On the Equivalence of Stochastic Control and Path Space Formulations for Schr\"odinger Bridges over Compact Connected Lie Groups

Abstract

We establish the equivalence between the stochastic optimal control and path space formulations of the Schr\"odinger bridge problem (SBP) for the kinematic equation on a compact connected Lie group. Using the geometric concepts of horizontal lift and stochastic anti-development, we derive a Girsanov-type change-of-measure result, and show that the expected control energy equals the relative entropy of the controlled path law with respect to the reference Wiener measure. Thus, the SBP is equivalently a path space relative entropy minimization problem subject to prescribed endpoint marginals.Our result has three useful implications. From an analytic viewpoint, the shown equivalence helps prove the existence and uniqueness of the SB. From a probabilistic viewpoint, it helps interpret the SB as the most probable deviation of the uncontrolled stochastic dynamics consistent with the endpoint constraints. From a computational viewpoint, it allows using static Sinkhorn recursions to directly solve the relative entropy minimization problem and compute the optimal path measure. We illustrate the equivalence numerically on the torus $\mathbb{T}^2$. The code is publicly available at: https://github.com/gradslab/LargeDeviationSBP