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International Series of Numerical Mathematics
Michael Hintermüller,
Roland Herzog,
Christian Kanzow,
172
Michael Ulbrich,
Stefan Ulbrich, Editors
Non-Smooth and
Complementarity-Based
Distributed Parameter
Systems
Simulation and Hierarchical
Optimization
ISNM
International Series of Numerical Mathematics
Volume 172
Series Editors
Michael Hintermüller, Weierstrass Institute for Applied Analysis and Stochastics,
Berlin, Berlin, Germany
Günter Leugering, Department Mathematik, Universität Erlangen-Nürnberg,
Erlangen, Bayern, Germany
Associate Editors
Zhiming Chen, Inst. of Computational Mathem., Chinese Academy of Sciences,
Beijing, China
Ronald H. W. Hoppe, Dept of Mathematics, University of Houston, Houston, TX,
USA
Nobuyuki Kenmochi, Fac. Education, Chiba University, Chiba, Japan
Victor Starovoitov, Novosibirsk State University, Novosibirsk, Russia
Honorary Editor
Karl-Heinz Hoffmann, Technical University of Munich, Garching, Germany
Non-Smooth and
Complementarity-Based
Distributed Parameter
Systems
Simulation and Hierarchical Optimization
Editors
Michael Hintermüller Roland Herzog
Weierstrass Institute for Applied Institute for Applied Mathematics
Analysis and Stochastics University of Heidelberg
Berlin, Germany Heidelberg, Germany
Stefan Ulbrich
Fachbereich Mathematik
Technische Universitaet Darmstadt
Darmstadt, Hessen, Germany
Mathematics Subject Classification: 49J52, 49J53, 90C33, 46N10, 93A13, 49J21, 49J20, 49K40
This book is published under the imprint Birkhäuser, www.birkhauser-science.com, by the registered
company Springer Nature Switzerland AG
The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
Preface
v
vi Preface
vii
viii Contents
1 Introduction
coarse grids, i.e., typically only for approximations with a few thousand atoms. It is
another goal of this article to devise an iterative strategy that automatically identifies
the support of a solution using auxiliary problems of comparable sizes. For other
approaches to the numerical solution of optimal transport problems, we refer the
reader to [1–3, 5, 14]; for details on the mathematical formulation and its analytical
features we refer the reader to [8, 17, 18].
Our error estimate follows from identifying convex combinations of Dirac
measures supported in the nodes of a given triangulation as approximations of
probability measures via the adjoint of the standard nodal interpolation operator
defined on continuous functions. Thereby, it is possible to quantify the approxima-
tion quality of a discretized probability measure in the operator norm related to a
class of continuously differentiable functions.
Using the fact that if c is strictly convex and μ has a density, the support of
optimal solutions is contained in a lower-dimensional set, we expect that the linear
programs have a sparse solution, i.e., the number of nonzero entries in the solution
matrix is comparable to M + N . Related approaches have previously been discussed
in the literature, cf. [12, 15]. In this article, we aim at investigating a general strategy
that avoids assumptions on an initial guess or a coarse solution and particular
features of the cost function and thus leads to an efficient solution procedure that
is fully reliable.
The optimality conditions for standard linear programs characterize the optimal
support using the Lagrange multipliers φ and ψ which occur as solutions of the
dual problem. Given approximations of those multipliers, we may restrict the full
linear program to the small set of atoms where those approximations satisfy the
characterizing equations of the optimal support up to some tolerance, with the
expectation that the optimal support is contained in this set. If the solution of the
corresponding reduced linear program satisfies the optimality conditions of the
full problem, a global solution is found. Otherwise, the tolerance is increased to
enlarge the active set of the reduced problem, and the procedure is repeated. Good
approximations of the Lagrange multipliers result from employing a multilevel
scheme and in each step prolongating the dual solutions computed on a coarser
grid to the next finer grid.
