On Robust Optimal Transport: Computational Complexity and Barycenter Computation

Khang Le, Huy Nguyen, Quang Minh Nguyen, Tung Pham, Hung Bui, Nhat Ho

Keywords: optimal transport, optimization, complexity, robustness

TL;DR: We provide computational complexity for a robust variant of optimal transport and the corresponding barycenter problem.

Abstract: We consider robust variants of the standard optimal transport, named robust optimal transport, where marginal constraints are relaxed via Kullback-Leibler divergence. We show that Sinkhorn-based algorithms can approximate the optimal cost of robust optimal transport in $\widetilde{\mathcal{O}}(\frac{n^2}{\varepsilon})$ time, in which $n$ is the number of supports of the probability distributions and $\varepsilon$ is the desired error. Furthermore, we investigate a fixed-support robust barycenter problem between $m$ discrete probability distributions with at most $n$ number of supports and develop an approximating algorithm based on iterative Bregman projections (IBP). For the specific case $m = 2$, we show that this algorithm can approximate the optimal barycenter value in $\widetilde{\mathcal{O}}(\frac{mn^2}{\varepsilon})$ time, thus being better than the previous complexity $\widetilde{\mathcal{O}}(\frac{mn^2}{\varepsilon^2})$ of the IBP algorithm for approximating the Wasserstein barycenter.

Code Of Conduct: I certify that all co-authors of this work have read and commit to adhering to the NeurIPS Statement on Ethics, Fairness, Inclusivity, and Code of Conduct.