Go With the Flow: Fast Diffusion for Gaussian Mixture Models

Schrodinger Bridges (SBs) are diffusion processes that steer, in finite time, a given initial distribution to another final one while minimizing a suitable cost functional. Although various methods for computing SBs have recently been proposed in the literature, most of these approaches require computationally expensive training schemes, even for solving low-dimensional problems. In this work, we propose an analytic parametrization of a set of feasible policies for steering the distribution of a dynamical system from one Gaussian Mixture Model (GMM) to another. Instead of relying on standard non-convex optimization techniques, the optimal policy within the set can be approximated as the solution of a low-dimensional linear program whose dimension scales linearly with the number of components in each mixture. The proposed method generalizes naturally to more general classes of dynamical systems, such as controllable linear time-varying systems, enabling efficient solutions to multi-marginal momentum SBs between GMMs, a challenging distribution interpolation problem.