Entropic optimal transport: geometry and large deviations
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Publication:2105212
DOI10.1215/00127094-2022-0035zbMATH Open1503.49036arXiv2102.04397OpenAlexW3126543049MaRDI QIDQ2105212FDOQ2105212
Authors: Espen Bernton, Promit Ghosal, Marcel Nutz 
Publication date: 8 December 2022
Published in: Duke Mathematical Journal (Search for Journal in Brave)
Abstract: We study the convergence of entropically regularized optimal transport to optimal transport. The main result is concerned with the convergence of the associated optimizers and takes the form of a large deviations principle quantifying the local exponential convergence rate as the regularization parameter vanishes. The exact rate function is determined in a general setting and linked to the Kantorovich potential of optimal transport. Our arguments are based on the geometry of the optimizers and inspired by the use of -cyclical monotonicity in classical transport theory. The results can also be phrased in terms of Schr"odinger bridges.
Full work available at URL: https://arxiv.org/abs/2102.04397
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Cited In (33)
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