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arXiv · 2102.07115

Sliced Multi-Marginal Optimal Transport

Samuel Cohen·Alexander Terenin·Yannik Pitcan·Brandon Amos·Marc Peter Deisenroth·K S Sesh Kumar
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Abstract

Multi-marginal optimal transport enables one to compare multiple probability measures, which increasingly finds application in multi-task learning problems. One practical limitation of multi-marginal transport is computational scalability in the number of measures, samples and dimensionality. In this work, we propose a multi-marginal optimal transport paradigm based on random one-dimensional projections, whose (generalized) distance we term the sliced multi-marginal Wasserstein distance. To construct this distance, we introduce a characterization of the one-dimensional multi-marginal Kantorovich problem and use it to highlight a number of properties of the sliced multi-marginal Wasserstein distance. In particular, we show that (i) the sliced multi-marginal Wasserstein distance is a (generalized) metric that induces the same topology as the standard Wasserstein distance, (ii) it admits a dimension-free sample complexity, (iii) it is tightly connected with the problem of barycentric averaging under the sliced-Wasserstein metric. We conclude by illustrating the sliced multi-marginal Wasserstein on multi-task density estimation and multi-dynamics reinforcement learning problems.

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Samuel Cohen, Alexander Terenin, Yannik Pitcan, Brandon Amos, Marc Peter Deisenroth, K S Sesh Kumar. 2021-02-14. Sliced Multi-Marginal Optimal Transport. https://arxiv.org/abs/2102.07115

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