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5 votes
1 answer
396 views

Universal decay rate of the Fisher information along the heat flow

I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation $$ \partial_t u=\Delta u $$ ...
leo monsaingeon's user avatar
28 votes
1 answer
6k views

1-Wasserstein distance between two multivariate normal

The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by $$d_p(\nu_{1},\nu_{2})=\left(\underset{\pi\in\Gamma(\nu_{1},\nu_{2})}{\inf}\int_{\mathbf{\mathcal{X}}^{2}}d(x,y)^p\pi(dx,...
warsaga's user avatar
  • 1,256
39 votes
3 answers
4k views

Manifold of probability measures: connections between two types of metrics

The space of probability measures could be viewed as an infinite-dimensional manifold, equipped with two possible types of metrics — (1) Wasserstein and (2) Fisher-Rao. Metric (1) is connected with ...
Minkov's user avatar
  • 1,127
8 votes
1 answer
727 views

continuity of the Boltzmann entropy in the Wasserstein metric

For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let $$ \...
leo monsaingeon's user avatar
7 votes
2 answers
3k views

The largest Wasserstein distance to uniform distribution among all probability distributions with uniform marginals

I am looking for the largest Wasserstein distance to the uniform distribution among all probability distributions with uniform marginals. More specifically, let $\Xi=\{1,2,\ldots,N\}^2$, and let $\nu$...
O. Richard's user avatar
4 votes
2 answers
256 views

Are the sublevel sets of Boltzmann entropy compact in Wasserstein distance?

For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let $$ \...
Akira's user avatar
  • 825