The \( {W_2} \) Wasserstein coupling distance between two probability measures \( {\mu} \) and \( {\nu} \) on \( {\mathbb{R}^n} \) is
\[ W_2(\mu;\nu):=\inf\mathbb{E}(\Vert X-Y\Vert_2^2)^{1/2} \]
where the infimum runs over all random vectors \( {(X,Y)} \) of \( {\mathbb{R}^n\times\mathbb{R}^n} \) with \( {X\sim\mu} \) and \( {Y\sim\nu} \). It turns out that we have the following nice formula for \( {d:=W_2(\mathcal{N}(m_1,\Sigma_1);\mathcal{N}(m_2,\Sigma_2))} \):
\[ d^2=\Vert m_1-m_2\Vert_2^2 +\mathrm{Tr}(\Sigma_1+\Sigma_2-2(\Sigma_1^{1/2}\Sigma_2\Sigma_1^{1/2})^{1/2}). \ \ \ \ \ (1) \]
This formula interested several authors including Givens and Shortt, Knott and Smith, Olkin and Pukelsheim, and Dowson and Landau. Note in particular that we have
\[ \mathrm{Tr}((\Sigma_1^{1/2}\Sigma_2\Sigma_1^{1/2})^{1/2})= \mathrm{Tr}((\Sigma_2^{1/2}\Sigma_1\Sigma_2^{1/2})^{1/2}). \]
In the commutative case where \( {\Sigma_1\Sigma_2=\Sigma_2\Sigma_1} \), the formula (1) boils down simply to
\[ W_2(\mathcal{N}(m_1,\Sigma_1);\mathcal{N}(m_2,\Sigma_2))^2 =\Vert m_1-m_2\Vert_2^2 +\Vert\Sigma_1^{1/2}-\Sigma_2^{1/2}\Vert_{Frobenius}^2. \]
To prove (1), one can first reduce to the centered case \( {m_1=m_2=0} \). Next, if \( {(X,Y)} \) is a random vector (Gaussian or not) of \( {\mathbb{R}^n\times\mathbb{R}^n} \) with covariance matrix
\[ \Gamma=\begin{pmatrix}\Sigma_1 & C \\ C^\top&\Sigma_2\end{pmatrix} \]
then the quantity
\[ \mathbb{E}(\Vert X-Y\Vert_2^2)=\mathrm{Tr}(\Sigma_1+\Sigma_2-2C) \]
depends only on \( {\Gamma} \). Also, when \( {\mu=\mathcal{N}(0,\Sigma_1)} \) and \( {\nu=\mathcal{N}(0,\Sigma_2)} \), one can restrict the infimum which defines \( {W_2} \) to run over Gaussian laws \( {\mathcal{N}(0,\Gamma)} \) on \( {\mathbb{R}^n\times\mathbb{R}^n} \) with covariance matrix \( {\Gamma} \) structured as above. The sole constrain on \( {C} \) is the Schur complement constraint:
\[ \Sigma_1-C\Sigma_2^{-1}C^\top\succeq0. \]
The minimization of the function
\[ C\mapsto-2\mathrm{Tr}(C) \]
under the constraint above leads to (1). A detailed proof is given by Givens and Shortt. Alternatively, one may find an optimal transportation map. In this direction, and following Knott and Smith, it turns out that \( {\mathcal{N}(m_2,\Sigma_2)} \) is the image law of \( {\mathcal{N}(m_1,\Sigma_1)} \) with the map
\[ x\mapsto m_2-m_1+\Sigma_2^{1/2}(\Sigma_2^{1/2}\Sigma_1\Sigma_2^{1/2})^{-1/2}x. \]
The generalizations to elliptic families of distributions and to infinite dimensional Hilbert spaces is probably easy. Some more “geometric” properties of Gaussians with respect to such distances where studied more recently by Takastu and Takastu and Yokota.
