On properties of the generalized Wasserstein distance

DOI10.1007/S00205-016-1026-7MaRDI QIDQ338115zbMATH OpenOpenAlexFDO

Authors B. Piccoli, Francesco Rossi

Publication date 4 November 2016

Published in Archive for Rational Mechanics and Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.7014

zbMATH Keywords

generalized Wasserstein distancetransport problem

Mathematics Subject Classification ID

Variational problems in a geometric measure-theoretic setting (49Q20) Existence of optimal solutions to problems involving randomness (49J55)

Abstract: The Wasserstein distances $W_p$ ($pgeq1$), defined in terms of solution to the Monge-Kantorovich problem, are known to be a useful tool to investigate transport equations. In particular, the Benamou-Brenier formula characterizes the square of the Wasserstein distance $W_2$ as the infimum of the kinetic energy, or action functional, of all vector fields moving one measure to the other. Another important property of the Wasserstein distances is the Kantorovich-Rubinstein duality stating the equality between the distance $W_1$ and the supremum of the integrals of Lipschitz continuous functions with Lipschitz constant bounded by one. An intrinsic limitation of Wasserstein distances is the fact that they are defined only between measures having the same mass. To overcome such limitation, we recently introduced the generalized Wasserstein distances $W_p^{a,b}$, defined in terms of both the classical Wasserstein distance $W_p$ and the total variation (or $L^1$) distance. Here $p$ plays the same role as for the classic Wasserstein distance, while $a$ and $b$ are weights for the transport and the total variation term. In this paper we prove two important properties of the generalized Wasserstein distances: 1) a generalized Benamou-Brenier formula providing the equality between $W_2^{a,b}$ and the supremum of an action functional, which includes a transport term (kinetic energy) and a source term. 2) a duality `{a} la Kantorovich-Rubinstein establishing the equality between $W_1^{1,1}$ and the flat metric.

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Cited in

(52)

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• A machine learning approach to classification for traders in financial markets
• A new perspective on Wasserstein distances for kinetic problems

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