Accepted Paper

Inserted: 3 jan 2022
Last Updated: 4 nov 2022

Journal: Applied Mathematics and Optimization
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 metric 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 metric (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 metric has a unique solution. We also 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 finally introduce a slight variant of the dual metric mentioned above in order to prove convergence of an iterative scheme to solve a variational problem arising in game theory.

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