10 1016@j Cag 2018 01 009

JID: CAG
ARTICLE IN PRESS [m5G;February 12, 2018;20:21]

Computers & Graphics xxx (2018) xxx–xxx
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Computers & Graphics

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Survey Paper
Notions of optimal transport theory and how to implement them on a

computerR
Q1 Bruno Lévy∗, Erica L. Schwindt
Inria centre Nancy Grand-Est and LORIA, France
a r t i c l e i n f o a b s t r a c t
Article history: This article gives an introduction to optimal transport, a mathematical theory that makes it possible to
Received 6 October 2017 measure distances between functions (or distances between more general objects), to interpolate between
Revised 12 January 2018
objects or to enforce mass/volume conservation in certain computational physics simulations. Optimal
Accepted 16 January 2018
transport is a rich scientific domain, with active research communities, both on its theoretical aspects and
Available online xxx
on more applicative considerations, such as geometry processing and machine learning. This article aims
Keywords: at explaining the main principles behind the theory of optimal transport, introduce the different involved
Mathematics notions, and more importantly, how they relate, to let the reader grasp an intuition of the elegant theory
Physics that structures them. Then we will consider a specific setting, called semi-discrete, where a continuous
Optimal transport function is transported to a discrete sum of Dirac masses. Studying this specific setting naturally leads
Numerical optimization to an efficient computational algorithm, that uses classical notions of computational geometry, such as a
generalization of Voronoi diagrams called Laguerre diagrams.
© 2018 Elsevier Ltd. All rights reserved.
1 1. Introduction and to follow a continuous path from the theory to an efficient 19

algorithm that can be implemented in a computer. 20
2 This article presents an introduction to optimal transport, and Optimal transport, initially studied by Monge, [3], is a very gen- 21
3 then focuses on a specific class of numerical methods (semi- eral mathematical framework that can be used to model a wide 22
4 discrete). Before diving into the subject, we find it important to class of application domains. In particular, it is a natural formula- 23
5 mention that besides semi-discrete methods, many other numeri- tion for several fundamental questions in computer graphics [4–6], 24
6 cal methods exist, the reader is referred to [1] and [2] for a com- because it makes it possible to define new ways of comparing func- 25
7 plete overview. We also mention that many alternatives exist for tions, of measuring distances between functions and interpolating 26
8 comparing and interpolating between functions, such as Reproduc- between two (or more) functions: 27
9 ing Kernel Hilbert Space for measures, and diffeomorphism meth-
10 ods for functions and shapes. Comparing functions. Consider the functions f1 , f2 and f3 in Fig. 1. 28
11 This article summarizes and complements a series of confer- Here we have chosen a function f1 with a wildly oscillating graph, 29
12 ences given by B. Lévy between 2014 and 2017 on semi-discrete and a function f2 obtained by translating the graph of f1 along the 30
13 optimal transport. The presentations stays at an elementary level, x axis. The function f3 corresponds to the mean value of f1 (or f2 ). 31
14 that corresponds to a computer scientist’s vision of the problem. If one measures the relative distances between these functions us- 32

15 In the article, we stick to using standard notions of analysis (func- ing the classical L2 norm, that is dL2 ( f, g) = ( f (x ) − g(x ))2 dx, one 33
16 tions, integrals) and linear algebra (vectors, matrices), and give an will find that f1 is nearer to f3 than f2 . Optimal transport makes 34
17 intuition of the notion of measure. The main objective of the pre- it possible to define a distance that will take into account that 35
18 sentation is to understand the overall structure of the reasoning1 , the graph of f2 can be obtained from f1 through a translation (like 36
here), or through a deformation of the graph of f1 . From the point 37
of view of this new distance, the function f1 will be nearer to f2 38
than to f3 . 39
R
This article was recommended for publication by Dr M Teschner.
∗
Corresponding author.
Interpolating between functions:. Now consider the functions u and 40
E-mail addresses: Bruno.Levy@inria.fr, levy@loria.fr (B. Lévy),
schwindt@math.cnrs.fr (E.L. Schwindt). v in Fig. 2. Here we suppose that u corresponds to a certain phys- 41
URL: https://members.loria.fr/BLevy/ (B. Lévy) ical quantity measured at an initial time t = 0 and that v corre- 42
1
Teach principles, not equations. [R. Feynman] sponds to the same phenomenon measured at a final time t = 1. 43
https://doi.org/10.1016/j.cag.2018.01.009
0097-8493/© 2018 Elsevier Ltd. All rights reserved.
Please cite this article as: B. Lévy, E.L. Schwindt, Notions of optimal transport theory and how to implement them on a computer,
Computers & Graphics (2018), https://doi.org/10.1016/j.cag.2018.01.009
JID: CAG
2 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx
Fig. 1. Comparing functions: one would like to say that f1 is nearer to f2 than f3 ,
but the classical L2 norm “does not see” that the graph of f2 corresponds to the
graph of f1 slightly shifted along the x axis. Fig. 3. Given two terrains defined by their height functions u and v, symbolized
here as gray levels, Monge’s problem consists in transforming one terrain into the
other one by moving matter through an application T. This application needs to
satisfy a mass conservation constraint.
Fig. 2. Interpolating between two functions: linear interpolation makes a hump

disappear while the other hump appears; displacement interpolation, stemming
from optimal transport, will displace the hump as expected.
44 The problem that we consider now consists in reconstructing what

45 happened between t = 0 and t = 1. If we use linear interpolation
46 (Fig. 2, top-right), we will see the left hump progressively dis- Fig. 4. Transport from a function (gray levels) to a discrete point-set (blue disks).
47 appearing while the right hump progressively appears, which is
48 not very realistic if the functions represent for instance a prop-
49 agating wave. Optimal transport makes it possible to define an- form a terrain with an initial landscape into a given desired target 83
50 other type of interpolation (Mc. Cann’s displacement interpolation, landscape, while minimizing the total amount of work? 84
51 Fig. 2, bottom-right), that will progressively displace and morph Monge’s initial problem statement was as follows: 85
52 the graph of u into the graph of v.
inf c (x, T (x ))u(x )dx
53 Optimal transport makes it possible to define a geometry of a T :X→X X
54 space of functions2 , and thus gives a definition of distance in this
55 space, as well as means of interpolating between different func- subject to:
56 tions, and in general, defining the barycenter of a weighted family
57 of functions, in a very general context. Thus, optimal transport ap-
58 pears as a fundamental tool in many applied domains. In computer ∀B ⊂ X, u(x )dx = v(x )dx
T −1 (B ) B
59 graphics, applications were proposed, to compare and interpolate
60 objects of diverse natures [6], to generate lenses that can concen- where X is a subset of R2 , u and v are two positive functions de- 86

61 trate light to form caustics in a prescribed manner [7,8]. Moreover, fined on X and such that ∫X u(x)dx = Y v(x )dx, and c( · , · ) is a 87
62 optimal transport defines new tools that can be used to discretize convex distance (the Euclidean distance in Monge’s initial problem 88
63 Partial Differential Equations, and define new numerical solution statement). 89
64 mechanisms [9]. This type of numerical solution mechanism can The functions u and v represent the height of the current land- 90
65 be used to simulate for instance fluids [10], with spectacular ap- scape and the height of the target landscape respectively (symbol- 91
66 plications and results in computer graphics [11]. ized as gray levels in Fig. 3). The problem consists in finding (if it 92
67 The two sections that follow are partly inspired by [12], [13], exists) a function T from X to X that transforms the current land- 93
68 [14] and [15], but stay at an elementary level. Here the main goal scape u into the desired one v, while minimizing the product of 94
69 is to give an intuition of the different concepts, and more impor- the amount of transported earth u(x) with the distance c(x, T(x)) 95
70 tantly an idea of the way the relate together. Finally we will see to which it was transported. Clearly, the amount of earth is con- 96
71 how they can be directly used to design a computational algorithm served during transport, thus the total quantity of earth should be 97
72 with very good performance, that can be used in practice in sev- the same in the source and target landscapes (the integrals of u 98
73 eral application domains. and v over X should coincide). This global matter conservation con- 99
straint needs to be completed with a local one. The local matter 100
74 2. Monge’s problem conservation constraint enforces that in the target landscape, the 101
quantity of earth received in any subset B of X corresponds to what 102
75 The initial optimal transport problem was first introduced and was transported here, that is the quantity of earth initially present 103
76 studied by Monge, right before the French revolution [3]. We first in the pre-image T −1 (B ) of B under T. Without this constraint, one 104
77 give an intuitive idea of the problem, then quickly introduce the could locally create matter in some places and annihilate matter in 105
78 notion of measure, that is necessary to formally state the problem other places in a counterbalancing way. A map T that satisfies the 106
79 in its most general form and to analyze it. local mass conservation constraint is called a transport map. 107
80 2.1. Intuition
2.2. Monge’s problem with measures 108
81 Monge’s initial motivation to study this problem was very prac-

