Related papers: Adapted optimal transport between Gaussian process…
The Wasserstein distance on multivariate non-degenerate Gaussian densities is a Riemannian distance. After reviewing the properties of the distance and the metric geodesic, we present an explicit form of the Riemannian metrics on…
Optimal transport distances, otherwise known as Wasserstein distances, have recently drawn ample attention in computer vision and machine learning as a powerful discrepancy measure for probability distributions. The recent developments on…
Bayesian inference has many advantages for complex models, but standard Monte Carlo methods for summarizing the posterior can be computationally demanding, and it is attractive to consider optimization-based variational methods. Our work…
In this work we prove the existence and uniqueness of the optimal transport map for $L^p$-Wasserstein distance with $p>1$, and particularly present an explicit expression of the optimal transport map for the case $p=2$. As an application,…
Wasserstein distances are metrics on probability distributions inspired by the problem of optimal mass transportation. Roughly speaking, they measure the minimal effort required to reconfigure the probability mass of one distribution in…
A number of researchers have independently introduced topologies on the set of laws of stochastic processes that extend the usual weak topology. Depending on the respective scientific background this was motivated by applications and…
We develop a systematic projection-operator technique for constructing Gaussian approximations and their perturbative corrections in bosonic nonlinear models. As a case study, we apply it to the driven dissipative Kerr oscillator. In the…
In the present paper, we prove that the Wasserstein distance on the space of continuous sample-paths equipped with the supremum norm between the laws of a uniformly elliptic one-dimensional diffusion process and its Euler discretization…
We study dynamical optimal transport metrics between density matrices associated to symmetric Dirichlet forms on finite-dimensional $C^*$-algebras. Our setting covers arbitrary skew-derivations and it provides a unified framework that…
Gromov--Wasserstein (GW) distances compare graphs, shapes, and point clouds through internal distances, without requiring a common coordinate system. This invariance is powerful, but discrete GW is a nonconvex quadratic optimal transport…
Particle-based variational inference offers a flexible way of approximating complex posterior distributions with a set of particles. In this paper we introduce a new particle-based variational inference method based on the theory of…
This contribution presents substantial computational advancements to compare measures even with varying masses. Specifically, we utilize the nonequispaced fast Fourier transform to accelerate the radial kernel convolution in unbalanced…
Many problems in machine learning involve calculating correspondences between sets of objects, such as point clouds or images. Discrete optimal transport provides a natural and successful approach to such tasks whenever the two sets of…
In this note, we propose an extension of the Wasserstein 1-metric ($W_1$) for matrix probability densities, matrix-valued density measures, and an unbalanced interpretation of mass transport. The key is using duality theory, in particular,…
We study the computational complexity of the optimal transport problem that evaluates the Wasserstein distance between the distributions of two K-dimensional discrete random vectors. The best known algorithms for this problem run in…
We consider robust variants of the standard optimal transport, named robust optimal transport, where marginal constraints are relaxed via Kullback-Leibler divergence. We show that Sinkhorn-based algorithms can approximate the optimal cost…
In this work, we provide faster algorithms for approximating the optimal transport distance, e.g. earth mover's distance, between two discrete probability distributions $\mu, \nu \in \Delta^n$. Given a cost function $C : [n] \times [n] \to…
We develop a novel method for carrying out model selection for Bayesian autoencoders (BAEs) by means of prior hyper-parameter optimization. Inspired by the common practice of type-II maximum likelihood optimization and its equivalence to…
Optimal transport distances have found many applications in machine learning for their capacity to compare non-parametric probability distributions. Yet their algorithmic complexity generally prevents their direct use on large scale…
Optimal transport maps define a one-to-one correspondence between probability distributions, and as such have grown popular for machine learning applications. However, these maps are generally defined on empirical observations and cannot be…