Wasserstein Proximal Algorithms for the Schrödinger Bridge Problem: Density Control With Nonlinear Drift

In this article, we study the Schrödinger bridge problem (SBP) with nonlinear prior dynamics. In control-theoretic language, this is a problem of minimum effort steering of a given joint state probability density function (PDF) to another over a finite-time horizon, subject to a controlled stochasti...

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Bibliographic Details
Published in:	IEEE transactions on automatic control Vol. 67; no. 3; pp. 1163 - 1178
Main Authors:	Caluya, Kenneth F., Halder, Abhishek
Format:	Journal Article
Language:	English
Published:	New York IEEE 01.03.2022 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Algorithms Boundary conditions Boundary value problems Drift Evolutionary computation Fields (mathematics) Fixed points (mathematics) Gradient drift Heuristic algorithms Kernel Mathematical analysis mixed conservative–dissipative drift Nonlinear control Nonlinear dynamical systems Nonlinear dynamics Operators (mathematics) Optimal control optimal mass transport (OMT) Optimized production technology Partial differential equations Probability density function Probability density functions Schrödinger bridge problem (SBP) State vectors Steering Uncertainty
ISSN:	0018-9286, 1558-2523
Online Access:	Get full text
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