Failure of ambient closed-set large-deviation upper bounds in entropic optimal transport

Abstract

Large-deviation upper bounds on compact sets do not, in general, extend to arbitrary closed sets without additional tightness. We show that this obstruction already occurs in static entropic optimal transport. More precisely, we construct a fixed-cost model with continuous cost and nonatomic marginals for which the entropic minimisers converge in total variation to an optimal plan with noncompact support, the known compact-set upper bound remains valid, but the corresponding closed-set upper bound fails on a specific closed subset of the ambient space. For a fixed closed set, we identify the exact tail criterion for passing from compact to closed sets. We show that there does not exist a full large-deviation principle (LDP) on the ambient space at speed $1/\varepsilon$ with an arbitrary lower semicontinuous rate function.