We propose a new framework for generative modeling based on a discrete-time stochastic control formulation of measure transport. Adapting classic results from control theory, we formulate our problem as a linear program whose dual variables correspond to the *optimal value function* of the control problem, which directly encodes the optimal control policy. Exploiting this LP formulation, we develop an efficient simulation-free primal-dual algorithm for computing approximately optimal value functions and the associated *value-driven transport* (VDT) policies which approximate the true optimal policy. We show that well-trained VDT policies enjoy numerous favorable properties in comparison with other state-of-the-art methods based on flows, diffusions, or Schrödinger bridges: they lead to straight transport paths which can be simulated quickly and robustly, and can be enhanced in all the same ways as diffusion and flow-based models (e.g., conditional generation, classifier-free guidance, unpaired data-to-data translation are all easy to incorporate). We evaluate our methodology in a range of experiments, with results that indicate strong performance and good potential for scalability.