DOCSLIB.ORG

The Disintegration Theorem and Applications to Optimal Mass Transport

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
The Disintegration Theorem and Applications to Optimal Mass Transport View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by SISSA Digital Library Scuola Internazionale Superiore di Studi Avanzati Settore di Analisi Funzionale e Applicazioni Super onale iore d azi i S rn tu te di In A v la a o n u z c a t S i - m - a za pe en r se osc guir virtute e con Ph.D. Thesis The Disintegration Theorem and Applications to Optimal Mass Transport Candidate: Laura Caravenna Advisor: Prof. Stefano Bianchini Accademic Year 2008/09 Dichiarazione Il presente lavoro costituisce la tesi presentata da Laura Caravenna, sotto la di- rezione di ricerca del Prof. Stefano Bianchini, al fine di ottenere l’attestato di ricerca post-universitaria di “Doctor Philosophiae” in Analisi Matematica presso la Scuola Internazionale Superiore di Studi Avanzati, settore di Analisi Funzionale e Applicazioni. Ai sensi dell’ art. 18, comma 3 dello Statuto della Sissa pubblicato sulla G.U. no 62 del 15.03.2001, il predetto attestato è equipollente al titolo di Dottore di Ricerca in Matematica. Trieste, Settembre 2009. Declaration The present work constitutes the thesis presented by Laura Caravenna, with the supervisory of Prof. Stefano Bianchini, in order to obtain the research title “Doctor Philosophiae” in Mathematical Analysis at the International School of Advanced Studies (SISSA), sector of Functional Analysis and Applications. By the article 18, comma 3 of Sissa Statute, published on G.U. number 62, 15 March 2001, this research title is equipollent to the Italian title Dottore di Ricerca in Matematica. Trieste, Sptember 2009. i Abstract The thesis begins recalling a fundamental result in Measure Theory: the Dis- integration Theorem in countably generated measure spaces. Given a partition X = α2AXα of the probability space (X, Ω, µ), when possible it endows the equiv- [ alence classes (Xα, ΩxXα ) with probability measures µα suitable to reconstruct the original measure, by integrating over the quotient probability space (A, A, m): µ = µαm(dα). ZA We consider two specific affine partitions of Rn: the equivalence classes are respectively the 1D rays of maximal growth of a 1-Lipschitz function φ and the projection of the faces of a convex function f. We establish the nontrivial fact that for this two specific locally affine partitions of Rn the equivalence classes are equivalent as measure spaces to themselves with the Hausdorff measure of the proper dimension, and the same holds for the relative quotient space. More concretely, this result is a regularity property of the graphs of functions whose ‘faces’ define the partitions, once projected. The remarkable fact is that a priori the directions of the rays and of the faces are just Borel and no Lipschitz regularity is known. Notwithstanding that, we also prove that a Green-Gauss formula for these directions holds on special sets. The above study is then applied to some standard problem in Optimal Mass Transportation, namely • if a transport plan is extremal in Π(µ, ν); • if a transport plan is the unique measure in Π(µ, ν) concentrated on a given set A; • if a transport plan is a solution to the Kantorovich problem; • if there exists a solution to the Monge problem in Rn, with a strictly convex norm. We face these problems with a common approach, decomposing the space into suitable invariant regions for the transport and ‘localizing’ the study in the equiva- lence classes and in the quotient space by means of the Disintegration Theorem. Explicit procedures are provided in the cases above, which are fulfilled depending on regularity properties of the disintegrations we consider. As by sides results, we study the Disintegration Theorem w.r.t. family of equiva- lence relations, the construction of optimal potentials, a natural relation obtained from c-cyclical monotonicity. The Thesis collects the results obtained in [BC1], [Car2], [CD]. iii Sommario iv Contents 1 Introduction ................................... 1 IThe Disintegration Theorem 19 2 The Disintegration Theorem .......................... 21 3 Disintegration for a family of equivalence relations ........... 27 4 Disintegration on 1D rays of a Lipschitz function ............. 31 4.1 Elementary structure of the Transport Set T¯ ................ 33 4.2 Partition of T¯ into model sets........................ 37 4.3 Fundamental estimate: the sheaf set Z.................... 40 4.4 Explicit disintegration of L n ........................ 