcal{M}_1(\mathbb{R}^d)}I>-\infty; \]
- Under \( {(P_N)_N} \), the sequence \( {{(\mu_N)}_{N}} \) of random elements of \( {\mathcal{M}_1(\mathbb{R}^d)} \) equipped with the weak topology has the following asymptotic properties. For every Borel subset \( {A} \) of \( {\mathcal{M}_1(\mathbb{R}^d)} \),
\[ \limsup_{N\rightarrow\infty}\frac{\log Z_NP_N(\mu_N\in A)}{\beta_N} \leq-\inf_{\mu\in\mathrm{clo}{A}}I(\mu) \]
and
\[ \liminf_{N\rightarrow\infty}\frac{\log Z_NP_N(\mu_N\in A)}{\beta_N} \geq -\inf \{I(\mu); \mu\in\mathrm{int}{A}, \mu \ll \mathrm{Lebesgue}\}. \]
- Under the additional assumption \( {\textbf{(H4)}} \), the full Large Deviation Principle (LDP) at speed \( {\beta_N} \) holds with the rate function
\[ I_\star=I-\inf_{\mathcal{M}_1(\mathbb{R}^d)}I. \]
More precisely, for all Borel set \( {A \subset \mathcal{M}_1(\mathbb{R}^d)} \),
\[ -\inf_{\mu \in \mathrm{int}{A}} I_\star(\mu) \leq \liminf_{N\rightarrow\infty} \frac{\log P_N(\mu_N \in A)}{\beta_N} \\ \leq \limsup_{N\rightarrow\infty} \frac{\log P_N(\mu_N \in A)}{\beta_N} \leq -\inf_{\mu \in \mathrm{clo}{A}} I_\star(\mu). \]
In particular, by taking \( {A=\mathcal{M}_1(\mathbb{R}^d)} \), we get
\[ \lim_{N\rightarrow\infty}\frac{\log Z_N}{\beta_N} =\inf_{\mathcal{M}_1(\mathbb{R}^d)}I_\star. \]
- Let \( {I_{\text{min}}=\{\mu\in\mathcal{M}_1:I_\star(\mu)=0\}\neq \emptyset} \). If \( {\textbf{(H4)}} \) is satisfied and if \( {{(\mu_N)}_{N}} \) are constructed on the same probability space, and if \( {d} \) stands for the Fortet-Mourier distance, then we have, almost surely,
\[ \lim_{N\rightarrow\infty}d_{\mathrm{FM}}(\mu_N,I_{\text{min}})=0. \]
A careful reading of the proof of Theorem 1 indicates that if \( {I_\text{min}=\{\mu_\star\}} \) is a singleton, and if (H4) holds for \( {\nu=\mu_\star} \), then \( {\mu_N\rightarrow\mu_\star} \) almost surely as \( {N\rightarrow\infty} \).
Link with Sanov theorem. If we set \( {W=0} \) then the particles become i.i.d. and \( {P_N} \) becomes a product measure \( {\eta_N^{\otimes N}} \) where \( {\eta_N\propto e^{-(\beta_N/N)V}} \), where the symbol “\( {\propto} \)” means ”proportional to”. When \( {\beta_N=N} \) then \( {\eta_N\propto e^{-V}} \) does not depend on \( {N} \), and we may denote it \( {\eta} \). To provide perspective, recall that the classical Sanov theorem for i.i.d. sequences means in our settings that if \( {W=0} \) and \( {\beta_N=N} \) then \( {{(\mu_N)}_N} \) satisfies to a large deviations principle on \( {\mathcal{M}_1(\mathbb{R}^d)} \) at speed \( {N} \) and with good rate function (Kullback-Leibler relative entropy or free energy)
\[ \mu\mapsto K(\mu|\eta)= \int\!f\log(f)\,d\eta \]
if \( {\mu\ll\eta} \), with \( {f=\frac{d\mu}{d\eta}} \), and \( {+\infty} \) otherwise. This large deviations principle corresponds to the convergence \( {\lim_{N\rightarrow\infty}d_{\mathrm{FM}}(\mu_N,\eta)=0} \). Note that, if \( {\mu} \) is absolutely continuous with respect to Lebesgue measure with density function \( {g} \), then \( {K(\mu|\eta)} \) can be decomposed in two terms
\[ K(\mu|\eta) = \int\!V\,d\mu-H(\mu)+\log Z_V, \]
where
\[ Z_V=\int_{\mathbb{R}^d}\!e^{-V(x)}\,dx \]
and where \( {H(\mu)} \) is the Boltzmann-Shannon “continuous” entropy
\[ H(\mu) = -\int\!g(x)\log(g(x))\,dx; \]
