A fixed-point approach to barycenters in Wasserstein space

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:441

Article

Alvarez-Esteban, Pedro C.^1,2  del Barrio, E.^1,2  Cuesta-Albertos, J. A.³  Matran, C.^1,2 

[1] Univ Valladolid, Dept Estadist & Invest Operat, E-47002 Valladolid, Spain

[2] Univ Valladolid, IMUVA, E-47002 Valladolid, Spain

[3] Univ Cantabria, Dept Matemat Estadist & Comp, Santander, Spain

关键词: Mass transportation problem;    L-2-Wasserstein distance;    Wasserstein barycenter;    Frechet mean;    Fixed-point iteration;    Location-scatter families;   

DOI  :  10.1016/j.jmaa.2016.04.045

来源: Elsevier

【 摘 要 】

Let P-2,P-ac be the set of Borel probabilities on R-d with finite second moment and absolutely continuous with respect to Lebesgue measure. We consider the problem of finding the barycenter (or Frechet mean) of a finite set of probabilities nu 1,center dot center dot center dot,nu(k) is an element of P-2,P-ac with respect to the L-2-Wasserstein metric. For this task we introduce an operator on P-2,P-ac related to the optimal transport maps pushing forward any mu is an element of P-2,P-ac to nu(1),center dot center dot center dot, nu(k). Under very general conditions we prove that the barycenter must be a fixed point for this operator and introduce an iterative procedure which consistently approximates the barycenter. The procedure allows effective computation of barycenters in any location-scatter family, including the Gaussian case. In such cases the barycenter must belong to the family, thus it is characterized by its mean and covariance matrix. While its mean is just the weighted mean of the means of the probabilities, the covariance matrix is characterized in terms of their covariance matrices Sigma(1),center dot center dot center dot, Sigma(k) through a nonlinear matrix equation. The performance of the iterative procedure in this case is illustrated through numerical simulations, which show fast convergence towards the barycenter. (c) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

Free