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Tagged with wasserstein duality-theorems
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how to solve for wasserstein duality easily in a special case when 2-Wasserstein inequality constraint is binding
I was going through this nice paper ” A Simple and General Duality Proof for
Wasserstein Distributionally Robust Optimization”, and one quick qu on applying Theorem 1 to my poject:
What if in my ...
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Derivative of Kantorovic Potential wrt to Measure
The Kantorovich Dual of the 1-Wasserstein distance $W_1(p,q)$ between two densities $p(x), q(x)$ is given by
$$W_1(p,q) = \sup_{|f|_L\leq 1} \int f(x)(p(x)-q(x))dx$$
with $|f|_L$ denoting the ...
