Lattice Approximations in Wasserstein Space
We consider structured approximation of measures in Wasserstein space $W_p(\mathbb{R}^d)$ for $p\in[1,\infty)$ by discrete and piecewise constant measures based on a scaled Voronoi partition of $\mathbb{R}^d$. We show that if a full rank lattice $\Lambda$ is scaled by a factor of $h\in(0,1]$, then approximation of a measure based on the Voronoi partition of $h\Lambda$ is $O(h)$ regardless of $d$ or $p$. We then use a covering argument to show that $N$-term approximations of compactly supported measures is $O(N^{-\frac1d})$ which matches known rates for optimal quantizers and empirical measure approximation in most instances. Finally, we extend these results to noncompactly supported measures with sufficient decay.
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