A large deviation approach to optimal transport

نویسنده

  • CHRISTIAN LÉONARD
چکیده

A probabilistic method for solving the Monge-Kantorovich mass transport problem on R is introduced. A system of empirical measures of independent particles is built in such a way that it obeys a doubly indexed large deviation principle with an optimal transport cost as its rate function. As a consequence, new approximation results for the optimal cost function and the optimal transport plans are derived. They follow from the Γ-convergence of a sequence of normalized relative entropies toward the optimal transport cost. A wide class of cost functions including the standard power cost functions |x − y|p enter this framework.

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تاریخ انتشار 2007