Computing Barycentres of Measures for Generic Transport Costs

Abstract: Wasserstein barycentres represent average distributions between multiple probability measures for the Wasserstein distance. The numerical computation of Wasserstein barycentres is notoriously challenging. A common approach is to use Sinkhorn iterations, where an entropic regularisation term is introduced to make the problem more manageable. Another approach involves using fixed-point methods, akin to those employed for computing Fr\'echet means on manifolds. The convergence of such methods for 2-Wasserstein barycentres, specifically with a quadratic cost function and absolutely continuous measures, was studied by Alvarez-Esteban et al. (2016). In this paper, we delve into the main ideas behind this fixed-point method and explore how it can be generalised to accommodate more diverse transport costs and generic probability measures, thereby extending its applicability to a broader range of problems. We show convergence results for this approach and illustrate its numerical behaviour on several barycentre problems.