arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2006.07458cs.LGmath.OCstat.ML
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投影鲁棒Wasserstein距离与黎曼优化

Projection Robust Wasserstein Distance and Riemannian Optimization

University of California, Berkeley(加州大学伯克利分校);The Chinese University of Hong Kong, Shenzhen(香港中文大学(深圳));University of Texas, Austin(德克萨斯大学奥斯汀分校);CREST - ENSAE(法国国家统计与经济管理学院经济与统计研究中心);Google Brain(谷歌大脑)

Tianyi Lin, Chenyou Fan, Nhat Ho, Marco Cuturi, Michael I. Jordan

摘要:

投影鲁棒沃瑟斯坦距离(Projection Robust Wasserstein,PRW),又称沃瑟斯坦投影追踪(Wasserstein projection pursuit,WPP),是沃瑟斯坦距离的一个鲁棒变体。最近的研究表明,这个量比标准的Wasserstein距离更稳健,特别是在比较高维概率测度时。然而,它被排除在实际应用中,因为优化模型本质上是非凸和非光滑的,这使得计算棘手。我们在本文中的贡献是重新审视WPP/PRW背后的原始动机,但采取强硬的路线表明,尽管它的非凸性和缺乏非光滑性,甚至尽管一些硬度的结果证明了~ \citet{Niles-2019-Estimation}在极大极小的意义下,原始配方PRW/WPP \textit{can}有效地计算在实践中使用黎曼优化,在相关情况下产生更好的行为比凸松弛。更具体地说,我们提供了三个简单的算法与坚实的理论保证其复杂性界(附录中的一个),并证明其有效性和效率进行广泛的实验合成和真实数据。本文提供了第一步到计算理论的PRW距离,并提供了最佳运输和黎曼优化之间的联系。

英文摘要:

Projection robust Wasserstein (PRW) distance, or Wasserstein projection pursuit (WPP), is a robust variant of the Wasserstein distance. Recent work suggests that this quantity is more robust than the standard Wasserstein distance, in particular when comparing probability measures in high-dimensions. However, it is ruled out for practical application because the optimization model is essentially non-convex and non-smooth which makes the computation intractable. Our contribution in this paper is to revisit the original motivation behind WPP/PRW, but take the hard route of showing that, despite its non-convexity and lack of nonsmoothness, and even despite some hardness results proved by~\citet{Niles-2019-Estimation} in a minimax sense, the original formulation for PRW/WPP \textit{can} be efficiently computed in practice using Riemannian optimization, yielding in relevant cases better behavior than its convex relaxation. More specifically, we provide three simple algorithms with solid theoretical guarantee on their complexity bound (one in the appendix), and demonstrate their effectiveness and efficiency by conducing extensive experiments on synthetic and real data. This paper provides a first step into a computational theory of the PRW distance and provides the links between optimal transport and Riemannian optimization.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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