Information Geometry for Wasserstein KL Divergence of Gaussian Measures on ${\mathbb{R}}^n$

Adwait Datar, Nihat Ay

We study the Wasserstein Kullback--Leibler divergence (WKL divergence) on the manifold of nondegenerate Gaussian measures over ${\mathbb{R}}^n$. In the canonical-divergence constructi…