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Gaussian processes (GPs) are nonparametric Bayesian models that have been applied to regression and classification problems. One of the approaches to alleviate their cubic training cost is the use of local GP experts trained on subsets of…
We develop a projected Wasserstein distance for the two-sample test, a fundamental problem in statistics and machine learning: given two sets of samples, to determine whether they are from the same distribution. In particular, we aim to…
In this paper, we first show continuity of both Wasserstein projections in the convex order when they are unique. We also check that, in arbitrary dimension $d$, the quadratic Wasserstein projection of a probability measure $\mu$ on the set…
Gaussian mixture models form a flexible and expressive parametric family of distributions that has found applications in a wide variety of applications. Unfortunately, fitting these models to data is a notoriously hard problem from a…
We study optimization problems whereby the optimization variable is a probability measure. Since the probability space is not a vector space, many classical and powerful methods for optimization (e.g., gradients) are of little help. Thus,…
Communication is one of the bottlenecks of distributed optimisation and learning. To overcome this bottleneck, we propose a novel quantization method that transforms a vector into a sample of components' indices drawn from a categorical…
We study the entropic Gromov-Wasserstein and its unbalanced version between (unbalanced) Gaussian distributions with different dimensions. When the metric is the inner product, which we refer to as inner product Gromov-Wasserstein (IGW), we…
This paper studies a distributionally robust chance constrained program (DRCCP) with Wasserstein ambiguity set, where the uncertain constraints should be satisfied with a probability at least a given threshold for all the probability…
This study focuses on finite-sample inference on the non-linear Bures-Wasserstein manifold and introduces a generalized bootstrap procedure for estimating Bures-Wasserstein barycenters. We provide non-asymptotic statistical guarantees for…
Motivated by approximation Bayesian computation using mean-field variational approximation and the computation of equilibrium in multi-species systems with cross-interaction, this paper investigates the composite geodesically convex…
We consider maximum likelihood estimation for Gaussian Mixture Models (Gmms). This task is almost invariably solved (in theory and practice) via the Expectation Maximization (EM) algorithm. EM owes its success to various factors, of which…
This paper presents a unified approach based on Wasserstein distance to derive concentration bounds for empirical estimates for two broad classes of risk measures defined in the paper. The classes of risk measures introduced include as…
The squared Wasserstein distance is a natural quantity to compare probability distributions in a non-parametric setting. This quantity is usually estimated with the plug-in estimator, defined via a discrete optimal transport problem which…
We study a class of Markov chains that model the evolution of a quantum system subject to repeated measurements. Each Markov chain in this class is defined by a measure on the space of matrices. It is then given by a random product of…
We introduce a modified Benamou-Brenier type approach leading to a Wasserstein type distance that allows global invariance, specifically, isometries, and we show that the problem can be summarized to orthogonal transformations. This…
Gaussian mixture models (GMM) are powerful parametric tools with many applications in machine learning and computer vision. Expectation maximization (EM) is the most popular algorithm for estimating the GMM parameters. However, EM…
Solving Fredholm equations of the first kind is crucial in many areas of the applied sciences. In this work we adopt a probabilistic and variational point of view by considering a minimization problem in the space of probability measures…
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints hold with respect to all probability distributions in a Wasserstein ball centered at the…
Scaling algorithms for entropic transport-type problems have become a very popular numerical method, encompassing Wasserstein barycenters, multi-marginal problems, gradient flows and unbalanced transport. However, a standard implementation…
As the problem of minimizing functionals on the Wasserstein space encompasses many applications in machine learning, different optimization algorithms on $\mathbb{R}^d$ have received their counterpart analog on the Wasserstein space. We…