Convergence of the vertical gradient flow for the Gaussian Monge problem

DOI10.3934/JCD.2023008MaRDI QIDQ6201384zbMATH OpenOpenAlexFDO

Authors Erik Jansson, Klas Modin

Publication date 20 February 2024

Published in Journal of Computational Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2305.19788

zbMATH Keywords

optimal transportgradient flowsmatrix decompositions

Mathematics Subject Classification ID

Optimal transportation (49Q22) Factorization of matrices (15A23) Approximation methods and numerical treatment of dynamical systems (37M99)

Abstract: We investigate a matrix dynamical system related to optimal mass transport in the linear category, namely, the problem of finding an optimal invertible matrix by which two covariance matrices are congruent. We first review the differential geometric structure of the problem in terms of a principal fiber bundle. The dynamical system is a gradient flow restricted to the fibers of the bundle. We prove global existence of solutions to the flow, with convergence to the polar decomposition of the matrix given as initial data. The convergence is illustrated in a numerical example.

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Cites work

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Cited in

(1)

• Covariance-modulated optimal transport and gradient flows

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