Solving Schr\"{o}dinger bridge problem via continuous normalizing flow

Abstract

The Schr\"{o}dinger Bridge Problem (SBP), which can be understood as an entropy-regularized optimal transport, seeks to compute stochastic dynamic mappings connecting two given distributions. SBP has shown significant theoretical importance and broad practical potential, with applications spanning a wide range of interdisciplinary fields. While theoretical aspects of the SBP are well-understood, practical computational solutions for general cases have remained challenging. This work introduces a computational framework that leverages continuous normalizing flows and score matching methods to approximate the drift in the dynamic formulation of the SBP. The learned drift term can be used for building generative models, opening new possibilities for applications in probability flow-based methods. We also provide a rigorous $\Gamma-$convergence analysis for our algorithm, demonstrating that the neuron network solutions converge to the theoretical ones as the regularization parameter tends to infinity. Lastly, we validate our algorithm through numerical experiments on fundamental cases.