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From Knothe's transport to Brenier's map and a continuation method for optimal transport

Author

Listed:
  • Guillaume Carlier

    (CEntre de REcherches en MAthématiques de la DEcision)

  • Alfred Galichon

    (Département d'économie (ECON))

  • Filippo Santambrogio

    (Laboratoire de Mathématiques d'Orsay)

Abstract

A simple procedure to map two probability measures in Rd is the so-called Knothe-Rosenblatt rearrangement, which consists in rearranging monotonically the marginal distributions of the last coordinate, and then the conditional distributions, iteratively. We show that this mapping is the limit of solutions to a class of Monge-Kantorovich mass transportation problems with quadratic costs, with the weights of the coordinates asymptotically dominating one another. This enables us to design a continuation method for numerically solving the optimal transport problem.

Suggested Citation

  • Guillaume Carlier & Alfred Galichon & Filippo Santambrogio, 2010. "From Knothe's transport to Brenier's map and a continuation method for optimal transport," Sciences Po publications info:hdl:2441/5rkqqmvrn4t, Sciences Po.
    • Handle: RePEc:spo:wpmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4c7eg1p
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    Cited by:

    1. Dmitry Arkhangelsky, 2019. "Dealing with a Technological Bias: The Difference-in-Difference Approach," Working Papers wp2019_1903, CEMFI.
    2. Alfred Galichon & Arthur Charpentier & Marc Henry, 2012. "Local Utility and Risk Aversion," Sciences Po publications info:hdl:2441/63913pp1o99, Sciences Po.
    3. repec:hal:spmain:info:hdl:2441/63913pp1o99dr9nneabam7071k is not listed on IDEAS

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