We now suppose that instead of a “target landscape”, we wish 109
82 tical: supposing you have an army of workmen, how can you trans-
to transport earth (or a resource) towards a set of points (that will 110
be denoted by Y for now on), that represent for instance a set of 111
2
or more general objects, called probability measures, more on this later. factories that exploit a resource, see Fig. 4. Each factory wishes to 112
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B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 3
113 receive a certain quantity of resource (depending for instance of

114 the number of potential customers around the factory). Thus, the
115 function v that represents the “target landscape” is replaced with
116 a function on a finite set of points. However, if a function v is zero
117 everywhere except on a finite set of points, then its integral over
118 X is also zero. This is a problem, because for instance one cannot
119 properly express the mass conservation constraint. For this reason,
120 the notion of function is not rich enough for representing this con-
121 figuration. One can use instead measures (more on this below), and Fig. 5. A classical example of the existence problem: there is no optimal transport
122 associate with each factory a Dirac mass weighted by the quantity between a segment L1 and two parallel segments L2 and L3 (it is always possible to
123 of resource to be transported to the factory. find a better transport by replacing h with h/2).
124 From now on, we will use measures μ and ν to represent the
125 “current landscape” and the “target landscape”. These measures
of solutions for problem (M). The problem is not symmetric be- 171
126 are supported by sets X and Y, that may be different sets (in the
cause T needs to be a map, therefore the source and target land- 172
127 present example, X is a subset of R2 and Y is a discrete set of
scape do not play the same role. Thus, it is possible to merge earth 173
128 points). Using measures instead of function not only makes it pos-
(if T (x1 ) = T (x2 ) for two different points x1 and x2 ), but it is not 174
129 sible to study our “transport to discrete set of factories” problem,
possible to split earth (for that, we would need a “map” T that 175
130 but also it can be used to formalize computer objects (meshes) and
could send the same point x to two different points y1 and y2 ). 176
131 directly leads to a computational algorithm. This algorithm is very
The problem is illustrated in Fig. 5: suppose that you want to com- 177
132 elegant because it is a verbatim computer translation of the math-
pute the optimal transport between a segment L1 (that symbol- 178
133 ematical theory (see Section 7.6). In this particular setting, trans-
izes a “wall of earth”) and two parallel segments L2 and L3 (that 179
134 lating from the mathematical language to the algorithmic setting
symbolize two “trenches” with a depth that correspond to half the 180
135 does not require to make any approximation. This is made possi-
height of the wall of earth). Now we want to transport the wall 181
136 ble by the generality of the notion of measure.
of earth to the trenches, to make the landscape flat. To do so, it 182
137 The reader who wishes to learn more on measure theory may
is possible to decompose L1 into segments of length h, sent alter- 183
138 refer to the textbook [16]. To keep the length of this article rea-
natively towards L2 and L3 (Fig. 5 on the left). For any length h, 184
139 sonable, we will not give here the formal definition of a measure.
it is always possible to find a better map T, that is a lower value 185
140 In our context, one can think of a measure as a “function” that can
of the functional in (M), by subdividing L1 into smaller segments 186
141 be only queried using integrals and that can be “concentrated” on
(Fig. 5 on the right). The best way to proceed consists in sending 187
142 very small sets (points). The following table can be used to intu-
from each point of L1 half the earth to L2 and half the earth to L3 , 188
143 itively translate from the “language of functions” to the “language
which cannot be represented by a map. Thus, the best solution of 189
144 of measures” :
problem (M) is not a map. In a more general setting, this problem 190
Function u Measure μ appears each time the source measure μ has mass concentrated 191

μ(B ) or B dμ
on a manifold of dimension d − 1 [17] (like the segment L1 in the 192
B u (x )dx
present example). 193
B f (x )u (x )dx B f ( x )d μ
u (x ) N/A 3. Kantorovich’s relaxed problem 194
145 (Note: in contrast with functions, measures cannot be evaluated

To overcome this difficulty, Kantorovich stated a problem with 195
146 at a point, they can be only integrated over domains).
a larger space of solutions, that is, a relaxation of problem (M), 196
147 In its version with measures, Monge’s problem can be stated as
where mass can be both split and merged. The idea consists in 197
148 follows:
solving for the “graph of T” instead of T. One may think of the 198
inf c (x, T (x ))dμ subject to ν = T μ (M) graph of T as a function g defined on X × Y that indicates for each 199
T :X→Y X
couple of points x ∈ X, y ∈ Y how much matter goes from x to y. 200
149 where X and Y are Borel sets (that is, sets that can be measured), μ However, once again, we cannot use standard functions to repre- 201
150 and ν are two measures on X and Y , respectively such that μ(X ) = sent the graph of T: if you think about the graph of a univariate 202
151 ν (Y ) and c( · , · ) is a convex distance. The constraint ν = T μ, that function x→f(x), it is defined on R2 but concentrated on a curve. 203
152 reads “T pushes μ onto ν ” corresponds to the local mass conser- For this reason, as in our previous example with factories, one 204
153 vation constraint. Given a measure μ on X and a map T from X needs to use measures. Thus, we are now looking for a measure 205
154 to Y, the measure Tμ on Y, called “the pushforward of μ by T”, is γ supported by the product space X × Y. The relaxed problem is 206
155 such that T μ(B ) = μ(T −1 (B )) for all Borel set B ⊂ Y. Thus, the lo- stated as follows: 207
156 cal mass conservation constraint means that μ(T −1 (B )) = ν (B ) for
all Borel set B ⊂ Y.
157
inf c (x, y )dγ | γ ≥ 0 and γ ∈ (μ, ν )
158 The local mass conservation constraint makes the problem very γ X×Y
159 difficult: imagine now that you want to implement a computer (K)
160 program that enforces it: the constraint concerns all the subsets where:
161 B of Y. Could you imagine an algorithm that just tests whether a
(μ, ν ) = {γ ∈ P (X × Y ) | (PX )γ = μ ; (PY )γ = ν}
162 given map satisfies it ? What about enforcing it ? We will see be-
163 low a series of transformations of the initial problem into equiva- where (PX ) and (PY ) denote the two projections (x, y) ∈ X × Y→x 208
164 lent problems, where the constraint becomes linear. We will finally and (x, y ) ∈ X × Y → y, respectively. 209
165 end up with a simple convex optimization problem, that can be The two measures (PX )γ and (PY )γ obtained by pushing for- 210
166 solved numerically using classical methods. ward γ by the two projections are called the marginals of γ . 211
167 Before then, let us get back to examine the original problem. The measures γ in the admissible set (μ, ν ), that is, the mea- 212
168 The local mass conservation constraint is not the only difficulty: sures that have μ and ν as marginals, are called optimal trans- 213
169 the functional optimized by Monge’s problem is non-symmetric, port plans. Let us now have a closer look at the two constraints 214
170 and this causes additional difficulties when studying the existence on the marginals (PX )γ = μ and (PX )γ that define the set of 215
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Fig. 6. Four examples of transport plans in 1D. (A) a segment is translated. (B) a segment is split into two segments. (C) a Dirac mass is split into two Dirac masses; (D) a
Dirac mass is spread along two segments. The first two examples (A and B) have the form (Id × T)μ where T is a transport map. The third and fourth ones (C and D) have
no corresponding transport map, because each of them splits a Dirac mass.
216 optimal transport plans (μ, ν ). Recalling the definition of the (Id × T)μ because it splits the mass concentrated in L1 into L2 and 250
217 pushforward (previous subsection), these two constraints can also L3 . 251
218 be written as: Now the theoretical questions are: 252

(PX )γ = μ ⇐⇒ ∀B ⊂ X, dμ = dγ • when does an optimal transport plan exist ? 253

B

B×Y • when does it admit an associated optimal transport map ? 254
(PY )γ = ν ⇐⇒ ∀B ⊂ Y, dν = dγ . (1) A standard approach to tackle this type of existence problem is 255
B X×B
to find a certain regularity both in the functional and in the space 256
219 Intuitively, the first constraint (PX )γ = μ means that everything of the admissible transport plans, that is, proving that the func- 257
220 that comes from a subset B of X should correspond to the amount tional is sufficiently “smooth” and finding a compact set of admis- 258
221 of matter (initially) contained by B in the source landscape, and sible transport plans. Since the set of admissible transport plans 259
222 the second one (PY )γ = ν means that everything that goes into contains at least the product measure μν , it is non-empty, and 260
223 a subset B of Y should correspond to the (prescribed) amount of existence can be proven thanks to a topological argument that ex- 261
224 matter contained by B in the target landscape ν . ploits the regularity of the functional and the compactness of the 262
225 We now examine the relation between the relaxed problem set. Once the existence of a transport plan is established, the other 263
226 (K) and the initial problem (M). One can easily check that among question concerns the existence of an associated transport map. 264
227 the optimal transport plans, those with the form (Id × T)μ corre- Unfortunately, problem (K) does not directly show the structure 265
228 spond to a transport map T: required by this reasoning path. However, one can observe that 266
(K) is a linear optimization problem subject to linear constraints. 267
229 Observation 1. If (Id × T)μ is a transport plan, then T pushes μ
This suggests using certain tools, such as the dual formulation, that 268
230 onto ν .
was also developed by Kantorovich. With this dual formulation, it 269
231 Proof. (Id × T)μ is in (μ, ν ), thus (PY )(Id × T )μ = ν, or is possible to exhibit an interesting structure of the problem, that 270
232 ( (PY ) ◦ (Id × T ) )μ = ν, and finally T μ = ν . can be used to answer both questions (existence of a transport 271
plan, and existence of an associated transport map). 272
233 We can now observe that if a transport plan γ has the form
234 γ = (Id × T )μ, then problem (K) becomes: 4. Kantorovich’s dual problem 273

