Constrained steepest descent in the 2-Wasserstein metric

DOI10.4007/ANNALS.2003.157.807MaRDI QIDQ1423979zbMATHOpenAlexFDO

Authors Eric Carlen, Wilfrid Gangbo

Publication date 8 March 2004

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

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

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)

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.

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Cited in

(28)

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

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