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arXiv 2102.07115stat.MLcs.LG
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分片多边际最优运输

Sliced Multi-Marginal Optimal Transport

University College London(伦敦大学学院);Facebook AI Research(脸书人工智能研究院);University of Cambridge(剑桥大学);University of California, Berkeley(加州大学伯克利分校);Imperial College London(帝国理工学院)

Samuel Cohen, Alexander Terenin, Yannik Pitcan, Brandon Amos, Marc Peter Deisenroth, K S Sesh Kumar

摘要:

多边际最优运输使人们能够比较多个概率测度,这越来越多地发现在多任务学习问题中的应用。多边缘传输的一个实际限制是测量、样本和维度的数量的计算可扩展性。在这项工作中,我们提出了一个多边缘的最佳运输模式的基础上随机一维投影,其(广义)的距离,我们称之为切片多边缘瓦瑟斯坦距离。为了构建这个距离,我们引入了一维多边缘Kantorovich问题的表征,并使用它来突出切片多边缘瓦瑟斯坦距离的一些属性。特别是,我们表明:(i)切片多边缘瓦瑟斯坦距离是一个(广义)度量,诱导相同的拓扑结构作为标准的瓦瑟斯坦距离,(ii)它承认一个无量纲的样本复杂性,(iii)它是紧密相连的问题下的切片Wasserstein度量重心平均。最后,我们说明了多任务密度估计和多动态强化学习问题的切片多边缘Wasserstein。

英文摘要:

Multi-marginal optimal transport enables one to compare multiple probability measures, which increasingly finds application in multi-task learning problems. One practical limitation of multi-marginal transport is computational scalability in the number of measures, samples and dimensionality. In this work, we propose a multi-marginal optimal transport paradigm based on random one-dimensional projections, whose (generalized) distance we term the sliced multi-marginal Wasserstein distance. To construct this distance, we introduce a characterization of the one-dimensional multi-marginal Kantorovich problem and use it to highlight a number of properties of the sliced multi-marginal Wasserstein distance. In particular, we show that (i) the sliced multi-marginal Wasserstein distance is a (generalized) metric that induces the same topology as the standard Wasserstein distance, (ii) it admits a dimension-free sample complexity, (iii) it is tightly connected with the problem of barycentric averaging under the sliced-Wasserstein metric. We conclude by illustrating the sliced multi-marginal Wasserstein on multi-task density estimation and multi-dynamics reinforcement learning problems.

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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