Constructive approximate transport maps with normalizing flows

Abstract

We study an approximate controllability problem for the continuity equation and its application to constructing transport maps with normalizing flows. Specifically, we construct time-dependent controls $\theta=(w, a, b)$ in the vector field $x\mapsto w(a^\top x + b)_+$ to approximately transport a known base density $\rho_{\mathrm{B}}$ to a target density $\rho_*$. The approximation error is measured in relative entropy, and $\theta$ are constructed piecewise constant, with bounds on the number of switches being provided. Our main result relies on an assumption on the relative tail decay of $\rho_*$ and $\rho_{\mathrm{B}}$, and provides hints on characterizing the reachable space of the continuity equation in relative entropy.