Questions tagged [optimal-transportation]

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Where to use differential calculus on space of measures?

One great inside of Felix Otto is that the Wasserstein metric from optimal transportation gives the space of (finite second moment, probability) measures on $\mathbb{R}^n$ (or a manifold) a kind of ...
Benoît Kloeckner's user avatar
7 votes
0 answers
406 views

(geodesic) smoothness of f-divergence with respect to the Wasserstein metric

We consider the f-divergence, which takes the form $$ D_f(P \| Q) = \int_\Omega f\left(\frac{dP}{dQ}\right) dQ. $$ For example, when $f(t) = t \log t$, we obtain the KL-divergence. My question is ...
Minkov's user avatar
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6 votes
0 answers
890 views

Wasserstein distance and Monge-Kantorovich-Rubinstein duality

The definition of Wasserstein $p$-distance between two measures $\mu$ and $\nu$ on a Polish space $X$ is given by $$ W_p(\mu, \nu)^p = \inf_{\gamma \in \Pi(\mu, \nu)} \int_{X \times X} d(x, y)^p\; d\...
SMS's user avatar
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5 votes
0 answers
139 views

Log Sobolev inequality uniform in parameters

Fix a positive integer $N$. For $\theta \in [0,2\pi]$, set $\sigma_k(\theta) :=(\cos(k\theta),\sin(k\theta)) \in S^1$ for each integer $1\leq k\leq N$. Now for vectors $x_1,\ldots,x_N\in \mathbb{R}^2$,...
Matt Rosenzweig's user avatar
5 votes
0 answers
123 views

What kinds of gradient-flows on $\mathbb R^d$ preserve the log-concavity of the distribution $\mu_0$ of starting point $x_0$

Let $\mu_0$ be a log-concave distribution on $\mathbb R^d$ and let $f:\mathbb R^d \to \mathbb R$ be $C^2$. Let $x_0$ be sampled uniformly at random from a log-concave distribution $\mu_0$, meaning ...
dohmatob's user avatar
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5 votes
0 answers
240 views

Distribution of point knowing target in optimal matching

I am a young PhD student in statistics. Recently, papers (Ambrosio, Stra and Trevisan; Talagrand; Ledoux to cite but a few) tackled the problem of finding the expected cost in an optimal matching, ...
Gilles Mordant's user avatar
4 votes
0 answers
90 views

Exponential map for tangent space of space of distributions $\mathscr{P}_2(X)$

In Chapter 8 of the book Gradient Flows In Metric Spaces and in the Space of Probability Measures by Ambrosio et al., the tangent space to the space of distributions on $X$ (let's say $X=\mathbb{R}^d$)...
Juno Kim's user avatar
4 votes
0 answers
167 views

Compactness of the unit ball in the space of Radon measures w.r.t. the Kantorovich-Rubinstein norm

This question was posted previously but has not attracted any responses so I am repharising it in a slightly different language hoping to reach a wider community Let $(X,d)$ be a pointed metric space ...
Yury Korolev's user avatar
4 votes
0 answers
219 views

Weight transfer proof of Turán’s theorem

Turán’s theorem, which states that a $K_{p+1}$-free graph contains at most $(1-1/p)\frac{N^2}{2}$ edges, can be proven in many different ways, as pointed out, for example in M. Aigner, G. M. Ziegler, ...
Martin Leshko's user avatar
4 votes
0 answers
188 views

Schrödinger Bridge for other costs

Stochastic control formulations of the Schrödinger bridge problem between $\mu,\nu$ are well known (e.g Chen et al Eq. 4.23) $$\inf \limits_{p_t, v_t} \int_0^T \int \frac{1}{2}\lvert v_t\rvert^2 p_t ...
nico's user avatar
  • 91
4 votes
0 answers
95 views

Improving log-Sobolev inequalities via quadratic regularisation

Suppose that $\mu(dx) = \exp(-\psi(x)) \, \mathrm{dx}$ is a probability measure on $\mathbf{R}^d$. For suitable functions $g \geqslant 0$, define $$\text{Ent}(g) = \int \mu(dx) g(x) \log \left( \frac{...
πr8's user avatar
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4 votes
0 answers
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Upper bound $\tau_C := \int_{\|x\| \le 1}(vol(C \cap (x + C))/vol(C))dx$ for a convex body $C \subseteq \mathbb R^n$, by reducing to a ball

