Related papers: A measure approximation theorem for Wasserstein-ro…
Given a metric space with a Borel probability measure, for each integer $N$ we obtain a probability distribution on $N\times N$ distance matrices by considering the distances between pairs of points in a sample consisting of $N$ points…
The Wasserstein distance between probability measures on compact spaces provides a natural invariant quantitative measure of equidistribution, which is partly similar to the classical discrepancy appearing in Erd\"os-Tur\'an type…
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…
Chance constraints yield non-convex feasible regions in general. In particular, when the uncertain parameters are modeled by a Wasserstein ball, arXiv:1806.07418 and arXiv:1809.00210 showed that the distributionally robust (pessimistic)…
In inverse problems, many conditional generative models approximate the posterior measure by minimizing a distance between the joint measure and its learned approximation. While this approach also controls the distance between the posterior…
Multi-marginal optimal transport enables one to compare multiple probability measures, which increasingly finds application in multi-task learning problems. One practical limitation of multi-marginal transport is computational scalability…
We study the problem of estimating, in the sense of optimal transport metrics, a measure which is assumed supported on a manifold embedded in a Hilbert space. By establishing a precise connection between optimal transport metrics, optimal…
This paper studies the probabilistic function approximation problem over reproducing kernel Hilbert spaces. We show the existence and uniqueness of the optimizer under mild assumptions. Furthermore, we generalize the celebrated representer…
We prove the convergence, in the small mass limit, of statistically invariant states for a class of semi-linear damped wave equations, perturbed by an additive Gaussian noise, both with Lipschitz-continuous and with polynomial…
The notion of entropy-regularized optimal transport, also known as Sinkhorn divergence, has recently gained popularity in machine learning and statistics, as it makes feasible the use of smoothed optimal transportation distances for data…
We investigate the minimal error in approximating a general probability measure $\mu$ on $\mathbb{R}^d$ by the uniform measure on a finite set with prescribed cardinality $n$. The error is measured in the $p$-Wasserstein distance. In…
A peacock is a family of probability measures with finite mean that increases in convex order. It is a classical result, in the discrete time case due to Strassen, that any peacock is the family of one-dimensional marginals of a martingale.…
We discuss two ways to construct standard probability measures, called push-down measures, from internal probability measures. We show that the Wasserstein distance between an internal probability measure and its push-down measure is…
We consider decision-making problems involving the optimization of linear objective functions with uncertain coefficients. The probability distribution of the coefficients--which are assumed to be stochastic in nature--is unknown to the…
We construct a new random probability measure on the sphere and on the unit interval which in both cases has a Gibbs structure with the relative entropy functional as Hamiltonian. It satisfies a quasi-invariance formula with respect to the…
We consider synthesis and analysis of probability measures using the entropy-regularized Wasserstein-2 cost and its unbiased version, the Sinkhorn divergence. The synthesis problem consists of computing the barycenter, with respect to these…
Wasserstein distance plays increasingly important roles in machine learning, stochastic programming and image processing. Major efforts have been under way to address its high computational complexity, some leading to approximate or…
In this work we consider regularized Wasserstein barycenters (average in Wasserstein distance) in Fourier basis. We prove that random Fourier parameters of the barycenter converge to some Gaussian random vector by distribution. The…
In this paper, we study statistical inference for the Wasserstein distance, which has attracted much attention and has been applied to various machine learning tasks. Several studies have been proposed in the literature, but almost all of…
This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several…