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Consider the 2-Wasserstein distance between probability measures $\mu$ and $\nu$ (on $\mathbb{R}^d$), defined as $$ d_{W_2}(\mu,\nu) = \inf_{\gamma} \int \|x-y\|^2 d\gamma(x,y) $$ where the $\inf$ is over all couplings $\gamma$ of $\mu$ and $\nu$. Can we define a norm (or something norm-like) on the space of signed measures (or a linear subspace of it containing the cone of probability measures) which gives rise to $W_2$ for probability measures. (I suppose not, but why?)

If not, can we approximate $d_{W_2}$ by a norm?

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There is a dual formulation of Wasserstein distance which makes perfect sense for signed measures, although I don't know what pathological behaviors it might have in that generality. For comparison, this paper discusses the fact that if bounded-Lipschitz distance is extended in the obvious way to signed measures then it fails to be a complete metric: –  Mark Meckes Feb 12 '13 at 3:40
Thanks for the reference. I will think more about the dual version. A more direct approach is also welcome. –  passerby51 Feb 12 '13 at 4:21
Related question:… –  Dirk Feb 12 '13 at 7:15
@Dirk: Thanks for the link. –  passerby51 Feb 12 '13 at 16:37

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