Convergence Rates for Regularized Optimal Transport via Quantization

Abstract

We study the convergence of divergence-regularized optimal transport as the regularization parameter vanishes. Sharp rates for general divergences including relative entropy or Lp regularization, general transport costs, and multimarginal problems are obtained. A novel methodology using quantization and martingale couplings is suitable for noncompact marginals and achieves, in particular, the sharp leading-order term of entropically regularized 2-Wasserstein distance for marginals with a finite [Formula: see text]-moment. Funding: This work was supported by the Alfred P. Sloan Foundation [Grant FG-2016-6282] and the Division of Mathematical Sciences [Grants DMS-1812661 and DMS-2106056].