Constrained steepest descent in the 2-Wasserstein metric

@inproceedings{Carlen2002ConstrainedSD,
  title={Constrained steepest descent in the 2-Wasserstein metric},
  author={Eric A. Carlen and Wilfrid Gangbo},
  year={2002}
}
We study several constrained variational problems in the 2-Wasserstein metric for which the set of probability densities satisfying the constraint is not closed. For example, given a probability density F0 on Rd and a time-step h > 0, we seek to minimize I(F ) = hS(F )+W 2 2 (F0, F ) over all of the probability densities F that have the same mean and variance as F0, where S(F ) is the entropy of F . We prove existence of minimizers. We also analyze the induced geometry of the set of densities… CONTINUE READING