43 5 Disintegration on the faces of a convex body ................ 49 5.1 Setting and statement............................. 49 5.1.1 Absolute continuity of the conditional probabilities ............ 51 5.2 A disintegration technique.......................... 52 5.3 Measurability of the directions of the k-faces................ 55 5.4 Partition into model sets........................... 57 5.5 An absolute continuity estimate....................... 61 5.6 Properties of the density function...................... 71 5.7 The disintegration on model sets...................... 75 5.8 The global disintegration........................... 76 6 Further regularity: a divergence formula .................. 85 6.1 One dimensional rays............................. 85 6.1.1 Local divergence ............................. 85 6.1.2 Global divergence ............................. 88 6.2 Faces of a convex function.......................... 89 6.2.1 Vector fields parallel to the faces ..................... 92 6.2.2 The currents of k-faces .......................... 97 IISome basic problems in Optimal Mass Transportation 101 7 Explanation of the approach .......................... 103 7.1 Interpretation................................. 105 7.2 Setting and general scheme......................... 106 8 Extremality .................................... 111 9 Uniqueness..................................... 117 10 Optimality and c-cyclical monotonicity ................... 121 10.1 Extension of the construction........................ 126 10.2 The c-cyclically monotone relation...................... 127 v vi contents 11 Examples ...................................... 137 11.1 Dependence w.r.t. the set Γ .......................... 137 11.2 Analysis of the transport problem in the quotient space.......... 141 12 Existence of an optimal potential ....................... 147 13 Sudakov theorem with strictly convex, possibly asymmetric norms ... 155 13.1 Remarks on the decomposition in transport rays.............. 161 IIIAppendix 169 AAn Isomorphism Theorem ............................ 171 BPerturbation by cycles.............................. 173 B.1 Borel, analytic and universally measurable sets............... 173 B.2 General duality results............................ 174 B.3 Decomposition of measures with 0 marginals............... 175 B.3.1 n-cyclic components of a measure..................... 177 B.3.2 Cyclic and essentially cyclic measures................... 181 B.3.3 Perturbation of measures ......................... 182 B.3.4 Examples ................................. 184 CTensors and currents .............................. 187 Notations ........................................ 190 List of Figures ...................................... 193 Bibliography ....................................... 194 Introduction 1 Given a space with some structure, a fundamental abstract operation in Mathemat- ics is to define an equivalence relation somehow compatible with the structure and to pass to the quotient. A basic problem is to study the behavior of the structure w.r.t. this operation, for suitably chosen partitions in equivalence classes. This op- eration can be the basis of reduction arguments, spitting up a problem in simpler ones, or simply a way to sweep out obstacles or unessential informations, focussing on what remains. This is the key operation all throughout the thesis, in the basic framework of Measure Spaces both as general as countably generated ones and as specific as Rn with the Lebesgue measure. A fundamental result in Measure Theory, the Disintegration Theorem, deals with the probability structure of the equivalence classes Xt, t Q, in a probability 2 space (X, Ω, µ). While the quotient probability space (Q, Q, m) is easily defined, one needs some regularity in order to have unique probabilities µt on Xt satisfying -1 µ(B h (A)) = µt(B)m(dt) for all B Ω, A Q. \ 2 2 ZA In a first part, we recall these basic results. We study moreover with these tools the disintegration w.r.t. a family of equivalence relation closed under countable intersection, finding that the family contains a sharpest equivalence relation for the measure. We then consider separately two specific partitions of Rn. The equivalence classes are in one case the lines of maximal growth of a 1-Lipschitz potential, w.r.t. a strictly convex norm. In the second case, they correspond to the faces of a convex function — they are the relative interior of maximal convex sets where the convex function is linear. Existence and uniqueness of a disintegration are provided by measurability properties of the partitions, applying the Disintegration Theorem. We establish the nontrivial fact that for these two particular affine partitions of Rn the conditional measures on the equivalence classes are equivalent to the Hausdorff measure of the proper dimension, and the same holds for the quotient spaces. This is a regularity property of the graphs of the functions defining the partitions, as any BV regularity of the direction field in general does not hold. Notwithstanding that, we also prove that a Green-Gauss formula for these directions holds on
