In this paper, we present a novel and principled approach to learn the optimal transport between two distributions, from samples. Guided by the optimal transport theory, we learn the optimal Kantorovich potential which induces the optimal transport map. This involves learning two convex functions, by solving a novel minimax optimization. Building upon recent advances in the field of input convex neural networks, we propose a new framework where the gradient of one convex function represents the optimal transport mapping. Numerical experiments confirm that we learn the optimal transport mapping. This approach ensures that the transport mapping we find is optimal independent of how we initialize the neural networks. Further, target distributions from a discontinuous support can be easily captured, as gradient of a convex function naturally models a discontinuous transport mapping.
The following paper is reproduced from a Russian journal of the character of our own Proceedings of the National Academy of Sciences, Comptes Rendus (Doklady) de I'Academie des Sciences de I'URSS, 1942, Volume XXXVII, No. 7-8. The author is one of the most distinguished of Russian mathematicians. He has made very important contributions in pure mathematics in the theory of functional analysis, and has made equally important contributions to applied mathematics in numerical analysis and the theory and practice of computation. Although his exposition in this paper is quite terse and couched in mathematical language which may be difficult for some readers of Management Science to follow, it is thought that this presentation will: (1) make available to American readers generally an important work in the field of linear programming, (2) provide an indication of the type of analytic work which has been done and is being done in connection with rational planning in Russia, (3) through the specific examples mentioned indicate the types of interpretation which the Russians have made of the abstract mathematics (for example, the potential and field interpretations adduced in this country recently by W. Prager were anticipated in this paper). It is to be noted, however, that the problem of determining an effective method of actually acquiring the solution to a specific problem is not solved in this paper. In the category of development of such methods we seem to be, currently, ahead of the Russians.--A. Charnes, Northwestern Technological Institute and The Transportation Center. In 1942, I considered a general problem on the most profitable translocation of masses in a compact metric space. The problem is as follows: Assume that we are given two mass distributions determined by additive set functions Φ(e) and Φ′(e) with Φ(R) = Φ′(R) = 1. A translocation of masses is a function Ψ(e, e′) that determines the mass translocated from a set e to a set e′ with [Ψ(e, R) = Φ(e); Ψ(R, e) = Φ′(e)]. The translocation work is defined by the integral