论文标题
不平衡高斯措施之间的熵最佳运输具有封闭形式
Entropic Optimal Transport between Unbalanced Gaussian Measures has a Closed Form
论文作者
论文摘要
尽管最佳运输(OT)问题在很少的案例中接受了封闭式解决方案,例如在高斯人之间,这些封闭形式被证明是从业者定义从OT几何形状启发的工具的极限繁殖的。另一方面,使用熵正则化的OT问题的数值解决已经引起了许多应用,但是由于没有针对熵正则化的OT问题的已知封闭形式解决方案,因此这些方法主要是算法,而不是由优雅的封闭形式告知。在本文中,我们建议通过证明两种高斯措施之间的熵调查的最佳运输问题在OT中填补这两个思想流派之间的交点的空隙。与未注册的情况相反,该情况是由Wasserstein-Bures距离给出的显式形式,即使对于具有退化协方差矩阵的高斯人,我们获得的封闭形式也是可区分的。我们通过求解Sindhorn算法后面的定点方程,这是计算熵正则化ot的默认方法,从而获得了此封闭的形式解决方案。值得注意的是,这种方法扩展到了普遍的不平衡情况 - 高斯措施通过正常数缩放。这种扩展也导致了不平衡的高斯人的封闭式表达,并突出了在不平衡的最佳运输中看到的大众运输 /破坏权衡。此外,在这两种情况下,我们都表明,最佳运输计划是(缩放)高斯人,并提供了其参数的分析公式。这些公式构成了熵登记的最佳运输的第一种非平凡的封闭形式,因此为分析熵OT和Sinkhorn的算法提供了基础真理。
Although optimal transport (OT) problems admit closed form solutions in a very few notable cases, e.g. in 1D or between Gaussians, these closed forms have proved extremely fecund for practitioners to define tools inspired from the OT geometry. On the other hand, the numerical resolution of OT problems using entropic regularization has given rise to many applications, but because there are no known closed-form solutions for entropic regularized OT problems, these approaches are mostly algorithmic, not informed by elegant closed forms. In this paper, we propose to fill the void at the intersection between these two schools of thought in OT by proving that the entropy-regularized optimal transport problem between two Gaussian measures admits a closed form. Contrary to the unregularized case, for which the explicit form is given by the Wasserstein-Bures distance, the closed form we obtain is differentiable everywhere, even for Gaussians with degenerate covariance matrices. We obtain this closed form solution by solving the fixed-point equation behind Sinkhorn's algorithm, the default method for computing entropic regularized OT. Remarkably, this approach extends to the generalized unbalanced case -- where Gaussian measures are scaled by positive constants. This extension leads to a closed form expression for unbalanced Gaussians as well, and highlights the mass transportation / destruction trade-off seen in unbalanced optimal transport. Moreover, in both settings, we show that the optimal transportation plans are (scaled) Gaussians and provide analytical formulas of their parameters. These formulas constitute the first non-trivial closed forms for entropy-regularized optimal transport, thus providing a ground truth for the analysis of entropic OT and Sinkhorn's algorithm.