This paper presents a unified framework for smooth convex regularization of discrete optimal transport problems. In this context, the regularized optimal transport turns out to be equivalent to a matrix nearness problem with respect to Bregman divergences. Our framework thus naturally generalizes a previously proposed regularization based on the Boltzmann-Shannon entropy related to the Kullback-Leibler divergence, and solved with the Sinkhorn-Knopp algorithm. We call the regularized optimal transport distance the rot mover's distance in reference to the classical earth mover's distance. We develop two generic schemes that we respectively call the alternate scaling algorithm and the non-negative alternate scaling algorithm, to compute efficiently the regularized optimal plans depending on whether the domain of the regularizer lies within the non-negative orthant or not. These schemes are based on Dykstra's algorithm with alternate Bregman projections, and further exploit the Newton-Raphson method when applied to separable divergences. We enhance the separable case with a sparse extension to deal with high data dimensions. We also instantiate our proposed framework and discuss the inherent specificities for well-known regularizers and statistical divergences in the machine learning and information geometry communities. Finally, we demonstrate the merits of our methods with experiments using synthetic data to illustrate the effect of different regularizers and penalties on the solutions, as well as real-world data for a pattern recognition application to audio scene classification.
@cite_31 revisited the entropic regularization in a geometrical framework with iterative information projections. They showed that computing a Sinkhorn distance in dual form actually amounts to the minimization of a Kullback-Leibler divergence: Precisely, this amounts to computing the Kullback-Leibler projection of @math onto the transport polytope @math . In this context, the Sinkhorn-Knopp algorithm turns out to be a special instance of Bregman projection onto the intersection of convex sets via alternate projections. Specifically, we see @math as the intersection of the non-negative orthant with two affine subspaces containing all matrices with rows and columns summing to @math and @math respectively, and we alternate projection on these two subspaces according to the Kullback-Leibler divergence until convergence.
@cite_31
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Entropic regularization is quickly emerging as a new standard in optimal transport (OT). It enables to cast the OT computation as a differentiable and unconstrained convex optimization problem, which can be efficiently solved using the Sinkhorn algorithm. However, entropy keeps the transportation plan strictly positive and therefore completely dense, unlike unregularized OT. This lack of sparsity can be problematic in applications where the transportation plan itself is of interest. In this paper, we explore regularizing the primal and dual OT formulations with a strongly convex term, which corresponds to relaxing the dual and primal constraints with smooth approximations. We show how to incorporate squared @math -norm and group lasso regularizations within that framework, leading to sparse and group-sparse transportation plans. On the theoretical side, we bound the approximation error introduced by regularizing the primal and dual formulations. Our results suggest that, for the regularized primal, the approximation error can often be smaller with squared @math -norm than with entropic regularization. We showcase our proposed framework on the task of color transfer. This article details a general numerical framework to approximate so-lutions to linear programs related to optimal transport. The general idea is to introduce an entropic regularization of the initial linear program. This regularized problem corresponds to a Kullback-Leibler Bregman di-vergence projection of a vector (representing some initial joint distribu-tion) on the polytope of constraints. We show that for many problems related to optimal transport, the set of linear constraints can be split in an intersection of a few simple constraints, for which the projections can be computed in closed form. This allows us to make use of iterative Bregman projections (when there are only equality constraints) or more generally Bregman-Dykstra iterations (when inequality constraints are in-volved). We illustrate the usefulness of this approach to several variational problems related to optimal transport: barycenters for the optimal trans-port metric, tomographic reconstruction, multi-marginal optimal trans-port and in particular its application to Brenier's relaxed solutions of in-compressible Euler equations, partial un-balanced optimal transport and optimal transport with capacity constraints. Updating probabilistic belief matrices as new observations arrive, in the presence of noise, is a critical part of many algorithms for target tracking in sensor networks. These updates have to be carried out while preserving sum constraints, arising for example, from probabilities. This paper addresses the problem of updating belief matrices to satisfy sum constraints using scaling algorithms. We show that the convergence behavior of the Sinkhorn scaling process, used for scaling belief matrices, can vary dramatically depending on whether the prior unscaled matrix is exactly scalable or only almost scalable. We give an efficient polynomial-time algorithm based on the maximum-flow algorithm that determines whether a given matrix is exactly scalable, thus determining the convergence properties of the Sinkhorn scaling process. We prove that the Sinkhorn scaling process always provides a solution to the problem of minimizing the Kullback-Leibler distance of the physically feasible scaled matrix from the prior constraint-violating matrix, even when the matrices are not exactly scalable. We pose the scaling process as a linearly constrained convex optimization problem, and solve it using an interior-point method. We prove that even in cases in which the matrices are not exactly scalable, the problem can be solved to e-optimality in strongly polynomial time, improving the best known bound for the problem of scaling arbitrary nonnegative rectangular matrices to prescribed row and column sums. We study the convergence properties of an alternating proximal minimization algorithm for nonconvex structured functions of the type: L(x,y)=f(x)+Q(x,y)+g(y), where f and g are proper lower semicontinuous functions, defined on Euclidean spaces, and Q is a smooth function that couples the variables x and y. The algorithm can be viewed as a proximal regularization of the usual Gauss-Seidel method to minimize L. We work in a nonconvex setting, just assuming that the function L satisfies the Kurdyka-Łojasiewicz inequality. An entire section illustrates the relevancy of such an assumption by giving examples ranging from semialgebraic geometry to “metrically regular” problems. Our main result can be stated as follows: If L has the Kurdyka-Łojasiewicz property, then each bounded sequence generated by the algorithm converges to a critical point of L. This result is completed by the study of the convergence rate of the algorithm, which depends on the geometrical properties of the function L around its critical points. When specialized to @math and to f, g indicator functions, the algorithm is an alternating projection mehod (a variant of von Neumann's) that converges for a wide class of sets including semialgebraic and tame sets, transverse smooth manifolds or sets with “regular” intersection. To illustrate our results with concrete problems, we provide a convergent proximal reweighted l1 algorithm for compressive sensing and an application to rank reduction problems.