English

On a Kantorovich-Rubinstein inequality

Probability 2020-10-27 v1 Functional Analysis

Abstract

An easy consequence of Kantorovich-Rubinstein duality is the following: if f:[0,1]df:[0,1]^d \rightarrow \infty is Lipschitz and {x1,,xN}[0,1]d\left\{x_1, \dots, x_N \right\} \subset [0,1]^d, then [0,1]df(x)dx1Nk=1Nf(xk)fLW1(1Nk=1Nδxk,dx), \left| \int_{[0,1]^d} f(x) dx - \frac{1}{N} \sum_{k=1}^{N}{f(x_k)} \right| \leq \left\| \nabla f \right\|_{L^{\infty}} \cdot W_1\left( \frac{1}{N} \sum_{k=1}^{N}{\delta_{x_k}} , dx\right), where W1W_1 denotes the 11-Wasserstein (or Earth Mover's) Distance. We prove another such inequality with a smaller norm on f\nabla f and a larger Wasserstein distance. Our inequality is sharp when the points are very regular, i.e. WN1/dW_{\infty} \sim N^{-1/d}. This prompts the question whether these two inequalities are specific instances of an entire underlying family of estimates capturing a duality between transport distance and function space.

Keywords

Cite

@article{arxiv.2010.12946,
  title  = {On a Kantorovich-Rubinstein inequality},
  author = {Stefan Steinerberger},
  journal= {arXiv preprint arXiv:2010.12946},
  year   = {2020}
}
R2 v1 2026-06-23T19:37:12.028Z