Kantorovich’s duality applies to problem (K), in its most general 274
min c (x, y )d ( (Id × T )μ ) = min c (x, T (x ))dμ
form (with measures). To facilitate understanding, we will consider 275
X×Y X
instead a discrete version of problem (K), where the involved enti- 276
235 (one retrieves the initial Monge problem). ties are vectors and matrices (instead of measures and operators). 277
236 To further help grasping an intuition of this notion of trans- This makes it easy to better discern the structure of (K), that is the 278
237 port plan, we show four 1D examples in Fig. 6 (the transport plan linear nature of both the functional and the constraints. This also 279
238 is then 1D × 1D = 2D). Intuitively, the transport plan γ may be makes it easier for the reader to understand how to construct the 280
239 thought of as a “table” indexed by x and y that indicates the quan- dual by manipulating simpler objects (matrices and vectors), how- 281
240 tity of matter transported from x to y. More exactly3 , the measure ever the structure of the reasoning is the same in the general case. 282
241 γ is non-zero on subsets of X × Y that contain points (x, y) such
242 that some matter is transported from x to y. Whenever γ derives 4.1. The discrete Kantorovich problem 283
243 from a transport map T, that is if γ has the form (Id × T)μ, then
244 we can consider γ as the “graph of T” like in the first two exam- In Fig. 7, we show a discrete version of the 1D transport be- 284
245 ples of Fig. 6 (A) and (B)4 in Fig. 6. tween two segments of Fig. 6. The measures μ and ν are replaced 285
246 The transport plans of the two other examples (C) and (D) have with vectors U = (ui )i=1...m and V = (v j )i=1...n . The transport plan 286
247 no associated transport map, because they split Dirac masses. The γ becomes a set of coefficients γ ij . Each coefficient γ ij indicates 287
248 transport plan associated with Fig. 5 has the same nature (but the quantity of matter that will be transported from ui to v j . The 288
249 this time in 2D × 2D = 4D). It cannot be written with the form discrete Kantorovich problem can be written as follows: 289

Px γ = U
3
We recall that one cannot evaluate a measure γ at a point (x, y), we can just
minC, γ subject to Py γ = V (2)
γ
compute integrals with γ . γi, j ≥ 0 ∀i, j
4
Note that the measure μ is supposed to be absolutely continuous with respect
to the Lebesgue measure. This is required, because for instance in example (B) of
where γ is the vector of Rm×n with all coefficients γ ij (that is, 290
Fig. 6, the transport map T is undefined at the center of the segment. The absolute the matrix γ ij “unrolled” into a vector), and C the vector of Rm×n 291
continuity requirement allows one to remove from X any subset with zero measure. with the coefficients cij indicating the transport cost between point 292
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Fig. 7. A discrete version of Kantorovich’s problem.
293 i and point j (for instance, the Euclidean cost). The objective func- 326
294 tion is simply the dot product, denoted by C, γ , of the cost vector
= sup [ϕ , U + ψ , V ]. (6)
295 C and the vector γ . The objective function is linear in γ . The con-
ϕ, ψ
296 straints on the marginals (1) impose in this discrete version that
Px t ϕ + Py t ψ ≤ C
297 the sums of the γ ij coefficients over the columns correspond to the
298 ui coefficients (Fig. 7B) and the sums over the rows correspond to The first step (4) consists in exchanging the “inf” and “sup”. 327
299 the v j coefficients (Fig. 7C). Intuitively, everything that leaves point This exchange is possible thanks to a generalization of the clas- 328
300 i should correspond to ui , that is the quantity of matter initially sical minimax theorem due to von Neumann (see, for example 329
301 present in i in the source landscape, and everything that arrives [18, Theorem 2.7]). Then we rearrange the terms (5). By reinter- 330
302 at a point j should correspond to v j , that is the quantity of mat- preting this equation as a constrained optimization problem (sim- 331
303 ter desired at j in the target landscape. As one can easily notice, ilarly to what we did in the previous paragraph), we finally ob- 332
304 in this form, both constraints are linear in γ . They can be written tain the constrained optimization problem in (6). In the constraint 333
305 with two matrices Px and Py , of dimensions m × mn and n × mn, Px t ϕ + Py t ψ ≤ C, the inequality is to be considered component- 334
306 respectively. wise. Finally, the problem (6) can be rewritten as: 335
sup [ϕ , U + ψ , V ]
307 4.2. Constructing the Kantorovich dual in the discrete setting ϕ ,ψ
subject to ϕi + ψ j ≤ ci j , ∀i, j. (7)
308 We introduce, arbitrarily for now, the following function L de-
309 fined by: As compared to the primal problem (2) that depends on m × n 336
variables (all the coefficients γ ij of the optimal transport plan for 337
L(ϕ , ψ ) = C, γ − ϕ , Px γ − U − ψ , Py γ − V
all couples of points (i, j)), this dual problem depends on m + n 338
310 that takes as arguments two vectors, ϕ in Rm and ψ in Rn . The variables (the components ϕ i and ψ j attached to the source points 339
311 function L is constructed from the objective function C, γ from and target points). We will see later how to further reduce the 340
312 which we subtracted the dot products of ϕ and ψ with the vectors number of variables, but before then, we go back to the general 341
313 that correspond to the degree of violation of the constraints. One continuous setting (that is, with functions, measures and opera- 342
314 can observe that: tors). 343
sup[L(ϕ , ψ )] = C, γ if Px γ = U and Py γ = V

ϕ ,ψ 4.3. The Kantorovich dual in the continuous setting 344
= +∞ otherwise.
The same reasoning path can be applied to the continuous Kan- 345
315 Indeed, if for instance a component i of Px γ is non-zero, one can torovich problem (K), leading to the following problem (DK): 346
316 make L arbitrarily large by suitably choosing the associated coeffi-

317 cient ϕ i .
318 Now we consider: (DK ) sup ϕ dμ + ψ dν

ϕ ,ψ
X Y
inf sup[L(ϕ , ψ )] = inf [C, γ ]. subject to: ϕ (x ) + ψ (y ) ≤ c(x, y ) ∀(x, y ) ∈ X × Y, (8)
γ ≥0 ϕ ,ψ γ ≥0
Px γ = U where ϕ and ψ are now functions defined on X and Y5 . 347
Py γ = V The classical image that gives an intuitive meaning to this dual 348
problem is to consider that instead of transporting earth by our- 349
319 There is equality, because to minimize sup[L(ϕ , ψ )], γ has no selves, we are now hiring a company that will do the work on 350
320 other choice than satisfying the constraints (see the previous ob- our behalf. The company has a special way of determining the 351
321 servation). Thus, we obtain a new expression (left-hand side) of price: the function ϕ (x) corresponds to what they charge for load- 352
322 the discrete Kantorovich problem (right-hand side). We now fur- ing earth at x, and ψ (y) corresponds to what they charge for un- 353
323 ther examine it, and replace L by its expression: loading earth at y. The company aims at maximizing its profit (this 354

is why the dual problem is a “sup” rather than an “inf)”, but it can- 355
inf sup
C, γ −ϕ , Px γ − U
(3) not charge more than what it would cost us if we were doing the 356
γ ≥0 ϕ ,ψ −ψ , Py γ − V work by ourselves (hence the constraint). 357
324 The existence of solutions for (DK) remains difficult to study, 358

