Tangential Wasserstein Projections

• URL: http://arxiv.org/abs/2207.14727v1
• Date: Fri, 29 Jul 2022 14:59:58 GMT
• Title: Tangential Wasserstein Projections
• Authors: Florian Gunsilius, Meng Hsuan Hsieh, Myung Jin Lee
• Abstract summary: We develop a notion of projections between sets of probability measures using the geometric properties of the 2-Wasserstein space. The idea is to work on regular tangent cones of the Wasserstein space using generalized geodesics.
• Score: 0.4297070083645048
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We develop a notion of projections between sets of probability measures using the geometric properties of the 2-Wasserstein space. It is designed for general multivariate probability measures, is computationally efficient to implement, and provides a unique solution in regular settings. The idea is to work on regular tangent cones of the Wasserstein space using generalized geodesics. Its structure and computational properties make the method applicable in a variety of settings, from causal inference to the analysis of object data. An application to estimating causal effects yields a generalization of the notion of synthetic controls to multivariate data with individual-level heterogeneity, as well as a way to estimate optimal weights jointly over all time periods.

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