Related papers: A Riemannian exponential augmented Lagrangian meth…

We introduce LOT Wassmap, a computationally feasible algorithm to uncover low-dimensional structures in the Wasserstein space. The algorithm is motivated by the observation that many datasets are naturally interpreted as probability…

We present a geometric framework for Reinforcement Learning (RL) that views policies as maps into the Wasserstein space of action probabilities. First, we define a Riemannian structure induced by stationary distributions, proving its…

This paper focuses on the Wasserstein distributionally robust mean-lower semi-absolute deviation (DR-MLSAD) model, where the ambiguity set is a Wasserstein ball centered on the empirical distribution of the training sample. This model can…

Distributionally robust supervised learning (DRSL) is emerging as a key paradigm for building reliable machine learning systems for real-world applications -- reflecting the need for classifiers and predictive models that are robust to the…

We show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as solutions to distributionally robust optimization (DRO)…

Wasserstein Generative Adversarial Networks (WGANs) provide a versatile class of models, which have attracted great attention in various applications. However, this framework has two main drawbacks: (i) Wasserstein-1 (or Earth-Mover)…

The Gromov-Wasserstein distance is a notable extension of optimal transport. In contrast to the classic Wasserstein distance, it solves a quadratic assignment problem that minimizes the pair-wise distance distortion under the transportation…

Distributed optimization has gained substantial interest in recent years due to its wide applications in machine learning. However, most of existing algorithms are designed for Euclidean spaces, leaving composite optimization on Riemannian…

Optimization with orthogonality constraints frequently arises in various fields such as machine learning. Riemannian optimization offers a powerful framework for solving these problems by equipping the constraint set with a Riemannian…

Optimization over the Stiefel manifold is a fundamental computational problem in many scientific and engineering applications. Despite considerable research effort, high-dimensional optimization problems over the Stiefel manifold remain…

In the Euclidean setting, the proximal gradient method and its accelerated variants are a class of efficient algorithms for optimization problems with decomposable objective. In this paper, we develop a Riemannian proximal gradient method…

Riemannian optimization uses local methods to solve optimization problems whose constraint set is a smooth manifold. A linear step along some descent direction usually leaves the constraints, and hence retraction maps are used to…

Many numerical and learning algorithms rely on the solution of the Monge-Kantorovich problem and Wasserstein distances, which provide appropriate distributional metrics. While the natural approach is to treat the problem as an…

Landing methods have recently emerged in Riemannian matrix optimization as efficient schemes for handling nonlinear equality constraints without resorting to costly retractions. These methods decompose the search direction into tangent and…

Various statistical tasks, including sampling or computing Wasserstein barycenters, can be reformulated as fixed-point problems for operators on probability distributions. Accelerating standard fixed-point iteration schemes provides a…

We consider the problem of computing a Wasserstein barycenter for a set of discrete probability distributions with finite supports, which finds many applications in areas such as statistics, machine learning and image processing. When the…

We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…

We study the Bregman Augmented Lagrangian method (BALM) for solving convex problems with linear constraints. For classical Augmented Lagrangian method, the convergence rate and its relation with the proximal point method is well-understood.…

This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If…

Learning under a Wasserstein loss, a.k.a. Wasserstein loss minimization (WLM), is an emerging research topic for gaining insights from a large set of structured objects. Despite being conceptually simple, WLM problems are computationally…