C, γ −ϕ , Px γ − U because the set of functions ϕ , ψ that satisfy the constraint is not 359
= sup inf (4)
ϕ ,ψ γ ≥0 −ψ , Py γ − V
325 5
The functions ϕ and ψ need to be taken in L1 (μ) and L1 (ν ). The proof of the

equivalence with problem (K) requires more precautions than in the discrete case,
= sup inf
γ , C − Px ϕ − Py ψ+
t t
(5) in particular step (4) (exchanging sup and inf), that uses a result of convex analysis
ϕ ,ψ γ ≥0 ϕ , U + ψ , V (due to Rockafellar), see [12] chapter 5.
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360 compact. However, it is possible to reveal more structure of the when it exists, the map T from X to Y which associated transport 398
361 problem, by introducing the notion of c-transform, that makes it plan (Id × T)μ minimizes the functional of the Monge problem. A 399
362 possible to exhibit a set of admissible functions with sufficient reg- result characterizes the support of γ , that is the subset ∂ c ϕ ⊂ X × Y 400
363 ularity: of the pairs of points (x, y) connected by the transport plan: 401
364 Definition 1. Theorem 1. Let ϕ a c-concave function. For all (x, y) ∈ ∂ c ϕ , we have 402
365 • For f any function on Y with values in R ∪ {−∞} and not ∇ϕ (x ) − ∇x c(x, y ) = 0,
366 identically −∞, we define its c-transform by where ∂ c ϕ = {(x, y ) | ϕ (z ) ≤ ϕ (x ) + (c (z, y ) − c (x, y )), ∀z ∈ X }7 de- 403
f (x ) = inf [c (x, y ) − f (y )],
c
x ∈ X. notes the so-called c -superdifferential of ϕ . 404
y∈Y
Proof. See [12] chapters 9 and 10. 405
367 • If a function ϕ is such that there exists a function f such that
368 ϕ = f c , then ϕ is said to be c-concave; In order to give an idea of the relation between the c- 406
369 • c (X) denotes the set of c-concave functions on X. superdifferential and the associated transport map T, we present 407
below a heuristic argument: consider a point (x, y) in the c- 408
370 We now show two properties of (DK) that will allow us to re- superdifferential ∂ c ϕ , then for all z ∈ X we have 409
371 strict the problem to the class of c-concave functions to search for
372 ϕ and ψ : c (x, y ) − ϕ (x ) ≤ c (z, y ) − ϕ (z ). (9)
Now, by using (9), we can compute the derivative at x with re- 410
373 Observation 2. If the pair (ϕ , ψ ) is admissible for (DK), then the
spect to an arbitrary direction w 411
374 pair (ψ c , ψ ) is admissible as well.
ϕ (x + tw ) − ϕ (x ) c (x + tw, y ) − c (x, y )
375 Proof. lim ≤ lim+
t→0+ t t→0 t
∀(x, y ) ∈ X × Y, ϕ (x ) + ψ (y ) ≤ c(x, y ) and we obtain ∇ϕ (x ) · w ≤ ∇x c (x, y ) · w. We can do the same 412
ψ c (x ) = inf [c(x, y ) − ψ (y )] derivation along direction −w instead of w, and then we get 413
y∈Y
∇ϕ (x ) · w = ∇x c(x, y ) · w, ∀w ∈ X.
ψ c (x ) + ψ (y ) = inf c (x, y ) − ψ (y ) + ψ (y ) 414
y ∈Y In the particular case of the L2 cost, that is with c (x, y ) = 415
≤ (c(x, y ) − ψ (y )) + ψ (y ) 1/2x − y2 , this relation becomes ∀(x, y ) ∈ ∂ c ϕ , ∇ϕ (x ) + y − x = 416
≤ c (x, y ). 0, thus, when the optimal transport map T exists, it is given by 417
376 T (x ) = x − ∇ϕ (x ) = ∇ (x /2 − ϕ (x )). 2
377 Observation 3. If the pair (ϕ , ψ ) is admissible for (DK), then one Not only this gives an expression of T in function of ϕ , which is of 418
378 obtains a better pair by replacing ϕ with ψ c : high interest to us if we want to compute the transport explicitly. 419
In addition, this makes it possible to characterize T as the gradient 420
379 Proof.
of a convex function (see also Brenier’s polar factorization theorem 421
ψ (x ) =
c
inf [c (x, y ) − ψ (y )] [19]). This convexity property is interesting, because it means that 422
y∈Y ⇒ ψ ( x ) ≤ ϕ ( x ).
c
∀y ∈ Y, ϕ (x ) ≤ c (x, y ) − ψ (y ) two “transported particles” x1 →T(x1 ) et x2 →T(x2 ) will never col- 423
lide. We now see how to prove these two assertions (T gradient of 424
380 a convex function and absence of collision) in the case of the L2 425
381 In terms of the previous intuitive image, this means that by re- transport (with (c (x, y ) = 1/2x − y2 ). 426
382 placing ϕ with ψ c , the company can charge more while the price Observation 4. If c(x, y) = 1/2x − y2 and ϕ ∈ c (X), then ϕ̄ : x → 427
383 remains acceptable for the client (that is, the constraint is satis- ϕ̄ (x ) = x2 /2 − ϕ (x ) is a convex function (it is an equivalence if 428
384 fied). Thus, we have: X = Y = Rd , see [1]). 429

inf(K ) = sup ϕ dμ + ϕ c dν Proof. 430
ϕ ∈ c ( X ) X Y
ϕ (x ) = ψ c (x )
= sup ψ dμ + ψ dν
c

ψ ∈c (Y ) X Y
x − y2
= inf − ψ (y )
385 We do not give here the detailed proof for existence. The reader y 2
386 is referred to [12], Chapter 4. The idea is that we are now in a
much better situation, since the set of admissible functions c (X) x2 y2
387 = inf −x·y+ − ψ (y ) .
388 is compact6 . y 2 2
389 The optimal value gives an interesting information, that is the Then, 431
390 minimum cost of transforming μ into ν . This can be used to define
x2 y2
391 a distance between distributions, and also gives a way to compare −ϕ̄ (x ) = ϕ (x ) − 2
= inf −x · y + 2
− ψ (y ) .
y
392 different distributions, which is of practical interest for some ap-
393 plications. Or equivalently, 432

y
ϕ̄ (x ) = − ψ (y )
2
sup x · y − 2
.
394 5. From the Kantorovich dual to the optimal transport map y

y2
395 5.1. The c-superdifferential The function x → x · y − 2 − ψ (y ) is affine in x, therefore the 433
graph of ϕ̄ is the upper envelope of a family of hyperplanes, there- 434

396 Suppose now that in addition to the optimal cost you want to fore ϕ̄ is a convex function (see Fig. 8). 435
397 know the associated way to transform μ into ν , in other words,
7
By definition of the c-transform, if (x, y) ∈ ∂ c ϕ , then ϕ c (y ) = c (x, y ) − ϕ (x ).
Provided that the value of ψ is fixed at a point of Y in order to suppress invari-
6
Then, the c-superdifferential can be characterized by the set of all points (x,
ance with respect to adding a constant to ψ . y) ∈ X × Y such that ϕ (x ) + ϕ c (y ) = c (x, y ).
JID: CAG
where JT denotes the Jacobian matrix of T and det denotes the de- 465
terminant. 466
If μ and ν have densities u and v respectively, that is ∀B, μ(B ) = 467

B u (x )dx and ν (B ) = B v (x )dx, then one can (formally) consider 468
(10) pointwise in X: 469
∀x ∈ X, u(x ) = |det JT (x )|v(T (x )). (11)

By injecting T = ∇ ϕ̄ and JT = H ϕ̄ into (11), one obtains: 470
∀x ∈ X, u(x ) = |det H ϕ̄ (x )|v(∇ ϕ̄ (x )), (12)

where H ϕ̄ denotes the Hessian matrix of ϕ̄ . Eq. (12) is known ad 471
the Monge–Ampère equation. It is a highly non-linear equation, and 472
its solutions when they exist often present singularities9 . Note that 473
the derivation above is purely formal, and that studying the solu- 474
Fig. 8. The upper envelope of a family of affine functions is a convex function. tions of the Monge–Ampère equation require using more sophis- 475
ticated tools. In particular, it is possible to define several types of 476
weak solutions (viscosity solutions, solution in the sense of Bre- 477
436 Observation 5. We now consider the trajectories of two parti- nier, solutions in the sense of Alexandrov ...). Several algorithms 478
437 cles parameterized by t ∈ [0, 1], t → (1 − t )x1 + tT (x1 ) and t → to compute numerical solutions of the Monge–Ampère equations 479
438 (1 − t )x2 + tT (x2 ). If x1 = x2 and 0 < t < 1 then there is no collision were proposed. As such, see for instance the Benamou–Brenier al- 480
439 between the two particles. gorithm [20], that uses a dynamic formulation inspired by fluid dy- 481
namics (incompressible Euler equation with specific boundary con- 482
440 Proof. By contradiction, suppose there is a collision, that is there
ditions). See also [21]. 483
441 exists t ∈ (0, 1) and x1 = x2 such that
(1 − t )x1 + tT (x1 ) = (1 − t )x2 + tT (x2 ). 6.2. The discrete → discrete case 484
442 Since T = ∇ ϕ̄ , we can rewrite the last equality as

If μ is the sum of m Dirac masses and ν the sum of n Dirac 485
(1 − t )(x1 − x2 ) + t (∇ ϕ̄ (x1 ) − ∇ ϕ̄ (x2 )) = 0. masses, then the problem boils down to finding the m × n coeffi- 486
cients γ ij that give for each pair of points i of the source space 487
443 Therefore,
and j of the target space the quantity of matter transported from 488
(1 − t )x1 − x2 2 + t (∇ ϕ̄ (x1 ) − ∇ ϕ̄ (x2 )) · (x1 − x2 ) = 0. i to j. This corresponds to the transport plan in the discrete Kan- 489
torovich problem that we have seen previously Section 4. This type 490
444 The last step leads to a contradiction, between the left-hand side of problem (referred to as an assignment problem) can be solved by 491
445 is the sum of two strictly positive numbers (recalling the definition different methods of linear programming [22]. These method can 492
446 of the convexity of ϕ̄ : ∀x1 = x2 , (x1 − x2 ) · (∇ ϕ̄ (x1 ) − ∇ ϕ̄ (x2 )) > be dramatically accelerated by adding a regularization term, that 493
447 0)8 can be interpreted as the entropy of the transport plan [23]. This 494
regularized version of optimal transport can be solved by highly 495
448 6. Continuous, discrete and semi-discrete transport efficient numerical algorithms [24]. 496
449 The properties that we have presented in the previous sections

