On optimal matching of Gaussian samples
Geometric functional analysis and applications November 13, 2017 - November 17, 2017
Location: MSRI: Simons Auditorium
60D05 - Geometric probability and stochastic geometry [See also 52A22, 53C65]
60H15 - Stochastic partial differential equations [See also 35R60]
Optimal matching problems are random variational problems widely investigated in the mathematics and physics literature. We discuss here the optimal matching problem of an empirical measure on a sample of iid random variables to the common law in Kantorovich-Wasserstein distances, which is a classical topic in probability and statistics. Two-dimensional matching of uniform samples gave rise to deep results investigated from various view points (combinatorial, generic chaining). We study here the case of Gaussian samples, first in dimension one on the basis of explicit representations of Kantorovich metrics and a sharp analysis of more general log-concave distributions in terms of their isoperimetric profile (joint work with S. Bobkov), and then in dimension two (and higher) following the PDE and transportation approach recently put forward by L. Ambrosia, F. Stra and D. Trevisan.
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