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Multiplicative Schr\"odinger problem and the Dirichlet transport. (arXiv:1807.05649v1 [math.PR])

来源于:arXiv
We consider an optimal transport problem on the unit simplex whose solutions are given by gradients of exponentially concave functions and prove two main results. One, we show that the optimal transport is the large deviation limit of a particle system of Dirichlet processes transporting one probability measure on the unit simplex to another by coordinatewise multiplication and normalizing. The structure of our Lagrangian and the appearance of the Dirichlet process relate our problem closely to the entropic measure on the Wasserstein space as defined by von-Renesse and Sturm in the context of Wasserstein diffusion. The limiting procedure is a triangular limit where we allow simultaneously the number of particles to grow to infinity while the `noise' goes to zero. The method, which generalizes easily to other cost functions, including the Wasserstein cost, provides a novel combination of the Schr\"odinger problem approach due to C. L\'eonard and the related Brownian particle systems by 查看全文>>