Duality for rectified cost functions (Q453748): Difference between revisions

Let \(X, Y\) be Polish spaces and \(\mu, \nu\) probability measures on them. \(\Pi(\mu, \nu)\) stands for all transport plans, that is all probability measures on \(X \times Y\) having \(X\)-marginal \(\mu\) and \(Y\)-marginal \(\nu\); the transport cost associated with a cost function \(c: X \times Y \to [0, \infty ]\) and a \(\pi \in \Pi(\mu, \nu)\) is \(\int c d \pi\). The primal Monge-Kantorovich problem is to determine \(P_{c}= \inf \{ \int c d \pi: \pi \in \Pi(\mu, \nu)\}\) and also the primal optimizer \(\hat{\pi} \in \Pi(\mu, \nu)\). The dual Monge-Kantorovich problem is to determine \(D_{c}= \sup \{ \int \varphi d \mu + \int \psi d \nu: \varphi \in L^{1}_{\mu}(X), \psi \in L^{1}_{\nu}(Y), \varphi +\psi \leq c \} \). A function \(c_{r}: X \times Y \to [0, \infty] \) is called the rectificationn of \(c\) if (i) for all Borel measurable functions \(\varphi: X \to [- \infty, \infty)\) and \(\psi: Y \to [- \infty, \infty)\), satisfying \(\varphi + \psi \leq c\), we have \(\varphi + \psi \leq c_{r}\) L-almost surely; (ii) \(c_{r}\) is minimal subject to (i). In this paper, the authors prove that Monge-Kantorovich duality holds if the cost function \(c\) is replaced by \(c_{r}\). The main result proved is as follows. Assume that the cost function \(c\) is Borel measurable. Then (A) there exits a unique, L-almost surely, rectification \(c_{r}\) of \(c\); (A1) \(c_{r} \leq c\) L-almost surely; (A2) if \(c\) is lsc, then \(c_{r} = c\) L-almost surely; (A3) with the notations of that dual transport problem, we have \(P_{c_{r}}=D_{c} = D_{c_{r}}\); (B) the transport problem associated with \(c_{r}\) admits a solution; (B1) for any transport plan \(\pi\) and for a sequence of transport plans \(\pi_{n} \to \pi\), we have \(\int c_{r} d \pi \leq \liminf \int c_{r} d \pi\); (B2) for any transport plan \(\pi\), there is a suitable sequence of measures \(\pi_{n} \to \pi\) such that \(P_{x} \leq \mu, P_{Y} \leq \nu\) and \(\int c_{r} d \pi = \lim \int c d \pi_{n}\); (C) there are Polish topologies \(\tau_{X}, \tau_{Y}\) on \(X, Y\), respectively, which are finer than the original topologies but they have the same Borel sets, such that \(c_{r}\) is lsc relative to \(\tau_{X} \otimes \tau_{Y}\). Some additional remarks and examples are given.