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Optimal Entropy-Transport problems and a new Hellinger-Kantorovich distance between positive measures

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 Added by Alexander Mielke
 Publication date 2015
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and research's language is English




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We develop a full theory for the new class of Optimal Entropy-Transport problems between nonnegative and finite Radon measures in general topological spaces. They arise quite naturally by relaxing the marginal constraints typical of Optimal Transport problems: given a couple of finite measures (with possibly different total mass), one looks for minimizers of the sum of a linear transport functional and two convex entropy functionals, that quantify in some way the deviation of the marginals of the transport plan from the assigned measures. As a powerful application of this theory, we study the particular case of Logarithmic Entropy-Transport problems and introduce the new Hellinger-Kantorovich distance between measures in metric spaces. The striking connection between these two seemingly far topics allows for a deep analysis of the geometric properties of the new geodesic distance, which lies somehow between the well-known Hellinger-Kakutani and Kantorovich-Wasserstein distances.

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In this paper we study the local linearization of the Hellinger--Kantorovich distance via its Riemannian structure. We give explicit expressions for the logarithmic and exponential map and identify a suitable notion of a Riemannian inner product. Samples can thus be represented as vectors in the tangent space of a suitable reference measure where the norm locally approximates the original metric. Working with the local linearization and the corresponding embeddings allows for the advantages of the Euclidean setting, such as faster computations and a plethora of data analysis tools, whilst still still enjoying approximately the descriptive power of the Hellinger--Kantorovich metric.
We discuss a new notion of distance on the space of finite and nonnegative measures which can be seen as a generalization of the well-known Kantorovich-Wasserstein distance. The new distance is based on a dynamical formulation given by an Onsager operator that is the sum of a Wasserstein diffusion part and an additional reaction part describing the generation and absorption of mass. We present a full characterization of the distance and its properties. In fact the distance can be equivalently described by an optimal transport problem on the cone space over the underlying metric space. We give a construction of geodesic curves and discuss their properties.
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