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How to compute Wasserstein distance?

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Arvind Ganesh
Arvind Ganesh on 23 May 2019
Edited: Georgios Pyrgiotakis on 14 May 2020
I have two probability distributions in arrays P and Q (normalized by area, of same length, and over same sample space). I want to find Wasserstein distance between them.
I tried to use the Earth Mover Distance from here:
My input was [Y, fval] = emd(X, X, P, Q, @gdf)
where X is the sample space. But it is giving output:
No feasible solution found.
Linprog stopped because no point satisfies the constraints.
Is this the way to compute Wasserstein distance? How do I fix this?

Answers (1)

Koorosh Aslansefat
Koorosh Aslansefat on 29 Apr 2020
Edited: Koorosh Aslansefat on 29 Apr 2020
I have recently added new set of functions for ECDF-based distance measure to MATLAB Exchange.
I would suggest to have a look.
  3 Comments
Georgios Pyrgiotakis
Georgios Pyrgiotakis on 14 May 2020
Yes P and Q are emprical CDF. How can I use these functions? I tried but I get lost. It seems that you start with the data set convert it to CDF and then calculate the area between the two curves?

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