The paper gives global convergence and oracle complexity bounds for a Wasserstein-space minimax algorithm that finds continuous least favorable distributions via transport maps and modified JKO steps.
Gradient flows: In metric spaces and in the space of probability measures
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Distributionally Robust Optimization via Iterative Algorithms in Continuous Probability Spaces
The paper gives global convergence and oracle complexity bounds for a Wasserstein-space minimax algorithm that finds continuous least favorable distributions via transport maps and modified JKO steps.