Unbalanced Optimal Transport meets Sliced-Wasserstein
TL;DR: We propose a general framework to efficiently compare two arbitrary positive measures, by combining sliced optimal transport with unbalanced optimal transport, and study the theoretical guarantees and practical benefits.
Abstract: Optimal transport (OT) has emerged as a powerful framework to compare probability measures, a fundamental task in many statistical and machine learning problems. Substantial advances have been made over the last decade in designing OT variants which are either computationally and statistically more efficient, or more robust to the measures/datasets to compare. Among them, sliced OT distances have been extensively used to mitigate optimal transport's cubic algorithmic complexity and curse of dimensionality. In parallel, unbalanced OT was designed to allow comparisons of more general positive measures, while being more robust to outliers. In this paper, we propose to combine these two concepts, namely slicing and unbalanced OT, to develop a general framework for efficiently comparing positive measures. We propose two new loss functions based on the idea of slicing unbalanced OT, and study their induced topology and statistical properties. We then develop a fast Frank-Wolfe-type algorithm to compute these losses, and show that our methodology is modular as it encompasses and extends prior related work. We finally conduct an empirical analysis of our loss functions and methodology on both synthetic and real datasets, to illustrate their relevance and applicability.
Keywords: Unbalanced optimal transport, Sliced-Wasserstein distance, High-dimensional data, Frank-Wolfe algorithm
Submission Number: 93
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