Load more

Recommended publications
  • Bayesian Push-Forward Based Inference
    Bayesian Push-forward based Inference A Consistent Bayesian Formulation for Stochastic Inverse Problems Based on Push-forward Measures T. Butler,∗ J. Jakeman,y T. Wildeyy April 4, 2017 Abstract We formulate, and present a numerical method for solving, an inverse problem for inferring parameters of a deterministic model from stochastic observational data (quantities of interest). The solution, given as a probability measure, is derived using a Bayesian updating approach for measurable maps that finds a posterior probability measure, that when propagated through the deterministic model produces a push-forward measure that exactly matches the observed prob- ability measure on the data. Our approach for finding such posterior measures, which we call consistent Bayesian inference, is simple and only requires the computation of the push-forward probability measure induced by the combination of a prior probability measure and the deter- ministic model. We establish existence and uniqueness of observation-consistent posteriors and present stability and error analysis. We also discuss the relationships between consistent Bayesian inference, classical/statistical Bayesian inference, and a recently developed measure-theoretic ap- proach for inference. Finally, analytical and numerical results are presented to highlight certain properties of the consistent Bayesian approach and the differences between this approach and the two aforementioned alternatives for inference. Keywords. stochastic inverse problems, Bayesian inference, uncertainty quantification, density estimation AMS classifications. 60H30, 60H35, 60B10 1 Introduction Inferring information about the parameters of a model from observations is a common goal in scientific modelling and engineering design. Given a simulation model, one often seeks to determine the set of possible model parameter values which produce a set of model outputs that match some set of observed arXiv:1704.00680v1 [math.NA] 3 Apr 2017 or desired values.
    [Show full text]
  • An Abstract Disintegration Theorem
    PACIFIC JOURNAL OF MATHEMATICS Vol. 94, No. 2, 1981 AN ABSTRACT DISINTEGRATION THEOREM BENNO FUCHSSTEINER A Strassen-type disintegration theorem for convex cones with localized order structure is proved. As an example a flow theorem for infinite networks is given. Introduction* It has been observed by several authors (e.g., 191, 1101, 1131 and |14|) that the essential part of the celebrated Strassen disintegration theorem (|12| or |7|) consists of a rather sophisticated Hahn-Banach argument combined with a measure theoretic argument like the Radon Nikodym theorem. For this we refer especially to a theorem given by M. Valadier |13| and also by M. Neumann |10|. We first extend this result (in the formulation of 1101) to convex cones. This extension is nontrivial because in the situation of convex cones one looses in general the required measure theoretic convergence properties if a linear functional is decomposed with respect to an integral over sublinear functionals. For avoiding these difficulties we have to combine a maximality- argument with, what we call, a localized order structure. On the first view this order structure looks somewhat artificial, but it certainly has some interest in its own since it turns out that the disintegration is compatible with this order structure. The use- fulness of these order theoretic arguments is illustrated by giving as an example a generalization of Gale's [4] celebrated theorem on flows in networks (see also Ryser [11]). 1* A Disintegration theorem* Let (Ω, Σ, m) be a measure space with σ-algebra Σ and positive σ-finite measure m. By L\(m) we denote the convex cone of Unvalued {R*~R U {— °°}) measurable functions on Ω such that their positive part (but not necessarily the negative part) is integrable with respect to m.