6.3. The continuous → discrete case 497
450 are true for any couple of source and target measures μ and ν , that
451 can derive from continuous functions or that can be discrete em-
This configuration, also called semi-discrete, corresponds to a 498
452 pirical measures (sum of Dirac masses). Fig. 9 presents three con-
continuous function transported to a sum of Dirac masses (see the 499
453 figurations that are interesting to study. These configurations have
examples of c-concave functions in [25]). This correspond to our 500
454 specific properties, that lead to different algorithms for comput-
example with factories that consume a resource, in Section 2.2. 501
455 ing the transport. We give here some indications and references
Semi-discrete transport has interesting connections with some no- 502
456 concerning the continuous → continuous and discrete → discrete
tions of computational geometry and some specific sets of convex 503
457 cases. Then we will develop the continuous → discrete case with
polyhedra that were studied by Alexandrov [26] and later by Au- 504
458 more details in the next section.
renhammer et al. [27]. The next section is devoted to this configu- 505
ration. 506
459 6.1. The continuous → continuous case and Monge-Ampère equation
7. Semi-discrete transport 507

460 We recall that when the optimal transport map exists, in the
461 case of the L2 cost (that is, c (x, y ) = 1/2x − y2 ), it can be de-
We now suppose that the source measure μ is continuous, and 508
462 duced from the function ϕ by using the relation T (x ) = ∇ ϕ̄ =
that the target measure ν is a sum of Dirac masses. A practical 509
463 x − ∇ϕ . The change of variable formula for integration over a sub-
example of this type of configuration corresponds to a resource 510
464 set B of X can be written as:
which available quantity is represented by a function u. The re- 511
∀B ⊂ X, 1dμ = μ(B ) = ν (T (B )) = |det JT (x )|dμ (10) source is collected by a set of n factories, as shown in Fig. 10. Each 512
B B factory is supposed to collect a certain prescribed quantity of re- 513
source ν j . Clearly, the sum of all prescriptions corresponds to the 514

8
total quantity of available resource ( nj=1 ν j = X u(x )dx). 515
Note that even if there is no collision, the trajectories can cross, that is
(1 − t )x1 + tT (x1 ) = (1 − t )x2 + t T (x2 ) for some t = t (see example in [12]). If the
cost is the Euclidean distance (instead of squared Euclidean distance), the non-
9
intersection property is stronger and trajectories cannot cross. This comes at the This is similar to the eikonal equation, which solution corresponds to the dis-
expense of losing the uniqueness of the optimal transport plan [12]. tance field, that has a singularity on the medial axis.
JID: CAG
Fig. 9. Different types of transport, with continuous and discrete measures μ and ν .
to its value at each point yj . The integral ∫Y ψ (y)dν becomes the 538
dot product
j ψ j ν j . Let us now replace the c-transform ψ c with 539
its expression, which gives (16). The integral in the left term can 540
be reorganized, by grouping the points of X for which the same 541
point yj minimizes c (x, y j ) − ψ j , which gives (17), where the La- 542
guerre cell Lagcψ (y j ) is defined by: 543

Lagcψ (y j ) = x ∈ X | c(x, y j ) − ψ j ≤ c(x, yk ) − ψk , ∀k = j .
(18)
Thus, the functional F that corresponds to the dual Kantorovich 544
Fig. 10. Semi-discrete transport: gray levels symbolize the quantity of a resource
problem becomes a function that depends on n variables (ψ j )nj=1 . 545
that will be transported to 4 factories. Each factory will be allocated a part of the
terrain in function of the quantity of resource that it should collect. In this case, the set c (Y) can be characterized as the subset of Rn 546
given by (thanks to Theorems 3 and 4) 547

516 7.1. Semi-discrete Monge problem (Y ) = (ψ1 , . . . , ψn ) : μ(Lagψ (y j )) > 0, ∀ j .
c c
It is possible to show that c (Y) is a non-empty open convex set, 548

517 In this specific configuration, the Monge problem becomes: for the discrete case see [28]. The proof in the semi-discrete case 549

is follows similarly. 550
inf c (x, T (x ))u(x )dx, subject to u(x )dx = ν j , ∀ j.
T :X→Y The Laguerre diagram, formed by the union of the Laguerre 551
X T −1 (y j ) cells, is a classical structure in computational geometry. In the case 552
518 A transport map T associates with each point x of X one of the of the L2 cost c (x, y ) = 1/2x − y2 , it corresponds to the power 553
519 points yj . Thus, it is possible to partition X, by associating to each diagram, that was studied by Aurenhammer at the end of the 80’s 554
[29]. One of its particularities is that the boundaries of the cells are 555
520 yj the region T −1 (y j ) that contains all the points transported to-
rectilinear, making it reasonably easy to design computational al- 556
521 wards yj by T. The constraint imposes that the quantity of collected
gorithms to construct them. For other costs, the boundaries are in 557
522 resource over each region T −1 (y j ) corresponds to the prescribed
general not rectilinear, and computing the diagram is much more 558
523 quantity ν j .
difficult. Several implementations in 2D exist for some costs (L1 ) in 559
524 Let us now examine the form of the dual Kantorovich problem.
[30]. An interesting alternative is to use a piecewise-linear approx- 560
525 In terms of measure, the source measure μ has a density u, and
imation on a background mesh and study convergence in function 561
526 the target measure ν is a sum of Dirac masses ν = nj=1 ν j δy j , sup-
of mesh size. 562
527 ported by the set of points Y = (y j )nj=1 . We recall that in its general
528 form, the dual Kantorovich problem is written as follows: Observation 6. Let ψ = (ψ1 , . . . , ψn ) and let κ = (κ , . . . , κ ) be a 563
constant of Rn . We consider φ = ψ + κ, then for all j ∈ {1, . . . , n} 564
sup ψ c ( x )d μ + ψ ( y )d ν . (13)
ψ ∈c (Y ) X Y Lagcψ (y j ) = Lagcφ (y j ).
529 In our semi-discrete case, the functional becomes a function of 7.2. Concavity of F 565
530 n variables, with the following form:
F ( ψ ) = F ( ψ1 , ψ2 , . . . ψn ) (14) The objective function F is a particular case of the Kantorovich 566
dual, and naturally inherits its properties, such as its concavity 567
531
(that we did not discuss yet). This property is interesting both from 568

n
a theoretical point of view, to study the existence and uniqueness 569
= ψ c (x )u(x )dx + ψ jν j (15) of solutions, and from a practical point of view, to design efficient 570
X j=1 numerical solution mechanisms. In the semi-discrete case, the con- 571
532
cavity of F is easier to prove than in the general case. We summa- 572

n
rize here the proof by Aurenhammer et al. [27], that leads to an 573
= inf c (x, y j ) − ψ j u(x )dx + ψ jν j (16) efficient algorithm [5], [31], [32]. 574
y j ∈Y
X j=1
533 Theorem 2. The objective function F of the semi-discrete Kantorovich 575

n
n dual problem (13) is concave in c (Y). 576
= c (x, y j ) − ψ j u(x )dx + ψ jν j. (17)
Proof. Consider the function G defined by: 577
j=1Lagc (y )
ψ j
j=1
G(A, [ψ1 , . . . ψn ]) = c (x, yA(x ) ) − ψA(x ) u(x )dx, (19)
534 The first step (15) takes into account the nature of the mea-
535 sures μ and ν . In particular, one can notice that the measure ν is X
536 completely defined by the scalars ν j associated with the points yj , and parameterized by a surjective assignment A : X → [1 . . . n], that 578
537 and the function ψ is defined by the scalars ψ j that correspond is, a function that associates with each point x of X the index j of 579
JID: CAG
Fig. 11. The objective function of the dual Kantorovich problem is concave, because its graph is the lower envelope of a family of affine functions.
580 one of the points yj . If we denote A−1 ( j ) = {x|A(x ) = j}, then G can 612
581 be also written as:
= yk | c(x, y j ) − ψ j = c(x, yk ) − ψk (24)
G(A, ψ ) = c (x, y j ) − ψ j u(x )dx
j A−1 ( j ) 613

