Entropic regularisation of unbalanced optimal transportation problems

Abstract: We develop a mathematical theory of entropic regularisation of unbalanced optimal transport problems. Focusing on static formulation and relying on the formalism developed for the unregularised case, we show that unbalanced optimal transport problems can be regularised in two qualitatively distinct ways - either on the original space or on the extended space. We derive several reformulations of the two regularised problems and in particular introduce the idea of a regularised induced marginal perspective cost function allowing us to derive an extended space formulation of the original space regularisation. We also prove convergence to the unregularised problem in the case of the extended space regularisation and discuss on-going work on deriving a unified framework based on higher order liftings in which both regularisations can be directly compared. We also briefly touch upon how these concepts translate to the corresponding dynamic formulations and provide evidence why the extended space regularisation should be preferred. This is a preliminary version of the manuscript, to be updated in the near future.