Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability

DOI10.1051/PS/2020013zbMATH Open1454.90028arXiv1811.07787OpenAlexW3012550932MaRDI QIDQ5140338FDOQ5140338

Authors: Aurélien Alfonsi, Benjamin Jourdain 

Publication date: 15 December 2020

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: In this paper, we remark that any optimal coupling for the quadratic Wasserstein distance $W_2^2(mu,u)$ between two probability measures $mu$ and $u$ with finite second order moments on $mathbb{R}^d$ is the composition of a martingale coupling with an optimal transport map $mathcalT$. We check the existence of an optimal coupling in which this map gives the unique optimal coupling between $mu$ and $$. Next, we give a direct proof that $sigmamapsto{W}_2^2(sigma,u)$ is differentiable at $mu$ in the Lions sense iff there is a unique optimal coupling between $mu$ and $u$ and this coupling is given by a map. It was known combining results by Ambrosio, Gigli and Savar'e and Ambrosio and Gangbo that, under the latter condition, geometric differentiability holds. Moreover, the two notions of differentiability are equivalent according to the recent paper of Gangbo and Tudorascu. Besides, we give a self-contained probabilistic proof that mere Fr'echet differentiability of a law invariant function $F$ on $L^2(Omega,mathbbP;mathbb{R}^d)$ is enough for the Fr'echet differential at $X$ to be a measurable function of $X$.

Full work available at URL: https://arxiv.org/abs/1811.07787

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zbMATH Keywords

optimal transportWasserstein distancedifferentiabilityconvex ordercouplings of probability measures

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Differentiability questions for infinite-dimensional manifolds (58B10) Fréchet and Gateaux differentiability in optimization (49J50)

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Cited In (10)

• An introduction to mean field game theory
• A smooth variational principle on Wasserstein space
• Monotone solutions of the master equation for mean field games with idiosyncratic noise
• An optimal transport-based characterization of convex order
• Solving mean field rough differential equations
• Dynamical Systems and Hamilton–Jacobi–Bellman Equations on the Wasserstein Space and their L² Representations
• Optimal Couplings of Kantorovich-Rubinstein-Wasserstein Lp-distance
• Propagation of chaos for mean field Schrödinger problems
• Deterministic optimal control on Riemannian manifolds under probability knowledge of the initial condition
• Optimal vector quantization in terms of Wasserstein distance

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