Robust Transport over Networks

We consider transportation over a strongly connected, directed graph. The scheduling amounts to selecting transition probabilities for a discrete-time Markov evolution which is designed to be consistent with initial and final marginal constraints on mass transport. We address the situation where initially the mass is concentrated on certain nodes and needs to be transported over a certain time period to another set of nodes, possibly disjoint from the first. The evolution is selected to be closest to a {\em prior} measure on paths in the relative entropy sense--such a construction is known as a Schroedinger bridge between the two given marginals. It may be viewed as an atypical stochastic control problem where the control consists in suitably modifying the prior transition mechanism. The prior can be chosen to incorporate constraints and costs for traversing specific edges of the graph, but it can also be selected to allocate equal probability to all paths of equal length connecting any two nodes (i.e., a uniform distribution on paths). This latter choice for prior transitions relies on the so-called Ruelle-Bowen random walker and gives rise to scheduling that tends to utilize all paths as uniformly as the topology allows. Thus, this Ruelle-Bowen law (${\mathfrak M}_{\rm RB}$) taken as prior, leads to a transportation plan that tends to lessen congestion and ensures a level of robustness. We also show that the distribution ${\mathfrak M}_{\rm RB}$ on paths, which attains the maximum entropy rate for the random walker given by the topological entropy, can itself be obtained as the time-homogeneous solution of a maximum entropy problem for measures on paths (also a Schr\"{o}dinger bridge problem, albeit with prior that is not a probability measure). Finally we show that the paradigm of Schr\"odinger bridges as a mechanism for scheduling transport on networks can be adapted to graphs that are not strongly connected, as well as to weighted graphs. In the latter case, our approach may be used to design a transportation plan which effectively compromises between robustness and other criteria such as cost. Indeed, we explicitly provide a robust transportation plan which assigns {\em maximum probability} to {\em minimum cost paths} and therefore compares favorably with Optimal Mass Transportation strategies

Probabilistic Kernel Support Vector Machines

We propose a probabilistic enhancement of standard kernel Support Vector Machines for binary classification, in order to address the case when, along with given data sets, a description of uncertainty (e.g., error bounds) may be available on each datum. In the present paper, we specifically consider Gaussian distributions to model uncertainty. Thereby, our data consist of pairs $(x_i,\Sigma_i)$, $i\in\{1,\ldots,N\}$, along with an indicator $y_i\in\{-1,1\}$ to declare membership in one of two categories for each pair. These pairs may be viewed to represent the mean and covariance, respectively, of random vectors $\xi_i$ taking values in a suitable linear space (typically $\mathbb R^n$). Thus, our setting may also be viewed as a modification of Support Vector Machines to classify distributions, albeit, at present, only Gaussian ones. We outline the formalism that allows computing suitable classifiers via a natural modification of the standard "kernel trick." The main contribution of this work is to point out a suitable kernel function for applying Support Vector techniques to the setting of uncertain data for which a detailed uncertainty description is also available (herein, "Gaussian points").Comment: 6 pages, 6 figure

Efficient robust routing for single commodity network flows

We study single commodity network flows with suitable robustness and efficiency specs. An original use of a maximum entropy problem for distributions on the paths of the graph turns this problem into a steering problem for Markov chains with prescribed initial and final marginals. From a computational standpoint, viewing scheduling this way is especially attractive in light of the existence of an iterative algorithm to compute the solution. The present paper builds on [13] by introducing an index of efficiency of a transportation plan and points, accordingly, to efficient-robust transport policies. In developing the theory, we establish two new invariance properties of the solution (called bridge) \u2013 an iterated bridge invariance property and the invariance of the most probable paths. These properties, which were tangentially mentioned in our previous work, are fully developed here. We also show that the distribution on paths of the optimal transport policy, which depends on a \u201ctemperature\u201d parameter, tends to the solution of the \u201cmost economical\u201d but possibly less robust optimal mass transport problem as the temperature goes to zero. The relevance of all of these properties for transport over networks is illustrated in an example

Matricial Wasserstein-1 Distance

In this note, we propose an extension of the Wasserstein 1-metric ($W_1$) for matrix probability densities, matrix-valued density measures, and an unbalanced interpretation of mass transport. The key is using duality theory, in particular, a "dual of the dual" formulation of $W_1$. This matrix analogue of the Earth Mover's Distance has several attractive features including ease of computation.Comment: 8 page