Weyl Calculus and Exactly Solvable Schr"odinger Bridges with Quadratic State Cost

Schr"odinger bridge--a stochastic dynamical generalization of optimal mass transport--exhibits a learning-control duality. Viewed as a stochastic control problem, the Schr"odinger bridge finds an optimal control policy that steers a given joint state statistics to another while minimizing the total control effort subject to controlled diffusion and deadline constraints. Viewed as a stochastic learning problem, the Schr"odinger bridge finds the most-likely distribution-valued trajectory connecting endpoint distributional observations, i.e., solves the two point boundary-constrained maximum likelihood problem over the manifold of probability distributions. Recent works have shown that solving the Schr"odinger bridge problem with state cost requires finding the Markov kernel associated with a reaction-diffusion PDE where the state cost appears as a state-dependent reaction rate. We explain how ideas from Weyl calculus in quantum mechanics, specifically the Weyl operator and the Weyl symbol, can help determine such Markov kernels. We illustrate these ideas by explicitly finding the Markov kernel for the case of quadratic state cost via Weyl calculus, recovering our earlier results but avoiding tedious computation with Hermite polynomials.