Multiscaling in Wasserstein Spaces

Abstract: We present a novel multiscale framework for analyzing sequences of probability measures in Wasserstein spaces over Euclidean domains. Exploiting the intrinsic geometry of optimal transport, we construct a multiscale transform applicable to both absolutely continuous and discrete measures. Central to our approach is a refinement operator based on McCann's interpolants, which preserves the geodesic structure of measure flows and serves as an upsampling mechanism. Building on this, we introduce the optimality number, a scalar that quantifies deviations of a sequence from Wasserstein geodesicity across scales, enabling the detection of irregular dynamics and anomalies. We establish key theoretical guarantees, including stability of the transform and geometric decay of coefficients, ensuring robustness and interpretability of the multiscale representation. Finally, we demonstrate the versatility of our methodology through numerical experiments: denoising and anomaly detection in Gaussian flows, analysis of point cloud dynamics under vector fields, and the multiscale characterization of neural network learning trajectories.