    [Show full text]
  • Delivery Cialis Overnight
    J. Nonlinear Var. Anal. 2 (2018), No. 2, pp. 229-232 Available online at http://jnva.biemdas.com https://doi.org/10.23952/jnva.2.2018.2.09 DISINTEGRATION OF YOUNG MEASURES AND CONDITIONAL PROBABILITIES TORU MARUYAMA Department of Economics, Keio University, Tokyo, Japan Abstract. Existence of a version of conditional probabilies is proved by means of a general disintegration theorem of Young measures due to M. Valadier. Keywords. Conditional probability; Disintegration; Young measure. 2010 Mathematics Subject Classification. 28A50, 28A51, 60B10. 1. INTRODUCTION In this brief note, the relationship between the concept of disintegrations of Young measures and that of regular conditional probabilities is clarified. Although the similarity between these two has been noticed in the long history of the theory of Young measures, some vagueness seems to have been left. Our target is to prove the existence of regular conditional probabilities through the disintegrability theorem. For a general theory of Young measures, the readers are referred to Valadier [5]. 2. PRELIMINARIES Let (W;E ; m) be a finite measure space and X a Hausdorff topological space endowed with the Borel s-field B(X). The mapping pW : W × X ! W (resp. pX : W × X ! X) denotes the projection of W × X into W (resp. X). A (positive) finite measure g on (W × X;E ⊗ B(X)) is called a Young measure if it satisfies −1 g ◦ pW = m: (2.1) The set of all Young measures on (W × X;E ⊗ B(X)) is denoted by Y(W; m;X). A family fnw jw 2 Wg of measures on (X;B(X)) is called a measurable family if the mapping w 7! nw (B) is measurable for any B 2 B(X).
    [Show full text]
  • On the Uniqueness of Probability Measure Solutions to Liouville's
    On the uniqueness of probability measure solutions to Liouville’s equation of Hamiltonian PDEs. Zied Ammari, Quentin Liard To cite this version: Zied Ammari, Quentin Liard. On the uniqueness of probability measure solutions to Liouville’s equa- tion of Hamiltonian PDEs.. Discrete and Continuous Dynamical Systems - Series A, American Insti- tute of Mathematical Sciences, 2018, 38 (2), pp.723-748. 10.3934/dcds.2018032. hal-01275164v3 HAL Id: hal-01275164 https://hal.archives-ouvertes.fr/hal-01275164v3 Submitted on 13 Sep 2016 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. On uniqueness of measure-valued solutions to Liouville’s equation of Hamiltonian PDEs Zied Ammari and Quentin Liard∗ September 13, 2016 Abstract In this paper, the Cauchy problem of classical Hamiltonian PDEs is recast into a Liou- ville’s equation with measure-valued solutions. Then a uniqueness property for the latter equation is proved under some natural assumptions. Our result extends the method of char- acteristics to Hamiltonian systems with infinite degrees of freedom and it applies to a large variety of Hamiltonian PDEs (Hartree, Klein-Gordon, Schr¨odinger, Wave, Yukawa . ). The main arguments in the proof are a projective point of view and a probabilistic representation of measure-valued solutions to continuity equations in finite dimension.
    [Show full text]
  • The Cauchy Transform Mathematical Surveys and Monographs
    http://dx.doi.org/10.1090/surv/125 The Cauchy Transform Mathematical Surveys and Monographs Volume 125 The Cauchy Transform Joseph A. Citna Alec L. Matheson William T. Ross AttEM^ American Mathematical Society EDITORIAL COMMITTEE Jerry L. Bona Peter S. Landweber Michael G. Eastwood Michael P. Loss J. T. Stafford, Chair 2000 Mathematics Subject Classification. Primary 30E20, 30E10, 30H05, 32A35, 32A40, 32A37, 32A60, 47B35, 47B37, 46E27. For additional information and updates on this book, visit www.ams.org/bookpages/surv-125 Library of Congress Cataloging-in-Publication Data Cima, Joseph A., 1933- The Cauchy transform/ Joseph A. Cima, Alec L. Matheson, William T. Ross. p. cm. - (Mathematical surveys and monographs, ISSN 0076-5376; v. 125) Includes bibliographical references and index. ISBN 0-8218-3871-7 (acid-free paper) 1. Cauchy integrals. 2. Cauchy transform. 3. Functions of complex variables. 4. Holomorphic functions. 5. Operator theory. I. Matheson, Alec L., 1946- II. Ross, William T., 1964- III. Title. IV. Mathematical surveys and monographs; no. 125. QA331.7:C56 2006 515/.43-dc22 2005055587 Copying and reprinting. Individual readers of this publication, and nonprofit libraries acting for them, are permitted to make fair use of the material, such as to copy a chapter for use in teaching or research. Permission is granted to quote brief passages from this publication in reviews, provided the customary acknowledgment of the source is given. Republication, systematic copying, or multiple reproduction of any material in this publication is permitted only under license from the American Mathematical Society. Requests for such permission should be addressed to the Acquisitions Department, American Mathematical Society, 201 Charles Street, Providence, Rhode Island 02904-2294, USA.
