Entropic optimal transport need not select a zero-temperature limit

We construct a compact metric space with an atomless probability measure and a bounded Lipschitz cost for which the entropic optimal-transport minimisers have no zero-temperature weak limit.

More precisely, $P_\varepsilon$ does not converge as $\varepsilon\downarrow0$.

In the example, every unregularised minimiser is singular with respect to $\mu\otimes\mu$, so that the entropy on the optimal face is identically $+\infty$.

We describe the cluster set by \[ \operatorname{Clust}(P_\varepsilon)=\{P_w:w\in\mathcal W\}, \] where $P_w$ is the mixture of the two zero-cost graph couplings with weight $w$, and where $\mathcal W\subset[0,1]$ is a non-degenerate compact interval.

We then compute two explicit points $w^-<w^+$ in this interval.

This shows that compactness, atomlessness, and Lipschitz regularity of the cost do not imply zero-temperature convergence.

We also present a compactness theorem for the general problem.

If $C\in L^1(\mu\otimes\nu)$ is continuous and bounded from below on Polish spaces, then the zero-temperature cluster set is a nonempty weakly compact connected subset of the optimal face.

In the proof, we apply the cluster-point theorem of Bernton, Ghosal, and Nutz and the continuity of $\varepsilon\mapsto\pi_\varepsilon$.

Finally, we give local and exterior first-order criteria for full convergence and cluster membership.

We show that nonconvergence is possible, but only through a connected continuum of optimal plans.