On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint

DOI10.1007/S10957-015-0803-ZzbMATH Open1344.49072arXiv1412.4430OpenAlexW1498429448MaRDI QIDQ289140FDOQ289140

Authors: Yongxin Chen, Tryphon T. Georgiou, Michele Pavon 

Publication date: 27 May 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: We take a new look at the relation between the optimal transport problem and the Schr"{o}dinger bridge problem from the stochastic control perspective. We show that the connections are richer and deeper than described in existing literature. In particular: a) We give an elementary derivation of the Benamou-Brenier fluid dynamics version of the optimal transport problem; b) We provide a new fluid dynamics version of the Schr"{o}dinger bridge problem; c) We observe that the latter provides an important connection with optimal transport without zero noise limits; d) We propose and solve a fluid dynamic version of optimal transport with prior; e) We can then view optimal transport with prior as the zero noise limit of Schr"{o}dinger bridges when the prior is any Markovian evolution. In particular, we work out the Gaussian case. A numerical example of the latter convergence involving Brownian particles is also provided.

Full work available at URL: https://arxiv.org/abs/1412.4430

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zbMATH Keywords

optimal transportstochastic controlSchrödinger bridges

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Diffusion processes (60J60) PDEs in connection with fluid mechanics (35Q35) Existence theories for optimal control problems involving partial differential equations (49J20) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Integration and disintegration of measures (28A50)

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