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Tree-Based Diffusion Schrödinger Bridge with Applications to Wasserstein Barycenters

Maxence Noble · Valentin De Bortoli · Arnaud Doucet · Alain Durmus

Great Hall & Hall B1+B2 (level 1) #503
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Wed 13 Dec 8:45 a.m. PST — 10:45 a.m. PST

Abstract:

Multi-marginal Optimal Transport (mOT), a generalization of OT, aims at minimizing the integral of a cost function with respect to a distribution with some prescribed marginals. In this paper, we consider an entropic version of mOT with a tree-structured quadratic cost, i.e., a function that can be written as a sum of pairwise cost functions between the nodes of a tree. To address this problem, we develop Tree-based Diffusion Schr\"odinger Bridge (TreeDSB), an extension of the Diffusion Schr\"odinger Bridge (DSB) algorithm. TreeDSB corresponds to a dynamic and continuous state-space counterpart of the multimarginal Sinkhorn algorithm. A notable use case of our methodology is to compute Wasserstein barycenters which can be recast as the solution of a mOT problem on a star-shaped tree. We demonstrate that our methodology can be applied in high-dimensional settings such as image interpolation and Bayesian fusion.

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