therefore at the speed \( {\beta_N = N} \), the energy factor \( {\int\!V\,d\mu} \) and the Boltzmann-Shannon entropy factor \( {H(\mu)} \) both appear in the rate function. In contrast, note that Theorem 1 requires a higher inverse temperature \( {\beta_N\gg N\log(N)} \). If we set \( {W=0} \) in Theorem 1, then \( {P_N} \) becomes a product measure, the particles are i.i.d. but their common law depends on \( {N} \), the function \( {\mu\mapsto I_*(\mu)=\int\!V\,d\mu-\inf V} \) is affine, its minimizers \( {I_{\text{min}}} \) over \( {\mathcal{M}_1(\mathbb{R}^d)} \) coincide with
\[ \mathcal{M}_V=\{\mu\in\mathcal{M}_1(\mathbb{R}^d):\mathrm{supp}(\mu)\subset\arg\inf V\}, \]
and Theorem 1 boils down to a sort of Laplace principle, which corresponds to the convergence \( {\lim_{N\rightarrow\infty}d_{\mathrm{FM}}(\mu_N,\mathcal{M}_V)=0} \). It is worthwhile to notice that the main difficulty in Theorem 1 lies in the fact that \( {W} \) can be infinite on the diagonal (short scale repulsion). If \( {W} \) is continuous and bounded on \( {\mathbb{R}^d\times\mathbb{R}^d} \), then one may deduce the large deviations principle for \( {{(\mu_N)}_{N}} \) from the case \( {W=0} \) by using the Laplace-Varadhan. To complete the picture, let us mention that if \( {\beta_N=N} \) and if \( {W} \) is bounded and continuous, then the Laplace-Varadhan lemma and the Sanov theorem would yield to the conclusion that \( {(\mu_N)_N} \) verifies a large deviations principle on \( {\mathcal{M}_1(\mathbb{R}^d)} \) at speed \( {N} \) with rate function \( {R-\inf_{\mathcal{M}_1(\mathbb{R}^d)}R} \) where the functional \( {R} \) is defined by
\[ \begin{array}{rcl} R(\mu) &=& K(\mu|\eta) + \frac{1}{2}\iint\!W(x,y)\,d\mu(x)d\mu(y) \\ &=& -H(\mu) + I(\mu)+\log Z_V; \end{array} \]
once more, the Boltzmann-Shannon entropy factor \( {H(\mu)} \) reappears at this rate. For an alternative point of view, we refer to Messer and Spohn, Caglioti and Lions and Marchioro and Pulvirenti, Bodineau and Guionnet.
Equilibrium measure for Coulomb and Riesz interactions. Our second main result, expressed in Theorem 2 and Corollary 3 below is of differential nature. It is based on an instance of the general Gauss problem in potential theory Frostman, Landkof, Zorii. It concerns special choices of \( {V} \) and \( {W} \) for which \( {I_\star} \) achieves its minimum \( {0} \) for a unique and explicit \( {\mu_\star\in\mathcal{M}_1(\mathbb{R}^d)} \). Recall that the Coulomb interactions correspond to the choice \( {W(x,y)=k_\Delta(x-y)} \) where \( {k_\Delta} \) is the Coulomb kernel (opposite in sign to the Newton kernel) defined on \( {\mathbb{R}^d} \), \( {d\geq1} \), by
\[ k_\Delta(x)= \left\{ \begin{array}{cc} -|x| & d=1,\\ \log\frac{1}{|x|} & d=2,\\ \frac{1}{|x|^{d-2}}& d\geq3. \end{array} \right. \]
This is, up to a multiplicative constant, the fundamental solution of the Laplace equation. In other words, denoting \( {\Delta=\partial_{x_1}^2+\cdots+\partial_{x_d}^2} \) the Laplacian, we have, in a weak sense, in the space of Schwartz-Sobolev distributions \( {\mathcal{D}'(\mathbb{R}^d)} \),
\[ -c\Delta k_\Delta=\delta_0 \quad\text{with}\quad c= \left\{ \begin{array}{cc} \frac{1}{2} & d=1,\\ \frac{1}{2\pi} & d=2,\\ \frac{1}{d(d-2)\omega_d} & d\geq3, \end{array} \right. \]
