# Transport type metrics on the space of probability measures involving singular base measures

created by nenna on 03 Jan 2022
modified on 10 Jan 2022

[BibTeX]

Preprint

Inserted: 3 jan 2022
Last Updated: 10 jan 2022

Year: 2022

Abstract:

We develop the theory of a metric, which we call the $\nu$-based Wasserstein metric and denote by $W_\nu$, on the set of probability measures $\mathcal P(X)$ on a domain $X \subseteq \mathbb{R}^m$. This metric is based on a slight refinement of the notion of generalized geodesics with respect to a base measure $\nu$ and is relevant in particular for the case when $\nu$ is singular with respect to $m$-dimensional Lebesgue measure; it is also closely related to the concept of linearized optimal transport. The $\nu$-based Wasserstein metric is defined in terms of an iterated variational problem involving optimal transport to $\nu$; we also characterize it in terms of integrations of classical Wasserstein distance between the conditional probabilities when measures are disintegrated with respect to optimal transport to $\nu$, and through limits of certain multi-marginal optimal transport problems. We also introduce a class of metrics which are dual in a certain sense to $W_\nu$, defined relative to a fixed based measure $\mu$, on the set of measures which are absolutely continuous with respect to a second fixed based measure $\sigma$. As we vary the base measure $\nu$, the $\nu$-based Wasserstein metric interpolates between the usual quadratic Wasserstein distance (obtained when $\nu$ is a Dirac mass) and a metric associated with the uniquely defined generalized geodesics obtained when $\nu$ is sufficiently regular (eg, absolutely continuous with respect to Lebesgue). When $\nu$ concentrates on a lower dimensional submanifold of $\mathbb{R}^m$, we prove that the variational problem in the definition of the $\nu$-based Wasserstein distance has a unique solution. We establish geodesic convexity of the usual class of functionals and of the set of source measures $\mu$ such that optimal transport between $\mu$ and $\nu$ satisfies a strengthening of the generalized nestedness condition introduced in \cite{McCannPass20}. We also present two applications of the ideas introduced here. First, our dual metric (in fact, a slight variant of it) is used to prove convergence of an iterative scheme to solve a variational problem arising in game theory. We also use the multi-marginal formulation to characterize solutions to the multi-marginal problem by an ordinary differential equation, yielding a new numerical method for it.