Our numerical experiments reveal that this iterative strategy leads to linear
programs whose dimensions are comparable to M + N . The optimality conditions
have to be checked on the full product grid which requires O(MN ) arithmetic
operations. These are however fully independent and can be realized in parallel. The
related algorithm of [12] avoids this test and simply adds atoms in a neighbourhood
of a coarse-grid solution. This is an efficient strategy if a good coarse-grid solution
is available. Similar approaches have been discussed in [9, 11, 16].
Another alternative is the method presented in [15] where the concept of
shielding neighbourhoods is introduced. Solutions which are optimal in a shielding
neighbourhood are analytically shown to be globally optimal. Strategies to construct
those sets are presented for several cost functions. However, each cost function
requires a particular strategy to find the neighbourhoods, depending on its geometric
structure. Critical for the efficiency of the algorithm is the sparsity of shielding
Discrete Optimal Transport 3
neighbourhoods for which theoretical bounds and intuitive arguments are given,
confirmed by numerical experiments.
The efficiency of our numerical scheme can be greatly increased if it is combined
with the methods from [12] or [15]. In this case, the activation of atoms is only done
within the described neighbourhoods of the support of a current approximation. This
is expected to be reliable once asymptotic convergence behaviour is observed.
The outline of this article is as follows. The general optimal transport problem,
its discretization, optimality conditions, and sparsity properties are discussed in
Sect. 2. A rigorous error analysis for optimal costs based on the approximation
of marginal measures via duality is carried out in Sect. 3. Section 4 devises the
multilevel active-set strategy for efficiently solving the linear programs arising from
the discretization. The efficiency of the algorithm and the optimality of the error
estimates are illustrated via numerical experiments in Sect. 5.
We describe in this section the general mathematical framework for optimal trans-
port problems, their discretization, optimality conditions, and sparsity properties of
optimal transport plans.
Here, PX π and PY π are defined via PX π(A) = π(A×Y ) and PY π(B) = π(X×B)
for measurable sets A ⊂ X and B ⊂ Y , respectively. This formulation may be
regarded as a relaxation of the problem of determining a transport map T : X → Y
which minimizes a cost functional in the set of bijections between X and Y subject
to the constraint that the measure μ is pushed forward by T into the measure ν:
Minimize I [T ] = X c(x, T (x)) dμ(x)
(P )
subject to T bijective and T# μ = ν.
4 S. Bartels and S. Hertzog
g ◦ T det DT = f,
2.2 Discretization
In the case where the marginals are given by convex combinations of Dirac measures
supported in atoms (xi )i=1,...,M ⊂ X and (yj )j =1,...,N ⊂ Y , respectively, i.e.,
M
N
j
μh = μih δxi , νh = νh δyj ,
i=1 j =1
we have that admissible transport plans π are supported in the set of pairs of atoms
(xi , yj ). Indeed, if A × B ⊂ X × Y with (xi , yj ) ∈ A × B, i.e., xi ∈ A for all
i ∈ {1, 2, . . . , M} or yj ∈ B for all j ∈ {1, 2, . . . , N }, then one of the inequalities
plans to optimal transport plans can be established via abstract theories, cf. [12, 18]
for details.
M
N
N
M
h [πh ; φh , ψh ] = Ih [πh ] +
L φhi μih −
ij
πh +
j j
ψh νh −
ij
πh
i=1 j =1 j =1 i=1
M
N
M
N
ij j j j
= πh c(xi , yj ) − φhi − ψh + φhi μih + ψh νh .
i=1 j =1 i=1 j =1
j
c(xi , yj ) − φhi − ψh ≥ 0,
j ij
φhi + ψh < c(xi , yj ) ⇒ πh = 0,
2.4 Sparsity
The Knott–Smith theorem and generalizations thereof state that optimal transport
plans are supported on c-cyclically monotone sets, cf. [18]. In particular, if c is
strictly convex and if the marginal μ has a density, then optimal transport plans are
unique and supported on the graph of the c-subdifferential of a c-convex function .
