University of Washington

Mon 22 Jul 2019, 2:00pm
Diff. Geom, Math. Phys., PDE Seminar / Probability Seminar
PIMS lounge

On Schrodinger bridges, entropic cost and their limits

PIMS lounge
Mon 22 Jul 2019, 2:00pm3:00pm
Abstract
Consider the MongeKantorovich problem of transporting densities $\rho_0$ to $\rho_1$ on $\rr^d$ with a strictly convex cost function. A popular relaxation of the problem is the oneparameter family called the entropic cost problem. The entropic cost J_h, h>0, is significantly faster to compute and $h J_h$ is known to converge to the optimal transport cost as $h$ goes to zero. We will give an overview of various ideas in this field, including discrete approximations, gamma convergence and particle systems. Finally we will discuss Gaussian approximations to Schrodinger bridges as $h$ approaches zero. As a consequence we obtain ``gradient flows’’ of entropy even in cases where the cost function is not a metric.
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Note for Attendees
* This is a joint event between probability and DGMPPDE.