Generalizations of Talagrand Inequality for Sinkhorn Distance Using Entropy Power Inequality.

The distance that compares the difference between two probability distributions plays a fundamental role in statistics and machine learning. Optimal transport (OT) theory provides a theoretical framework to study such distances. Recent advances in OT theory include a generalization of classical OT with an extra entropic constraint or regularization, called entropic OT. Despite its convenience in computation, entropic OT still lacks sufficient theoretical support. In this paper, we show that the quadratic cost in entropic OT can be upper-bounded using entropy power inequality (EPI)-type bounds. First, we prove an HWI-type inequality by making use of the infinitesimal displacement convexity of the OT map. Second, we derive two Talagrand-type inequalities using the saturation of EPI that corresponds to a numerical term in our expressions. These two new inequalities are shown to generalize two previous results obtained by Bolley et al. and Bai et al. Using the new Talagrand-type inequalities, we also show that the geometry observed by Sinkhorn distance is smoothed in the sense of measure concentration. Finally, we corroborate our results with various simulation studies.