Learning non-equilibrium diffusions with Schrödinger bridges: from exactly solvable to simulation-free

We consider the Schrödinger bridge problem which, given ensemble measurements of the initial and final configurations of a stochastic dynamical system and some prior knowledge on the dynamics, aims to reconstruct the "most likely" evolution of the system compatible with the data. Most existing literature assume Brownian reference dynamics, and are implicitly limited to modelling systems driven by the gradient of a potential energy. We depart from this regime and consider reference processes described by a multivariate Ornstein-Uhlenbeck process with generic drift matrix $\mathbf{A} \in \mathbb{R}^{d \times d}$. When $\mathbf{A}$ is asymmetric, this corresponds to a non-equilibrium system in which non-gradient forces are at play: this is important for applications to biological systems, which naturally exist out-of-equilibrium. In the case of Gaussian marginals, we derive explicit expressions that characterise exactly the solution of both the static and dynamic Schrödinger bridge. For general marginals, we propose mvOU-OTFM, a simulation-free algorithm based on flow and score matching for learning an approximation to the Schrödinger bridge. In application to a range of problems based on synthetic and real single cell data, we demonstrate that mvOU-OTFM achieves higher accuracy compared to competing methods, whilst being significantly faster to train.