We consider a given region $Omega$ where the traffic flows according to two regimes: in a region $C$ we have a low congestion, where in the remaining part $Omegasetminus C$ the congestion is higher. The two congestion functions $H_1$ and $H_2$ are given, but the region $C$ has to be determined in an optimal way in order to minimize the total transportation cost. Various penalization terms on $C$ are considered and some numerical computations are shown.
We investigate the problem of optimal transport in the so-called Kantorovich form, i.e. given two Radon measures on two compact sets, we seek an optimal transport plan which is another Radon measure on the product of the sets that has these two measures as marginals and minimizes a certain cost function. We consider quadratic regularization of the problem, which forces the optimal transport plan to be a square integrable function rather than a Radon measure. We derive the dual problem and show strong duality and existence of primal and dual solutions to the regularized problem. Then we derive two algorithms to solve the dual problem of the regularized problem: A Gauss-Seidel method and a semismooth quasi-Newton method and investigate both methods numerically. Our experiments show that the methods perform well even for small regularization parameters. Quadratic regularization is of interest since the resulting optimal transport plans are sparse, i.e. they have a small support (which is not the case for the often used entropic regularization where the optimal transport plan always has full measure).
Optimal transportation theory is an area of mathematics with real-world applications in fields ranging from economics to optimal control to machine learning. We propose a new algorithm for solving discrete transport (network flow) problems, based on classical auction methods. Auction methods were originally developed as an alternative to the Hungarian method for the assignment problem, so the classic auction-based algorithms solve integer-valued optimal transport by converting such problems into assignment problems. The general transport auction method we propose works directly on real-valued transport problems. Our results prove termination, bound the transport error, and relate our algorithm to the classic algorithms of Bertsekas and Castanon.
We study a natural Wasserstein gradient flow on manifolds of probability distributions with discrete sample spaces. We derive the Riemannian structure for the probability simplex from the dynamical formulation of the Wasserstein distance on a weighted graph. We pull back the geometric structure to the parameter space of any given probability model, which allows us to define a natural gradient flow there. In contrast to the natural Fisher-Rao gradient, the natural Wasserstein gradient incorporates a ground metric on sample space. We illustrate the analysis of elementary exponential family examples and demonstrate an application of the Wasserstein natural gradient to maximum likelihood estimation.
We propose two deep neural network-based methods for solving semi-martingale optimal transport problems. The first method is based on a relaxation/penalization of the terminal constraint, and is solved using deep neural networks. The second method is based on the dual formulation of the problem, which we express as a saddle point problem, and is solved using adversarial networks. Both methods are mesh-free and therefore mitigate the curse of dimensionality. We test the performance and accuracy of our methods on several examples up to dimension 10. We also apply the first algorithm to a portfolio optimization problem where the goal is, given an initial wealth distribution, to find an investment strategy leading to a prescribed terminal wealth distribution.
A simple procedure to map two probability measures in $mathbb{R}^d$ is the so-called emph{Knothe-Rosenblatt rearrangement}, which consists in rearranging monotonically the marginal distributions of the last coordinate, and then the conditional distributions, iteratively. We show that this mapping is the limit of solutions to a class of Monge-Kantorovich mass transportation problems with quadratic costs, with the weights of the coordinates asymptotically dominating one another. This enables us to design a continuation method for numerically solving the optimal transport problem.