Let $C$ be a convex body in $\mathbb R^n$, i.e a bounded convex subset of $\mathbb R^n$ which has nonempty interior, and which is (A) open, or (B) closed (I'm not sure one makes more sense; choose the ...
dohmatob's user avatar
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4 votes
0 answers
183 views

improved regularization for $\lambda$-convex gradient flows

It is well-known that gradient-flows of convex functionals are "parabolic" in some vague sense, and accordingly solutions tend to regularize instataneously. In the abstract context of gradient flows ...
leo monsaingeon's user avatar
4 votes
0 answers
160 views

Transport Distance between Level Sets of a Convex Function

Suppose I have a well-behaved, strictly convex function $f : \mathbf{R}^d \to [0, \infty)$, and assume that $f$ has its unique minimiser at $x = 0$, with $f(0) = 0$. For $y > 0$, I define the ...
πr8's user avatar
  • 688
4 votes
0 answers
163 views

Regularity of optimal transport of Gaussian mixtures

In one of the problems that I am working on, I came across the topic of smoothness of optimal transport for Gaussian mixtures. In particular, let $P=P_\theta=\sum_{i=1}^k \frac{1}{k}\mathcal{N}(x| \...
pikachuchameleon's user avatar
4 votes
0 answers
663 views

Tangent space and gradient on subspace of Wasserstein space given by finitely supported measures

Let $\mathcal{P}_2(M)$ be the 2-Wasserstein space over some Riemannian manifold $(M,g)$ (connected, complete, and without boundary). Let $\mathcal{FP}_2(M,n)$ be the subspace of probability measures ...
S.Surace's user avatar
  • 1,675
4 votes
0 answers
545 views

Optimal transport between two distributions in a Markov chain

In a previous question, given an ergodic Markov chain, I'm interesting in sampling as short a path as possible with prescribed distributions for its endpoints. In a comment, I propose that the ...
dohmatob's user avatar
  • 6,716
4 votes
0 answers
315 views

Tangential boundary regularity for optimal transport maps

I'm interested in (and a bit confused by) the following theorem of Caffarelli, proven in section $4$ of his paper Boundary regularity of maps with convex potentials II: Assume $u$ is a convex ...
Connor Mooney's user avatar
3 votes
0 answers
83 views

Are 1-Wasserstein and 2-Wasserstein distances between multivariate normal distributions equivalent?

The $p$-Wasserstein between two measures $\nu_1$ and $\nu_2$ on $X$ is given by $$W^p_p(\nu_{1},\nu_{2})=\underset{\pi\in\Gamma(\nu_{1},\nu_{2})}{\inf}\int_{\mathbf{\mathcal{X}}^{2}}d(x,y)^p\pi(dx,dy)$...
Vladimir Zolotov's user avatar
3 votes
0 answers
125 views

On the continuity with respect to the increasing convex order

For $p\ge 1$, let $\mathcal P_p(\mathbb R)$ be the set of probability measures on $\mathbb R$ of finite $p^{\rm th}$ moment. Denote by $W_p$ the Wasserstein metric of order $p$ and by $\preceq$ the ...
Fawen90's user avatar
  • 975
3 votes
0 answers
63 views

Continuous trajectory of midpoints of length-minimizing geodesics

Let $M$ be a smooth Riemannian manifold, $x$ be a point in $M$, and $\lambda:[0,1]\to M$ be a continuous path. Can we find a family of length-minimizing constant speed geodesics $\gamma_t:[0,1]\to M$ ...
Cave Johnson's user avatar
3 votes
0 answers
57 views

Convex combination of cyclically monotone sets

I want to show the following statement, but I am not sure how. Proposition(?): Let $C \in \mathbb{R}^d$ be a compact convex set, and let $u, v : C \to \mathbb{R}$ be smooth convex functions. Suppose $$...
Paruru's user avatar
  • 51
3 votes
0 answers
238 views

Radon-Nikodym derivative of vector-valued measure with respect to another vector-valued measure

Let $(X, | \cdot |)$ be a Banach space. I am interested in whether one can extend the definition of the Kullback-Leibler divergence $$ \text{KL}(\mu \ \Vert \ \nu) := \int_{\Omega} \ln\left(\frac{\...
ViktorStein's user avatar
3 votes
0 answers
77 views

Semiconcavity estimate for the squared distance on a compact Riemannian manifold

I am currently reading this paper on the Riemannian structure of the Wasserstein space over a compact Riemannian manifold (my question doesn't concern the Wasserstein metric), specifically Section 4.1,...
grogTheFrog's user avatar
3 votes
0 answers
159 views

A new "adversarial" Wasserstein distance?

