Causal Optimal Coupling for Gaussian Input-Output Distributional Data
This provides a principled foundation for applying causal optimal transport to system identification from distributional data, which is incremental.
The authors tackled the problem of identifying an optimal coupling between input-output distributional data in causal dynamical systems, deriving a tractable solution using Schrödinger Bridge and Sinkhorn iterations for Gaussian marginals with quadratic costs.
We study the problem of identifying an optimal coupling between input-output distributional data generated by a causal dynamical system. The coupling is required to satisfy prescribed marginal distributions and a causality constraint reflecting the temporal structure of the system. We formulate this problem as a Schr"odinger Bridge, which seeks the coupling closest - in Kullback-Leibler divergence - to a given prior while enforcing both marginal and causality constraints. For the case of Gaussian marginals and general time-dependent quadratic cost functions, we derive a fully tractable characterization of the Sinkhorn iterations that converges to the optimal solution. Beyond its theoretical contribution, the proposed framework provides a principled foundation for applying causal optimal transport methods to system identification from distributional data.