Entropic and Displacement Interpolation: A Computational Approach Using the Hilbert Metric

DOI10.1137/16M1061382zbMATH Open1369.49064arXiv1506.04255OpenAlexW2964269742MaRDI QIDQ3181069FDOQ3181069

Yongxin Chen, Tryphon T. Georgiou, Michele Pavon

Publication date: 22 December 2016

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Abstract: Monge-Kantorovich optimal mass transport (OMT) provides a blueprint for geometries in the space of positive densities -- it quantifies the cost of transporting a mass distribution into another. In particular, it provides natural options for interpolation of distributions (displacement interpolation) and for modeling flows. As such it has been the cornerstone of recent developments in physics, probability theory, image processing, time-series analysis, and several other fields. In spite of extensive work and theoretical developments, the computation of OMT for large scale problems has remained a challenging task. An alternative framework for interpolating distributions, rooted in statistical mechanics and large deviations, is that of Schroedinger bridges (entropic interpolation). This may be seen as a stochastic regularization of OMT and can be cast as the stochastic control problem of steering the probability density of the state-vector of a dynamical system between two marginals. In this approach, however, the actual computation of flows had hardly received any attention. In recent work on Schroedinger bridges for Markov chains and quantum evolutions, we noted that the solution can be efficiently obtained from the fixed-point of a map which is contractive in the Hilbert metric. Thus, the purpose of this paper is to show that a similar approach can be taken in the context of diffusion processes which i) leads to a new proof of a classical result on Schroedinger bridges and ii) provides an efficient computational scheme for both, Schroedinger bridges and OMT. We illustrate this new computational approach by obtaining interpolation of densities in representative examples such as interpolation of images.

Full work available at URL: https://arxiv.org/abs/1506.04255

zbMATH Keywords

optimal mass transportHilbert metricimage morphingdisplacement interpolationentropic interpolationinterpolation of densitiesSchrödinger bridge problem

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Diffusion processes (60J60) Existence theories for optimal control problems involving partial differential equations (49J20) Optimal stochastic control (93E20)

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