Optimal transport (OT) theory can be informally described using the words of the French mathematician Gaspard Monge (1746-1818): A worker with a shovel in hand has to move a large pile of sand lying on a construction site. The goal of the worker is to erect with all that sand a target pile with a prescribed shape (for example, that of a giant sand castle). Naturally, the worker wishes to minimize her total effort, quantified for instance as the total distance or time spent carrying shovelfuls of sand. Mathematicians interested in OT cast that problem as that of comparing two probability distributions, two different piles of sand of the same volume. They consider all of the many possible ways to morph, transport or reshape the first pile into the second, and associate a "global" cost to every such transport, using the "local" consideration of how much it costs to move a grain of sand from one place to another. Recent years have witnessed the spread of OT in several fields, thanks to the emergence of approximate solvers that can scale to sizes and dimensions that are relevant to data sciences. Thanks to this newfound scalability, OT is being increasingly used to unlock various problems in imaging sciences (such as color or texture processing), computer vision and graphics (for shape manipulation) or machine learning (for regression, classification and density fitting). This short book reviews OT with a bias toward numerical methods and their applications in data sciences, and sheds lights on the theoretical properties of OT that make it particularly useful for some of these applications.

Computational Optimal Transport

A large number of imaging problems reduce to the optimization of a cost function , with typical structural properties. The aim of this paper is to describe the state of the art in continuous optimization methods for such problems, and present the most successful approaches and their interconnections. We place particular emphasis on optimal first-order schemes that can deal with typical non-smooth and large-scale objective functions used in imaging problems. We illustrate and compare the different algorithms using classical non-smooth problems in imaging, such as denoising and deblurring. Moreover, we present applications of the algorithms to more advanced problems, such as magnetic resonance imaging, multilabel image segmentation, optical flow estimation, stereo matching, and classification.

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An introduction to continuous optimization for imaging

This paper introduces a new class of algorithms for optimization problems involving optimal transportation over geometric domains. Our main contribution is to show that optimal transportation can be made tractable over large domains used in graphics, such as images and triangle meshes, improving performance by orders of magnitude compared to previous work. To this end, we approximate optimal transportation distances using entropic regularization. The resulting objective contains a geodesic distance-based kernel that can be approximated with the heat kernel. This approach leads to simple iterative numerical schemes with linear convergence, in which each iteration only requires Gaussian convolution or the solution of a sparse, pre-factored linear system. We demonstrate the versatility and efficiency of our method on tasks including reflectance interpolation, color transfer, and geometry processing.

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Convolutional wasserstein distances: efficient optimal transportation on geometric domains

Transport-based techniques for signal and data analysis have recently received increased interest. Given their ability to provide accurate generative models for signal intensities and other data distributions, they have been used in a variety of applications, including content-based retrieval, cancer detection, image superresolution, and statistical machine learning, to name a few, and they have been shown to produce state-of-the-art results. Moreover, the geometric characteristics of transport-related metrics have inspired new kinds of algorithms for interpreting the meaning of data distributions. Here, we provide a practical overview of the mathematical underpinnings of mass transport-related methods, including numerical implementation, as well as a review, with demonstrations, of several applications. Software accompanying this article is available from [43].

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Optimal Mass Transport: Signal processing and machine-learning applications

This paper presents a new technique for computing the barycenter of a set of distance or kernel matrices. These matrices, which define the interrelationships between points sampled from individual domains, are not required to have the same size or to be in row-by-row correspondence. We compare these matrices using the softassign criterion, which measures the minimum distortion induced by a probabilistic map from the rows of one similarity matrix to the rows of another; this criterion amounts to a regularized version of the Gromov-Wasserstein (GW) distance between metric-measure spaces. The barycenter is then defined as a Frechet mean of the input matrices with respect to this criterion, minimizing a weighted sum of softassign values. We provide a fast iterative algorithm for the resulting nonconvex optimization problem, built upon state-of-the-art tools for regularized optimal transportation. We demonstrate its application to the computation of shape barycenters and to the prediction of energy levels from molecular configurations in quantum chemistry.

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Gromov-wasserstein averaging of kernel and distance matrices

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.

https://hal.archives-ouvertes.fr/hal-01096124/document

Iterative Bregman Projections for Regularized Transportation Problems

This survey intents to present the state of art and recent developments of the optimal transportation theory with many marginals for a class of repulsive cost functions.
We introduce some aspects of the Density Functional Theory (DFT) from a mathematical viewpoint, and revisit the theory of optimal transport from its perspective. Moreover, in the last three sections, we describe some recent and new theoretical and numerical results obtained for the Coulomb cost, the repulsive harmonic cost and the determinant.

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Optimal transportation theory with repulsive costs

Dans cette these, notre but est de donner un cadre numerique general pour approcher les solutions des problemes du transport optimal (TO). L’idee generale est d’introduire une regularisation entropique du probleme initial. Le probleme regularise correspond a minimiser une entropie relative par rapport a une mesure de reference donnee. En effet, cela equivaut a trouver la projection d’un couplage par rapport a la divergence de Kullback-Leibler. Cela nous permet d’utiliser l’algorithme de Bregman/Dykstra et de resoudre plusieurs problemes variationnels lies au TO. Nous nous interessons particulierement a la resolution des problemes du transport optimal multi-marges (TOMM) qui apparaissent dans le cadre de la dynamique des fluides (equations d’Euler incompressible a la Brenier) et de la physique quantique (la theorie de fonctionnelle de la densite ). Dans ces cas, nous montrons que la regularisation entropique joue un role plus important que de la simple stabilisation numerique. De plus, nous donnons des resultats concernant l’existence des transports optimaux (par exemple des transports fractals) pour le probleme TOMM.

Numerical Methods for Multi-Marginal Optimal Transportation

In this chapter, we present a numerical method, based on iterative Bregman projections, to solve the optimal transport problem with Coulomb cost. This problem is related to the strong interaction limit of Density Functional Theory. The first idea is to introduce an entropic regularization of the Kantorovich formulation of the Optimal Transport problem. The regularized problem then corresponds to the projection of a vector on the intersection of the constraints with respect to the Kullback-Leibler distance. Iterative Bregman projections on each marginal constraint are explicit which enables us to approximate the optimal transport plan. We validate the numerical method against analytical test cases.

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Luca Nenna

Papers

Iterative Bregman Projections for Regularized Transportation Problems

Iterative Bregman Projections for Regularized Transportation Problems

Optimal transportation theory with repulsive costs

Numerical Methods for Multi-Marginal Optimal Transportation

A Numerical Method to Solve Multi-Marginal Optimal Transport Problems with Coulomb Cost