Stability and Sample Complexity of Divergence Regularized Optimal Transport

Erhan Bayraktar, Stephan Eckstein, Xin Zhang

Published 2022-12-01Version 1

We study stability and sample complexity properties of divergence regularized optimal transport (DOT). First, we obtain quantitative stability results for optimizers of (DOT) measured in Wasserstein distance, which are applicable to a wide class of divergences and simultaneously improve known results for entropic optimal transport. Second, we study the case of sample complexity, where the (DOT) problem is approximated using empirical measures of the marginals. We show that divergence regularization can improve the corresponding convergence rate compared to unregularized optimal transport. To this end, we prove upper bounds which exploit both the regularity of cost function and divergence functional, as well as the intrinsic dimension of the marginals. Along the way, we establish regularity properties of dual optimizers of (DOT), as well as general limit theorems for empirical measures with suitable classes of test functions.