Published 2017
| Submitted
Journal Article
Open
Extreme points of a ball about a measure with finite support
- Creators
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Owhadi, Houman
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Scovel, Clint
Abstract
We show that, for the space of Borel probability measures on a Borel subset of a Polish metric space, the extreme points of the Prokhorov, Monge–Wasserstein and Kantorovich metric balls about a measure whose support has at most n points, consist of measures whose supports have at most n+2 points. Moreover, we use the Strassen and Kantorovich–Rubinstein duality theorems to develop representations of supersets of the extreme points based on linear programming, and then develop these representations towards the goal of their efficient computation.
Additional Information
© 2017 International Press of Boston, Inc. The authors gratefully acknowledge this work supported by the Air Force Office of Scientific Research under Award Number FA9550-12-1-0389 (Scientific Computation of Optimal Statistical Estimators).Attached Files
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Additional details
- Eprint ID
- 64687
- Resolver ID
- CaltechAUTHORS:20160223-151629237
- FA9550-12-1-0389
- Air Force Office of Scientific Research (AFOSR)
- Created
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2016-02-24Created from EPrint's datestamp field
- Updated
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2021-11-10Created from EPrint's last_modified field