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We derive first-order (in the stepsize) bounds on the bias in Wasserstein distances of the invariant measure of stochastic gradient kinetic Langevin dynamics with minimal assumptions on the stochastic gradient noise. These bounds sharpen…
In this note we continue the analysis of metric measure space with variable ricci curvature bounds. First, we study $(\kappa,N)$-convex functions on metric spaces where $\kappa$ is a lower semi-continuous function, and gradient flow curves…
We study the contraction in Wasserstein distance of the coordinate ascent variational inference algorithm. This is shown to hold under a transport-information inequality at the fixed points and a functional smoothness condition. The results…
We propose a fully discrete variational scheme for nonlinear evolution equations with gradient flow structure on the space of finite Radon measures on an interval with respect to a generalized version of the Wasserstein distance with…
This paper introduces Wasserstein variational inference, a new form of approximate Bayesian inference based on optimal transport theory. Wasserstein variational inference uses a new family of divergences that includes both f-divergences and…
This article develops mathematical formalisms and provides numerical methods for studying the evolution of measures in nonsmooth dynamical systems using the continuity equation. The nonsmooth dynamical system is described by an evolution…
Computational techniques which establish the stability of an evolution-boundary algorithm for a model wave equation with shift are incorporated into a well-posed version of the initial-boundary value problem for gravitational theory in…
The curvature-dimension condition is a generalization of the Bochner inequality to weighted Riemannian manifolds and general metric measure spaces. It is now known to be equivalent to evolution variational inequalities for the heat…
In this paper we provide a variational characterisation for a class of non-linear evolution equations with constant non-negative Dirichlet boundary conditions on a bounded domain as gradient flows in the space of non-negative measures. The…
In this article we study a variational problem providing a way to extend for all times minimizing geodesics connecting two given probability measures, in the Wasserstein space. This is simply obtained by allowing for negative coefficients…
A recurring obstacle in the study of Wasserstein gradient flow is the lack of convexity of the square Wasserstein metric. In this paper, we develop a class of transport metrics that have better convexity properties and use these metrics to…
In this paper, we address the classification of instances each characterized not by a singular point, but by a distribution on a vector space. We employ the Wasserstein metric to measure distances between distributions, which are then used…
Over the last 25 years, techniques based on drift and minorization (d&m) have been mainstays in the convergence analysis of MCMC algorithms. However, results presented herein suggest that d&m may be less useful in the emerging area of…
In this paper, we provide sufficient conditions for the existence of the invariant distribution and for subgeometric rates of convergence in Wasserstein distance for general state-space Markov chains which are (possibly) not irreducible.…
This paper is motivated by the problem of quantitatively bounding the convergence of adaptive control methods for stochastic systems to a stationary distribution. Such bounds are useful for analyzing statistics of trajectories and…
We investigate proximal descent methods, inspired by the minimizing movement scheme introduced by Jordan, Kinderlehrer and Otto, for optimizing entropy-regularized functionals on the Wasserstein space. We establish linear convergence under…
The Wasserstein distance is a metric on a space of probability measures that has seen a surge of applications in statistics, machine learning, and applied mathematics. However, statistical aspects of Wasserstein distances are bottlenecked…
We introduce the Wasserstein Transform (WT), a general unsupervised framework for updating distance structures on given data sets with the purpose of enhancing features and denoising. Our framework represents each data point by a…
The autocovariance and cross-covariance functions naturally appear in many time series procedures (e.g., autoregression or prediction). Under assumptions, empirical versions of the autocovariance and cross-covariance are asymptotically…
A novel framework for density estimation under expectation constraints is proposed. The framework minimizes the Wasserstein distance between the estimated density and a prior, subject to the constraints that the expected value of a set of…