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Poster

On Robust Optimal Transport: Computational Complexity and Barycenter Computation

Khang Le · Huy Nguyen · Quang M Nguyen · Tung Pham · Hung Bui · Nhat Ho

Keywords: [ Optimal Transport ] [ Optimization ] [ Robustness ]


Abstract: We consider robust variants of the standard optimal transport, named robust optimal transport, where marginal constraints are relaxed via Kullback-Leibler divergence. We show that Sinkhorn-based algorithms can approximate the optimal cost of robust optimal transport in O~(n2ε) time, in which n is the number of supports of the probability distributions and ε is the desired error. Furthermore, we investigate a fixed-support robust barycenter problem between m discrete probability distributions with at most n number of supports and develop an approximating algorithm based on iterative Bregman projections (IBP). For the specific case m=2, we show that this algorithm can approximate the optimal barycenter value in O~(mn2ε) time, thus being better than the previous complexity O~(mn2ε2) of the IBP algorithm for approximating the Wasserstein barycenter.

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