= c (x, y j )u(x )dx − ψ j u(x )dx.
j A−1 ( j ) j A−1 ( j ) = yj . (25)
(20) In the first step (22), we replace ψc
by its definition, then we 614
582 The first term does not depend on the ψ j , and the second one is use the fact that x belongs to the Laguerre cell of yj (23), and fi- 615
583 a linear combination of the ψ j coefficients, thus, for a given fixed nally, the only point of Y that satisfies (24) is yj because we have 616
584 assignment A, ψ →G(A, ψ ) is an affine function of ψ . Fig. 11 de- supposed x inside the Laguerre cell of yj . 617
585 picts the appearance of the graph of G for different assignment. To summarize, the optimal transport map T moves each point x 618
586 The horizontal axis symbolizes the components of the vector ψ to the point yj associated with the Laguerre cell Lagcψ (y j ) that con- 619
587 (of dimension n) and the vertical axis the value of G(A, ψ ). For a tains x. The vector (ψ1 , . . . ,ψn ) is the unique vector, up to constant 620
588 given assignment A, the graph of G is an hyperplane (symbolized (see Observation 6), that maximizes the discrete dual Kantorovich 621
589 here by a straight line). function F such that ψ is c-concave. It is possible to show that ψ 622
590 Among all the possible assignments A, we distinguish Aψ that is c-concave if and only if no Laguerre cell is empty of matter, that 623
591 associates with a point x the index j of the Laguerre cell x belongs is the integral of u is non-zero on each Laguerre cell. Indeed, we 624
592 to10 , that is: have the following results: 625

Aψ (x ) = arg min c (x, y j ) − ψ j .
j Theorem 3. Let Y = {y1 , . . . , yn } be a set of n points. Let ψ be any 626
function defined on Y such that Lagcψ (yi ) are not empty sets. Then ψ 627
593 For a fixed vector ψ = ψ 0,
among all the possible assign-
is a c-concave function. 628
ments A, the assignment Aψ minimizes the value G(A, ψ 0 ), be-
0
594
595 cause it minimizes the integrand pointwise (see Fig. 11 on the Proof. By definition, for i = 1, 2, . . . , k 629
596 left. Thus, since G is affine with respect to ψ , the graph of the
597 function ψ → G(Aψ , ψ ) is the lower envelope of a family of hy- (ψ c )c (yi ) = inf [c(x, yi ) − ψ c (x )]
x∈X
598 perplanes (symbolized as straight lines in Fig. 11 on the right),
599 hence ψ → G(Aψ , ψ ) is a concave function. Finally, the objective

= inf c (x, yi ) − inf c (x, y j ) − ψ (y j )
600 function F of the dual Kantorovich problem can be written as x∈X y j ∈Y

601 F (ψ ) = G(Aψ , ψ ) + j ν j ψ j , that is, the sum of a concave func- ⎧
⎪
⎪ ψ ( yi ), if x ∈ Lagcψ (yi )
602 tion and a linear function, hence it is also a concave function. ⎨ <(c (x,yi )−ψ (yi ))
= inf ! "# $
7.3. The semi-discrete optimal transport map x∈X ⎪ c (x, y ) − (c (x, y ) − ψ (y ) ),
603
⎪
⎩ if x ∈ Lagc (y ) ( j = i )
i j j
ψ j
604 Let us now examine the c-superdifferential ∂ c ψ , that is, the set
605 of points (x ∈ X, y ∈ Y) connected by the optimal transport map. We = ψ ( yi ).
606 recall thatthe c-superdifferential ∂ c ψ can be defined alternatively This allows to conclude that ψ is a c-concave function (see 630
607 as ∂ c ψ = (x, y j ) | ψ c (x ) + ψ j = c (x, y j ) . Consider a point x of X [1], Proposition 1.34). 631
608 that belongs to the Laguerre cell Lagcψ (y j ). The c-superdifferential
609 [∂ c ψ ](x) at x is defined by: Moreover, the converse of the theorem is also true: 632
[∂ c
ψ ](x ) = {yk | ψ (x ) + ψk = c(x, yk )}
c
(21) Theorem 4. Let Y = {y1 , . . . , yn } be a set of n points. Let ψ be a c- 633
610 concave function defined on Y. Then the sets Lagcψ (yi ) are not empty 634

for all i = 1, . . . , n. 635
= yk | inf
y
[c (x, yl ) − ψl ] + ψk = c (x, yk ) (22)
l
611 Proof. Reasoning by contradiction, we suppose that ψ is a 636

c-concave function and there exist i0 ∈ {1, . . . , n} such that 637
= yk | c(x, y j ) − ψ j + ψk = c(x, yk ) (23)
Lagcψ (yi0 ) = ∅. Then, from definition 638
10
A is undefined on the set of Laguerre cell boundaries, this does not cause any ∀x ∈ X, ∃ j ∈ {1, . . . , n} with j = i0 , and j > 0 such that
difficulty because this set has zero measure. c (x, yi0 ) − ψ (yi0 ) ≥ c (x, y j ) − ψ (y j ) + j .
JID: CAG
639 We will write x = x j . Thus, the components of the gradient vanish, this implies that the quan- 662
tity of matter obtained at yj , that is the integral of u on the La- 663
guerre cell of yj , corresponds to the prescribed quantity of matter,
c ( x j , yi0 ) − inf c (x j , y j ) − ψ (y j ) 664
y j ∈Y that is ν j (see also [31], Theorem 3). Moreover, since ν j are sup- 665
posed to be strictly positive, from (18), this maximum is reached 666
≥ c ( x j , yi0 ) − c ( x j , yi0 ) − ψ ( yi0 ) − j
to the interior of c (Y). 667
= ψ ( yi0 ) + j . (26)
7.5. Second order derivatives of the objective function 668
640 Therefore,

In order to compute de second order derivatives, since the do- 669

(ψ ) (yi0 ) = inf c(x, yi0 ) − inf c(x, y j ) − ψ (y j )
c c
main of integration in (27) depends on variable of derivation, we 670
x∈X y j ∈Y

will apply the transport theorem (see [33], page 131). We do not 671
detail the computations for length considerations, but give the fi-
= inf c (x j , yi0 ) − inf c (x j , y j ) − ψ (y j ) 672
j y j ∈Y nal result. 673
∂ 2G

u (x )
= inf ψ (yi0 ) + j (ψ ) = dx (l = j ),
j
∂ ψl ∂ ψ j ∇x c(x, y j ) − ∇x c(x, yl )
> ψ ( yi0 ). Lagcψ (yl )∩Lagcψ (y j )
641 This contradicts the fact that ψ is a c-concave function, because and 674
642 [1], Proposition 1.34. ∂ G

2 ∂ G 2
(ψ ) = − ( ψ ).
∂ψ j2 ∂ ψ l∂ψj
643 We now proceed to compute the first and second order deriva- l= j
644 tives of the objective function F. These derivatives are useful in Here, we have used that the unit outward normal to Lagcψ (y j ) at 675
645 practice to design computational algorithms.
x ∈ Lagcψ (yl ) ∩ Lagcψ (y j ) is the vector 676
646 7.4. First-order derivatives of the objective function ∇x c(x, y j ) − ∇x c(x, yl )

n (x ) = .
∇x c(x, y j ) − ∇x c(x, yl )
647 Since it is concave, F admits a unique (up to constant, see
Hence, we deduce that Hessian matrix of G is a symmetric ma- 677
648 Observation 6) maximum ψ ∗ , characterized by ∇ F (ψ ∗ ) = 0 where
trix. Furthermore, from the formulae for the second order deriva- 678
649 ∇ F denotes the gradient. Let

us now examine the form of the gra-
tives we deduce that the mixed derivatives are non-negative and 679
650 dient ∇ F = ∇ G(Aψ , ψ ) + nj=1 ψ j ν j . By replacing G(Aψ , ψ ) with
then all main diagonal entries of Hessian matrix are negative. 680
651 its expression (20), one obtains:
Therefore, Hessian matrix of G, Hess(G), is negative semi-definite. 681
∂G G(ψ + te j ) − G(ψ ) In the particular case of the L2 cost, that is c (x, y ) = 1/2x − 682
(ψ ) = lim y2 , the second-order derivatives, for l = j, are given by:
∂ψ j t→0 t 683
1
∂ G 2 u (x )
= lim inf c (x, y1 ) − ψ1 , . . . , c (x, y j ) − ψ j (ψ ) = dS(x ). (28)
t→0 t X ∂ ψl ∂ ψ j Lagc (yl )∩Lagc (y j ) yl − y j
ψ ψ
−t, . . . , c (x, yn ) − ψn ]
7.6. A computational algorithm for L2 semi-discrete optimal transport 684
− inf [c (x, yi ) − ψi ]u(x )dx .
i
With the definition of F(ψ ), the expression of its first order 685
652 Let x ∈ Lagcψ (ym ), then for t small enough we have
derivatives (gradient
∇ F) and second order derivatives (Hessian 686
matrix ∇ 2 F = ∂ 2 F /∂ ψi ∂ ψ j ), we are now equipped to design 687
inf c (x, y1 ) − ψ1 , . . . , c (x, y j ) − ψ j − t, . . . , c (x, yk ) − ψn ij
= c (x, ym ) − ψm . a numerical solution mechanism that computes semi-discrete op- 688

