A Hilbert space embedding for probability measures has recently been
proposed, wherein any probability measure is represented as a mean element in a
reproducing kernel Hilbert space (RKHS). Such an embedding has found
applications in homogeneity testing, independence testing, dimensionality
reduction, etc., with the requirement that the reproducing kernel is
characteristic, i.e., the embedding is injective.
A class of distance measures on probabilities -- the integral probability
metrics (IPMs) -- is addressed: these include the Wasserstein distance, Dudley
metric, and Maximum Mean Discrepancy. IPMs have thus far mostly been used in
more abstract settings, for instance as theoretical tools in mass
transportation problems, and in metrizing the weak topology on the set of all
Borel probability measures defined on a metric space.