A new characterization of Talagrand's transport-entropy inequalities and applications (Q533741): Difference between revisions
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The starting point of the paper under review is Talagrand's transportation cost inequality for \(\mu, \nu\in M^1(\mathbb{R}^k)\), a cost function \(c:\mathbb{R}^k\to\mathbb{R}_+\) (with \(c(0)=\nabla c(0)=0\)) and a constant \(C>0\): \[ T_c(\nu,\mu) \leq C\cdot H(\nu|\mu), \tag{\(T_c(C)\)} \] where the optimal transport costs are defined as \[ T_c(\nu,\mu) = \inf_\pi \iint c(x-y)d\pi(x,y), \] the infimum is taken over all \(\pi\in M^1(\mathbb{R}^{2k})\) with marginals \(\nu\) and \(\mu\), respectively, and the relative entropy is respectively defined as \(H(\nu|\mu)=\int \log(d\nu/d\mu) d\nu\) if \(\nu\) is absolutely continuous with respect to \(\mu\), and \(H(\nu|\mu)=\infty\) otherwise, cf., e.g., for Gaussian laws and quadratic cost functions [\textit{M. Talagrand}, ``Transportation cost for Gaussian and other product measures'', Geom. Funct. Anal. 6, No.~3, 587--600 (1996; Zbl 0859.46030)]. These inequalities are closely related to logarithmic Sobolev inequalities, c.f., e.g., [\textit{F. Otto} and \textit{C. Villani}, ``Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality'', J. Funct. Anal. 173, No.~2, 361--400 (2000; Zbl 0985.58019)]. In the present investigation, the authors prove (among other results of independent interest) the equivalence of \((T_c(C_1))\) with restricted versions of logarithmic Sobolev inequalities (Theorem 1.5), as \[ \text{Ent}_\mu(e^f) \leq \eta/(1-C_2(\eta+K))\int c^*(\nabla f/\eta)e^f d\mu \] and \[ \text{Ent}_\mu(e^f) \leq 2C_3/(1-KC_3)^2 \int |\nabla f|^2 e^f d\mu \] for \(f\) belonging to a class of functions (\(K\) semi convex functions) \(K, C_i,\eta\) denoting suitable positive constants and \[ \begin{aligned}\text{Ent}_\mu(g)&:=\int g\log g d\mu - \int g d\mu \log\int g d\mu, \\ c^*(u)&:= \sup_{h\in\mathbb{R}^k} \{\langle u,h\rangle -c(h)\}, \end{aligned} \] and particular cost functions \(c(x):=\sum_1^k\alpha_i(x_i)\) with concave \(\alpha_i\in C^1(\mathbb{R})\), \(\alpha_i(0)=\alpha_i'(0)=0\). The paper closes with possible extensions of the main results, as extensions to Riemannian manifolds, relations to other types of logarithmic Sobolev inequalities, and to Poincaré's inequality. (For background, see, e.g., [\textit{S. G. Bobkov, I. Gentil} and \textit{M. Ledoux}, ``Hypercontractivity of Hamilton-Jacobi equations'', J. Math. Pures Appl. (9) 80, No.~7, 669--696 (2001; Zbl 1038.35020); \textit{S. G. Bobkov} and \textit{M. Ledoux}, ``Poincaré's inequalities and Talagrand's concentration phenomenon for the exponential distribution'', Probab. Theory Relat. Fields 107, No.~3, 383--400 (1997; Zbl 0878.60014)]). | |||
Property / review text: The starting point of the paper under review is Talagrand's transportation cost inequality for \(\mu, \nu\in M^1(\mathbb{R}^k)\), a cost function \(c:\mathbb{R}^k\to\mathbb{R}_+\) (with \(c(0)=\nabla c(0)=0\)) and a constant \(C>0\): \[ T_c(\nu,\mu) \leq C\cdot H(\nu|\mu), \tag{\(T_c(C)\)} \] where the optimal transport costs are defined as \[ T_c(\nu,\mu) = \inf_\pi \iint c(x-y)d\pi(x,y), \] the infimum is taken over all \(\pi\in M^1(\mathbb{R}^{2k})\) with marginals \(\nu\) and \(\mu\), respectively, and the relative entropy is respectively defined as \(H(\nu|\mu)=\int \log(d\nu/d\mu) d\nu\) if \(\nu\) is absolutely continuous with respect to \(\mu\), and \(H(\nu|\mu)=\infty\) otherwise, cf., e.g., for Gaussian laws and quadratic cost functions [\textit{M. Talagrand}, ``Transportation cost for Gaussian and other product measures'', Geom. Funct. Anal. 6, No.~3, 587--600 (1996; Zbl 0859.46030)]. These inequalities are closely related to logarithmic Sobolev inequalities, c.f., e.g., [\textit{F. Otto} and \textit{C. Villani}, ``Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality'', J. Funct. Anal. 173, No.~2, 361--400 (2000; Zbl 0985.58019)]. In the present investigation, the authors prove (among other results of independent interest) the equivalence of \((T_c(C_1))\) with restricted versions of logarithmic Sobolev inequalities (Theorem 1.5), as \[ \text{Ent}_\mu(e^f) \leq \eta/(1-C_2(\eta+K))\int c^*(\nabla f/\eta)e^f d\mu \] and \[ \text{Ent}_\mu(e^f) \leq 2C_3/(1-KC_3)^2 \int |\nabla f|^2 e^f d\mu \] for \(f\) belonging to a class of functions (\(K\) semi convex functions) \(K, C_i,\eta\) denoting suitable positive constants and \[ \begin{aligned}\text{Ent}_\mu(g)&:=\int g\log g d\mu - \int g d\mu \log\int g d\mu, \\ c^*(u)&:= \sup_{h\in\mathbb{R}^k} \{\langle u,h\rangle -c(h)\}, \end{aligned} \] and particular cost functions \(c(x):=\sum_1^k\alpha_i(x_i)\) with concave \(\alpha_i\in C^1(\mathbb{R})\), \(\alpha_i(0)=\alpha_i'(0)=0\). The paper closes with possible extensions of the main results, as extensions to Riemannian manifolds, relations to other types of logarithmic Sobolev inequalities, and to Poincaré's inequality. (For background, see, e.g., [\textit{S. G. Bobkov, I. Gentil} and \textit{M. Ledoux}, ``Hypercontractivity of Hamilton-Jacobi equations'', J. Math. Pures Appl. (9) 80, No.~7, 669--696 (2001; Zbl 1038.35020); \textit{S. G. Bobkov} and \textit{M. Ledoux}, ``Poincaré's inequalities and Talagrand's concentration phenomenon for the exponential distribution'', Probab. Theory Relat. Fields 107, No.~3, 383--400 (1997; Zbl 0878.60014)]). / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Wilfried Hazod / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60E15 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 26D10 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 5885397 / rank | |||
