Data‐Driven Optimal Transport

Abstract

Abstract The problem of optimal transport between two distributions ρ(x) and μ(y) is extended to situations where the distributions are only known through a finite number of samples { x i } and { y j }. A weak formulation is proposed, based on the dual of the Kantorovich formulation, with two main modifications: replacing the expected values in the objective function by their empirical means over the { x i } and { y j }, and restricting the dual variables u ( x ) and v ( y ) to a suitable set of test functions adapted to the local availability of sample points. A procedure is proposed and tested for the numerical solution of this problem, based on a fluidlike flow in phase space, where the sample points play the role of active Lagrangian markers. © 2016 Wiley Periodicals, Inc.