A deep learning approach to multi-marginal optimal transport via Hilbert space embeddings of probability measures

Abstract: We propose a numerical method for solving the multi-marginal Monge problem, which extends the classical Monge formulation to settings involving multiple target distributions. Our approach is based on the Hilbert space embedding of probability measures and employs a penalization technique using the maximum mean discrepancy to enforce marginal constraints. The method is designed to be computationally efficient, enabling GPU-based implementation suitable for large-scale problems. We confirm the effectiveness of the proposed method through numerical experiments using synthetic data.