2018/10/23 by Jason Altschuler, Francis Bach, Altschuler, Jason +5
Computer Science · Mathematics · #Data Structures and Algorithms (cs.DS) #FOS: Computer and information sciences #FOS: Mathematics #Optimization and Control (math.OC) #cs.DS #math.OC
paper · pdf · doi:10.48550/arxiv.1810.10046
unchanged from v1; this article now superseded by arXiv:1812.05189
arxiv created 2018/12/16 · arxiv updated 2018/12/18
Computing the quadratic transportation metric (also called the 2-Wasserstein distance or root mean square distance) between two point clouds, or, more generally, two discrete distributions, is a fundamental problem in machine learning, statistics, computer graphics, and theoretical computer science. A long line of work has culminated in a sophisticated geometric algorithm due to Agarwal and Sharathkumar in 2014, which runs in time O(n3/2), where n is the number of points. However, obtaining faster algorithms has proven difficult since the 2-Wasserstein distance is known to have poor sketching and embedding properties, which limits the effectiveness of geometric approaches. In this paper, we give an extremely simple deterministic algorithm with O(n) runtime by using a completely different approach based on entropic regularization, approximate Sinkhorn scaling, and low-rank approximations of Gaussian kernel matrices. We give explicit dependence of our algorithm on the dimension and precision of the approximation.