where \( {\omega_d=\frac{\pi^{d/2}}{\Gamma(1+d/2)}} \) is the volume of the unit ball of \( {\mathbb{R}^d} \). Our notation is motivated by the fact that \( {-\Delta} \) is a nonnegative operator. The case of Coulomb interactions in dimension \( {d=2} \) is known as “logarithmic potential with external field” and is widely studied in the literature: see Hiai and Petz, Saff and Totik, Anderson and Guionnet and Zeitouni, Hardy. To focus on novelty, we will not study the Coulomb kernel for \( {d\leq2} \). We refer to Lenard, Edwards and Lenard, Lenard, Brascamp and Lieb, Aizenman and Martin, Sandier and Serfaty and references therein for the Coulomb case in dimension \( {d=1} \), to BenArous and Guionnet Anderson and Guionnet and Zeitouni, Hardy to the Coulomb case in dimension \( {d=2} \) with support restriction on a line, to BenArous and Zeitouni, Hiai and Petz, Hiai and Petz, Hardy, Saff and Totik, Sandier and Serfaty, Yattselev for the Coulomb case in dimension \( {d=2} \). We also refer to Berman for the asymptotic analysis in terms of large deviations of Coulomb determinantal point processes on compact manifolds of arbitrary dimension.
The asymptotic analysis of \( {\mu_N} \) as \( {N\rightarrow\infty} \) for Coulomb interactions in dimension \( {d\geq3} \) motivates our next result, which is stated for the more general Riesz interactions in dimension \( {d\geq1} \). The Riesz interactions correspond to the choice \( {W(x,y)=k_{\Delta_\alpha}(x-y)} \) where \( {k_{\Delta_\alpha}} \), \( {0<\alpha<d} \), \( {d\geq1} \), is the Riesz kernel defined on \( {\mathbb{R}^d} \), by
\[ k_{\Delta_\alpha}(x)=\frac{1}{|x|^{d-\alpha}}. \]
Up to a multiplicative constant, this is the fundamental solution of a fractional Laplace equation (which is the true Laplace equation when \( {\alpha=2} \)), namely
\[ -c_\alpha\Delta_\alpha k_{\Delta_\alpha}=\mathcal{F}^{-1}(1)=\delta_0 \quad\text{with}\quad c_\alpha=\frac{\pi^{\alpha-\frac{d}{2}}}{4\pi^2} \frac{\Gamma(\frac{d-\alpha}{2})}{\Gamma(\frac{\alpha}{2})}, \]
where the Fourier transform \( {\mathcal{F}} \) and the fractional Laplacian \( {\Delta_\alpha} \) are given by
\[ \mathcal{F}(k_{\Delta_\alpha})(\xi)=\int_{\mathbb{R}^d}\!e^{2i\pi\xi\cdot x}\,k_{\Delta_\alpha}(x)\,dx =\frac{1}{c_\alpha4\pi^2|\xi|^\alpha} \quad\text{and}\quad \Delta_\alpha f = -4\pi^2\mathcal{F}^{-1}(|\xi|^\alpha\mathcal{F}(f)). \]
Note that \( {\Delta_2=\Delta} \) while \( {\Delta_\alpha} \) is a non-local integro-differential operator when \( {\alpha\neq2} \). When \( {d\geq3} \) and \( {\alpha=2} \) then Riesz interactions coincide with Coulomb interactions and the constants match. Beware that our notations differ slightly from the ones of Landkof. Several aspects of the Gauss problem in the Riesz case are studied in Dragnev and Saff, Zorii.
In the Riesz case, \( {0<\alpha<d} \), one associates to any probability measure \( {\mu} \) on \( {\mathbb{R}^d} \) a function \( {U_\alpha^\mu:\mathbb{R}^d\mapsto[0,+\infty]} \) called the potential of \( {\mu} \) as follows
\[ U_\alpha^\mu(x)= (k_{\Delta_\alpha}*\mu)(x) =\int\!k_{\Delta_\alpha}(x-y)\,d\mu(y),\qquad \forall x\in \mathbb{R}^d. \]
In classical potential theory, a property is said to hold quasi everywhere if it holds outside a set of zero capacity. The following theorem is essentially the analogue in \( {\mathbb{R}^d} \) of a result of Dragnev and Saff on spheres. The analogue problem on compact subsets, without external field, was initially studied by Frostman (in his PhD thesis, advised by Riesz, 1934!), see also the book of Landkof. A confinement (by an external field or by a support constraint) is always needed for such type of results.
