Moment Constrained Optimal Transport for Control Applications

Abstract

This paper concerns the application of techniques from optimal transport (OT) to mean field control, in which the probability measures of interest in OT correspond to empirical distributions associated with a large collection of controlled agents. The control objective of interest motivates a one-sided relaxation of OT, in which the first marginal is fixed and the second marginal is constrained to a moment class: a set of probability measures defined by generalized moment constraints. This relaxation is particularly interesting for control problems as it enables the coordination of agents without the need to know the desired distribution beforehand. The inclusion of an entropic regularizer is motivated by both computational considerations, and also to impose hard constraints on agent behavior. A computational approach inspired by the Sinkhorn algorithm is proposed to solve this problem. This new approach to distributed control is illustrated with an application of charging a fleet of electric vehicles while satisfying grid constraints. An online version is proposed and applied in a case study on the ElaadNL dataset containing 10,000 EV charging transactions in the Netherlands. This empirical validation demonstrates the effectiveness of the proposed approach to optimizing flexibility while respecting grid constraints.