    [Show full text]
  • Université De Montréal Disintegration Methods in the Optimal Transport
    Universit´ede Montr´eal Disintegration Methods in the Optimal Transport Problem Par Justin B´elair D´epartement de Sciences ´economiques.Facult´edes Arts et Sciences. Universit´ede Montr´eal M´emoirepr´esent´een vue de l'obtention du grade de Maitrise, M.Sc. en Sciences ´economiques, option m´emoire Juin 2019 c Justin B´elair,2019 1 R´esum´eet mots-cl´es Ce travail consiste `aexpliciter des techniques applicables `acertaines classes de probl`emesde transport (Optimal Transport). En effet, le probl`emede transport est une formulation abstraite d'un probl`emed'optimisation qui s'´etendaujourd'hui `aune panoplie d'applications dans des domaines tr`esdi- versifi´es(m´et´eorologie,astrophysique, traitement d'images, et de multiples autres). Ainsi, la pertinence des m´ethodes ici d´ecritess'´etend`abeaucoup plus que des probl`emesmath´ematiques.En particulier, ce travail cherche `amon- trer comment certains th´eor`emesqui sont habituellement pr´esent´escomme des probl`emescombinatoires qui valent sur des ensembles finis peuvent ^etre g´en´eralis´es`ades ensembles infinis `al'aide d'outils de th´eoriede la mesure: le th´eor`emede d´ecomposition de mesures. Ainsi, le domaine d'application concret de ces techniques s'en trouve grandement ´elargiau moyen d'une plus grande abstraction math´ematique. Mots-cl´es:Transport Optimal, D´ecomposition de mesures, Dualit´e,Op- timisation 2 Summary and Keywords The present work hopes to illustrate certain techniques that can be applied to certain classes of Optimal Transport problems. Today, the Optimal Trans- port problem has come to be a mathematical formulation of very diverse problems (meteorology, astrophysics, image processing, etc.) Thus, the per- tinence of the methods described is much larger than mathematical problems.
    [Show full text]
  • Conditional Measures and Conditional Expectation; Rohlin’S Disintegration Theorem
    DISCRETE AND CONTINUOUS doi:10.3934/dcds.2012.32.2565 DYNAMICAL SYSTEMS Volume 32, Number 7, July 2012 pp. 2565{2582 CONDITIONAL MEASURES AND CONDITIONAL EXPECTATION; ROHLIN'S DISINTEGRATION THEOREM David Simmons Department of Mathematics University of North Texas P.O. Box 311430 Denton, TX 76203-1430, USA Abstract. The purpose of this paper is to give a clean formulation and proof of Rohlin's Disintegration Theorem [7]. Another (possible) proof can be found in [6]. Note also that our statement of Rohlin's Disintegration Theorem (The- orem 2.1) is more general than the statement in either [7] or [6] in that X is allowed to be any universally measurable space, and Y is allowed to be any subspace of standard Borel space. Sections 1 - 4 contain the statement and proof of Rohlin's Theorem. Sec- tions 5 - 7 give a generalization of Rohlin's Theorem to the category of σ-finite measure spaces with absolutely continuous morphisms. Section 8 gives a less general but more powerful version of Rohlin's Theorem in the category of smooth measures on C1 manifolds. Section 9 is an appendix which contains proofs of facts used throughout the paper. 1. Notation. We begin with the definition of the standard concept of a system of conditional measures, also known as a disintegration: Definition 1.1. Let (X; µ) be a probability space, Y a measurable space, and π : X ! Y a measurable function. A system of conditional measures of µ with respect to (X; π; Y ) is a collection of measures (µy)y2Y such that −1 i) For each y 2 Y , µy is a measure on π (X).