For the special case of a quadratic cost function, it follows that is a solution of the
Monge–Ampère equation for which regularity properties can be established, cf. [7,
17]. Hence, in this case it is rigorously established that the support is contained in
a lower-dimensional submanifold. Typically, such a quantitative behaviour can be
expected but may be false under special circumstances. We refer the reader to [6]
for further details on partial regularity properties of transport maps.
On the discrete level, it is irrelevant to distinguish measures with or without
densities since the action of a discrete measure on a finite-dimensional set Vh of
6 S. Bartels and S. Hertzog
vh fh dx = μh , vh ,
X
for all vh ∈ Vh . The properties of optimal transport plans thus apply to the discrete
transport problem introduced above. Asymptotically, these properties remain valid
provided that we have fh → f in L1 (X) for a limiting density f ∈ L1 (X).
3 Error Analysis
Nh = {z1 , z2 , . . . , zL }
with z = , ϕz . Standard nodal interpolation estimates imply that we have, cf. [4],
APPENDICES
1. Extracts From Godwin, D'urfey and Swift
2. Bibliography
3. Genealogy
4. Coat of Arms
APPENDIX I
Bishop Godwin—Tom d'Urfey—Swift
To give full extracts from all the books copied by or copied from
Cyrano de Bergerac would make a volume. In the notes or the
introduction attention has already been called to Cyrano's greater or
less indebtedness to Lucian, Rabelais, Sorel, Gassendi, Descartes,
Rohault and other writers. His borrowing from Bishop Godwin's Man
in the Moon is considerable. This pamphlet is included in the
Harleian Miscellany (1810) vol. xi. The hero is a Spaniard, Domingo
Gonsales, who manufactures a flying machine, drawn by "gansas,"
or wild geese, in which he is carried to the moon. There is a certain
amount of scientific disquisition upon gravity and a rebuke to those
who reject the Copernican system of astronomy; which corresponds
with Cyrano's talk with the governor of New France. Other points in
common may be tabulated:
1. Gonsales does not feel hungry on his voyage "on account of the
purity of the air".
2. He sees the earth turning beneath him.
3. Everything in the moon is larger than in the earth and the people
are "generally twice as high as ours"; they "live wonderful long", "a
thousand years".
4. They fan themselves rapidly through the air; the "attraction" of
the moon's earth is much less than ours.
5. A paragraph about sleep seems to have inspired Cyrano with his
beds of flowers and tickling attendants.
6. "Their language is very difficult, since it hath no affinity with any
other I ever heard, and consists not so much of words and letters,
as tunes and strange sounds, which no letters can express; for there
are few words but signify several things.... Yea, many words consist
of tunes only without words, by occasion whereof I find a language
may be framed, and easily learned, as copious as any other in the
world, only of tunes, which is an experiment worth searching after."
This pamphlet was published in England in 1638 and translated into
French in 1648.
Tom d'Urfey's Wonders in the Sun or the Kingdom of the Birds
(London, 1706) is obviously inspired by Cyrano's Voyages (without
acknowledgment). There are characters taken from Cyrano: the
main situation is the trial before the court of birds and whole slices
of the prose dialogues are simply a translation. Characters are
Domingo Gonzales and Diego his man; the Daemon of Socrates; all
with leading parts; and King Dove. The other bird-characters are
ingenious and Tom's own. Here is an extract from Act I, scene 1:
Daemon: Two thousand Years and upwards since the Death of that
Philosopher I've carefully Employ'd in Art's Improvement, I first in
Thebes Taught wise Epaminondas, then turning over to the Roman
side Espous'd the Party of the younger Cato.
Gonzales: The world admir'd your fame, the Learned Cardan still
doted on your Tenets.
Daemon: He had reason. I Taught him many things. Trithmethius
too, Cæzar, La Brosse and the occult Agrippa were all my Pupils,
beside a new Cabal of Wise young Men, vulgarly called the Rosa-
crucian Knights, those were, should I dilate their Virtues fully, the
very Keys of the locks of Nature.
