Approximation of optimal transport problems with marginal moments constraints

Alfonsi, Aurélien; Coyaud, Rafaël; Ehrlacher, Virginie; Lombardi, Damiano

doi:10.1090/mcom/3568

Approximation of optimal transport problems with marginal moments constraints
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by Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher and Damiano Lombardi;

Math. Comp. 90 (2021), 689-737

DOI: https://doi.org/10.1090/mcom/3568

Published electronically: October 23, 2020

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Abstract:

Optimal transport (OT) problems arise in a wide range of applications, from physics to economics. Getting a numerical approximate solution of these problems is a challenging issue of practical importance. In this work, we investigate the relaxation of the OT problem when the marginal constraints are replaced by some moment constraints. Using Tchakaloff’s theorem, we show that the moment constrained optimal transport problem (MCOT) is achieved by a finite discrete measure. Interestingly, for multimarginal OT problems, the number of points weighted by this measure scales linearly with the number of marginal laws, which is encouraging to bypass the curse of dimension. This approximation method is also relevant for Martingale OT problems. We show the convergence of the MCOT problem toward the corresponding OT problem. In some fundamental cases, we obtain rates of convergence in $O(1/n)$ or $O(1/n^2)$ where $n$ is the number of moments, which illustrates the role of the moment functions. Last, we present algorithms exploiting the fact that the MCOT is reached by a finite discrete measure and provide numerical examples of approximations.

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