On the Relation between Optimal Transport and Schroedinger Bridges: A Control Perspective

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• Michele Pavon, University of Padova
• Tuesday 01 September 2015, 11:00-12:00
• Cambridge University Engineering Department, LR5.

If you have a question about this talk, please contact Tim Hughes.

We take a new look at the relation between the optimal transport problem and the Schroedinger bridge problem from a control perspective. Our aim is to highlight new connections between the two that are richer and deeper than those previously described in the literature. We begin with an elementary derivation of the Benamou-Brenier fluid dynamic version of the optimal transport problem and provide, in parallel, a new fluid dynamic version of the Schroedinger bridge problem. We observe that the latter establishes an important connection with optimal transport without zero-noise limits and solves a question posed by Eric Carlen in 2006. Indeed, the two variational problems differ by a Fisher information functional.

We then consider a generalization of optimal mass transport in the form of a (fluid dynamic) problem of optimal transport with prior. This can be seen as the zero-noise limit of Schroedinger bridges when the prior is any Markovian evolution. We finally specialize to the Gaussian case and derive an explicit computational theory based on matrix Riccati differential equations.

This talk is part of the CUED Control Group Seminars series.

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