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Optimal transport (OT) defines a powerful framework to compare probability distributions in a geometrically faithful way. However, the practical impact of OT is still limited because of its computational burden. We propose a new class of…
The current best practice for computing optimal transport (OT) is via entropy regularization and Sinkhorn iterations. This algorithm runs in quadratic time as it requires the full pairwise cost matrix, which is prohibitively expensive for…
We analyze two algorithms for approximating the general optimal transport (OT) distance between two discrete distributions of size $n$, up to accuracy $\varepsilon$. For the first algorithm, which is based on the celebrated Sinkhorn's…
Optimal Transport (OT) based distances are powerful tools for machine learning to compare probability measures and manipulate them using OT maps. In this field, a setting of interest is semi-discrete OT, where the source measure $\mu$ is…
Efficient computation of the optimal transport distance between two distributions serves as an algorithm subroutine that empowers various applications. This paper develops a scalable first-order optimization-based method that computes…
The optimal transport (OT) problem is a classical optimization problem having the form of linear programming. Machine learning applications put forward new computational challenges in its solution. In particular, the OT problem defines a…
This paper investigates the semi-discrete optimal transport (OT) problem with entropic regularization. We characterize the solution using a governing, well-posed ordinary differential equation (ODE). This naturally yields an algorithm to…
Entropic optimal transport (OT) and the Sinkhorn algorithm have made it practical for machine learning practitioners to perform the fundamental task of calculating transport distance between statistical distributions. In this work, we focus…
Regularized optimal transport (OT) is now increasingly used as a loss or as a matching layer in neural networks. Entropy-regularized OT can be computed using the Sinkhorn algorithm but it leads to fully-dense transportation plans, meaning…
Unbalanced Optimal Transport (UOT) has emerged as a robust relaxation of standard Optimal Transport, particularly effective for handling outliers and mass variations. However, scalable algorithms for UOT, specifically those based on…
We develop a fast and reliable method for solving large-scale optimal transport (OT) problems at an unprecedented combination of speed and accuracy. Built on the celebrated Douglas-Rachford splitting technique, our method tackles the…
Distributionally robust optimization (DRO) is a powerful technique to train robust models against data distribution shift. This paper aims to solve regularized nonconvex DRO problems, where the uncertainty set is modeled by a so-called…
While first-order optimization methods such as stochastic gradient descent (SGD) are popular in machine learning (ML), they come with well-known deficiencies, including relatively-slow convergence, sensitivity to the settings of…
This paper improves the state-of-the-art rate of a first-order algorithm for solving entropy regularized optimal transport. The resulting rate for approximating the optimal transport (OT) has been improved from…
Optimal transport (OT) is a versatile framework for comparing probability measures, with many applications to statistics, machine learning, and applied mathematics. However, OT distances suffer from computational and statistical scalability…
Optimal Transport (OT) distances are now routinely used as loss functions in ML tasks. Yet, computing OT distances between arbitrary (i.e. not necessarily discrete) probability distributions remains an open problem. This paper introduces a…
In this paper, we give a sharp analysis for Stochastic Gradient Descent (SGD) and prove that SGD is able to efficiently escape from saddle points and find an $(\epsilon, O(\epsilon^{0.5}))$-approximate second-order stationary point in…
Optimal Transport (OT) has recently emerged as a central tool in data sciences to compare in a geometrically faithful way point clouds and more generally probability distributions. The wide adoption of OT into existing data analysis and…
We present an algorithm for minimizing a sum of functions that combines the computational efficiency of stochastic gradient descent (SGD) with the second order curvature information leveraged by quasi-Newton methods. We unify these…
The ability to compare two degenerate probability distributions (i.e. two probability distributions supported on two distinct low-dimensional manifolds living in a much higher-dimensional space) is a crucial problem arising in the…