Constrained Density Estimation via Optimal Transport

The classical optimal transport (OT) problem seeks the map that moves mass from a source to a target measure while minimizing a prescribed cost function. The objective can be formalized in either Monge's [12] or Kantronich's formulation [10], a convex relaxation of the former that considers transport plans instead of deterministic maps. These foundational formulations have wide-ranging applications, including to economics [7] and machine learning [14]. In many practical scenarios, the source measure is known or readily in-ferrable from empirical data but the target measure is not explicitly specified. Instead, it is only constrained by practical requirements or expert knowledge. For example, when applying Monge's formulation to transportation problems, the placement of the mass in the target region may be constrained to lie entirely beyond a certain boundary or within a particular region, rather than by the specification of a precise location for each fraction of the total mass. Similarly, in economic applications, supply and demand may be subject to constraints such as maximal amounts available or minimal amounts required, rather than dictated through precise marginal distributions. 1