From Knothe's Rearrangement to Brenier's Optimal Transport Map

The Brenier optimal map and Knothe--Rosenblatt rearrangement are two instances of a transport map, that is, a map sending one measure onto another. The main interest of the former is that it solves the Monge--Kantorovich optimal transport problem, while the latter is very easy to compute, being given by an explicit formula. A few years ago, Carlier, Galichon, and Santambrogio showed that the Knothe rearrangement could be seen as the limit of the Brenier map when the quadratic cost degenerates. In this paper, we prove that on the torus (to avoid boundary issues), when all the data are smooth, the evolution is also smooth and is entirely determined by a PDE for the Kantorovich potential (which determines the map) with a subtle initial condition. The proof requires the use of the Nash--Moser inverse function theorem. This result generalizes the ODE discovered by Carlier, Galichon, and Santambrogio when one measure is uniform and the other is discrete and could pave to way to new numerical methods for optimal...