timal transport by maximizing F, based on a particular version 689
653 Indeed, since c (x, ym ) − ψm < c (x, yi ) − ψi for all i = m, in par- [32] of Newton’s optimization method [34]: 690
654 ticular, if m = j: c (x, ym ) − ψm < c (x, y j ) − ψ j . Thus, for t small
Input : − a mesh that supports the source density u
655 enough
− the points (y j )nj=1
c (x, ym ) − ψm ≤ c (x, y j ) − ψ j − t. − the prescribed quantities (ν j )nj=1 .
656 In the case that m = j, Output : the (unique) Laguerre diagram Lagcψ such that:

u(x )dx = ν j , ∀ j.
inf c (x, y1 ) − ψ1 , . . . , c (x, y j ) − ψ j − t, . . . , c (x, yk ) − ψk Lagcψ (y j )
= c (x, y j ) − ψ j − t.
657 Consequently, we obtain that • Step 1: ψ ← [0 . . . 0]
∂G • Step 2: While convergence is not reached
∂ψ j (ψ ) = − Lagcψ (y j ) u (x )dx. • Step 3: Compute ∇ F and ∇ 2 F
658 Recalling that the objective function F is given by F (ψ ) = • Step 4: Find p ∈ Rn such that ∇ 2 F (ψ ) p = −∇ F (ψ )
• Find the descent parameter α
659 G(Aψ , ψ ) + j ν j ψ j , we finally obtain: Step 5:
• Step 6: ψ ← ψ + αp
∂F • Step 7: End while
(ψ ) = ν j − u(x )dx. (27)
∂ψ j The source measure is given by its density, that is a positive 691
Lagc ψ (y j )
piecewise linear function u, supported by a triangulated mesh (2D) 692
660 Since the objective function F is concave, it admits a unique (up or tetrahedral mesh (3D) of a domain X. The target measure is dis- 693
661 to constant, see Observation 6) maximum. At this maximum, all crete, and supported by the pointset Y = (y j )nj=1 . Each target point 694
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Fig. 12. (A) transport between a uniform density and a random pointset; (B) transport between a varying density and the same pointset; (C) intersections between meshes
used to compute the coefficients; (D) transport between a measure supported by a surface and a 3D pointset.
Fig. 13. Interpolation of 3D volumes using optimal transport.
695 will receive the prescribed quantity of matter ν j . Clearly, the pre- guerre cell of yj . The Laguerre diagram is completely determined 700
696 scriptions should be balanced with the available resource, that is by the vector ψ that maximizes F. 701

697 X u (x )dx = j ν j . The algorithm computes for each point of the Step 2 needs a criterion for convergence. The classical con- 702
698 target measure the subset of X that is affected to it through the vergence criterion for a Newton algorithm uses the norm of the 703
699 optimal transport, T −1 (y j ) = Lagcψ (y j ), that corresponds to the La- gradient of F. In our case, the components of the gradient of F 704
JID: CAG
Fig. 14. Computing the transport between objects of different dimension, from a sphere to a cube. The sphere is sampled with 10 million points. The cross-section reveals
the formation of a singularity that has some similarities with the medial axis of the cube.
Fig. 15. An application of optimal transport to fluid simulation: numerical simulation of the Taylor–Rayleigh instability using the Gallouët–Mérigot scheme.
Fig. 16. Numerical simulation of an incompressible bi-phasic flow in a bottle.
705 have a geometric meaning, since ∂ F/∂ ψ j corresponds to the dif- such as GEOGRAM11 et CGAL12 . Then one needs to compute the in- 721
706 ference between the prescribed quantity ν j associated with j and tersection between each Laguerre cell and the mesh that supports 722
707 the quantity of matter present in the Laguerre cell of yj given by the density u. This can be done with specialized algorithms [31], 723

708 Lagc (y )u (x )dx. Thus, we can decide to stop the algorithm as soon also available in GEOGRAM. 724
ψ j
709 as the largest absolute value of a component becomes smaller than Step 4 finds the Newton step p by solving a linear system. We 725
710 a certain percentage of the smallest prescription. Thus we con- use the Conjugate Gradient algorithm [37] with the Jacobi precon- 726
711 sider that convergence is reached if max |∇ Fj | < min j ν j , for a user- ditioner. In our empirical experiments below, we stopped the con- 727
712 defined (typically 1% in the examples below). jugate iterations as soon as ∇ 2 F p + ∇ F /∇ F < 10−3 . We vali- 728
713 Step 3 computes the coefficients of the gradient and the Hes- dated this threshold on small to medium-size problems by com- 729
714 sian matrix of F, using (27) and (28). These computations involve paring with the results of a direct solver (SuperLU). 730
715 integrals over the Laguerre cells and over their boundaries. For the Step 5 determines the descent parameter α . A result due to 731
716 L2 cost c (x, y ) = 1/2x − y2 , the boundaries of the Laguerre cells Kitagawa et al. [32] ensures the convergence of the Newton algo- 732
717 are rectilinear, which dramatically simplifies the computations of rithm if the measure of the smallest Laguerre cell remains larger 733
718 the Hessian coefficients (28). In addition, it makes it possible to

719 use efficient algorithms to compute the Laguerre diagram [35,36].
11
720 Their implementation is available in several programming libraries, http://alice.loria.fr/software/geogram/doc/html/index.html
12
http://www.cgal.org
JID: CAG
734 than a certain threshold (that is, half the smallest prescription ν j ).
735 There is also a condition on the norm of the gradient ∇ F that
736 we do not repeat here (the reader is referred to Kitagawa, Mérigot
737 and Thibert’s original article for more details). In our implementa-
738 tion, starting with α = 1, we iteratively divide α by two until both
739 conditions are satisfied.
740 Let us now make one step backwards and think about the orig-
741 inal definition of Monge’s problem (M). We wish to stress that the
742 initial constraint (local mass conservation) that characterizes trans-
743 port maps was terribly difficult. It is remarkable that after sev-
744 eral rewrites (Kantorovich relaxation, duality, c-concavity), the final
745 problem becomes as simple as optimizing a regular (C2 ) concave
746 function, for which computing the gradient and Hessian is easy in
747 the semi-discrete case and boils down to evaluating volumes and
748 areas in a Laguerre diagram. We wish also to stress that the com-
749 putational algorithm did not require to make any approximation or
750 discretization. The discrete, computer version is a particular setting
751 of the general theory, that fully describes not only transport be-
752 tween smooth objects (functions), but also transport between less
753 regular objects, such as pointsets and triangulated meshes. This is
754 made possible by the rich mathematical vocabulary (measures) on
755 which optimal transport theory acts. Thus, the computational algo-
756 rithm is an elegant, direct verbatim translation of the theory into
757 a computer program.
758 We now show some computational results and list possible ap-
759 plications of this algorithm.
760 8. Results, examples and applications of L2 semi-discrete

