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Poster

Progressive Entropic Optimal Transport Solvers

Parnian Kassraie · Aram-Alexandre Pooladian · Michal Klein · James Thornton · Jonathan Niles-Weed · Marco Cuturi

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Wed 11 Dec 4:30 p.m. PST — 7:30 p.m. PST

Abstract: Optimal transport (OT) has profoundly impacted machine learning by providing theoretical and computational tools to realign datasets.In this context, given two large point clouds of sizes $n$ and $m$ in $\mathbb{R}^d$, entropic OT (EOT) solvers have emerged as the most reliable tool to either solve the Kantorovich problem and output a $n\times m$ coupling matrix, or to solve the Monge problem and learn a vector-valued push-forward map. While the robustness of EOT couplings/maps makes them a go-to choice in practical applications, EOT solvers remain difficult to tune because of a small but influential set of hyperparameters, notably the omnipresent entropic regularization strength $\varepsilon$. Setting $\varepsilon$ can be difficult, as it simultaneously impacts various performance metrics, such as compute speed, statistical performance, generalization, and bias. In this work, we propose a new class of EOT solvers (ProgOT), that can estimate both plans and transport maps.We take advantage of several opportunities to optimize the computation of EOT solutions by *dividing* mass displacement using a time discretization, borrowing inspiration from dynamic OT formulations, and *conquering* each of these steps using EOT with properly scheduled parameters. We provide experimental evidence demonstrating that ProgOT is a faster and more robust alternative to *standard solvers* when computing couplings at large scales, even outperforming neural network-based approaches. We also prove statistical consistency of our approach for estimating optimal transport maps.

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