Unbalanced Optimal Transport and Density Control for Discrete-Time Linear Systems

Abstract: This article studies unbalanced optimal transport (UOT) and its dynamical extension, unbalanced density control (UDC), for a class of constrained discrete-time linear systems. UOT compares measures with unequal total mass by balancing transport cost and fidelity to reference measures, while UDC incorporates system dynamics and constraints into this framework. Focusing on Gaussian references and discrete-time linear systems, we show that both problems admit globally optimal convex formulations, analogous to covariance steering. A numerical experiment is provided to illustrate our approach.