Inexact JKO and proximal-gradient algorithms in the Wasserstein space

Abstract: This paper studies the convergence properties of the inexact Jordan-Kinderlehrer-Otto (JKO) scheme and proximal-gradient algorithm in the context of Wasserstein spaces. The JKO scheme, a widely-used method for approximating solutions to gradient flows in Wasserstein spaces, typically assumes exact solutions to iterative minimization problems. However, practical applications often require approximate solutions due to computational limitations. This work focuses on the convergence of the scheme to minimizers for the underlying functional and addresses these challenges by analyzing two types of inexactness: errors in Wasserstein distance and errors in energy functional evaluations. The paper provides rigorous convergence guarantees under controlled error conditions, demonstrating that weak convergence can still be achieved with inexact steps. The analysis is further extended to proximal-gradient algorithms, showing that convergence is preserved under inexact evaluations.