The expected p-Wasserstein cost of importance sampling is of order n^{-p/d} with matching constants, and the asymptotically optimal proposal is proportional to g^{d/(p+d)}.
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The Wasserstein cost of Importance Sampling
The expected p-Wasserstein cost of importance sampling is of order n^{-p/d} with matching constants, and the asymptotically optimal proposal is proportional to g^{d/(p+d)}.