Robust transport over networks.
Published Web Locationhttps://doi.org/10.1109/tac.2016.2626796
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 in a certain time period to another set of nodes, possibly disjoint from the first. The random evolution is selected to be closest to a prior measure on paths in the relative entropy sense-such a construction is known as a Schrödinger 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 (?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 ?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 Schrödinger bridge problem, albeit with prior that is not a probability measure). Finally we show that the paradigm of Schrödinger 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 maximum probability to minimum cost paths and therefore compares favourably with Optimal Mass Transportation strategies.