Wasserstein distance (source code)

= Wasserstein distance
{title2=$W_\rho(\mu,\nu)$}
{wiki}

For a metric $\rho$, the first Wasserstein distance is
$$
W_\rho(\mu,\nu)=\inf\{\mathbb E\rho(X,Y):(X,Y)\text{ couples }\mu,\nu\}.
$$