    [Show full text]
  • Renault's Equivalence Theorem for Groupoid Crossed Products
    RENAULT’S EQUIVALENCE THEOREM FOR GROUPOID CROSSED PRODUCTS PAUL S. MUHLY AND DANA P. WILLIAMS Abstract. We provide an exposition and proof of Renault’s equivalence theo- rem for crossed products by locally Hausdorff, locally compact groupoids. Our approach stresses the bundle approach, concrete imprimitivity bimodules and is a preamble to a detailed treatment of the Brauer semigroup for a locally Hausdorff, locally compact groupoid. Contents 1. Introduction 1 2. Locally Hausdorff Spaces, Groupoids and Principal G-spaces 3 3. C0(X)-algebras 11 4. Groupoid Crossed Products 15 5. Renault’s Equivalence Theorem 19 6. Approximate Identities 26 7. Covariant Representations 33 8. Proof of the Equivalence Theorem 40 9. Applications 42 Appendix A. Radon Measures 47 AppendixB. ProofoftheDisintegrationTheorem 51 References 67 1. Introduction Our objective in this paper is to present an exposition of the theory of groupoid arXiv:0707.3566v2 [math.OA] 5 Jun 2008 actions on so-called upper-semicontinuous-C∗-bundles and to present the rudiments of their associated crossed product C∗-algebras. In particular, we shall extend the equivalence theorem from [28] and [40, Corollaire 5.4] to cover locally compact, but not necessarily Hausdorff, groupoids acting on such bundles. Our inspiration for this project derives from investigations we are pursuing into the structure of the Brauer semigroup, S(G), of a locally compact groupoid G, which is defined to be a collection of Morita equivalence classes of actions of the groupoid on upper- semicontinuous-C∗-bundles. The semigroup S(G) arises in numerous guises in the literature and one of our goals is to systematize their theory.
    [Show full text]
  • Measurable Partitions, Disintegration and Conditional Measures
    MEASURABLE PARTITIONS, DISINTEGRATION AND CONDITIONAL MEASURES BRUNO SANTIAGO Abstract. In this short note we review Rokhlin Desintegration Theorem and give some applications. 1. Introduction Consider a measure space (M; A; µ). Suppose that we partition X in an arbitrary way. Is it possible to recover the measure µ from its restriction to the elements of the partition? In this note, we shall address this question, giving some affirmative answer and applying this idea to obtain interesting results. Let us start with a simple (positive) example. Example 1.1. Consider the two torus T2 = S1 × S1, endowed with the Lebesgue measure m. The torus can be easily partitioned by the sets fyg × S1. Figure 1. 1 Denote by my the Lebesgue measure over the circle fyg×S , andm ^ the Lebesgue measure over S1. If E ⊂ T2 is a measurable set we know from basic measure theory that Z (1.1) m(E) = my(E)dm^ (y) 2010 Mathematics Subject Classification. Primary . Thanks to Aaron Brown for helpful conversations and the organizing committee of the con- ference \Workshop for young researchers: groups acting on manifolds" for the opportunity of participating in this wonderful meeting. 1 2 BRUNO SANTIAGO We would like to have a disintegration like this of a measure with respect to a partition in more general situations. One would naively ask: does it always exist a disintegration for a given partition? As we shall see later, for some simple, dynamically defined, partitions no disin- tegration exists at all. In the next sections we shall define formally the notion of a disintegration and try to explore a little bit this concept.
