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Results tagged with wasserstein-distance
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user 81469
5
votes
1-Wasserstein distance between two multivariate normal
For $p=1$ one can bound the 1-Wasserstein metric by
$$|m-n| + \sqrt{\sum_{i=1}^{d} \left[
\left(
\sqrt{\lambda_i} - \sqrt{\gamma_i}\right)^2 + 2\sqrt{\lambda_i\gamma_i}(1-v_i\cdot u_i)
\right]}$$
whe …
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