Optimal Transportation with Capacity Constraints

Details Optimal Transportation with Capacity Constraints Optimal Transportation with Capacity Constraints

2012-01-30

arxiv.org/abs/1201.6404v2

Mathematics

Optimization and Control

27 pages, 3 figures

Scientific paper

The classical problem of optimal transportation can be formulated as a linear optimization problem on a convex domain: among all joint measures with fixed marginals find the optimal one, where optimality is measured against a cost function. Here we consider a natural but largely unexplored variant of this problem by imposing a pointwise constraint on the joint (absolutely continuous) measures: among all joint densities with fixed marginals and which are dominated by a given density, find the optimal one. For this variant, we show local non-degeneracy of the cost function implies every minimizer is extremal in the convex set of competitors, hence unique. An appendix develops rudiments of a duality theory for this problem, which allows us to compute several suggestive examples.

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