A non‐linear monotonicity principle and applications to Schrödinger‐type problems

DOI10.1112/BLMS.12675zbMATH Open1530.49040arXiv2101.09975OpenAlexW3124784513WikidataQ114077898 ScholiaQ114077898MaRDI QIDQ6048892FDOQ6048892

Authors:

Publication date: 15 September 2023

Published in: Bulletin of the London Mathematical Society (Search for Journal in Brave)

Abstract: A basic idea in optimal transport is that optimizers can be characterized through a geometric property of their support sets called cyclical monotonicity. In recent years, similar "monotonicity principles" have found applications in other fields where infinite dimensional linear optimization problems play an important role. In this note, we observe how this approach can be transferred to non-linear optimization problems. Specifically we establish a monotonicity principle that is applicable to the Schr"odinger problem and use it to characterize the structure of optimizers for target functionals beyond relative entropy. In contrast to classical convex duality approaches, a main novelty is that the monotonicity principle allows to deal also with non-convex functionals.

Full work available at URL: https://arxiv.org/abs/2101.09975

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zbMATH Keywords

cyclic monotonicity

Mathematics Subject Classification ID

Optimal transportation (49Q22) Large deviations (60F10) Applications of functional analysis in probability theory and statistics (46N30) Nonlinear programming (90C30)

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Cited In (2)

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