761 transport
762 Fig. 12 shows some examples of transport in 2D, between a uni-

763 form density and a pointset (A). Each Laguerre cell has the same
764 area. Then we consider the same pointset, but this time with a
765 density u(x, y ) = 10(1 + sin(2π x ) sin(2π y )) (image B). We obtain
766 a completely different Laguerre diagram. Each cell of this diagram
767 has the same value for the integrated density u. (C): the coeffi-
768 cients of the gradient and the Hessian of F computed in the pre-
769 vious section involve integrals of the density u over the Laguerre
770 cells and over their boundaries. The density u is supported by a
771 triangulated mesh, and linearly interpolated on the triangles. The
772 integrals of u over the Laguerre cells and their boundaries are eval-
773 uated in closed form, by computing the intersections between the
774 Laguerre cells and the triangles of the mesh that supports u. (D):
775 the same algorithm can compute the optimal transport between a
776 measure supported by a 3D surface and a pointset in 3D.
777 Fig. 13 shows two examples of volume deformation by opti-
778 mal transport. The same algorithm is used, but this time with 3D
779 Laguerre diagrams, and by computing intersections between the
780 Laguerre cells and a tetrahedral mesh that supports the source
781 density u. The intermediary steps of the animation are generated
782 by linear interpolation of the positions (Mc. Cann’s interpolation). Fig. 17. Top: Numerical simulation of the Taylor–Rayleigh instability using a 3D ver-
783 Fig. 14 demonstrates a more challenging configuration, computing sion of the Gallouët–Mérigot scheme, with a cross-section that reveals the internal
structure of the vortices. Bottom: A closeup that shows the interface between the
784 transport between a sphere (surface) and a cube (volume). The
two fluids, represented by the Laguerre facets that bound two Laguerre cells of dif-
785 sphere is approximated with 10 million Dirac masses. As can be ferent fluid elements.
786 seen, transport has a singularity that resembles the medial axis of
787 the cube (rightmost figure).
788 Fig. 15 demonstrates an application in computational fluid dy- it would not be reasonable to fully detail the method here, but 798
789 namics. A heavy incompressible fluid (in red) is placed on top of a we give the general idea. In a nutshell, the method decomposes 799
790 lighter incompressible fluid (in blue). Both fluids tend to exchange the fluid into Laguerre cells parameterized by their sites xi and 800
791 their positions, due to gravity, but incompressibility is an obsta- weights ψ i . The weights are computed by Algorithm in Section 7.6, 801
792 cle to their movement. As a result, vortices are created, and they in such a way that each Laguerre cell has a prescribed volume 802
793 become faster and faster (Taylor–Rayleigh instability). The numer- that remains constant during the simulation. The trajectory of each 803
794 ical simulation method that we used here [10] directly computes site xi is determined by Newton’s equations, considering that it 804
795 the trajectories of particles (Lagrangian coordinates) while taking is submitted to gravity and to an “elastic force” that pulls it to- 805
796 into account the incompressibility constraint, which is in general wards the centroid of its Laguerre cell. The combined actions of 806
797 unnatural in Lagrangian coordinates. Due to length considerations, gravity applied to the sites and the elastic force that connects the 807
JID: CAG
808 site to the centroid result in gravity being applied to the centroid [10] Gallouët TO, Mérigot Q. A Lagrangian scheme à la Brenier for the 869
809 while the incompressibility constraint is enforced through the con- incompressible euler equations. Found Comput Math 2017. doi:10.1007/ 870
s10208- 017- 9355- y. 871
810 trolled volumes of the Laguerre cells13 . Using some efficient geo- [11] de Goes F, Wallez C, Huang J, Pavlov D, Desbrun M. Power particles: an 872
811 metric algorithms for the Laguerre diagram and its intersections incompressible fluid solver based on power diagrams. ACM Trans Graph 873
812 [31], the Gallouët–Mérigot numerical scheme for incompressible 2015;34(4):50:1–50:11. doi:10.1145/2766901. 874
[12] Villani C. Optimal transport : old and new. In: Grundlehren der mathema- 875
813 Euler scheme can be also applied in 3D to simulate the behavior tischen Wissenschaften. Berlin: Springer; 2009. ISBN978-3-540-71049-3, URL: 876
814 of non-mixing incompressible fluids (Fig. 16). The 3D version of the http://opac.inria.fr/record=b1129524. 877
[13] Santambrogio F. Introduction to optimal transport theory. In: Optimal trans- Q4
815 Taylor–Rayleigh instability is shown in Fig. 17, with 10 million La- 878
port, theory and applications; 2014. ISBN 9781107689497; [math.PR] http: 879
816 guerre cells. More complicated vortices are generated (shown here
//arxiv.org/abs/1009.3856. 880
817 in cross-section). [14] Caffarelli L. The Monge–Ampère equation and optimal transportation, an ele- 881
818 The applications in computer animation and computational mentary review. In: Optimal transportation and applications (Martina Franca, 882
2001). In: Lecture Notes in Mathematics; 2003. p. 1–10. 883
819 physics seem to be promising, because the semi-discrete algorithm
[15] Ambrosio L, Gigli N. A users guide to optimal transport. Modelling and opti- 884
820 behaves very well in practice. It is now reasonable to design simu- misation of flows on networks. Lecture Notes in Mathematics; 2013. p. 1–155. 885
821 lation algorithms that solve a transport problem in each time step [16] Tao T. An introduction to measure theory. American Mathematical Society; 886
822 (as our early computational fluid dynamics of the previous para- 2011. ISBN 978-0-8218-6919-2. 887
[17] McCann RJ. Existence and uniqueness of monotone measure-preserving maps. 888
823 graph do). With our optimized implementation that uses a multi- Duke Math J 1995;80(2):309–23. 889
824 core processor for the geometric part of the algorithm and a GPU [18] Tuy H. Convex analysis and global optimization. Springer optimization and its 890
825 for solving the linear systems, the semi-discrete algorithm takes no applications, vol. 110. Springer, [Cham]; 2016. ISBN 978-3-319-31482-2; 978- 891
3-319-31484-6 Second edition [of MR1615096]; URL: https://doi.org/10.1007/ 892
826 more than a few tens of seconds to solve a problem with 10 mil- 978- 3- 319- 31484- 6. 893
827 lions unknown. This opens the door to numerical solution mecha- [19] Brenier Y. Polar factorization and monotone rearrangement of vector-valued 894
828 nisms for difficult problems. For instance, in astrophysics, the Early functions. Commun Pure Appl Math 1991;44:375–417. 895
[20] Benamou J-D, Brenier Y. A computational fluid mechanics solution to the 896
829 Universe Reconstruction problem [38] consists in going “backward Monge–Kantorovich mass transfer problem. Numer Math 20 0 0;84(3):375–93. 897
830 in time” from observation data on the repartition of galaxy clus- doi:10.10 07/s0 02110 050 0 02. 898
831 ters, to “play the Big-Bang movie” backward. Our numerical exper- [21] Papadakis N, Peyré G, Oudet E. Optimal transport with proximal splitting. SIAM 899
J Imaging Sci 2014;7(1):212–38. doi:10.1137/130920058. 900
832 iments tend to confirm Brenier’s point of view that he expressed in
[22] Burkard R, Dell’Amico M, Martello S. Assignment problems. SIAM; 2009. ISBN 901
833 the 20 0 0’s, that semi-discrete optimal transport can be an efficient 978-1-61197-222-1. 902
834 way of solving this problem. [23] Leonard C. A survey of the Schrödinger problem and some of its connections 903
with optimal transport. arXiv2013;[math.PR] http://arxiv.org/abs/1308.0215; 904
835 To ensure that our results are reproducible, the source-code as-
[24] Cuturi M. Sinkhorn distances: Lightspeed computation of optimal transport. In: 905
836 sociated with the numerical solution mechanism used in all these Proceedings of the Twenty Seventh Advances in Neural Information Processing 906
837 experiments is available in the EXPLORAGRAM component of the Systems 26. Lake Tahoe, Nevada, United States; 2013. p. 2292–300. 907
838 GEOGRAM programming library14 . [25] Gangbo W, McCann RJ. The geometry of optimal transportation. Acta Math 908
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840 This research is supported by EXPLORAGRAM (Inria Exploratory p. 350–7. 914
841 Research Grant). The authors wish to thank Quentin Mérigot, Yann [28] Gu X, Luo F, Sun J, Yau S-T. Variational principles for Minkowski type prob- 915
842 Brenier, Jean-David Benamou, Nicolas Bonneel and Lénaïc Chizat lems, discrete optimal transport, and discrete Monge–Ampere equations. Asian 916
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13
In fact, the “elastic” works the other way round: instead of pulling the site to-
wards the centroid, it indirectly “pulls down” the centroid by transmitting the in-
fluence of gravity from the site.
14
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ARTICLE IN PRESS [m5G;February 12, 2018;20:21]

Contents lists available at ScienceDirect

Computers & Graphics

Notions of optimal transport theory and how to implement them on a

1 1. Introduction and to follow a continuous path from the theory to an eﬃcient 19

2 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

Fig. 2. Interpolating between two functions: linear interpolation makes a hump

44 The problem that we consider now consists in reconstructing what

81 Monge’s initial motivation to study this problem was very prac-

B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 3

113 receive a certain quantity of resource (depending for instance of

u (x ) N/A 3. Kantorovich’s relaxed problem 194

145 (Note: in contrast with functions, measures cannot be evaluated

4 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 5

Fig. 7. A discrete version of Kantorovich’s problem.

sup[L(ϕ , ψ )] = C, γ  if Px γ = U and Py γ = V

6 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

graph of ϕ̄ is the upper envelope of a family of hyperplanes, there- 434

B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 7

∀x ∈ X, u(x ) = |det JT (x )|v(T (x )). (11)

∀x ∈ X, u(x ) = |det H ϕ̄ (x )|v(∇ ϕ̄ (x )), (12)

442 Since T = ∇ ϕ̄ , we can rewrite the last equality as

449 The properties that we have presented in the previous sections

7. Semi-discrete transport 507

8 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

It is possible to show that c (Y) is a non-empty open convex set, 548

B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 9

599 hence ψ → G(Aψ , ψ ) is a concave function. Finally, the objective  

611 Proof. Reasoning by contradiction, we suppose that ψ is a 636

10 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

  In order to compute de second order derivatives, since the do- 669

642 [1], Proposition 1.34. ∂ G

646 7.4. First-order derivatives of the objective function ∇x c(x, y j ) − ∇x c(x, yl )

= c (x, ym ) − ψm . a numerical solution mechanism that computes semi-discrete op- 688

B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 11

Fig. 13. Interpolation of 3D volumes using optimal transport.

12 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

Fig. 16. Numerical simulation of an incompressible bi-phasic ﬂow in a bottle.

718 the Hessian coeﬃcients (28). In addition, it makes it possible to

B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx 13

760 8. Results, examples and applications of L2 semi-discrete

762 Fig. 12 shows some examples of transport in 2D, between a uni-

14 B. Lévy, E.L. Schwindt / Computers & Graphics xxx (2018) xxx–xxx

You might also like

sup[L(ϕ , ψ )] = C, γ if Px γ = U and Py γ = V

599 hence ψ → G(Aψ , ψ ) is a concave function. Finally, the objective

In order to compute de second order derivatives, since the do- 669