Closed Forms for Gaussian Kullback--Leibler Unbalanced Optimal Transport without Coupling Entropy
Abstract
We obtain an explicit solution for the static Kullback--Leibler (KL) unbalanced optimal transport problem between finite non-degenerate Gaussian measures with quadratic cost, two independent positive marginal relaxation parameters, and no entropy penalty on the coupling. The minimizer is a scaled Wasserstein coupling between two adjusted Gaussian marginals and is supported on an affine graph; in entropic Gaussian unbalanced transport, by contrast, the optimal plan is non-degenerate on the product space. The covariance map is the unique positive definite solution of a Riccati equation and admits a principal-square-root representation. Compared with the known equal-penalty Gaussian Hellinger--Kantorovich endpoint, the result treats the asymmetric two-sided Kullback--Leibler relaxation and gives the modified marginals, joint minimizer, value, and a direct quadratic KL-dual certificate. The large-relaxation limit recovers the Gaussian Wasserstein cost for equal masses.
Keywords
Cite
@article{arxiv.2605.02497,
title = {Closed Forms for Gaussian Kullback--Leibler Unbalanced Optimal Transport without Coupling Entropy},
author = {Jiaping Yang and Yunxin Zhang},
journal= {arXiv preprint arXiv:2605.02497},
year = {2026}
}