Entropic optimal transport need not select a zero-temperature limit

Abstract

We construct a compact metric space with an atomless probability measure and a bounded Lipschitz cost for which the entropic optimal-transport minimisers have no zero-temperature weak limit. More precisely, $P_{\epsilon }$ does not converge as $\epsilon \downarrow 0$. In the example, every unregularised minimiser is singular with respect to $\hat{I}¼\otimes \hat{I}¼$, so that the entropy on the optimal face is identically $+\infty$. We describe the cluster set by \[ \operatorname{Clust}(P_\varepsilon)=\{P_w:w\in\mathcal W\}, \] where $P_w$ is the mixture of the two zero-cost graph couplings with weight $w$, and where $\mathcal{W}\subset [0,1]$ is a non-degenerate compact interval. We then compute two explicit points $w^{-}<w^{+}$ in this interval. This shows that compactness, atomlessness, and Lipschitz regularity of the cost do not imply zero-temperature convergence. We also present a compactness theorem for the general problem. If $C\in L^1(\hat{I}¼\otimes \hat{I}½)$ is continuous and bounded from below on Polish spaces, then the zero-temperature cluster set is a nonempty weakly compact connected subset of the optimal face. In the proof, we apply the cluster-point theorem of Bernton, Ghosal, and Nutz and the continuity of $\epsilon \mapsto \ddot{I}{€}_{\epsilon }$. Finally, we give local and exterior first-order criteria for full convergence and cluster membership. We show that nonconvergence is possible, but only through a connected continuum of optimal plans.