Theorem 2 (Riesz gases) Suppose that \( {W} \) is the Riesz kernel \( {W(x,y)= k_{\Delta_\alpha}(x-y)} \). Then:
- The functional \( {I} \) is strictly convex where it is finite;
- (H1)-(H2)-(H3)-(H4) are satisfied and Theorem 1 applies;
- There exists a unique \( {\mu_\star\in\mathcal{M}_1(\mathbb{R}^d)} \) such that
\[ I(\mu_\star)=\inf_{\mu\in\mathcal{M}_1(\mathbb{R}^d)}I(\mu); \]
- If we define \( {(\mu_N)_N} \) on a unique probability space (for a sequence \( {\beta_N\gg N\log(N)} \)) then with probability one,
\[ \lim_{N\rightarrow\infty}\mu_N=\mu_\star. \]
If we denote by \( {C_\star} \) the real number
\[ C_\star = \int\!\left(U_\alpha^{\mu_\star} + V\right)\,d\mu_\star = J(\mu_\star) + \int\!Vd\mu_\star, \]
then the following additional properties hold:
- The minimizer \( {\mu_\star} \) has compact support, and satisfies
\[ U_\alpha^{\mu_\star} + V \geq C_\star \]
quasi everywhere, with equality on the support of \( {\mu_\star} \);
- If a compactly supported measure \( {\mu} \) creates a potential \( {U_\alpha^\mu} \) such that, for some constant \( {C\in\mathbb{R}} \),
\[ U_\alpha^\mu + V \geq C \]
quasi everywhere, with equality on the support of \( {\mu} \), then \( {C = C_\star} \) and \( {\mu=\mu_\star} \). The same is true under the weaker assumptions:
\[ U_\alpha^\mu + V \leq C \]
on the support of \( {\mu} \), and
\[ U_\alpha^\mu + V \geq C \]
quasi everywhere on the support of \( {\mu_\star} \).
- If \( {\alpha \leq 2} \), for any measure \( {\mu} \), the following “converse” holds:
\[ \sup_{\mathrm{supp}(\mu)} \left(U_\alpha^\mu + V\right) \geq C_\star, \]
and
\[ “\inf_{\mathrm{supp}(\mu_\star)}”\, \left(U_\alpha^\mu(x) + V(x)\right) \leq C_\star, \]
where the \( {“\inf”} \) means that the infimum is taken quasi-everywhere.
The constant \( {C_\star} \) is called the “modified Robin constant”, see e.g. Saff and Totik for the analogous result for the logarithmic potential in dimension \( {2} \). The minimizer \( {\mu_\star} \) is called the equilibrium measure.
Corollary 3 (Equilibrium of Coulomb gases with radial external fields in dimension \( {\geq3} \)) Suppose that for a fixed real parameter \( {\beta>0} \), and for every \( {x,y\in\mathbb{R}^d} \), \( {d\geq3} \),
\[ V(x)=v(|x|)\quad\text{and}\quad W(x,y)=\beta k_{\Delta}(x-y), \]
where \( {v} \) is two times differentiable. Denote by \( {d\sigma_r} \) the Lebesgue measure on the sphere of radius \( {r} \), and let \( {\sigma_d} \) be the total mass of \( {d\sigma_1} \) (i.e. the surface of the unit sphere of \( {\mathbb{R}^d} \)). Let \( {w(r) = r^{d-1}v'(r)} \), and suppose either that \( {v} \) is convex, or that \( {w} \) is increasing. Define two radii \( {r_0<R_0} \) by:
\[ r_0 = \inf\left\{r>0 ; v'(r)>0\right\} \quad\text{and}\quad w(R_0) = \beta(d-2). \]
Then the equilibrium measure \( {\mu_\star} \) is supported on the ring \( {\left\{x; |x|\in [r_0,R_0]\right\}} \), and is absolutely continuous with respect to Lebesgue measure:
\[ d\mu(r) = M(r)\,d\sigma_r dr \quad\text{where}\quad M(r) = \frac{w'(r)}{\beta(d-2)\sigma_d r^{d-1}} \mathbf{1}_{[r_0,R_0]}(r). \]
In particular, when \( {v(t)=t^2} \) then \( {\mu_\star} \) is the uniform distribution on the centered ball of radius
\[ \left(\beta\frac{d-2}{2}\right)^{\frac{1}{d}}. \]
