Augmented Lagrangian methods for transport optimization, mean field games and degenerate elliptic equations

JD Benamou, G Carlier - Journal of Optimization Theory and Applications, 2015 - Springer
JD Benamou, G Carlier
Journal of Optimization Theory and Applications, 2015Springer
Many problems from mass transport can be reformulated as variational problems under a
prescribed divergence constraint (static problems) or subject to a time-dependent continuity
equation, which again can be formulated as a divergence constraint but in time and space.
The variational class of mean field games, introduced by Lasry and Lions, may also be
interpreted as a generalization of the time-dependent optimal transport problem. Following
Benamou and Brenier, we show that augmented Lagrangian methods are well suited to treat …
Abstract
Many problems from mass transport can be reformulated as variational problems under a prescribed divergence constraint (static problems) or subject to a time-dependent continuity equation, which again can be formulated as a divergence constraint but in time and space. The variational class of mean field games, introduced by Lasry and Lions, may also be interpreted as a generalization of the time-dependent optimal transport problem. Following Benamou and Brenier, we show that augmented Lagrangian methods are well suited to treat such convex but non-smooth problems. They include in particular Monge historic optimal transport problem. A finite-element discretization and implementation of the method are used to provide numerical simulations and a convergence study.
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