<p>We study the information geometry of <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\({\textsf {c}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">c</mi> </math></EquationSource> </InlineEquation>-divergences from families of costs of the form <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\({\textsf {c}}(x, {\bar{x}}) ={\textsf {u}}(x^{{\mathfrak {t}}}{\bar{x}})\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="sans-serif">c</mi> <mrow> <mo stretchy="false">(</mo> <mi>x</mi> <mo>,</mo> <mover accent="true"> <mrow> <mi>x</mi> </mrow> <mrow> <mo stretchy="false">¯</mo> </mrow> </mover> <mo stretchy="false">)</mo> </mrow> <mo>=</mo> <mi mathvariant="sans-serif">u</mi> <mrow> <mo stretchy="false">(</mo> <msup> <mi>x</mi> <mi mathvariant="fraktur">t</mi> </msup> <mover accent="true"> <mrow> <mi>x</mi> </mrow> <mrow> <mo stretchy="false">¯</mo> </mrow> </mover> <mo stretchy="false">)</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation> through the optimal transport point of view. Here, <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\({\textsf {u}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">u</mi> </math></EquationSource> </InlineEquation> is a scalar function with inverse <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\({\textsf {s}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">s</mi> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(x^{{\mathfrak {t}}}{\bar{x}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msup> <mi>x</mi> <mi mathvariant="fraktur">t</mi> </msup> <mover accent="true"> <mrow> <mi>x</mi> </mrow> <mrow> <mo stretchy="false">¯</mo> </mrow> </mover> </mrow> </math></EquationSource> </InlineEquation> is a nondegenerate bilinear pairing of vectors <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(x, {\bar{x}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>x</mi> <mo>,</mo> <mover accent="true"> <mrow> <mi>x</mi> </mrow> <mrow> <mo stretchy="false">¯</mo> </mrow> </mover> </mrow> </math></EquationSource> </InlineEquation> belonging to an open subset of <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\({\mathbb {R}}^n\)</EquationSource> <EquationSource Format="MATHML"><math> <msup> <mrow> <mi mathvariant="double-struck">R</mi> </mrow> <mi>n</mi> </msup> </math></EquationSource> </InlineEquation>. We compute explicitly the MTW tensor (or cross curvature) for the optimal transport problem on <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\({\mathbb {R}}^n\)</EquationSource> <EquationSource Format="MATHML"><math> <msup> <mrow> <mi mathvariant="double-struck">R</mi> </mrow> <mi>n</mi> </msup> </math></EquationSource> </InlineEquation> with this cost. The condition that the MTW-tensor vanishes on null vectors under the Kim-McCann metric is a fourth-order nonlinear ODE, which could be reduced to a linear ODE of the form <InlineEquation ID="IEq9"> <EquationSource Format="TEX">\({\textsf {s}}^{(2)} - S{\textsf {s}}^{(1)} + P{\textsf {s}} = 0\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msup> <mrow> <mi mathvariant="sans-serif">s</mi> </mrow> <mrow> <mo stretchy="false">(</mo> <mn>2</mn> <mo stretchy="false">)</mo> </mrow> </msup> <mo>-</mo> <mi>S</mi> <msup> <mrow> <mi mathvariant="sans-serif">s</mi> </mrow> <mrow> <mo stretchy="false">(</mo> <mn>1</mn> <mo stretchy="false">)</mo> </mrow> </msup> <mo>+</mo> <mi>P</mi> <mi mathvariant="sans-serif">s</mi> <mo>=</mo> <mn>0</mn> </mrow> </math></EquationSource> </InlineEquation> with constant coefficients <i>P</i> and <i>S</i>. The resulting inverse functions include <i>Lambert</i> and <i>generalized inverse hyperbolic/trigonometric</i> functions. The square Euclidean metric and <InlineEquation ID="IEq10"> <EquationSource Format="TEX">\(\log \)</EquationSource> <EquationSource Format="MATHML"><math> <mo>log</mo> </math></EquationSource> </InlineEquation>-type costs are equivalent to instances of these solutions. The optimal map may be written explicitly in terms of the potential function. For cost functions of a similar form on a hyperboloid model of the hyperbolic space and unit sphere, we also express this tensor in terms of algebraic expressions in derivatives of <InlineEquation ID="IEq11"> <EquationSource Format="TEX">\({\textsf {s}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">s</mi> </math></EquationSource> </InlineEquation> using the Gauss-Codazzi equation, obtaining new families of strictly regular costs for these manifolds, including new families of <i>power function costs</i>. We express the divergence geometry of the <InlineEquation ID="IEq12"> <EquationSource Format="TEX">\({\textsf {c}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">c</mi> </math></EquationSource> </InlineEquation>-divergence in terms of the Kim-McCann metric, including a <InlineEquation ID="IEq13"> <EquationSource Format="TEX">\({\textsf {c}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">c</mi> </math></EquationSource> </InlineEquation>-Crouzeix identity and a formula for the primal connection. We analyze the <InlineEquation ID="IEq14"> <EquationSource Format="TEX">\(\sinh \)</EquationSource> <EquationSource Format="MATHML"><math> <mo>sinh</mo> </math></EquationSource> </InlineEquation>-type hyperbolic cost, providing examples of <InlineEquation ID="IEq15"> <EquationSource Format="TEX">\({\textsf {c}}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="sans-serif">c</mi> </math></EquationSource> </InlineEquation>-convex functions, which are used to construct a new <i>local form</i> of the <InlineEquation ID="IEq16"> <EquationSource Format="TEX">\(\alpha \)</EquationSource> <EquationSource Format="MATHML"><math> <mi>α</mi> </math></EquationSource> </InlineEquation>-divergences on probability simplices. We apply the optimal maps to the problem of sampling fat-tailed distributions, in particular, to sample the multivariate <i>t</i>-distribution.</p>