The result provided by Corollary 3 on Coulomb gases with radial external fields can be found for instance in Lopez Garcia. It follows quickly from the Gauss averaging principle and the variational characterization. By using Theorem 2 with \( {\alpha=2} \) together with Corollary 3, we obtain that the empirical measure of a Coulomb gas with quadratic external field in dimension \( {d\geq3} \) tends almost surely to the uniform distribution on a ball when \( {N\rightarrow\infty} \). This phenomenon is the analogue in arbitrary dimension \( {d\geq3} \) of the well known result in dimension \( {d=2} \) for the logarithmic potential with quadratic radial external field (where the uniform law on the disc or “circular law” appears as a limit for the Complex Ginibre Ensemble, see for instance BenArous and Zeitouni, Hiai and Petz). The study of the equilibrium measure for Coulomb interaction with non radially symmetric external fields was initiated recently in dimension \( {d=2} \) by Bleher and Kuijlaars in a beautiful work Bleher and Kuijlaars by using orthogonal polynomials.
The following proposition shows that in the Riesz case, it is possible to construct a good confinement potential \( {V} \) so that the equilibrium measure is prescribed in advance.
Corollary 4 (Riesz gases: external field for prescribed equilibrium measure) Let \( {0<\alpha<d} \), \( {d\geq1} \), and \( {W(x,y)=k_{\Delta_\alpha}} \). Let \( {\mu_\star} \) be a probability measure with a compactly supported density \( {f_\star \in\mathbb{L}^p(\mathbb{R}^d)} \) for some \( {p>d/\alpha.} \) Define the confinement potential
\[ V(x)= -U_\alpha^{\mu_\star}(x) + [|x|^2-R]_+,\qquad x\in \mathbb{R}^d, \]
where \( {U_\alpha^{\mu_\star}} \) is the Riesz potential created by \( {\mu_\star} \) and \( {R>0} \) is such that \( {\mathrm{supp}(\mu_\star)\subset B(0,R).} \) Then the couple of functions \( {(V,W)} \) satisfy (H1)-(H2)-(H3)-(H4) and the functional
\[ \mu\in\mathcal{M}_1(\mathbb{R}^d)\mapsto I(\mu)=\int\!V\,d\mu + \frac{1}{2}\iint\!k_{\Delta_\alpha}(x-y)\,d\mu(x)d\mu(y) \in\mathbb{R}\cup\{+\infty\} \]
admits \( {\mu_\star} \) as unique minimizer. In particular, the probability \( {\mu_\star} \) is the almost sure limit of the sequence \( {{(\mu_N)}_{N}} \) (constructed on the same probability space), as soon as \( {\beta_N\gg N\log(N)} \).
Non-compactly supported equilibrium measures. The assumptions made on the external field \( {V} \) in Theorem 1 and Theorem 2 explain why the equilibrium measure \( {\mu_\star} \) is compactly supported. If one allows a weaker behavior of \( {V} \) at infinity, then one may produce equilibrium measures \( {\mu_\star} \) which are not compactly supported (and may even be heavy tailed). This requires to adapt some of the arguments, and one may use compactification as in Hardy. This might allow to extend Corollary 4 beyond the compactly supported case.
Equilibrium measure for Riesz interaction with radial external field. To the knowledge of the authors, the computation of the equilibrium measure for Riesz interactions with radial external field, beyond the more specific Coulomb case of Corollary 3, is an open problem, due to the lack of the Gauss averaging principle when \( {\alpha\neq2} \).
Beyond the Riesz and Coulomb interactions. Theorem 2 concerns the minimization of the Riesz interaction potential with an external field \( {V} \), and includes the Coulomb interaction if \( {d\geq3} \). In classical Physics, the problem of minimization of the Coulomb interaction energy with an external field is known as the Gauss variational problem Frostman, Landkof, Zorii. Beyond the Riesz and Coulomb potentials, the driving structural idea behind Theorem 2 is that if \( {W} \) is of the form \( {W(x,y)=k_D(x-y)} \) where \( {k_D} \) is the fundamental solution of an equation \( {-Dk_D=\delta_0} \) for a local differential operator \( {D} \) such as \( {\Delta_\alpha} \) with \( {\alpha=2} \), and if \( {V} \) is super-harmonic for \( {D} \), i.e. \( {DV\geq0} \), then the density of \( {\mu_\star} \) is roughly given by \( {DV} \) up to support constraints. This can be easily understood formally with Lagrange multipliers. The limiting measure \( {\mu_\star} \) depends on \( {V} \) and \( {W} \), and is thus non-universal in general.
