The directional optimal transport

DOI10.1214/21-AAP1712MaRDI QIDQ2135274zbMATH OpenOpenAlexFDO

Authors Marcel Nutz, Ruodu Wang

Publication date 6 May 2022

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.08717

zbMATH Keywords

monotone treatment effectoptimal transportsubmodular reward

Mathematics Subject Classification ID

Optimal transportation (49Q22) Nonparametric hypothesis testing (62G10) Optimal stochastic control (93E20)

Abstract: We introduce a constrained optimal transport problem where origins $x$ can only be transported to destinations $ygeqx$. Our statistical motivation is to describe the sharp upper bound for the variance of the treatment effect $Y-X$ given marginals when the effect is monotone, or $YgeqX$. We thus focus on supermodular costs (or submodular rewards) and introduce a coupling $P_{\ast }$ that is optimal for all such costs and yields the sharp bound. This coupling admits manifold characterizations -- geometric, order-theoretic, as optimal transport, through the cdf, and via the transport kernel -- that explain its structure and imply useful bounds. When the first marginal is atomless, $P_{\ast }$ is concentrated on the graphs of two maps which can be described in terms of the marginals, the second map arising due to the binding constraint.

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Cited in

(7)

• Data-driven optimal transport
• scientific article; zbMATH DE number 1303262 (Why is no real title available?)
• Chain Rule Optimal Transport
• Optimal Transport Over a Linear Dynamical System
• Simultaneous optimal transport
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