Let us consider $\mu_1, \mu_2$ and $\mu_3$ three probability measures living on $[0,1]^{k_1}, [0,1]^{k_2}$ and $[0,1]^k$respectively, with $k_1 +k_2=k$. Let us denote by $\Gamma(\mu,\nu)$ the set of ...
Gilles Mordant's user avatar
3 votes
0 answers
102 views

Dependency of the Wasserstein distance on the parameter: a differential perspective

Let $\mu(dx)=\sum_{i=1}^np_i\delta_{x_i}(dx)$ and $\nu(dy)=\rho(y)dy$ be two probability measures on $\mathbb R^d$. Consider the $2-$Wasserstein distance below: $$W_2(\mu,\nu)^2 \quad := \quad \inf_{\...
user111097's user avatar
3 votes
0 answers
232 views

Parametric distances on product spaces of measures

Disclaimer: Please excuse my loose language. I'm neither an expert in geometry nor probability. Please ask for clarification if something appears unclear or awkward to you. Let $X$ be a topological ...
dohmatob's user avatar
  • 6,716
3 votes
0 answers
338 views

Second-Order Taylor Expansion of Wasserstein Metric and Related Metrics

Suppose that we have a parametric distribution $P_{\theta}$, which is indexed by the parameter $\theta \in \mathbb{R}^d$. Let $W\{\cdot,\cdot\}$ be the Wasserstein Metric between two distributions. ...
Minkov's user avatar
  • 1,117
2 votes
0 answers
76 views

Can we control the Wasserstein metric between $\mu$ and $\nu$ by their moment difference?

Fix $p \in [1, \infty)$. Let $(\mathcal P_p(\mathbb R^d), W_p)$ be the Wasserstein space of all Borel probability measures on $\mathbb R^d$ with finite $p$-th moment. Let $D_p$ be the collection of ...
Analyst's user avatar
  • 647
2 votes
0 answers
46 views

Instances of c-concavity outside of optimal transport?

Let $X$ and $Y$ be metric spaces, and let $c:X\times Y\rightarrow \mathbb{R}$ be a nonnegative function which we refer to as a cost. For any $\phi:X\rightarrow \mathbb{R}$ and $\psi:Y\rightarrow \...
Brendan Mallery's user avatar
2 votes
1 answer
96 views

Gradient flows: evolution of geodesics

I’m trying to understand if, when I move the marginals of a Wasserstein geodesic along a contractive flow, the geodesic between the new probability measures is “near” to the geodesic connecting the ...
Ciccisio's user avatar
2 votes
0 answers
66 views

Construct a Bregman divergence from Wasserstein distance

I was wondering whether one has studied the Bregman divergence arising from a squared Wasserstein distance. More precisely, let $\Omega\subset \mathbb{R}^d$ be a compact set and $c\in \Omega\times \...
John's user avatar
  • 483
2 votes
0 answers
78 views

relative entropy, Fisher information, and metric slope for non-convex domains

$\newcommand{\R}{\mathbb R}$ If $\Omega\subset \R^d$ is a convex domain it is well-known that the relative entropy $$ \mathcal H(\rho)= \int_{\Omega}\rho\log\rho \ \mathrm{d}x \qquad \mbox{for }\rho=...
leo monsaingeon's user avatar
2 votes
0 answers
45 views

$\sigma$-compactness of probability measures under a refined topology

Denote Polish spaces $(X, \tau_x)$ and $(Y, \tau_y)$, where $X$ and $Y$ are closed subsets of $\mathbb{R}$. Consider a Borel measurable function $f: (X \times Y, \tau_x \times \tau_y) \rightarrow \...
Hans's user avatar
  • 195
2 votes
0 answers
108 views

Approximating solutions to Monge-Ampere from optimal transport plans

I am interested in finding numerical solutions to a Monge-Ampere type equation for applications in physics. Due to the close connection between Monge-Ampere and optimal transport and the well ...
Yly's user avatar
  • 946
2 votes
0 answers
80 views

Riemannian submanifolds of $2$-Wasserstein space

In the article "Wasserstein Geometry Of Gaussian Measures" by Asuka Takatsu the author shows how the space of d-dimensional Gaussian probability measures with non-singular covariance ...
Annie's user avatar
  • 71
2 votes
1 answer
331 views

Bounds on the Bures–Wasserstein distance

The Bures–Wasserstein distance between $n\times n$ positive semidefinite matrices $A$ and $H$ is defined to be $$ d(A,H) := \left[ \operatorname{tr} A + \operatorname{tr} H - 2\operatorname{tr} (A^{1/...
eepperly16's user avatar
2 votes
0 answers
173 views

Optimal transport: how is the use of disintegration theorem valid in this construction of $\widetilde{\phi}$?