Second order asymptotic analysis. The asymptotic analysis of \( {\mu_N-\mu_\star} \) as \( {N\rightarrow\infty} \) is a natural problem, which can be studied on various classes of tests functions. It is well known that a repulsive interaction may affect dramatically the speed of convergence, and make it dependent over the regularity of the test function. In another direction, one may take \( {\beta_N=\beta N^2} \) and study the low temperature regime \( {\beta\rightarrow\infty} \) at fixed \( {N} \). In the Coulomb case, this leads to Fekete points. We refer to Serfaty, Borodin and Serfaty, Sandier and Serfaty for the analysis of the second order when both \( {\beta\rightarrow\infty} \) and \( {N\rightarrow\infty} \). In the one-dimensional case, another type of local universality inside the limiting support is available in Götze and Venker.
Edge behavior. Suppose that \( {V} \) is radially symmetric and that \( {\mu_\star} \) is supported in the centered ball of radius \( {r} \), like in Corollary 3. Then one may ask if the radius of the particle system \( {\max_{1\leq k\leq n}|x_k|} \) converges to the edge \( {r} \) of the limiting support as \( {N\rightarrow\infty} \). This is not provided by the weak convergence of \( {\mu_N} \). The next question is the fluctuation. In the two-dimensional Coulomb case, a universality result is available for a class of external fields in arXiv:1310.0727.
Topology. It is known that the weak topology can be upgraded to a Wasserstein topology in the classical Sanov theorem for empirical measures of i.i.d. sequences, see Wang and Wang and Wu, provided that tails are strong exponentially integrable. It is then quite natural to ask about such an upgrade for Theorem 1.
Connection to random matrices. Our initial inspiration came, when writing the survey on the circular law, from the role played by the logarithmic potential in the analysis of the Ginibre ensemble. When \( {d=2} \), \( {\beta_N=N^2} \), \( {V(x)=|x|^2} \) and \( {W(x,y)=\beta k_\Delta(x-y)=\beta \log\frac{1}{|x-y|}} \) with \( {\beta=2} \) then \( {P_N} \) is the law of the (complex) eigenvalues of the complex Ginibre ensemble:
\[ dP_N(x)=Z_N^{-1}e^{-N\sum_{i=1}^N|x_i|^2}\prod_{i<j}|x_i-x_j|^2dx. \]
(here \( {\mathbb{R}^2\equiv\mathbb{C}} \) and \( {P_N} \) is the law of the eigenvalues of a random \( {N\times N} \) matrix with i.i.d. complex Gaussian entries of covariance \( {\frac{1}{2N}I_2} \)). For a non-quadratic \( {V} \), we may see \( {P_N} \) as the law of the spectrum of random normal matrices such as the ones studied in Ameur and Hedenmalm, and Makarov. On the other hand, in the case where \( {d=1} \) and \( {V(x)=|x|^2} \) and \( {W(x,y)=\beta\log\frac{1}{|x-y|}} \) with \( {\beta>0} \) then
\[ dP_N(x)=Z_N^{-1}e^{-N\sum_{i=1}^N|x_i|^2}\prod_{i<j}|x_i-x_j|^\beta\,dx. \]
This is known as the \( {\beta} \)-Ensemble in Random Matrix Theory. For \( {\beta=1} \), we recover the law of the eigenvalues of the Gaussian Orthogonal Ensemble (GOE) of random symmetric matrices, while for \( {\beta=2} \), we recover the law of the eigenvalues of the Gaussian Unitary Ensemble (GUE) of random Hermitian matrices. It is worthwhile to notice that \( {-\log|\cdot|} \) is the Coulomb potential in dimension \( {d=2} \), and not in dimension \( {d=1} \). For this reason, we may interpret the eigenvalues of GOE/GUE as being a system of charged particles in dimension \( {d=2} \), experiencing Coulomb repulsion and an external quadratic field, but constrained to stay on the real axis. We believe this type of support constraint can be incorporated in our initial model, at the price of a bit heavier notations and analysis.