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Families of costs with zero and nonnegative MTW tensor in optimal transport and the c-divergences

  • Du Nguyen

摘要

We study the information geometry of \({\textsf {c}}\) c -divergences from families of costs of the form \({\textsf {c}}(x, {\bar{x}}) ={\textsf {u}}(x^{{\mathfrak {t}}}{\bar{x}})\) c ( x , x ¯ ) = u ( x t x ¯ ) through the optimal transport point of view. Here, \({\textsf {u}}\) u is a scalar function with inverse \({\textsf {s}}\) s , \(x^{{\mathfrak {t}}}{\bar{x}}\) x t x ¯ is a nondegenerate bilinear pairing of vectors \(x, {\bar{x}}\) x , x ¯ belonging to an open subset of \({\mathbb {R}}^n\) R n . We compute explicitly the MTW tensor (or cross curvature) for the optimal transport problem on \({\mathbb {R}}^n\) R n with this cost. The condition that the MTW-tensor vanishes on null vectors under the Kim-McCann metric is a fourth-order nonlinear ODE, which could be reduced to a linear ODE of the form \({\textsf {s}}^{(2)} - S{\textsf {s}}^{(1)} + P{\textsf {s}} = 0\) s ( 2 ) - S s ( 1 ) + P s = 0 with constant coefficients P and S. The resulting inverse functions include Lambert and generalized inverse hyperbolic/trigonometric functions. The square Euclidean metric and \(\log \) log -type costs are equivalent to instances of these solutions. The optimal map may be written explicitly in terms of the potential function. For cost functions of a similar form on a hyperboloid model of the hyperbolic space and unit sphere, we also express this tensor in terms of algebraic expressions in derivatives of \({\textsf {s}}\) s using the Gauss-Codazzi equation, obtaining new families of strictly regular costs for these manifolds, including new families of power function costs. We express the divergence geometry of the \({\textsf {c}}\) c -divergence in terms of the Kim-McCann metric, including a \({\textsf {c}}\) c -Crouzeix identity and a formula for the primal connection. We analyze the \(\sinh \) sinh -type hyperbolic cost, providing examples of \({\textsf {c}}\) c -convex functions, which are used to construct a new local form of the \(\alpha \) α -divergences on probability simplices. We apply the optimal maps to the problem of sampling fat-tailed distributions, in particular, to sample the multivariate t-distribution.