Cost-augmented Schr\"odinger bridges on graphs are exactly solvable: a Feynman-Kac tilt replaces learned control

Abstract

The generalized Schr\"odinger bridge on a graph moves mass between two distributions while charging a cost for the states visited. It has been approached by learning the rates of a controlled continuous-time Markov chain, with a temporal-difference penalty that restores the cost. A state cost folds into the reference process as a Feynman-Kac tilt. The cost-augmented bridge is then a plain bridge against the tilted reference, and the penalty is unnecessary. The bridge is computed exactly by alternating two endpoint rescalings, each one sparse matrix-exponential application; nothing is discretized in time or learned. The alternation converges at a rate set by the endpoint coupling alone. For a quadratic congestion cost on time-averaged occupancies, damped best response around the exact bridge is gradient descent on a strongly convex function, and its residual bounds its error. On a protein-folding model, a free-energy cost lowers the expected barrier of the folding paths. On the learned approach's road network, roll-outs of the exact bridge match the target within sampling error, and on networks with millions of intersections its memory grows linearly.