A formula for the time derivative of the entropic cost and applications (1912.10555v2)

Abstract: In the recent years the Schr\"odinger problem has gained a lot of attention because of the connection, in the small-noise regime, with the Monge-Kantorovich optimal transport problem. Its optimal value, the \emph{entropic cost} $\mathscr{C}_T$, is here deeply investigated. In this paper we study the regularity of $\mathscr{C}_T$ with respect to the parameter $T$ under a curvature condition and explicitly compute its first and second derivative. As applications: - we determine the large-time limit of $\mathscr{C}_T$ and provide sharp exponential convergence rates; we obtain this result not only for the classical Schr\"odinger problem but also for the recently introduced Mean Field Schr\"odinger problem [3]; - we improve the Taylor expansion of $T \mapsto T\mathscr{C}_T$ around $T=0$ from the first to the second order.