Constrained steepest descent in the 2-Wasserstein metric

DOI10.4007/ANNALS.2003.157.807zbMATH Open1038.49040arXivmath/0312063OpenAlexW2105137465MaRDI QIDQ1423979FDOQ1423979

Authors: Eric Carlen, Wilfrid Gangbo 

Publication date: 8 March 2004

Published in: Annals of Mathematics. Second Series (Search for Journal in Brave)

Abstract: We study several constrained variational problem in the 2-Wasserstein metric for which the set of probability densities satisfying the constraint is not closed. For example, given a probability density $F_0$ on $R^d$ and a time-step $h>0$, we seek to minimize $I(F)=hS(F)+W_2^2(F_0,F)$ over all of the probability densities $F$ that have the same mean and variance as $F_0$, where $S(F)$ is the entropy of $F$. We prove existence of minimizers. We also analyze the induced geometry of the set of densities satisfying the constraint on the variance and means, and we determine all of the geodesics on it. From this, we determine a criterion for convexity of functionals in the induced geometry. It turns out, for example, that the entropy is uniformly strictly convex on the constrained manifold, though not uniformly convex without the constraint. The problems solved here arose in a study of a variational approach to constructing and studying solutions of the nonlinear kinetic Fokker-Planck equation, which is briefly described here and fully developed in a companion paper.

Full work available at URL: https://arxiv.org/abs/math/0312063

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zbMATH Keywords

entropyexistence of minimizersRiemannian geometrymass transportation2-Wasserstein metricconstrained variational problemsconstraint manifoldEuler-Lagrangian equationconvexity of functionalsnonlinear kinetic Fokker-Planck equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Variational problems in a geometric measure-theoretic setting (49Q20) Partial differential equations of mathematical physics and other areas of application (35Q99) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Existence theories for free problems in two or more independent variables (49J10)

Cited In (28)

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• Cone structure of \(L^2\)-Wasserstein spaces
• On the law of large numbers for the empirical measure process of generalized Dyson Brownian motion
• An analog of the 2-Wasserstein metric in non-commutative probability under which the fermionic Fokker-Planck equation is gradient flow for the entropy
• Discrete versions of the transport equation and the Shepp-Olkin conjecture
• On a nonlinear, nonlocal parabolic problem with conservation of mass, mean and variance
• Contractions in the 2-Wasserstein length space and thermalization of granular media
• Optimal transport natural gradient for statistical manifolds with continuous sample space
• Infinite-dimensional porous media equations and optimal transportation
• Measurement uncertainty relations
• Wigner–Yanase information on quantum state space: The geometric approach
• A Harnack inequality for the Jordan-Kinderlehrer-Otto scheme
• The steepest descent algorithm in Wasserstein metric for the sandpile model of self-organized criticality
• Gradient flow formulation and longtime behaviour of a constrained Fokker-Planck equation
• A structure-preserving finite element discretization for the time-dependent Nernst-Planck equation
• Nonlinear diffusion equations with variable coefficients as gradient flows in Wasserstein spaces
• Differential forms on Wasserstein space and infinite-dimensional Hamiltonian systems
• Transport information geometry: Riemannian calculus on probability simplex
• Fokker-Planck equations for a free energy functional or Markov process on a graph
• Entropy dissipation of Fokker-Planck equations on graphs
• Intermediate asymptotics beyond homogeneity and self-similarity: long time behavior for \(u_t = \Delta\varphi(u)\)
• Conformal deformations of the Ebin metric and a generalized Calabi metric on the space of Riemannian metrics
• On a constrained 2-D Navier-Stokes equation
• The semigeostrophic equations discretized in reference and dual variables
• Covariance-modulated optimal transport and gradient flows
• Variational approximation for Fokker-Planck equation on Riemannian manifold
• On the Jordan-Kinderlehrer-Otto variational scheme and constrained optimization in the Wasserstein metric
• Natural gradient via optimal transport

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