论文标题
无限维高斯措施与高斯工艺之间的沃斯汀距离的熵正则化
Entropic regularization of Wasserstein distance between infinite-dimensional Gaussian measures and Gaussian processes
论文作者
论文摘要
这项工作研究了无限二维的希尔伯特空间上2-wasserstein距离的熵正则配方,尤其是在高斯环境中。我们首先介绍了最小互信息特性,即具有最小的共同信息的希尔伯特空间的两种高斯措施的关节度量是关节高斯措施。这是高斯密度在欧几里得空间上的最大熵特性的无限维概括。然后,我们为最佳的熵传输计划,熵2-wasserin距离以及在希尔伯特空间上的两个高斯措施之间以及sindhorn的差异以及固定点方程提供了一组高斯措施的固定点方程。我们的配方完全利用了熵配方的正则化方面,并且在奇异和非发挥设置中都是有效的。在无限维度的环境中,熵2-wasserstein距离和凹凸不平的差异都是可区分的,与确切的2-wasserstein距离相比,这是没有区别的。我们的sindhorn barycenter方程是新的,并且总是具有独特的解决方案。相比之下,熵2-wasserstein距离的有限维碳轴方程未能推广到希尔伯特空间设置。在复制核Hilbert空间(RKHS)的设置中,我们的距离公式是根据相应的核革兰氏矩阵明确给出的,从而提供了核最大平均差异(MMD)和kernel 2-wassErstein距离之间的插值。
This work studies the entropic regularization formulation of the 2-Wasserstein distance on an infinite-dimensional Hilbert space, in particular for the Gaussian setting. We first present the Minimum Mutual Information property, namely the joint measures of two Gaussian measures on Hilbert space with the smallest mutual information are joint Gaussian measures. This is the infinite-dimensional generalization of the Maximum Entropy property of Gaussian densities on Euclidean space. We then give closed form formulas for the optimal entropic transport plan, entropic 2-Wasserstein distance, and Sinkhorn divergence between two Gaussian measures on a Hilbert space, along with the fixed point equations for the barycenter of a set of Gaussian measures. Our formulations fully exploit the regularization aspect of the entropic formulation and are valid both in singular and nonsingular settings. In the infinite-dimensional setting, both the entropic 2-Wasserstein distance and Sinkhorn divergence are Fréchet differentiable, in contrast to the exact 2-Wasserstein distance, which is not differentiable. Our Sinkhorn barycenter equation is new and always has a unique solution. In contrast, the finite-dimensional barycenter equation for the entropic 2-Wasserstein distance fails to generalize to the Hilbert space setting. In the setting of reproducing kernel Hilbert spaces (RKHS), our distance formulas are given explicitly in terms of the corresponding kernel Gram matrices, providing an interpolation between the kernel Maximum Mean Discrepancy (MMD) and the kernel 2-Wasserstein distance.