The Wasserstein gradient flow of the Sinkhorn divergence between Gaussian distributions

Abstract

We study the Wasserstein gradient flow of the Sinkhorn divergence when both the source and the target are Gaussian distributions. We prove the existence of a flow that stays in the class of Gaussian distributions, and is unique in the larger class of measures with strongly-concave and smooth log-densities. We prove that the flow globally converges toward the target measure when the source's covariance matrix is not singular, and provide counter-examples to global convergence when it is, giving a first answer to an open question raised in [Carlier et al. 2024, \S4.2]. When the covariance matrix of the source distribution commutes with that of the target, we derive more quantitative results that showcase exponential convergence toward the target when the source and the target share their support, but dropping to linear rates (O(t^{-1})) if the target is concentrated on a strict subspace of the source's support.