Convex relaxation approaches for high-dimensional optimal transport

Optimal transport (OT) is a powerful tool in mathematics and data science but faces severe computational and statistical challenges in high dimensions.

We propose convex relaxation approaches based on marginal and cluster moment relaxations that exploit locality in the distributions.

These methods approximate high-dimensional couplings using low-order marginals and sparse moment statistics, yielding semidefinite programs that provide lower bounds on the OT cost with greatly reduced complexity.

For Gaussian measures with sparse correlations, we prove an exponential convergence rate for the cluster moment relaxation and an improved statistical error bound.

We also establish approximation error bounds for the marginal relaxation when the reference measures are local perturbations of mean-field measures.

In addition, we demonstrate how to extract transport maps from our relaxations, offering a simpler and interpretable alternative to neural networks in generative modeling.

Extensive numerical experiments demonstrate strong empirical performance across a range of distributions.

Our results suggest that convex relaxations can provide a promising path for dimension reduction in high-dimensional OT.