Simulation problem and numerical approximation of the equilibrium measure. It is natural to ask about the best way to simulate the probability measure \( {P_N} \). A pure rejection algorithm is too naive. Some exact algorithms are available in the determinantal case such as for \( {d=2} \) and \( {W(x,y)=-2\log|x-y|} \) (algorithm 18 in Hough and Khrishnapur and Perez and Virag), and Scardicchio and Zachary and Torquato, and also the more recent Decreusefond and Flit and Low. One may prefer to use a non exact algorithm such as a Hastings-Metropolis algorithm. One may also use an Euler scheme to simulate a stochastic process for which \( {P_N} \) is invariant, or use a Metropolis adjusted Langevin approach (MALA) Roberts and Rosenthal. In this context, a very natural way to approximate numerically the equilibrium measure \( {\mu_\star} \) is to use a simulated annealing stochastic algorithm.
More general energies. The density of \( {P_N} \) takes the form
\[ \prod_{i=1}^Nf_1(x_i)\prod_{1\leq i<j\leq N}f_2(x_i,x_j), \]
which comes from the structure of \( {H_N} \). One may study more general energies with many bodies interactions, of the form, for some prescribed symmetric \( {W_k:(\mathbb{R}^d)^k\mapsto\mathbb{R}} \), \( {1\leq k\leq K} \), \( {K\geq1} \),
\[ H_N(x_1,\ldots,x_N) =\sum_{k=1}^K \sum_{i_1<\cdots<i_k}N^{-k}W_k(x_{i_1},\ldots,x_{i_k}). \]
This leads to the following candidate for the asymptotic first order global energy functional:
\[ \mu\mapsto\sum_{k=1}^K 2^{-k}\int\!\cdots\int\!W_k(x_1,\ldots,x_k)\,d\mu(x_1)\cdots d\mu(x_k). \]
Stochastic processes. Under general assumptions on \( {V} \) and \( {W} \), see for instance Royer, the law \( {P_N} \) is the invariant probability measure of a well defined (the absence of explosion comes from the assumptions on \( {V} \) and \( {W} \)) reversible Markov diffusion process \( {{(X_t)}_{t\in\mathbb{R}_+}} \) with state space
\[ \{x\in(\mathbb{R}^d)^N:H_N(x)<\infty\} =\{x\in(\mathbb{R}^d)^N:\sum_{i<j}W(x_i,x_j)<\infty\}, \]
solution of the system of Kolmogorov stochastic differential equations
\[ dX_t=\sqrt{2\frac{\alpha_N}{\beta_N}}\,dB_t-\alpha_N\nabla H_N(X_t)\,dt \]
where \( {{(B_t)}_{t\geq0}} \) is a standard Brownian motion on \( {(\mathbb{R}^d)^N} \), and where \( {\alpha_N>0} \) is an arbitrary scale parameter (natural choices being \( {\alpha_N=1} \) and \( {\alpha_N=\beta_N} \)). The law \( {P_N} \) is the equilibrium distribution of a system of \( {N} \) interacting Brownian particles \( {{(X_{1,t})}_{t\geq0},\ldots,{(X_{N,t})}_{t\geq0}} \) in \( {\mathbb{R}^d} \) at inverse temperature \( {\beta_N} \), with equal individual “charge” \( {q_N=1/N} \), subject to a confining potential \( {\alpha_N V} \) acting on each particle and to an interaction potential \( {\alpha_N W} \) acting on each pair of particles, and one can rewrite the stochastic differential equation above as the system of coupled stochastic differential equations (\( {1\leq i\leq N} \))
\[ dX_{i,t} =\sqrt{2\frac{\alpha_N}{\beta_N}}\,dB_{i,t} -q_N\alpha_N\nabla V(X_{i,t}) -\sum_{j\neq i}q_N^2\alpha_N\nabla_1W(X_{i,t},X_{j,t})\,dt \]
where \( {{(B_t^{(1)})}_{t\geq0},\ldots,{(B_t^{(N)})}_{t\geq0}} \) are i.i.d. standard Brownian motions on \( {\mathbb{R}^d} \). From a partial differential equations point of view, the probability measure \( {P_N} \) is the steady state solution of the Fokker-Planck evolution equation \( {\partial_t-L=0} \) where \( {L} \) is the elliptic Markov diffusion operator (second order linear differential operator without constant term)
