Questions tagged [optimal-transportation]
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260 questions
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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 ...
- 1,127
28
votes
1
answer
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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,...
- 1,256
20
votes
2
answers
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The geometric median of a triangle
Let $\Omega\subset \mathbb R^n$ be a compact domain of dimension $n$. Define the geometric median on $\Omega$ as the point $m_{\Omega}\in \mathbb R^n$ such that the integral $\int_{\Omega}|x-m_{\Omega}...
- 14.3k
14
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2
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892
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Do distance functionals separate probability measures?
Let $(\Omega,d)$ be a compact metric space and $\mathcal P(\Omega)$ its space of Borel probability measures. Let $D=\{ d_p\mid p\in\Omega\}$ where $d_p(x)=d(p,x)$ be the set of all "distance ...
- 459
13
votes
0
answers
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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 ...
- 14.4k
10
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1
answer
454
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Open Questions about Wasserstein Space and PDE
While working on my thesis, I encountered the idea of OMT and started reading some more (like Villani's book). In particular, I came across a PhD thesis by Martial Agueh. I thought it was interesting ...
- 427
10
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1
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Cutting a Gaussian in two pieces that are maximally separated in the Wasserstein metric
Denote the standard Gaussian probability measure on $\mathbb R^n$ by $\gamma$. We partition $\mathbb R^n$ into two sets $A$ and $A^c$ such that $\gamma(A) = \gamma(A^c) = 1/2$.
Denote by $\gamma_{A}$...
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9
votes
2
answers
471
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Proving the inequality involving Hausdorff distance and Wasserstein infinity distance
Prove the inequality
$$d_{H}(\mathrm{spt}(\mu),\mathrm{spt}(\nu))\leq W_{\infty}(\mu,\nu)$$
where $d_H$ denotes the Hausdorff distance between the supports of the measures $\mu$ and $\nu$, and $W_\...
- 99
9
votes
1
answer
406
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Mass transportation proof of the Gaussian isoperimetric inequality?
In his book "Topics in optimal transportation", Graduate Studies in Mathematics 58, AMS 2003,
Villani presents a proof, due to Gromov, of the classical isoperimetric inequality
in Euclidean ...
- 101
9
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3
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2-Wasserstein (optimal transport) and extension to the set of all signed measures
Consider the 2-Wasserstein distance between probability measures $\mu$ and $\nu$ (on $\mathbb{R}^d$), defined as
$$
d_{W_2}(\mu,\nu) = \inf_{\gamma} \Big[\int \|x-y\|^2 d\gamma(x,y)\Big]^{1/2}
$$
...
- 1,741
9
votes
2
answers
778
views
Heat flow, decay of the Fisher information, and $\lambda$-displacement convexity
In the whole post I will work in the flat torus $\mathbb T^d=\mathbb R^d/\mathbb Z^d$ and $\rho$ will stand for any probability measure $\mathcal P(\mathbb T^d)$. This question is strongly related to ...
- 5,380
9
votes
1
answer
940
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What are the "applications" of quantum optimal transport?
A quantum version of the Monge-Kantorovich optimal transport problem aims at optimizing a Hermitian cost matrix $C$ over the set of all bipartite coupling states $\rho_{AB}$, s.t. both of its reduced ...
user478492
8
votes
1
answer
386
views
How does Otto theory work in this example of Wasserstein a.c. curve of probabilities?
I'm trying to read chapter 8 of the book on gradient flows by Ambrosio-Gigli-Savaré. In this context, I would like to better understand how the theory works for the following specific example. Take ...
- 445
8
votes
1
answer
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Completion of spaces of measures w.r.t. weak norms
For the sake of concreteness denote by $M_0(X)$ the linear space of all signed Borel measures $\sigma$ with $\sigma(X)=0$ on some metric space $(X,d)$ and fix some base point $x_0\in X$. On this space ...
- 12.7k
8
votes
1
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continuity of the Boltzmann entropy in the Wasserstein metric
For Lebesgue-absolutely continuous probability measures $\rho\ll \mathcal{L}^d$ in the whole space $\mathbb{R}^d$ with finite second moments (i-e $\rho\in \mathcal{P}^2_{ac}(\mathbb{R}^d)$), let
$$
\...
- 5,380
8
votes
1
answer
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What is the intuition behind the Kantorovich potential in optimal transport?
From what I currently understand, under certain conditions one may turn the usual Kantorovich problem - a minimisation problem in terms of measures into a maximisation problem in terms of functions. ...
- 6,313
8
votes
4
answers
2k
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How to interpret couplings in optimal transport?
Let $\mu$ and $\nu$ be two measures on some (at least measurable) space $X$. In optimal transport theory, Monge's problem to
$$ \text{minimize} \quad \int c(x,T(x))\mu(dx) \quad \text{over measurable ...
