A dynamical formulation of multi-marginal optimal transport

Abstract: We present a primal-dual dynamical formulation of the multi-marginal optimal transport problem for (semi-)convex cost functions. Even in the two-marginal setting, this formulation applies to cost functions not covered by the classical dynamical approach of Benamou-Brenier. Our dynamical formulation yields a convex optimization problem, enabling the use of convex optimization tools to find quasi-Monge solutions of the static multi-marginal problem for translation-invariant costs. We illustrate our results numerically with proximal splitting methods.