Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge

DOI10.1137/20M1339982zbMath1465.49016arXiv2005.10963OpenAlexW3157027468MaRDI QIDQ4992611

Michele Pavon, Yongxin Chen, Tryphon T. Georgiou

Publication date: 9 June 2021

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.10963

zbMATH Keywords

stochastic controloptimal mass transportHilbert metricSinkhorn algorithmSchrödinger bridge problem

Mathematics Subject Classification ID

PDEs in connection with fluid mechanics (35Q35) Diffusion processes (60J60) Existence theories for optimal control problems involving partial differential equations (49J20) Integration and disintegration of measures (28A50) Existence of optimal solutions to problems involving randomness (49J55) Optimal transportation (49Q22)

Related Items (11)

Conditioning diffusion processes with killing rates ⋮ Conditioning two diffusion processes with respect to their first-encounter properties ⋮ The Most Likely Evolution of Diffusing and Vanishing Particles: Schrödinger Bridges with Unbalanced Marginals ⋮ Visualizing fluid flows via regularized optimal mass transport with applications to neuroscience ⋮ Global Optimization via Schrödinger–Föllmer Diffusion ⋮ Gradient estimates for the Schrödinger potentials: convergence to the Brenier map and quantitative stability ⋮ Exact renormalization groups and transportation of measures ⋮ Learning hidden Markov models from aggregate observations ⋮ Entropic turnpike estimates for the kinetic Schrödinger problem ⋮ Schrödinger encounters Fisher and Rao: a survey ⋮ Fast and asymptotic steering to a steady state for networks flows

Uses Software

• Wasserstein GAN

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