Projected McKean--Vlasov Dynamics for Entropic Weak Optimal Transport
投影McKean-Vlasov动力学用于熵弱最优传输
Nathan Sauldubois, Xin Zhang
AI总结 本文通过适应Wasserstein空间中的梯度流研究熵正则化弱最优传输,提出投影McKean-Vlasov SDE,证明其弱解存在唯一性,并证明流收敛到熵弱最优传输的唯一极小值。
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与经典最优传输不同,弱传输成本非线性地依赖于耦合的条件分布。这一特性在涉及重心、条件矩和鞅型约束的问题中至关重要。同时,这种条件依赖性使得普通的Wasserstein几何不再适用,而需要采用适应Wasserstein视角。本文通过适应Wasserstein空间中的梯度流研究熵正则化弱最优传输。我们从适应Wasserstein空间的形式切结构以及投影到具有给定边际的耦合集出发,推导出一个耦合的McKean-Vlasov SDE。一个新颖且微妙的项是一个投影,它在每个$Y$位置平均一个已经依赖于给定$X$下$Y$的条件分布的弱传输力,从而在保持边际的同时保留非线性弱传输结构。在温和的可积性和正则性假设下,我们证明了该投影McKean-Vlasov方程的弱存在性和唯一性。然后我们证明,在适应Wasserstein拓扑下,该流收敛到熵弱最优传输问题的唯一极小值。我们还描述了一个粒子近似,并在最优传输和鞅最优传输示例上说明了动力学。
Unlike classical optimal transport, weak transport costs depend nonlinearly on the conditional law of couplings. This feature is essential in problems involving barycenter, conditional moments, and martingale-type constraints. Meanwhile, such conditional dependence makes ordinary Wasserstein geometry insufficient and calls instead for an adapted Wasserstein viewpoint. In this paper, we investigate the entropy-regularized weak optimal transport via gradient flows in adapted Wasserstein space. We derive, from the formal tangent structure of adapted Wasserstein space and the projection onto the set of couplings with prescribed marginals, a coupled McKean--Vlasov SDE. A novel and subtle term is a projection that, at each $Y$-location, averages a weak-transport force that already depends on the conditional law of $Y$ given $X$, thereby preserving marginals while retaining the nonlinear weak-transport structure. Under mild integrability and regularity assumptions, we prove weak existence and uniqueness in law for this projected McKean--Vlasov equation. We then prove that the flow converges, in the adapted Wasserstein topology, to the unique minimizer of the entropic weak optimal transport problem. We also describe a particle approximation and illustrate the dynamics on optimal transport and martingale optimal transport examples.