论文标题

快速sindhorn I:wasserstein-1度量标准的O(N)算法

Fast Sinkhorn I: An O(N) algorithm for the Wasserstein-1 metric

论文作者

Liao, Qichen, Chen, Jing, Wang, Zihao, Bai, Bo, Jin, Shi, Wu, Hao

论文摘要

Wasserstein度量广泛用于比较两个概率分布的最佳运输,并在机器学习,信号处理,地震倒置等各个领域的成功应用中进行了比较。尽管如此,高计算复杂性是其实际应用的障碍。 Sinkhorn算法是计算Wasserstein指标的主要方法之一,它解决了熵正规化的最小化问题,该问题允许与O(n^2)计算成本的Wasserstein指标进行任意近似。但是,其数值近似的较高准确性需要使用重复的矩阵矢量乘法进行更多的sndhorn迭代,这仍然是无法承受的。在这项工作中,我们提出了有效实施sindhorn算法,以计算具有O(n)计算成本的Wasserstein-1度量,从而达到了最佳的理论复杂性。通过利用Sinkhorn的内核的特殊结构,可以使用QIN Jiushao或Horner的方法来实现重复的矩阵矢量乘法,并使用O(n)次乘法和添加来实现有效的多项式评估,从而导致有效的算法,而无需丢失准确的算法。另外,用于稳定迭代过程的对数域稳定技术也可以在该算法中应用。我们的数值实验表明,新开发的算法比原始的Sinkhorn算法快1到三个数量级。

The Wasserstein metric is broadly used in optimal transport for comparing two probabilistic distributions, with successful applications in various fields such as machine learning, signal processing, seismic inversion, etc. Nevertheless, the high computational complexity is an obstacle for its practical applications. The Sinkhorn algorithm, one of the main methods in computing the Wasserstein metric, solves an entropy regularized minimizing problem, which allows arbitrary approximations to the Wasserstein metric with O(N^2) computational cost. However, higher accuracy of its numerical approximation requires more Sinkhorn iterations with repeated matrix-vector multiplications, which is still unaffordable. In this work, we propose an efficient implementation of the Sinkhorn algorithm to calculate the Wasserstein-1 metric with O(N) computational cost, which achieves the optimal theoretical complexity. By utilizing the special structure of Sinkhorn's kernel, the repeated matrix-vector multiplications can be implemented with O(N) times multiplications and additions, using the Qin Jiushao or Horner's method for efficient polynomial evaluation, leading to an efficient algorithm without losing accuracy. In addition, the log-domain stabilization technique, used to stabilize the iterative procedure, can also be applied in this algorithm. Our numerical experiments show that the newly developed algorithm is one to three orders of magnitude faster than the original Sinkhorn algorithm.

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