The information geometry of the Sinkhorn divergence on a Hilbert manifold

Abstract

The Sinkhorn divergence, the debiased entropic optimal transport cost, determines a metric tensor on probability measures defined along curves, due to Lavenant et al. We construct a real-analytic Hilbert manifold of measures, the smooth stratum, on which this tensor is a weak Riemannian metric, and we continue Eguchi's construction of a geometry from a divergence to the third order. The stratum consists of the measures with a positive Sobolev density on a closed Riemannian manifold, and the strata form a scale whose intersection is the Fréchet manifold of smooth positive densities of Ay. Following it, we characterize the metric through the gradients of mean values: its cotangent form is a spectral reweighting of the Dirichlet form of a Markov chain, so the metric is of the same kind as the Fisher-Rao and the Otto metric, and on the stratum it is bounded by a multiple of the Fisher-Rao metric (but not conversely). At third order, the Sinkhorn divergence is self-dual: both connection forms of Eguchi's construction coincide with the Levi-Civita form of the metric, and the cubic tensor vanishes, as a consequence of the transposition symmetry of the transport problem. On every stratum, the Levi-Civita form is represented, so the stratum has a real-analytic Levi-Civita connection, which on the Fréchet manifold is the connection of Ay and Schwachhöfer.