\[ L=\frac{\alpha_N}{\beta_N}\left(\Delta-\beta_N\nabla H_N\cdot\nabla\right), \]
acting as \( {Lf=\frac{\alpha_N}{\beta_N}(\Delta f-\left<\beta_N\nabla H_N,\nabla f\right>)} \). This self-adjoint operator in \( {\mathrm{L}^2(P_N)} \) is the infinitesimal generator of the Markov semigroup \( {{(P_t)}_{t\geq0}} \), \( {P_t(f)(x)=\mathbb{E}(f(X_t)|X_0=x)} \). Let us take \( {\alpha_N=\beta_N} \) for convenience. In the case where \( {V(x)=|x|^2} \) and \( {W\equiv0} \) (no interaction) then \( {P_N} \) is a standard Gaussian law \( {\mathcal{N}(0,I_{dN})} \) on \( {(\mathbb{R}^d)^N} \) and \( {{(X_t)}_{t\geq0}} \) is an Ornstein-Uhlenbeck Gaussian process; while in the case where \( {d=1} \) and \( {V(x)=|x|^2} \) and \( {W(x,y)=-\beta\log|x-y|} \) of some fixed parameter \( {\beta>0} \) then \( {P_N} \) is the law of the spectrum of a \( {\beta} \)-Ensemble of random matrices and \( {{(X_t)}_{t\geq0}} \) is a so called Dyson Brownian motion Anderson and Guionnet and Zeitouni. If \( {\mu_{N,t}} \) is the law of \( {X_t} \) then \( {\Delta\mu_{N,t}\rightarrow\Delta\mu_N} \) weakly as \( {t\rightarrow\infty} \). The study of the dynamic aspects is an interesting problem connected to McKean-Vlasov models Cépa and Lépingle, Fontbona, Li and Li and Xie, Osada, Osada.
Calogero-(Moser-)Sutherland Schrödinger operators. Let us keep the notation used above. We define \( {U_N=\beta_NH_N} \) and we take \( {\beta_N=N^2} \) for simplicity. Let us consider the isometry \( {\Theta:\mathrm{L}^2(P_N)\rightarrow\mathrm{L}^2(dx)} \) defined by
\[ \Theta(f)(x)=f(x)\sqrt{\frac{dP_N(x)}{dx}}=f(x)e^{-\frac{1}{2}(U_N(x)+\log(Z_N))}. \]
The differential operator \( {S=-\Theta L \Theta^{-1}} \) is a Schrödinger operator:
\[ S=-\Theta L \Theta^{-1}=-\Delta+Q, \quad Q=\frac{1}{4}|\nabla U_N|^2-\frac{1}{2}\Delta U_N \]
which acts as \( {S f=-\Delta f+Qf} \). The operator \( {S} \) is self-adjoint in \( {\mathrm{L}^2(dx)} \). Being isometrically conjugated, the operators \( {-L} \) and \( {S} \) have the same spectrum, and their eigenspaces are isometric. In the case where \( {V(x)=|x|^2} \) and \( {W\equiv0} \) (no interactions), we find that and \( {Q=\frac{1}{2}(1-V)} \), and \( {S} \) is a harmonic oscillator. On the other hand, following Proposition 11.3.1 in Forrester, in the case \( {d=1} \) and \( {W(x,y)=-\log|x-y|} \) (Coulomb interaction), then \( {S} \) is a Calogero-(Moser-)Sutherland Schrödinger operator:
\[ S=-\Delta -E_0+\frac{1}{4}\sum_{i=1}^Nx_i^2 -\frac{1}{2}\sum_{1\leq i<j\leq N}\frac{1}{(x_i-x_j)^2}, \quad E_0=\frac{N}{2}+\frac{N(N-1)}{2}. \]
More examples are given in Proposition 11.3.2 of MR2641363, related to classical ensembles of random matrices. The study of the spectrum and eigenfunctions of such operators is a wide subject, connected to Dunkl operators. These models attracted some attention due to the fact that for several natural choices of the potentials \( {V,W} \), they are exactly solvable (or integrable). We refer to section 11.3.1 of Forrester, Section 9.6 of Dunkl and Xue, and Section 2.7 of Chybiryakov et al.
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