Error bounds for discretized optimal transport and its reliable efficient numerical solution (1710.04888v1)

Abstract: The discretization of optimal transport problems often leads to large linear programs with sparse solutions. We derive error estimates for the approximation of the problem using convex combinations of Dirac measures and devise an active-set strategy that uses the optimality conditions to predict the support of a solution within a multilevel strategy. Numerical experiments confirm the theoretically predicted convergence rates and a linear growth of effective problem sizes with respect to the variables used to discretize given data.