- 309
8
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2
answers
740
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How does a statistical divergence change under a Lipschitz push-forward map?
Let $\mu, \nu$ be two probability measures on a space $X$ (assume Polish space).
$T: X \rightarrow Y$ is a Lipschitz-map that acts as a push-forward on these measures; let $\mu^\prime = T_{\#\mu}$ and ...
- 615
8
votes
3
answers
936
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Question about Wasserstein metric
Let $\mu$ and $\nu$ be two probability measures on $\mathbb R^n$ with finite first moment. Denote by $d:=W_1(\mu,\nu)$, where $W_1(\cdot,\cdot)$ stands for the Wasserstein distance of order $1$.
My ...
- 345
8
votes
1
answer
726
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First variation in $L^2$ sense of the square of the Wasserstein metric
Let me consider the functional $\mathcal{F}(\rho)=\mathcal{W}_2^2(\mu,\rho)$ defined in in the space of absolutely continuous probability measures $\mathcal{P}_{ac,2}(\Omega)$, where $\mathcal{W}_2^2$ ...
- 145
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Wasserstein distance and Monge-Kantorovich-Rubinstein duality
The definition of Wasserstein $p$-distance between two measures $\mu$ and $\nu$ on a Polish space $X$ is given by
$$
W_p(\mu, \nu)^p = \inf_{\gamma \in \Pi(\mu, \nu)} \int_{X \times X} d(x, y)^p\; d\...
- 1,407
7
votes
1
answer
310
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Local Lipschitzness of parameterization of Gaussians in Wasserstein space
Fix a positive integer $n$ and consider the $2$-Wasserstein space $\mathcal{P}_2(\mathbb{R}^n)$. Let $X$ be the cone of $n\times n$ symmetric positive semidefinite matrices with Frobenius norm and ...
- 169
7
votes
1
answer
865
views
Fenchel-Rockafellar Duality in Villani's Book
Villiani writes (some notation changed) in Topics in Optimal Mass Transportation:
Theorem 1.9. Let $E$ be a normed VS, $E^*$ it topological dual. $\Theta$ and $\Psi$ are two convex functions on $E$ ...
- 427
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 $\nu$...
- 422
7
votes
1
answer
504
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Stability of displacement interpolation in optimal transport
Let $(X,d)$ be a complete separable metric space, and let $(\mathcal{P}_2 (X), W_2)$ be the space of probability measures on $X$ with finite second moments, equipped with the 2-Wasserstein distance. ...
- 660
7
votes
1
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Should coffee machines be deconcentrated?
We model some region by convex and compact $E\subset \mathbb R^2$. $N\ge 1$ coffee machines are provided for the people living on $E$, of capacities $\alpha_1,\ldots, \alpha_N>0$. Assume the ...
- 1,409
7
votes
3
answers
340
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Hyperbolic space embeds into Wasserstein space
Fix a positive integer $n$, let $\mathbb{H}^n$ be the $n$-dimensional hyperbolic space, $r>0$, $x\in \mathbb{H}^n$ and consider the closed (compact) geodesic ball $B_{\mathbb{H}^n}(x,r)$. Are ...
- 195
7
votes
1
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438
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An isoperimetric type of inequality in terms of Wasserstein distance/Optimal transport
Let $A \subset \mathbb{R}^n$ be a region having the same volume as an $n$ dimensional ball $B^n_R$ with radius $R$ centring at the origin.
Isoperimetric inequality says:
$ Vol_{n-1} \partial A \geq ...
- 365
7
votes
0
answers
433
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 ...
- 1,127
6
votes
2
answers
2k
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Weak convergence + convergence of the norm implies strong convergence in Orlicz spaces
It is known [1, proposition 3.32] and a classical trick in PDEs that, in any uniformly convex Banach space $X$, weak convergence $x_n\rightharpoonup x$ together with convergence of the norm $\|x_n\|_X\...
- 5,380
6
votes
1
answer
402
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Reference request: Wasserstein metric spaces for non linear weights/mobility?
There is a very nice theory of gradient flows in metric spaces by Ambrosio, Gigli and Savaré. One particularly important application is the quadratic Wasserstein setting, where the metric space in ...
- 5,380
6
votes
2
answers
2k
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Textbooks or lecture notes about mean field games
I am looking for a good introductory level textbook (or lecture notes) on mean field games that would be suitable for a graduate course. Ideally, it would include some brief words about optimal ...
- 61
6
votes
2
answers
2k
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Wasserstein distance and the Kantorovich-Rubinstein duality
The only few references I could find on this topic are either amateur blog posts (http://n.ethz.ch/~gbasso/download/A%20Hitchhikers%20guide%20to%20Wasserstein/A%20Hitchhikers%20guide%20to%...
- 2,246
6
votes
1
answer
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Gradient of Wasserstein distance in the sense of Otto's calculus
I am learning the idea of "gradient" of a functional in Otto's calculus. It is defined as follows.
