RT Monograph
SR 00
A1 Gadat, Sébastien
A1 Bercu, Bernard
A1 Bigot, Jérémie
A1 Siviero, Emilia
T1 A Stochastic Gauss-Newton Algorithm for Regularized Semi-discrete Optimal Transport
YR 2021
FD 2021-07-09
VO 21.1231
SP 50
K1 Stochastic optimization
K1 Stochastic Gauss-Newton algorithm
K1 Optimal transport
K1 Entropic regularization
K1 Convergence of random variables.
AB We introduce a new second order stochastic algorithm to estimate the entropically regularized optimal transport cost between two probability measures. The source measure can be arbitrary chosen, either absolutely continuous or discrete, while the target measure is assumed to be discrete. To solve the semi-dual formulation of such a regularized and semi-discrete optimal transportation problem, we propose to consider a stochastic Gauss-Newton algorithm that uses a sequence of data sampled from the source measure. This algorithm is shown to be adaptive to the geometry of the underlying convex optimization problem with no important hyperparameter to be accurately tuned. We establish the almost sure convergence and the asymptotic normality of various estimators of interest that are constructed from this stochastic Gauss-Newton algorithm. We also analyze their non-asymptotic rates of convergence for the expected quadratic risk in the absence of strong convexity of the underlying objective function. The results of numerical experiments from simulated data are also reported to illustrate the nite sample properties of this Gauss-Newton algorithm for stochastic regularized optimal transport, and to show its advantages over the use of the stochastic gradient descent, stochastic Newton and ADAM algorithms.
T2 TSE Working Paper
PB TSE Working Paper
PP Toulouse, France
AV Published
LK https://publications.ut-capitole.fr/id/eprint/43699/
UL http://tse-fr.eu/pub/125790