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Differentiable Ranking and Sorting using Optimal Transport
Marco Cuturi · Olivier Teboul · Jean-Philippe Vert

Thu Dec 12 04:20 PM -- 04:25 PM (PST) @ West Ballroom A + B
Sorting is used pervasively in machine learning, either to define elementary algorithms, such as $k$-nearest neighbors ($k$-NN) rules, or to define test-time metrics, such as top-$k$ classification accuracy or ranking losses. Sorting is however a poor match for the end-to-end, automatically differentiable pipelines of deep learning. Indeed, sorting procedures output two vectors, neither of which is differentiable: the vector of sorted values is piecewise linear, while the sorting permutation itself (or its inverse, the vector of ranks) has no differentiable properties to speak of, since it is integer-valued. We propose in this paper to replace the usual \texttt{sort} procedure with a differentiable proxy. Our proxy builds upon the fact that sorting can be seen as an optimal assignment problem, one in which the $n$ values to be sorted are matched to an \emph{auxiliary} probability measure supported on any \emph{increasing} family of $n$ target values. From this observation, we propose extended rank and sort operators by considering optimal transport (OT) problems (the natural relaxation for assignments) where the auxiliary measure can be any weighted measure supported on $m$ increasing values, where $m \ne n$. We recover differentiable operators by regularizing these OT problems with an entropic penalty, and solve them by applying Sinkhorn iterations. Using these smoothed rank and sort operators, we propose differentiable proxies for the classification 0/1 loss as well as for the quantile regression loss.

Author Information

Marco Cuturi (Google Brain & CREST - ENSAE)

Marco Cuturi is a research scientist at Apple, in Paris. He received his Ph.D. in 11/2005 from the Ecole des Mines de Paris in applied mathematics. Before that he graduated from National School of Statistics (ENSAE) with a master degree (MVA) from ENS Cachan. He worked as a post-doctoral researcher at the Institute of Statistical Mathematics, Tokyo, between 11/2005 and 3/2007 and then in the financial industry between 4/2007 and 9/2008. After working at the ORFE department of Princeton University as a lecturer between 2/2009 and 8/2010, he was at the Graduate School of Informatics of Kyoto University between 9/2010 and 9/2016 as a tenured associate professor. He joined ENSAE in 9/2016 as a professor, where he is now working part-time. He was at Google between 10/2018 and 1/2022. His main employment is now with Apple, since 1/2022, as a research scientist working on fundamental aspects of machine learning.

Olivier Teboul (Google Brain)
Jean-Philippe Vert (Google)

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