Let $X,Y$ be Polish spaces and $\mathcal P(X)$ the space of all Borel probability measures on $X$. Fix $\mu\in \mathcal P(X), \nu \in \mathcal P(Y)$. Let $\pi \in \Pi(\mu, \nu)$, i.e., $\pi \in \...
Akira's user avatar
  • 815
2 votes
0 answers
123 views

Eigenvalues of Witten Laplacian induced by log-concave probability measure on manifold

Let $M$ be a closed $n$-dimensional Riemannian manifold and let $\mu=e^{-V}d\mathrm{vol}_M$ be a log-concave probability measure on $M$, such that the pair $(M,\mu)$ verifies the so-called Bakry-Emery ...
dohmatob's user avatar
  • 6,716
2 votes
0 answers
80 views

Estimate of Wasserstein distance and flow of vector fields under particular assumptions

Let $\mu$ be a compactly supported absolutely continuous probability measure. Let $v,u$ be Lipschitz vector fields. For a vector field $w$ recall that $\Phi_t^w$ denotes its flow. A classical estimate ...
Jun's user avatar
  • 293
2 votes
0 answers
116 views

Closure of finite support measures in the Wasserstein metric

This is a follow-up question to this question: Closure Wasserstein for pointmasses Let $(X,d)$ be a metric space, and let $W_1(X)$ be the space of probability measures $\mu$ on $X$ having finite first ...
Alain Valette's user avatar
2 votes
0 answers
286 views

Simplify Kantorovich–Rubinstein duality when distributions share a common marginal

Consider the product of two metric spaces $X\times Y$, and two probability distributions $\mu$ and $\nu$ on this product space. By the Kantorovich-Rubinstein duality, I can write the Wasserstein-1-...
joemrt's user avatar
  • 53
2 votes
0 answers
75 views

$CD(K,N)$ condition for non complete metric measure spaces

That's basically it. I would like to know if it's possible to define the ${\sf CD}(K,N)$ condition for metric measure spaces that are not necessarily complete. The references I have found on this ...
Mauricio Adrián Che Moguel's user avatar
2 votes
0 answers
258 views

Explicit formula for this distance between positive semi-definite matrices?

Let $A$ and $B$ in $\mathbb{R}^{d\times d}$ be positive semi-definite (psd) matrices and let $d\tau$ be the uniform probability distribution on the unit sphere $\mathbb{S}^{d-1}$ in $\mathbb{R}^d$. I ...
Lénaïc Chizat's user avatar
2 votes
0 answers
135 views

Prove the equicontinuity of a maximizing sequence

Let $X$ be a compact subset of $\mathbb{R}$ and $c(x_1,x_2,x_3,x_4)$ be a fixed bounded continuous functions on $X^4$. Assume $\mu,\nu$ are probability measures on $X^2$, and $\mu\otimes\nu$ is the ...
aurora_borealis's user avatar
2 votes
0 answers
235 views

Optimal transport between Gaussian mixtures and their centers

I have a question about bounding the Wasserstein loss between a continuous Gaussian mixture and a discrete uniform distribution of its centers. In particular, let $P=\frac 1 k \sum_{i=1}^k \mathcal{N}(...
pikachuchameleon's user avatar
2 votes
0 answers
113 views

A variant of the optimal transport

Let $\mu$, $\nu$ and $\gamma$ be three probability measures on $\mathbb R$. Consider the optimisation problem as follows: $$\inf_{(X,Y,Z)}~ \mathbb E\big[|Y-Z|^2\big],$$ where the inf is taken ...
user111097's user avatar
2 votes
0 answers
70 views

existence of minimizer to the dual problem of a martingale optimal transport type problem

Let $\nu$ be a given probability measure on $\mathbb R^2$ and consider function of the following form: $$L(f)(x_1,x_2)=\sup_{y\,=\,(y_1,y_2)\,\in\, \operatorname{Graph} (f)} \{ x_1 y_2 + x_2 y_1 - ...
Ryan's user avatar
  • 325
2 votes
0 answers
141 views

a generalization of Monge-Kantorovich Problem

I am thinking about the martingale version of Monge-Kantorovich Problem. Let $\mu(x)$ and $\nu(y)$ denote two density laws on $\mathbb{R}$, and define $M(\mu,\nu)$ the set of densities $f(x,y)$ on $\...
CodeGolf's user avatar
  • 1,837
1 vote
0 answers
131 views

Optimal transport-like problem where the objective depends on conditional probability distribution

$\DeclareMathOperator\marg{marg}$I would like to know if the following problem can be studied as an optimal transport problem, possibly imposing additional assumptions on the data. Consider two sets $\...
Francesco Bilotta's user avatar