论文标题

最佳运输量的双重正则化方法

The Double Regularization Method for Capacity Constrained Optimal Transport

论文作者

Wu, Tianhao, Cheng, Qihao, Wang, Zihao, Zhang, Chaorui, Bai, Bo, Huang, Zhongyi, Wu, Hao

论文摘要

容量约束的最佳运输是最佳运输的一种变体,它在原始最佳传输问题中的一系列可行耦合中增加了额外的约束,以限制每对源和水槽之间运输的质量。基于此设置,受限的最佳运输具有许多应用程序,例如财务,网络流。但是,由于此问题中的大量约束,现有的算法既耗时又耗费空间。在本文中,受到经典最佳运输问题的熵正则化的启发,我们引入了一个新颖的正则化项,以实现最佳运输。正规化问题自然可以满足能力限制,因此可以分析二元性。与替代迭代方案中的矩阵矢量乘法不同,用于求解经典的最佳传输,在我们的算法中,每个替代迭代步骤都是求解几个单变量方程。幸运的是,我们发现每个方程中的每个方程都对应于单个单调函数,并且我们将求解这些方程式转换为使用牛顿的方法找到每个单个单调单调函数的唯一零点。广泛的数值实验表明,与现有方法相比,我们提出的方法在准确性,效率和记忆消耗方面具有重要优势。

Capacity constrained optimal transport is a variant of optimal transport, which adds extra constraints on the set of feasible couplings in the original optimal transport problem to limit the mass transported between each pair of source and sink. Based on this setting, constrained optimal transport has numerous applications, e.g., finance, network flow. However, due to the large number of constraints in this problem, existing algorithms are both time-consuming and space-consuming. In this paper, inspired by entropic regularization for the classical optimal transport problem, we introduce a novel regularization term for capacity constrained optimal transport. The regularized problem naturally satisfies the capacity constraints and consequently makes it possible to analyze the duality. Unlike the matrix-vector multiplication in the alternate iteration scheme for solving classical optimal transport, in our algorithm, each alternate iteration step is to solve several single-variable equations. Fortunately, we find that each of these equations corresponds to a single-variable monotonic function, and we convert solving these equations into finding the unique zero point of each single-variable monotonic function with Newton's method. Extensive numerical experiments demonstrate that our proposed method has a significant advantage in terms of accuracy, efficiency, and memory consumption compared with existing methods.

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