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Since the early nineties, it has been observed that the Schroedinger bridge problem can be formulated as a stochastic control problem with atypical boundary constraints. This in turn has a fluid dynamic counterpart where the flow of…
This paper studies stochastic control problems with the action space taken to be probability measures, with the objective penalised by the relative entropy. We identify suitable metric space on which we construct a gradient flow for the…
This paper studies minimax optimization problems defined over infinite-dimensional function classes of overparameterized two-layer neural networks. In particular, we consider the minimax optimization problem stemming from estimating linear…
In this paper, we propose a novel numerical scheme to optimize the gradient flows for learning energy-based models (EBMs). From a perspective of physical simulation, we redefine the problem of approximating the gradient flow utilizing…
Recently, optimization on the Riemannian manifold have provided valuable insights to the optimization community. In this regard, extending these methods to to the Wasserstein space is of particular interest, since optimization on…
We study estimation problems in safety-critical applications with streaming data. Since estimation problems can be posed as optimization problems in the probability space, we devise a stochastic projected Wasserstein gradient flow that…
The $E$-optimality criterion for a regression model maximizes the smallest eigenvalue of the information matrix and becomes non-differentiable when this eigenvalue has multiplicity greater than one. Working in the $2$-Wasserstein space, we…
This article details a novel numerical scheme to approximate gradient flows for optimal transport (i.e. Wasserstein) metrics. These flows have proved useful to tackle theoretically and numerically non-linear diffusion equations that model…
Wasserstein gradient flows of maximum mean discrepancy (MMD) functionals with non-smooth Riesz kernels show a rich structure as singular measures can become absolutely continuous ones and conversely. In this paper we contribute to the…
Wasserstein gradient flows on probability measures have found a host of applications in various optimization problems. They typically arise as the continuum limit of exchangeable particle systems evolving by some mean-field interaction…
Wasserstein gradient flows are continuous time dynamics that define curves of steepest descent to minimize an objective function over the space of probability measures (i.e., the Wasserstein space). This objective is typically a divergence…
We propose a fully discrete variational scheme for nonlinear evolution equations with gradient flow structure on the space of finite Radon measures on an interval with respect to a generalized version of the Wasserstein distance with…
Wasserstein gradient flows provide a powerful means of understanding and solving many diffusion equations. Specifically, Fokker-Planck equations, which model the diffusion of probability measures, can be understood as gradient descent over…
Minimizing functionals in the space of probability distributions can be done with Wasserstein gradient flows. To solve them numerically, a possible approach is to rely on the Jordan-Kinderlehrer-Otto (JKO) scheme which is analogous to the…
We study the quantitative convergence of drift-diffusion PDEs that arise as Wasserstein gradient flows of linearly convex functions over the space of probability measures on ${\mathbb R}^d$. In this setting, the objective is in general not…
Wasserstein distributionally robust optimization offers a framework for model fitting in machine learning under potential shifts in the data distribution. We study a regularized variant of this problem in which entropic smoothing produces a…
In this paper we bring together some of the key ideas and methods of two disparate fields of mathematical research, frame theory and optimal transport, using the methods of the second to answer questions posed in the first. In particular,…
This paper contains two contributions in the study of optimal transport on metric graphs. Firstly, we prove a Benamou-Brenier formula for the Wasserstein distance, which establishes the equivalence of static and dynamical optimal transport.…
We prove the equivalence between the notion of Wasserstein gradient flow for a one-dimensional nonlocal transport PDE with attractive/repulsive Newtonian potential on one side, and the notion of entropy solution of a Burgers-type scalar…
We present a computationally efficient framework, called $\texttt{FlowDRO}$, for solving flow-based distributionally robust optimization (DRO) problems with Wasserstein uncertainty sets while aiming to find continuous worst-case…