High-Dimensional Spectral Limits for Gaussian KL-Unbalanced Optimal Transport

Abstract

We study high-dimensional random-matrix limits of Gaussian Kullback--Leibler unbalanced optimal transport (KL-UOT). Under equal marginal penalties, the covariance action admits an exact log-determinant representation in terms of a nonlinear ridge product, together with a positive-semidefinite extension that remains finite at arbitrary aspect ratios. For independent real Wishart samples, strong asymptotic freeness gives the limiting free multiplicative convolution and almost-sure Hausdorff convergence of the ridge-product spectrum; independent Haar orientations yield the corresponding first-order limit for deformed populations. In the symmetric nonsingular identity-Wishart model, we derive an explicit $η$-transform and a low-degree algebraic equation that select the physical branch and determine the support interval, square-root edges, and extreme-eigenvalue limits. We further obtain all-aspect one-sample Marchenko--Pastur limits under finite fourth moments, real-Gaussian Bai--Silverstein fluctuations for $c<1$, and a joint random-matrix/penalty limit showing that sample-covariance noise produces the critical scale $τ_p\asymp p$.