Optimal Transportation and Alignment Between Gaussian Measures

Covariance matrices serve as compact descriptors of feature distributions in many machine-learning pipelines, including domain adaptation and Gaussian embeddings. Under a centered Gaussian approximation, the unregularized Wasserstein-2 optimal-transport (OT) discrepancy admits a closed form on covariances given by the Bures-Wasserstein (BW) objective on the symmetric positive definite (SPD) cone. We propose ITSPACE (Iterative Transport for Stable Proximal Alignment of Covariance Embeddings), a proximal majorization-minimization method that directly optimizes this exact BW objective through closed-form updates in a square-root factorization. In exact arithmetic, each iteration satisfies a sufficient-decrease inequality for the BW objective; under inexact polar computations, we provide an explicit certificate-gap bound controlling deviations from exact descent. The resulting iterations preserve PSD structure by construction and naturally support rank-restricted factors, making ITSPACE well-suited as a lightweight inner-loop primitive in settings where adaptation must be performed from unlabeled target batches under strict step and compute budgets. Across real-world covariance-alignment benchmarks, ITSPACE reaches low-BW-gap solutions substantially faster than BW-gradient descent, methods based on other covariance geometries, and entropically regularized sample-OT baselines.

In this article, we study unbalanced optimal transport (UOT) and establish a control-theoretic dynamical extension, which we call the unbalanced density control (UDC), for a class of Gaussian reference measures. In the static setting, we consider UOT with quadratic transport cost and Kullback--Leibler penalties on the marginals relative to prescribed Gaussian measures. We show that the infinite-dimensional variational problem admits an exact Gaussian reduction, yielding a finite-dimensional optimization over masses, means, and covariances, together with a closed-form expression for the optimal transported mass. We then formulate UDC for discrete-time linear systems, where the initial and terminal state measures are imposed softly through KL penalties and the intermediate evolution is governed by controlled linear dynamics with quadratic control cost. For this problem, we prove that any feasible solution can be replaced, without loss of optimality, by a Gaussian initial measure and an affine-Gaussian control policy. This leads to an exact finite-dimensional reformulation and, after a standard covariance-steering lifting, to an SDP-based optimization for fixed mass, again coupled with a closed-form mass update. We further establish existence of optimal solutions and identify a sufficient condition under which the affine-Gaussian UDC policy is deterministic. These results provide globally optimal solution methods for both Gaussian UOT and Gaussian UDC. Finally, we illustrate our results with several numerical examples.

Understanding the distributional structure of high-dimensional datasets has become an important topic, yet direct visual characterization is difficult. In this work, we develop a geometric framework for characterizing the distributional structure of empirical datasets by quantifying their deviation from the Gaussian family under the geometry induced by optimal transport theory. Building on the cone structure of the relative translation invariant quadratic Wasserstein $(RW_2)$ space, we define two geometric quantities---the \emph{relative Wasserstein angle} and the \emph{orthogonal projection distance}---and show that they are well-defined because of the flat geometry of the filling cone between distributional rays. This formulation recasts the problem of measuring deviation from the Gaussian family as an orthogonal projection problem onto the Gaussian cone and reveals that the commonly used moment-matching Gaussian is, in general, not the $W_2$-nearest Gaussian to a non-Gaussian distribution. In one dimension, we derive closed-form expressions for the proposed quantities and extend closed-form expressions to several other location--scale families, including uniform, Laplace, and logistic distributions. In higher dimensions, we develop a numerical approximation method for the proposed quantities based on empirical optimal transport and covariance-shape optimization. Our experimental results show the empirical convergence and stability of the proposed methods and reveal that the $RW_2$ angle provides a robust and consistent measure of distributional non-Gaussianity. Moreover, these results provide empirical support for its potential use as an indicator of distributional heterogeneity.