CMX Lunch Seminar

Wednesday September 25, 2019 12:00 PM

Primal dual methods for Wasserstein gradient flows

Speaker: Jose A. Carrillo, Department of Mathematics, Imperial College London
Location: Annenberg 213

Combining the classical theory of optimal transport with modern operator splitting techniques, I will present a new numerical method for nonlinear, nonlocal partial differential equations, arising in models of porous media,materials science, and biological swarming. Using the JKO scheme, along with the Benamou-Brenier dynamical characterization of the Wasserstein distance, we reduce computing the solution of these evolutionary PDEs to solving a sequence of fully discrete minimization problems, with strictly convex objective function and linear constraint. We compute the minimizer of these fully discrete problems by applying a recent, provably convergent primal dual splitting scheme for three operators. By leveraging the PDE’s underlying variational structure, ourmethod overcomes traditional stability issues arising from the strong nonlinearity and degeneracy, and it is also naturally positivity preserving and entropy decreasing. Furthermore, by transforming the traditional linear equality constraint, as has appeared in previous work, into a linear inequality constraint, our method converges in fewer iterations without sacrificing any accuracy. Remarkably, our method is also massively parallelizable and thus very efficient in resolving high dimensional problems. We prove that minimizers of the fully discrete problem converge to minimizers of the continuum JKO problem as the discretization is refined, and in the process, we recover convergence results for existing numerical methods for computing Wasserstein geodesics. Finally, we conclude with simulations of nonlinear PDEs and Wasserstein geodesics in one and two dimensions that illustrate the key properties of our numerical method.

Series CMX Lunch Series

Contact: Jolene Brink at 6263952813 jbrink@caltech.edu
For more information visit: http://cmx.caltech.edu