    [Show full text]
  • On the Singular Components of a Copula
    Applied Probability Trust (9 October 2014) ON THE SINGULAR COMPONENTS OF A COPULA FABRIZIO DURANTE,∗ JUAN FERNANDEZ-S´ ANCHEZ,´ ∗∗ WOLFGANG TRUTSCHNIG,∗∗∗ Abstract We analyze copulas with a non-trivial singular component by using their Markov kernel representation. In particular, we provide existence results for copulas with a prescribed singular component. The constructions do not only help to deal with problems related to multivariate stochastic systems of lifetimes when joint defaults can occur with a non-zero probability, but even provide a copula maximizing the probability of joint default. Keywords: Copula; Coupling; Disintegration Theorem; Markov Kernel; Singu- lar measure. 2010 Mathematics Subject Classification: Primary 60E05 Secondary 28A50; 91G70. 1. Introduction Copula models have become popular in different applications in view of their ability to describe a variety of different relationships among random variables [9, 8]. Such a growing interest also motivates the introduction of methodologies that go beyond clas- sical statistical assumptions, like absolute continuity or smoothness of derivatives (i.e., conditional distribution functions), that sometimes may impose undesirable constraints ∗ Postal address: Faculty of Economics and Management, Free University of Bozen-Bolzano, Bolzano, Italy, e-mail: [email protected] ∗∗ Postal address: Grupo de Investigaci´onde An´alisisMatem´atico, Universidad de Almer´ıa, La Ca~nadade San Urbano, Almer´ıa,Spain, e-mail: [email protected] ∗∗∗ Postal address: Department for Mathematics, University of Salzburg, Salzburg, Austria, e-mail: [email protected] 1 2 F. DURANTE, J. FERNANDEZ-S´ ANCHEZ,´ W. TRUTSCHNIG on the underlying stochastic model. In order to fix ideas, consider the case when copulas are employed to describe the dependence among two (or more) lifetimes, i.e.
    [Show full text]
  • On Computability and Disintegration
    ON COMPUTABILITY AND DISINTEGRATION NATHANAEL L. ACKERMAN, CAMERON E. FREER, AND DANIEL M. ROY Abstract. We show that the disintegration operator on a complete separable metric space along a projection map, restricted to measures for which there is a unique continuous disintegration, is strongly Weihrauch equivalent to the limit operator Lim. When a measure does not have a unique continuous disintegration, we may still obtain a disintegration when some basis of continuity sets has the Vitali covering property with respect to the measure; the disintegration, however, may depend on the choice of sets. We show that, when the basis is computable, the resulting disintegration is strongly Weihrauch reducible to Lim, and further exhibit a single distribution realizing this upper bound. 1. Introduction2 1.1. Outline of the paper3 2. Disintegration4 2.1. The Tjur property6 2.2. Weaker conditions than the Tjur property9 3. Represented spaces and Weihrauch reducibility 11 3.1. Represented spaces 11 3.1.1. Continuous functions 12 3.1.2. The Naturals, Sierpinski space, and spaces of open sets 12 3.1.3. Some standard spaces as represented spaces 13 3.1.4. Representing probability measures 14 3.2. Weihrauch reducibility 17 3.3. Operators 18 3.3.1. The disintegration operator 18 3.3.2. The EC operator 18 3.3.3. The Lim operator 19 4. The disintegration operator on distributions admitting a unique continuous disintegration. 19 4.1. Lower Bound 19 4.2. Upper Bound 21 4.3. Equivalence 22 5. The disintegration of specific distributions 22 5.1. Definitions 22 5.2.
    [Show full text]
  • Distances Between Probability Distributions of Different Dimensions
    DISTANCES BETWEEN PROBABILITY DISTRIBUTIONS OF DIFFERENT DIMENSIONS YUHANG CAI AND LEK-HENG LIM Abstract. Comparing probability distributions is an indispensable and ubiquitous task in machine learning and statistics. The most common way to compare a pair of Borel probability measures is to compute a metric between them, and by far the most widely used notions of metric are the Wasserstein metric and the total variation metric. The next most common way is to compute a divergence between them, and in this case almost every known divergences such as those of Kullback{Leibler, Jensen{Shannon, R´enyi, and many more, are special cases of the f-divergence. Nevertheless these metrics and divergences may only be computed, in fact, are only defined, when the pair of probability measures are on spaces of the same dimension. How would one quantify, say, a KL-divergence between the uniform distribution on the interval [−1; 1] and a Gaussian distribution 3 on R ? We will show that, in a completely natural manner, various common notions of metrics and divergences give rise to a distance between Borel probability measures defined on spaces of different m n dimensions, e.g., one on R and another on R where m; n are distinct, so as to give a meaningful answer to the previous question. 1. Introduction Measuring a distance, whether in the sense of a metric or a divergence, between two probability distributions is a fundamental endeavor in machine learning and statistics. We encounter it in clustering [27], density estimation [61], generative adversarial networks [2], image recognition [3], minimax lower bounds [22], and just about any field that undertakes a statistical approach towards n data.
    [Show full text]