Related papers: Scalable Approximate Algorithms for Optimal Transp…
Learning to align multiple datasets is an important problem with many applications, and it is especially useful when we need to integrate multiple experiments or correct for confounding. Optimal transport (OT) is a principled approach to…
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on \mathbb{R}. The investigation of the EMOT problem arises in the calibration problem of the Stochastic Volatility Models, where martingale constraints…
In 2013, Cuturi [Cut13] introduced the Sinkhorn algorithm for matrix scaling as a method to compute solutions to regularized optimal transport problems. In this paper, aiming at a better convergence rate for a high accuracy solution, we…
We propose a new class of nonconvex penalty functions, based on data depth functions, for multitask sparse penalized regression. These penalties quantify the relative position of rows of the coefficient matrix from a fixed distribution…
We demonstrate the effectiveness of one of the many multi-tracer analyses enabled by Optimal Transport (OT) reconstruction. Leveraging a semi-discrete OT algorithm, we determine the displacements between initial and observed positions of…
We consider supervised learning problems in which set predictions provide explicit uncertainty estimates. Using Choquet integrals (a.k.a. Lov{\'a}sz extensions), we propose a convex loss function for nondecreasing subset-valued functions…
We investigate the optimal transport (OT) problem over networks, wherein supply and demand are conceptualized as temporal marginals governing departure rates of particles from source nodes and arrival rates at sink nodes. This setting…
Selecting prototypical examples from a source distribution to represent a target data distribution is a fundamental problem in machine learning. Existing subset selection methods often rely on implicit importance scores, which can be skewed…
Optimal transport (OT) is a popular measure to compare probability distributions. However, OT suffers a few drawbacks such as (i) a high complexity for computation, (ii) indefiniteness which limits its applicability to kernel machines. In…
For solving a broad class of nonconvex programming problems on an unbounded constraint set, we provide a self-adaptive step-size strategy that does not include line-search techniques and establishes the convergence of a generic approach…
Entropic regularization provides a simple way to approximate linear programs whose constraints split into two or more tractable blocks. The resulting objectives are amenable to cyclic Kullback-Leibler (KL) Bregman projections, with…
We demonstrate the relevance of an algorithm called generalized iterative scaling (GIS) or simultaneous multiplicative algebraic reconstruction technique (SMART) and its rescaled block-iterative version (RBI-SMART) in the field of optimal…
We study unconstrained optimization problems with nonsmooth and convex objective function in the form of a mathematical expectation. The proposed method approximates the expected objective function with a sample average function using…
We examine here what type of predictive modelling, classification, or regression, using neural networks (NN), fits better the task of soft-demapping based post-processing in coherent optical communications, where the transmission channel is…
We propose adaptive, line search-free second-order methods with optimal rate of convergence for solving convex-concave min-max problems. By means of an adaptive step size, our algorithms feature a simple update rule that requires solving…
High-order tensor methods that employ Taylor-based local models (of degree $p\ge 3$) within adaptive regularization frameworks have been recently proposed for both convex and nonconvex optimization problems. They have been shown to have…
This paper provides a detailed theoretical analysis of methods to approximate the solutions of high-dimensional (>10^6) linear Bayesian problems. An optimal low-rank projection that maximizes the information content of the Bayesian…
We introduce a new paradigm, $\textit{measure synchronization}$, for synchronizing graphs with measure-valued edges. We formulate this problem as maximization of the cycle-consistency in the space of probability measures over relative…
Deep generative models aim to learn the underlying distribution of data and generate new ones. Despite the diversity of generative models and their high-quality generation performance in practice, most of them lack rigorous theoretical…
In high-dimensional model selection problems, penalized simple least-square approaches have been extensively used. This paper addresses the question of both robustness and efficiency of penalized model selection methods, and proposes a…