On the existence of Monge solutions to multi-marginal optimal transport with quadratic cost and uniform discrete marginals

A natural and important question in multi-marginal optimal transport is whether the \emph{Monge ansatz} is justified; does there exist a solution of Monge, or deterministic, form? We address this question for the quadratic cost when each marginal measure is $m$-empirical (that is, uniformly supported on $m$ points). By direct computation, we provide an example showing that the ansatz \emph{can fail} when the underlying dimension $d$ is $2$, number of marginals $N$ to be matched is $3$ and the size $m$ of their supports is $3$. As a consequence, the set of $m$-empirical measures is not barycentrically convex when $N\ge 3$, $d\ge 2$ and $m\ge 3$. It is a well known consequence of the Birkhoff-von Neumann Theorem that the Monge ansatz holds for $N=2$, standard techniques show it holds when $d=1$, and we provide a simple proof here that \emph{it holds whenever $m=2$}. Therefore, the $N$, $d$ and $m$ in our counterexample are as small as possible.