Orlicz Space Regularization of Continuous Optimal Transport Problems
Dirk A. Lorenz, Hinrich Mahler
Abstract
Abstract In this work we analyze regularized optimal transport problems in the so-called Kantorovich form, i.e. given two Radon measures on two compact sets, the aim is to find a transport plan, which is another Radon measure on the product of the sets, that has these two measures as marginals and minimizes the sum of a certain linear cost function and a regularization term. We focus on regularization terms where a Young’s function applied to the (density of the) transport plan is integrated against a product measure. This forces the transport plan to belong to a certain Orlicz space. The predual problem is derived and proofs for strong duality and existence of primal solutions of the regularized problem are presented. Existence of (pre-)dual solutions is shown for the special case of $$L^p$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:msup> <mml:mi>L</mml:mi> <mml:mi>p</mml:mi> </mml:msup> </mml:math> -regularization for $$p\ge 2$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mrow> <mml:mi>p</mml:mi> <mml:mo>≥</mml:mo> <mml:mn>2</mml:mn> </mml:mrow> </mml:math> . Moreover, two results regarding $$\varGamma $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>Γ</mml:mi> </mml:math> -convergence are stated: The first is concerned with marginals that do not lie in the appropriate Orlicz space and guarantees $$\varGamma $$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"> <mml:mi>Γ</mml:mi> </mml:math> -convergence to the original Kantorovich problem, when smoothing the marginals. The second result gives convergence of a regularized and discretized problem to the unregularized, continuous problem.