An ODE characterization of multi-marginal optimal transport with pairwise cost functions

Abstract

The purpose of this paper is to introduce a new numerical method to solve multi-marginal optimal transport problems with pairwise interaction costs. The complexity of multi-marginal optimal transport generally scales exponentially in the number of marginals $m$. We introduce a one-parameter family of cost functions that interpolates between the original and a special cost function for which the problem’s complexity scales linearly in $m$. We then show that the solution to the original problem can be recovered by solving an ordinary differential equation in the parameter $\varepsilon $, whose initial condition corresponds to the solution for the special cost function mentioned above; we then present some simulations, using both explicit Euler and explicit higher order Runge–Kutta schemes to compute solutions to the ordinary differential equation, and, as a result, the multi-marginal optimal transport problem.