A large deviation approach to optimal transport

arXiv0710.1461MaRDI QIDQ6207063FDOQ6207063

Christian Léonard

Publication date: 8 October 2007

Abstract: A probabilistic method for solving the Monge-Kantorovich mass transport problem on $R^d$ is introduced. A system of empirical measures of independent particles is built in such a way that it obeys a doubly indexed large deviation principle with an optimal transport cost as its rate function. As a consequence, new approximation results for the optimal cost function and the optimal transport plans are derived. They follow from the Gamma-convergence of a sequence of normalized relative entropies toward the optimal transport cost. A wide class of cost functions including the standard power cost functions $|x-y{|}^p$ enter this framework.

Mathematics Subject Classification ID

Large deviations (60F10) Random measures (60G57) Methods involving semicontinuity and convergence; relaxation (49J45) Set-valued and variational analysis (49J53) Transportation, logistics and supply chain management (90B06) Variational problems in infinite-dimensional spaces (58E99)

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