Minimal convex extensions and finite difference discretization of the quadratic Monge-Kantorovich problem

Abstract: We present an adaptation of the MA-LBR scheme to the Monge-Amp{`e}re equation with second boundary value condition, provided the target is a convex set. This yields a fast adaptive method to numerically solve the Optimal Transport problem between two absolutely continuous measures, the second of which has convex support. The proposed numerical method actually captures a specific Brenier solution which is minimal in some sense. We prove the convergence of the method as the grid stepsize vanishes and we show with numerical experiments that it is able to reproduce subtle properties of the Optimal Transport problem.