Related papers: Distributed Optimization with Quantization for Com…
We present a novel $Q$-learning algorithm tailored to solve distributionally robust Markov decision problems where the corresponding ambiguity set of transition probabilities for the underlying Markov decision process is a Wasserstein ball…
The Wasserstein barycenter problem is to compute the average of $m$ given probability measures, which has been widely studied in many different areas; however, real-world data sets are often noisy and huge, which impedes its applications in…
We consider a multimarginal optimal transport, which includes as a particular case the Wasserstein barycenter problem. In this problem one has to find an optimal coupling between $m$ probability measures, which amounts to finding a tensor…
This paper introduces a new nonlinear dictionary learning method for histograms in the probability simplex. The method leverages optimal transport theory, in the sense that our aim is to reconstruct histograms using so-called displacement…
We address the challenge of sequential data-driven decision-making under context distributional uncertainty. This problem arises in numerous real-world scenarios where the learner optimizes black-box objective functions in the presence of…
We study efficient distributed algorithms for the fundamental problem of principal component analysis and leading eigenvector computation on the sphere, when the data are randomly distributed among a set of computational nodes. We propose a…
We present a novel algorithm to estimate the barycenter of arbitrary probability distributions with respect to the Sinkhorn divergence. Based on a Frank-Wolfe optimization strategy, our approach proceeds by populating the support of the…
We present a data-driven approach for distributionally robust chance constrained optimization problems (DRCCPs). We consider the case where the decision maker has access to a finite number of samples or realizations of the uncertainty. The…
We propose a study of a distribution registration model for general deformation functions. In this framework, we provide estimators of the deformations as well as a goodness of fit test of the model. For this, we consider a criterion which…
A randomized version of the recently developed barycenter method for derivative-free optimization has desirable properties of a gradient search. We develop a complex version to avoid evaluations at high-gradient points. The method,…
In this paper we consider a general, challenging distributed optimization set-up arising in several important network control applications. Agents of a network want to minimize the sum of local cost functions, each one depending on a local…
Optimal transport has recently proved to be a useful tool in various machine learning applications needing comparisons of probability measures. Among these, applications of distributionally robust optimization naturally involve Wasserstein…
The optimal transport and Wasserstein barycenter of Gaussian distributions have been solved. In literature, the closed form formulas of the Monge map, the Wasserstein distance and the Wasserstein barycenter have been given. Moreover, when…
Obtaining solutions to Optimal Transportation (OT) problems is typically intractable when the marginal spaces are continuous. Recent research has focused on approximating continuous solutions with discretization methods based on i.i.d.…
This paper presents a distributed optimization scheme over a network of agents in the presence of cost uncertainties and over switching communication topologies. Inspired by recent advances in distributed convex optimization, we propose a…
We introduce a distributed, cooperative framework and method for Bayesian estimation and control in decentralized agent networks. Our framework combines joint estimation of time-varying global and local states with information-seeking…
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…
We study distributionally robust optimization (DRO) problems where the ambiguity set is defined using the Wasserstein metric. We show that this class of DRO problems can be reformulated as semi-infinite programs. We give an exchange method…
We propose a multi-class point optimization formulation based on continuous Wasserstein barycenters. Our formulation is designed to handle hundreds to thousands of optimization objectives and comes with a practical optimization scheme. We…
Aggregating data from multiple sources can be formalized as an Optimal Transport (OT) barycenter problem, which seeks to compute the average of probability distributions with respect to OT discrepancies. However, in real-world scenarios,…