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The dynamic formulation of optimal transport has attracted growing interests in scientific computing and machine learning, and its computation requires to solve a PDE-constrained optimization problem. The classical Eulerian discretization based approaches suffer from the curse of dimensionality, which arises from the approximation of high-dimensional velocity field. In this work, we propose a deep learning based method to solve the dynamic optimal transport in high dimensional space. Our method contains three main ingredients: a carefully designed representation of the velocity field, the discretization of the PDE constraint along the characteristics, and the computation of high dimensional integral by Monte Carlo method in each time step. Specifically, in the representation of the velocity field, we apply the classical nodal basis function in time and the deep neural networks in space domain with the H1-norm regularization. This technique promotes the regularity of the velocity field in both time and space such that the discretization along the characteristic remains to be stable during the training process. Extensive numerical examples have been conducted to test the proposed method. Compared to other solvers of optimal transport, our method could give more accurate results in high dimensional cases and has very good scalability with respect to dimension. Finally, we extend our method to more complicated cases such as crowd motion problem.

A recent line of work has studied the statistical properties of neural networks to great success from a {\it mean field theory} perspective, making and verifying very precise predictions of neural network behavior and test time performance. In this paper, we build upon these works to explore two methods for taming the behaviors of random residual networks (with only fully connected layers and no batchnorm). The first method is {\it width variation (WV)}, ie varying the widths of layers as a function of depth. We show that width decay reduces gradient explosion without affecting the mean forward dynamics of the random network. The second method is {\it variance variation (VV)}, ie changing the initialization variances of weights and biases over depth. We show VV, used appropriately, can reduce gradient explosion of tanh and ReLU resnets from \exp (\Theta (\sqrt L)) and \exp (\Theta (\sqrt L)) respectively to constant \exp (\Theta (\sqrt L)) . A complete phase-diagram is derived for how variance decay affects different dynamics, such as those of gradient and activation norms. In particular, we show the existence of many phase transitions where these dynamics switch between exponential, polynomial, logarithmic, and even constant behaviors. Using the obtained mean field theory, we are able to track surprisingly well how VV at initialization time affects training and test time performance on MNIST after a set number of epochs: the level sets of test/train set accuracies coincide with the level sets of the expectations of certain gradient norms or of metric expressivity (as defined in\cite {yang_meanfield_2017}), a measure of expansion in a random neural network. Based on insights from past works in

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Factor models are a class of powerful statistical models that have been widely used to deal with dependent measurements that arise frequently from various applications from genomics and neuroscience to economics and finance. As data are collected at an ever-growing scale, statistical machine learning faces some new challenges: high dimensionality, strong dependence among observed variables, heavy-tailed variables and heterogeneity. High-dimensional robust factor analysis serves as a powerful toolkit to conquer these challenges.