Gonzales: Gossendus too in France, and Campanella were under
your instruction.
That is almost word for word from the Moon. In the same scene
occurs this:
Gonzales: Well, and pray, Sir, your Philosophers, what must they
feed on?
Daemon: Steams, luscious Fumes, rich edifying Smoak.
The next scene contains a translation of Cyrano's notion of the
dignity of walking on all fours. Acts II and III furnish other parallels;
but in Act IV, the trial scene is very closely imitated from Cyrano's
trial in the History of the Birds in The Sun. The speech of the
prosecution is almost a word for word translation; the sentence is
the same and the prisoners are rescued by a parrot named "Cæzar"!
(See The Sun.)
It has long been recognised that Gulliver's Travels owes quite as
much to Cyrano de Bergerac as to any other book. The resemblance
is rather one of general ideas, taken up and exploited by Swift, than
of parallel passages. One passage in the Voyage to Lilliput, chapter
VI, is taken directly from Cyrano:
"Their notions relating to the duties of parents and children differ
extremely from ours. For, since the conjunction of male and female
is founded upon the great law of Nature, in order to propagate and
continue the species, the Lilliputians will needs have it that men and
women are joined together, like other animals, by the motives of
concupiscence; and that their tenderness towards their young
proceeds from the like natural principle: for which reason they will
never allow that a child is under any obligation to his father for
begetting him, or to his mother for bringing him into the world,
which, considering the miseries of human life, was neither a benefit
in itself, nor intended so by his parents, whose thoughts in their love
encounters were otherwise employed. Upon these and the like
reasoning, their opinion is, that parents are the last of all others to
be trusted with the education of their own children: and therefore
they have in every town public nurseries, where all parents, except
cottagers and labourers, are obliged to send their infants of both
sexes to be reared and educated, when they come to the age of
twenty moons, at which time they are supposed to have some
rudiments of docility." (See The Moon.)
Chapter II of the Voyage to Brobdingnag has a strong likeness to
those parts of Cyrano's Moon describing how he was showed by a
mountebank. The flashing swords in chapter VII, the king's desire to
"propagate the breed" in chapter VIII, even the adventure with the
monkey, may have been suggested by Cyrano. As to the
"Houyhnhnms", the device of satirising and shaming man by
showing him to be inferior in virtues to the very beasts is a favourite
one of Cyrano. The scenes with the birds and trees in the Sun and
some of the philosophical conversations in the Moon may be referred
to for confirmation of this. There can be little doubt that Swift read
Cyrano de Bergerac closely and frequently built upon what the
French writer had done or took up and developed better the hint of
some idea. The unity of Swift's purpose, the even tone of his prose,
the strong air of common sense, the Defoe-like illusion of reality, are
all in sharp contrast with Cyrano's wandering fancies, varying styles,
extravagance and lack of common sense.
APPENDIX II
LIST OF EDITIONS
(A complete bibliography of Cyrano de Bergerac's works will be
found in M. Lachèvre's edition. This list will give only editions of the
Complete Works and of the Estats et Empires de la Lune et du Soleil,
but will add all the discoverable English translations of Cyrano's
work.)
ŒUVRES COMPLÈTES
Les œuvres de Monsieur de Cyrano Bergerac. Première (et seconde)
partie. A Paris, chez Charles de Sercy, au Palais, au Sixiesme Pilier de
la Grand' Salle, vis-à-vis la Montée de la Cour des Aydes, à la Bonne-
Foy couronnée. M.DC.LXXVI. in-12.
Ditto. Rouen, 1677. 2 Vol. in-12.
Ditto. Paris, Ch. Osmont, 1699. 2 Vol. in-12.
Les œuvres diverses de monsieur de Cyrano Bergerac. Tome premier
(et second). Enrichi de Figures en taille-douce. A Amsterdam, chez
Daniel Pain, Marchand Libraire sur le Woorburgwal, proche du
Stilsteeg. M.DC.XCIX.