Suppose the space we are thinking about is $(\mathcal{P}_{2,AC}(\mathbb{R}^d),W_2)$, the ...
- 715
6
votes
2
answers
763
views
How to control Wasserstein distance in terms of characteristic function
Let $\mathcal P(\Omega)$ be the set of probability measures supported on some compact subset $\Omega\subset\mathbb R^d$. For $\mu\in\mathcal P(\Omega)$, denote by $F_{\mu}$ its characteristic function,...
user128095
6
votes
1
answer
580
views
Why is it difficult to solve the Monge problem directly?
I'm trying to understand something about the Monge problem. The Monge problem is:
Let $c(x,y): \mathbb{R}^d \times \mathbb{R}^d \rightarrow \mathbb{R}^d$ and $$\mathcal{T}(\mu_1,\mu_2) = \{ T: \...
- 427
5
votes
2
answers
953
views
Comparison of Information and Wasserstein Topologies
There are many possible metrics one can place on the space of Gaussian probability measures on $\mathbb{R}^n$, with strictly positive definite co-variance matrices. Let's denote this space by $X$.
I'...
5
votes
1
answer
487
views
Fokker-Planck: equivalence between linear spectral gap and nonlinear displacement convexity?
In a smooth, bounded and convex domain $\Omega\subset \mathbb R^d$ consider the usual linear Fokker-Planck equation with Neumann (some would say Robin) boundary conditions
\begin{equation}
\label{FP}
\...
- 5,380
5
votes
2
answers
422
views
Bounding probability densities on a Wasserstein-2 geodesic
Consider two probability measures which are supported on a bounded domain $\Omega$ with density functions $p_0$ and $p_1$. It is well-known that for the Wasserstein-2 distance, there exists uniquely a ...
- 325
5
votes
1
answer
396
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Universal decay rate of the Fisher information along the heat flow
I'm looking for a reference for the following fact: In the torus $\mathbb T^d$ let me denote by $u_t=u(t,x)$ the (unique, distributional) solution of the heat equation
$$
\partial_t u=\Delta u
$$
...
- 5,380
5
votes
1
answer
631
views
Uniqueness of Kantorovich potentials?
$\newcommand{\R}{\mathbb R}$Take $\Omega\subset \R^d$ bounded, convex, and smooth.
Consider the optimal transport problem with cost $c(x,y)=\lvert x-y\rvert^2$, leading to the quadratic Wassersein ...
- 5,380
5
votes
1
answer
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Earth mover/Wasserstein distance between a pdf and an empirical distribution
This question is inspired by this much older question:
Convergence of an empirical distribution w.r.t. the Hellinger distance
Let $P$ be a continuous probability distribution on a compact subset of $...
- 51
5
votes
0
answers
159
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$,...
- 873
5
votes
0
answers
140
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 ...
- 6,853
5
votes
0
answers
244
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, ...
- 555
4
votes
2
answers
485
views
How to get this inequality in Santambrogio's book about optimal transport?
Let $\hat{\varrho}, \tilde{\varrho}$ be probability density functions on $\mathbb R^d$ where $\tilde{\varrho} \in L^{\infty} (\mathbb R^d)$. For $\varepsilon \in [0, 1]$, we define $\varrho_{\...
- 825
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votes
2
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415
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Effect of perturbing the atoms of a measure on the Wasserstein distance
Let $(X,d)$ be a metric space, $x_1,\ldots,x_N\in X$ and $x_1',\ldots,x_N'\in X$ be atoms, and $G=\sum_{i=1}^Np_i\delta_{x_i}$, $G'=\sum_{i=1}^Np_i'\delta_{x_i}$, and $G''=\sum_{i=1}^Np_i'\delta_{x_i'}...
- 710
4
votes
2
answers
1k
views
Wasserstein distance between product measures
For two probability measures $\mu,\nu$ on $\mathbb{R}^n$, let
$$W_p(\mu,\nu)^p=\inf_{\pi}\int\|x-y\|^p_2\ \pi(dx\ dy)$$
denote the $p^\text{th}$ Wasserstein distance between $\mu, \nu$, where the ...
- 407
4
votes
1
answer
351
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Inf of Jensen's inequality
I'm reading a monograph that considers the following problem:
$$\inf_{z(t) \in C^1} \int_0^1 c\bigg(\frac{dz(t)}{dt}\bigg) dt\\ z(0) = x, z(1) = y$$
Here $c$ is a convex function, $z(t)$ are paths ...
- 427
4
votes
1
answer
301
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Perturbation of Wasserstein distance: looking for references
I am doing readings related to Optimal transport which is new to me and I often encounter the following statement regarding a sort of derivative of the Wasserstein distance: $u$ and $v$ be two ...
- 1,101