On a general matrix-valued unbalanced optimal transport problem

Abstract

We introduce a general class of transport distances ${\rm WB}_{\Lambda}$ over the space of positive semi-definite matrix-valued Radon measures $\mathcal{M}(\Omega,\mathbb{S}_+^n)$, called the weighted Wasserstein-Bures distance. Such a distance is defined via a generalized Benamou-Brenier formulation with a weighted action functional and an abstract matricial continuity equation, which leads to a convex optimization problem. Some recently proposed models, including the Kantorovich-Bures distance and the Wasserstein-Fisher-Rao distance, can naturally fit into ours. We give a complete characterization of the minimizer and explore the topological and geometrical properties of the space $(\mathcal{M}(\Omega,\mathbb{S}_+^n),{\rm WB}_{\Lambda})$. In particular, we show that $(\mathcal{M}(\Omega,\mathbb{S}_+^n),{\rm WB}_{\Lambda})$ is a complete geodesic space and exhibits a conic structure.