A Sparse Multi-Scale Algorithm for Dense Optimal Transport

Discrete optimal transport solvers do not scale well on dense large problems since they do not explicitly exploit the geometric structure of the cost function. In analogy to continuous optimal transport we provide a framework to verify global optimality of a discrete transport plan locally. This allows construction of an algorithm to solve large dense problems by considering a sequence of sparse problems instead. The algorithm lends itself to being combined with a hierarchical multi-scale scheme. Any existing discrete solver can be used as internal black-box.Several cost functions, including the noisy squared Euclidean distance, are explicitly detailed. We observe a significant reduction of run-time and memory requirements.Comment: Published "online first" in Journal of Mathematical Imaging and Vision, see DO

Dynamic Models of Wasserstein-1-Type Unbalanced Transport

We consider a class of convex optimization problems modelling temporal mass transport and mass change between two given mass distributions (the so-called dynamic formulation of unbalanced transport), where we focus on those models for which transport costs are proportional to transport distance. For those models we derive an equivalent, computationally more efficient static formulation, we perform a detailed analysis of the model optimizers and the associated optimal mass change and transport, and we examine which static models are generated by a corresponding equivalent dynamic one. Alongside we discuss thoroughly how the employed model formulations relate to other formulations found in the literature.Comment: to appear in ESAIM: Control, Optimisation and Calculus of Variation

Convergence of Entropic Schemes for Optimal Transport and Gradient Flows

Replacing positivity constraints by an entropy barrier is popular to approximate solutions of linear programs. In the special case of the optimal transport problem, this technique dates back to the early work of Schr\"odinger. This approach has recently been used successfully to solve optimal transport related problems in several applied fields such as imaging sciences, machine learning and social sciences. The main reason for this success is that, in contrast to linear programming solvers, the resulting algorithms are highly parallelizable and take advantage of the geometry of the computational grid (e.g. an image or a triangulated mesh). The first contribution of this article is the proof of the $\Gamma$-convergence of the entropic regularized optimal transport problem towards the Monge-Kantorovich problem for the squared Euclidean norm cost function. This implies in particular the convergence of the optimal entropic regularized transport plan towards an optimal transport plan as the entropy vanishes. Optimal transport distances are also useful to define gradient flows as a limit of implicit Euler steps according to the transportation distance. Our second contribution is a proof that implicit steps according to the entropic regularized distance converge towards the original gradient flow when both the step size and the entropic penalty vanish (in some controlled way)