Nonlinear Non-Gaussian Density Steering with Input and Noise Channel Mismatch: Sinkhorn with Memory for Solving the Control-affine Schrödinger Bridge Problem

We consider a mutual information (MI) regularized version of optimal density control of a discrete-time linear system. MI optimal control has been proposed as an extension of maximum entropy optimal control to trade off between control performance and benefits provided by stochastic inputs. MI regularization induces stochasticity in the policy, which poses challenges for applications of MI optimal control in safety-critical scenarios. To remedy this situation, we impose Gaussian density constraints at specified times to directly control state uncertainty. For this MI optimal density control problem, we propose an alternating optimization algorithm and derive the closed form of each step in the algorithm. In addition, we reveal that the alternating optimization of the MI optimal density control problem coincides with that of the so-called generalized Schrödinger bridge problem associated with the discrete-time linear system.

We study stochastic density control between Gaussian-mixture endpoint distributions under Brownian prior dynamics. Since the direct Schrödinger bridge between Gaussian mixtures is generally not available in closed form, we introduce a lifted path-space construction in which each trajectory is augmented with a source--target component label. Consequently, the problem decomposes into Gaussian component-to-component Schrödinger bridges with explicit marginal, drift, and cost formulas, while the mixture-level assignment reduces to a finite-dimensional entropic coupling problem with a Sinkhorn scaling form. We then analyze the projection obtained by discarding or forgetting the label. By construction, the projected law satisfies the original Gaussian-mixture endpoint constraints, but its relative entropy generally differs from the lifted relative entropy by a nonnegative conditional label-information gap. This gap reveals a path-space obstruction: the lifted optimizer cannot, in general, be identified with the direct unlabeled Schrödinger bridge after projection. We also derive the posterior-averaged Markov drift associated with the projected marginal flow, prove a kinetic-energy upper bound, and identify a common path-potential condition under which the projection gap vanishes. Several numerical illustrations showing density and shape control are recorded for a self-contained exposition.

The Schrödinger bridge problem is concerned with finding a stochastic dynamical system bridging two marginal distributions that minimises a certain transportation cost. This problem, which represents a generalisation of optimal transport to the stochastic case, has received attention due to its connections to diffusion models and flow matching, as well as its applications in the natural sciences. However, all existing algorithms allow to infer such dynamics only for cases where samples from both distributions are available. In this paper, we propose the first general method for modelling Schrödinger bridges when one (or both) distributions are given by their unnormalised densities, with no access to data samples. Our algorithm relies on a generalisation of the iterative proportional fitting (IPF) procedure to the data-free case, inspired by recent developments in off-policy reinforcement learning for training of diffusion samplers. We demonstrate the efficacy of the proposed data-to-energy IPF on synthetic problems, finding that it can successfully learn transports between multimodal distributions. As a secondary consequence of our reinforcement learning formulation, which assumes a fixed time discretisation scheme for the dynamics, we find that existing data-to-data Schrödinger bridge algorithms can be substantially improved by learning the diffusion coefficient of the dynamics. Finally, we apply the newly developed algorithm to the problem of sampling posterior distributions in latent spaces of generative models, thus creating a data-free image-to-image translation method. Code: https://github.com/mmacosha/d2e-stochastic-dynamics