The Wasserstein probability metric has received much attention from the machine learning community. Unlike the Kullback-Leibler divergence, which strictly measures
change in probability, the Wasserstein metric reflects the underlying geometry between outcomes. The value of being sensitive to this geometry has been demonstrated, among others, in ordinal regression and generative modelling. In this paper we describe three natural properties of probability divergences that reflect requirements from machine learning: sum invariance, scale sensitivity, and unbiased sample gradients. The Wasserstein metric possesses the first two properties
but, unlike the Kullback-Leibler divergence, does not possess the third. We provide empirical evidence suggesting that this is a serious issue in practice.
Leveraging insights from probabilistic forecasting we propose an alternative to the Wasserstein metric, the Cramér distance. We show that the Cramér distance
possesses all three desired properties, combining the best of the Wasserstein and Kullback-Leibler divergences. To illustrate the relevance of the Cramér distance in practice we design a new algorithm, the Cramér Generative Adversarial Network (GAN), and show that it performs significantly better than the related Wasserstein GAN.