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Multimarginal optimal transport with a tree-structured cost and the schrödinger bridge problem
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0002-2484-0181
Hong Kong Univ Sci & Technol, Dept Elect & Comp Engn, Clear Water Bay, Kowloon, Hong Kong, Peoples R China..
Georgia Inst Technol, Sch Aerosp Engn, Atlanta, GA 30332 USA..
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Optimization and Systems Theory.ORCID iD: 0000-0001-5158-9255
2021 (English)In: SIAM Journal of Control and Optimization, ISSN 0363-0129, E-ISSN 1095-7138, Vol. 59, no 4, p. 2428-2453Article in journal (Refereed) Published
Abstract [en]

The optimal transport problem has recently developed into a powerful framework for various applications in estimation and control. Many of the recent advances in the theory and application of optimal transport are based on regularizing the problem with an entropy term, which connects it to the Schrodinger bridge problem and thus to stochastic optimal control. Moreover, the entropy regularization makes the otherwise computationally demanding optimal transport problem feasible even for large scale settings. This has led to an accelerated development of optimal transport based methods in a broad range of fields. Many of these applications have an underlying graph structure, for instance, information fusion and tracking problems can be described by trees. In this work we consider multimarginal optimal transport problems with a cost function that decouples according to a tree structure. The entropy regularized multimarginal optimal transport problem can be viewed as a generalization of the Schrodinger bridge problem with the same tree-structure, and by utilizing these connections we extend the computational methods for the classical optimal transport problem in order to solve structured multimarginal optimal transport problems in an efficient manner. In particular, the algorithm requires only matrix-vector multiplications of relatively small dimensions. We show that the multimarginal regularization introduces less diffusion, compared to the commonly used pairwise regularization, and is therefore more suitable for many applications. Numerical examples illustrate this, and we finally apply the proposed framework for the tracking of an ensemble of indistinguishable agents.

Place, publisher, year, edition, pages
Society for Industrial & Applied Mathematics (SIAM) , 2021. Vol. 59, no 4, p. 2428-2453
Keywords [en]
multimarginal optimal transport, Schrodinger bridge, hidden Markov chain, graph signal processing, ensemble estimation
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-302016DOI: 10.1137/20M1320195ISI: 000692322700002Scopus ID: 2-s2.0-85112673543OAI: oai:DiVA.org:kth-302016DiVA, id: diva2:1594705
Note

QC 20210916

Available from: 2021-09-16 Created: 2021-09-16 Last updated: 2022-06-25Bibliographically approved
In thesis
1. Graph-structured multi-marginal optimal transport: Theory, applications, and efficient methods using entropy regularization
Open this publication in new window or tab >>Graph-structured multi-marginal optimal transport: Theory, applications, and efficient methods using entropy regularization
2022 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis deals with a class of multi-marginal optimal transport problems, which we call graph-structured multi-marginal optimal transport. The aim of the thesis is to work towards a unified framework for this class of problems. The included papers explore theoretical, computational, and practical aspects of the novel framework, e.g., connections to related areas, numerical algorithms for solving the problem, and applications in various fields. The first paper treats multi-marginal optimal transport problems with cost functions that decouple according to a tree. We show that the entropy regularized version of this problem can be seen as a generalization of the Schrödinger bridge problem to the same underlying tree. This connection is utilized to derive an efficient method for approximately solving the optimal transport problem. The second paper applies the framework to inverse problems in radar imaging. In this setting only partial information of the marginals in the optimal transport problem are available. We extend the methods from the first paper to handle the case of partial information. Several numerical examples illustrate that the framework can be used to find robust estimates of spatial spectra in information fusion and tracking applications. In the third paper we model network flow problems by utilizing graphstructured multi-marginal optimal transport. In particular, we show that the dynamic minimum-cost multi-commodity network flow problem can be formulated as a multi-marginal optimal transport problem that has an underlying structure, which can be described by a graph that contains cycles. The computational methods from the previous papers are extended to efficiently solve network flow problems. The fourth paper applies the graph-structured multi-marginal optimal transport framework to estimation and control problems for multi-agent systems. Moreover, the framework is utilized to prove a duality result between estimation and control of multi-agent systems. The fifth paper explores connections between graph-structured multimarginal optimal transport and probabilistic graphical models. We show that the entropy regularized optimal transport problem is equivalent to an inference problem for probabilistic graphical models with constraints on some of the marginal distributions. The sixth paper proves complexity results for graph-structured multimarginal optimal transport. Moreover, based on a junction tree factorization of the underlying graph we provide a general algorithm for approximately solving graph-structured multi-marginal optimal transport. Our complexity bounds match the best known results for the optimal transport barycenter problem and the general multi-marginal optimal transport problem.

Place, publisher, year, edition, pages
Stockholm: KTH Royal Institute of Technology, 2022. p. 307
Series
TRITA-SCI-FOU ; 2022:22
National Category
Control Engineering Computational Mathematics
Research subject
Applied and Computational Mathematics, Optimization and Systems Theory
Identifiers
urn:nbn:se:kth:diva-312138 (URN)978-91-8040-254-5 (ISBN)
Public defence
2022-06-10, Sal F3, Lindstedtsvägen 26, Stockholm, 14:00 (English)
Opponent
Supervisors
Note

QC 220516

Available from: 2022-05-16 Created: 2022-05-12 Last updated: 2022-06-25Bibliographically approved

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Haasler, IsabelKarlsson, Johan

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