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Data-Driven Optimal Transport

delete2015-07-01
delete21
PRE
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G
Giulio Trigila *
E
Esteban G. Tabak *
DOI:10.1002/cpa.21588delete
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Abstract

Abstract

En 中文
The problem of optimal transport between two distributions rho(x) and mu(y) is extended to situations where the distributions are only known through a finite number of samples {x(i)} and {y(j)}. A weak formulation is proposed, based on the dual of the Kantorovich formulation, with two main modifications: replacing the expected values in the objective function by their empirical means over the {x(i)} and {y(j)}, and restricting the dual variables u(x) and v(y) to a suitable set of test functions adapted to the local availability of sample points. A procedure is proposed and tested for the numerical solution of this problem, based on a fluidlike flow in phase space, where the sample points play the role of active Lagrangian markers. (C) 2016 Wiley Periodicals, Inc.
Keywords:
MONGE-AMPERE EQUATION
POLAR FACTORIZATION
NUMERICAL-METHOD
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Journal

Communications on Pure and Applied Mathematics cover
Communications on Pure and Applied Mathematics
IF:
2.7
Papers:
1.5K
Citations:
1.1W

Organization

N
New York University
Scholars:
4.4W
Papers: 3.9W
Citations: 5.8W
T
Technical University of Munich
Scholars:
5.2W
Papers: 3.9W
Citations: 6.2W