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Property / zbMATH Keywords | |||
concentration of measure | |||
Property / zbMATH Keywords: concentration of measure / rank | |||
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Property / zbMATH Keywords | |||
transport inequalities | |||
Property / zbMATH Keywords: transport inequalities / rank | |||
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Property / zbMATH Keywords | |||
Talagrand inequality | |||
Property / zbMATH Keywords: Talagrand inequality / rank | |||
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Hamilton-Jacobi equations | |||
Property / zbMATH Keywords: Hamilton-Jacobi equations / rank | |||
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Property / zbMATH Keywords | |||
logarithmic Sobolev inequalities | |||
Property / zbMATH Keywords: logarithmic Sobolev inequalities / rank | |||
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Revision as of 09:30, 1 July 2023
scientific article
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English | A new characterization of Talagrand's transport-entropy inequalities and applications |
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A new characterization of Talagrand's transport-entropy inequalities and applications (English)
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6 May 2011
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The starting point of the paper under review is Talagrand's transportation cost inequality for \(\mu, \nu\in M^1(\mathbb{R}^k)\), a cost function \(c:\mathbb{R}^k\to\mathbb{R}_+\) (with \(c(0)=\nabla c(0)=0\)) and a constant \(C>0\): \[ T_c(\nu,\mu) \leq C\cdot H(\nu|\mu), \tag{\(T_c(C)\)} \] where the optimal transport costs are defined as \[ T_c(\nu,\mu) = \inf_\pi \iint c(x-y)d\pi(x,y), \] the infimum is taken over all \(\pi\in M^1(\mathbb{R}^{2k})\) with marginals \(\nu\) and \(\mu\), respectively, and the relative entropy is respectively defined as \(H(\nu|\mu)=\int \log(d\nu/d\mu) d\nu\) if \(\nu\) is absolutely continuous with respect to \(\mu\), and \(H(\nu|\mu)=\infty\) otherwise, cf., e.g., for Gaussian laws and quadratic cost functions [\textit{M. Talagrand}, ``Transportation cost for Gaussian and other product measures'', Geom. Funct. Anal. 6, No.~3, 587--600 (1996; Zbl 0859.46030)]. These inequalities are closely related to logarithmic Sobolev inequalities, c.f., e.g., [\textit{F. Otto} and \textit{C. Villani}, ``Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality'', J. Funct. Anal. 173, No.~2, 361--400 (2000; Zbl 0985.58019)]. In the present investigation, the authors prove (among other results of independent interest) the equivalence of \((T_c(C_1))\) with restricted versions of logarithmic Sobolev inequalities (Theorem 1.5), as \[ \text{Ent}_\mu(e^f) \leq \eta/(1-C_2(\eta+K))\int c^*(\nabla f/\eta)e^f d\mu \] and \[ \text{Ent}_\mu(e^f) \leq 2C_3/(1-KC_3)^2 \int |\nabla f|^2 e^f d\mu \] for \(f\) belonging to a class of functions (\(K\) semi convex functions) \(K, C_i,\eta\) denoting suitable positive constants and \[ \begin{aligned}\text{Ent}_\mu(g)&:=\int g\log g d\mu - \int g d\mu \log\int g d\mu, \\ c^*(u)&:= \sup_{h\in\mathbb{R}^k} \{\langle u,h\rangle -c(h)\}, \end{aligned} \] and particular cost functions \(c(x):=\sum_1^k\alpha_i(x_i)\) with concave \(\alpha_i\in C^1(\mathbb{R})\), \(\alpha_i(0)=\alpha_i'(0)=0\). The paper closes with possible extensions of the main results, as extensions to Riemannian manifolds, relations to other types of logarithmic Sobolev inequalities, and to Poincaré's inequality. (For background, see, e.g., [\textit{S. G. Bobkov, I. Gentil} and \textit{M. Ledoux}, ``Hypercontractivity of Hamilton-Jacobi equations'', J. Math. Pures Appl. (9) 80, No.~7, 669--696 (2001; Zbl 1038.35020); \textit{S. G. Bobkov} and \textit{M. Ledoux}, ``Poincaré's inequalities and Talagrand's concentration phenomenon for the exponential distribution'', Probab. Theory Relat. Fields 107, No.~3, 383--400 (1997; Zbl 0878.60014)]).
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concentration of measure
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transport inequalities
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Talagrand inequality
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Hamilton-Jacobi equations
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logarithmic Sobolev inequalities
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