Ditto. Rouen, J.-B. Besonge, 1710. 2 Vol. in-12.
Ditto. Amsterdam, Jacques Desbordes, M.DCC.X.
Les Œuvres de Monsieur de Cyrano Bergerac.... A Amsterdam,
Jacques Desbordes, M.DCC.IX.
Ditto. Nouvelle édition, Paris, 1709. 2 Vol. in-12.
Les Œuvres Diverses de monsieur de Cyrano Bergerac. Tomes
premier (second et troisième). A Amsterdam, chez Jacques
Desbordes.... M.DCC.XII (1741 or 1761). in-8.
(Editions labelled Amsterdam actually printed at Rouen or perhaps
Trévoux.)
MODERN EDITIONS
Œuvres de Cyrano de Bergerac, précédées d'une Notice par Le
Blanc. Voyage Comique dans les Estats et Empires de la Lune,
Voyage Comique dans les Estats et Empires du Soleil. Paris. Victor
Lecou, et Toulouse, Librairie centrale, 1855, in-8.
Histoire Comique des Estats et Empires de la Lune et du Soleil, par
Cyrano de Bergerac. Nouvelle Edition revue et publiée avec des
notes et une Notice historique. Par P.L. (Paul Lacroix) Jacob,
bibliophile. Paris, Adolphe Delahays, 1858, in-8.
Voyages Fantastiques de Cyrano Bergerac. Publiés avec une
introduction et des Notes par Marc de Montifaud. Paris, Librairie des
Bibliophiles, 1875, in-8.
Histoire Comique de la Lune et du Soleil. Paris, Garnier, 1876, in-12.
Histoire Comique, etc. Expurgated edition, 1886.
Cyrano de Bergerac. Voyage dans la Lune. Paris, Ernest Flammarion.
No date, in-8.
Cyrano de Bergerac, Œuvres Comiques, etc. Paris, Librairie de la
Bibliothèque nationale, 1898.
Collection des plus belles pages. Cyrano de Bergerac.... Notice de
Remy de Gourmont. Paris, Société du Mercure de France, M.CM.VIII.
in-18. (A good and useful edition of very full selections.)
De Cyrano Bergerac. L'Autre Monde, etc. Illustrations de Robida.
Librairie Moderne. Maurice Bauche, éditeur.... Paris, M.CM.X. in-8.
(Contains a hybrid text, part from MSS. and part from ed. Lyon,
1663.)
S. de Cyrano Bergerac. Histoire Comique, etc. As above. M.CM.X.
Les Œuvres Libertines de Cyrano de Bergerac, Parisien (1619-1655).
Précédées d'une notice Biographique par Frédéric Lachèvre. Paris.
Librairie Ancienne Honoré Champion. 2 Vols. 1921.
(Contains the whole of Cyrano's work, except a few of the letters;
the best text of the Voyages with MS. variations and notes; the
notice is very full and accompanied with many unpublished
documents. The edition is indispensable for any serious study of
Cyrano de Bergerac. Its text has been used throughout for this
translation.)
ENGLISH TRANSLATIONS
Cyrano de Bergerac
La vraye et parfaite science des armoires, augmentée par P. Paillot,
Dijon et Paris, 1660, folio, gives a description of the arms of Cyrano
which (with apologies to heralds) I English as follows:
"Azure, a chevron or, two lion-skins or bound gules suspended in
chief, a lion with a tail saltire-wise or armed gules, with a chief
gules."
In spite of this imposing shield the Cyrano family failed to establish
its claim to nobility at the visitations of 1668 and 1704. On the
former occasion Abel de Cyrano (brother of our author) was fined
300 livres for claiming nobility unlawfully and on the latter occasion a
cousin, J. D. de Cyrano, was fined the large sum of 3000 livres for
the same offence.