Abstract
We revisit the question of characterizing the convergence rate of plug-in estimators of optimal transport costs. It is well known that an empirical measure comprising independent samples from an absolutely continuous distribution on converges to that distribution at the rate in Wasserstein distance, which can be used to prove that plug-in estimators of many optimal transport costs converge at this same rate. However, we show that when the cost is smooth, this analysis is loose: plug-in estimators based on empirical measures converge quadratically faster, at the rate . As a corollary, we show that the Wasserstein distance between two distributions is significantly easier to estimate when the measures are well-separated. We also prove lower bounds, showing not only that our analysis of the plug-in estimator is tight, but also that no other estimator can enjoy significantly faster rates of convergence uniformly over all pairs of measures. Our proofs rely on empirical process theory arguments based on tight control of covering numbers for locally Lipschitz and semiconcave functions. As a byproduct of our proofs, we derive estimates on the displacement induced by the optimal coupling between any two measures satisfying suitable concentration and anticoncentration conditions, for a wide range of cost functions.
Funding Statement
TM was partially supported by the Natural Sciences and Engineering Research Council of Canada, through a PGS D scholarship.
JNW gratefully acknowledges the support of National Science Foundation Grant DMS-2015291.
Acknowledgments
The authors would like to thank an anonymous referee for comments which significantly improved the quality of this paper.
Citation
Tudor Manole. Jonathan Niles-Weed. "Sharp convergence rates for empirical optimal transport with smooth costs." Ann. Appl. Probab. 34 (1B) 1108 - 1135, February 2024. https://doi.org/10.1214/23-AAP1986
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