Weak limits of entropy regularized Optimal Transport; potentials, plans and divergences

arXiv2207.07427MaRDI QIDQ6405078FDOQ6405078

Authors: Alberto González Sanz, Jean-Michel Loubes, Jonathan Niles-Weed 

Publication date: 15 July 2022

Abstract: This work deals with the asymptotic distribution of both potentials and couplings of entropic regularized optimal transport for compactly supported probabilities in $R^d$. We first provide the central limit theorem of the Sinkhorn potentials -- the solutions of the dual problem -- as a Gaussian process in $Cs$. Then we obtain the weak limits of the couplings -- the solutions of the primal problem -- evaluated on integrable functions, proving a conjecture of cite{ChaosDecom}. In both cases, their limit is a real Gaussian random variable. Finally we consider the weak limit of the entropic Sinkhorn divergence under both assumptions $H_0:mP=mQ$ or $H_1:mPeqmQ$. Under $H_0$ the limit is a quadratic form applied to a Gaussian process in a Sobolev space, while under $H_1$, the limit is Gaussian. We provide also a different characterisation of the limit under $H_0$ in terms of an infinite sum of an i.i.d. sequence of standard Gaussian random variables. Such results enable statistical inference based on entropic regularized optimal transport.

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