提出高效算法实现高维分布间最优传输,支持快速采样与精准映射。
New Algorithmic Directions in Optimal Transport and Applications for Product Spaces
- 设计基于序列采样的通用算法,实现任意产品分布到目标分布的近似最优传输。
- 在平方欧氏距离下,将标准高斯分布映射到测度ε的子集,平均距离为O(√log 1/ε)。
- 首次获得维度无关的高斯浓度计算结果,适用于统计学习与生成模型场景。
本文从算法角度研究高维分布μ、ν在ℝⁿ间的最优传输:给定x∼μ,需在poly(n)时间内找到接近y∼ν的样本,运行时间依赖于维度而非分布表示规模。核心成果是针对任意产品分布μ到ν的通用算法,在ℓₚᵖ代价下总成本为Δ+δ,其中Δ为Knothe-Rosenblatt传输代价,δ为随运行时间减小的计算误差。该方法要求ν具备“可序列采样”性且平均采样成本有界,这是新提出的自然条件。进一步证明了标准高斯分布Φⁿ到任意ν的算法版Talagrand不等式。当ν为Φⁿ在测度ε的集合𝒮上的条件分布时,仅需成员查询访问𝒮,可在期望时间poly(n/ε)内构造序列采样器。由此得到从Φⁿ到Φⁿ|𝒮的算法传输,时间复杂度为poly(n/ε),期望平方距离为O(log 1/ε),对一般𝒮达到最优。作为推论,首次实现高斯测度下欧氏距离的计算浓度结果(Etesami et al. SODA 2020),解决了其开放问题:对任意测度ε的集合𝒮,绝大多数Φⁿ样本可在poly(n/ε)时间内映射至𝒮内,距离不超过O(√log 1/ε)。
原文摘要 · Abstract (English)
We study optimal transport between two high-dimensional distributions $μ,ν$ in $R^n$ from an algorithmic perspective: given $x \sim μ$, find a close $y \sim ν$ in $poly(n)$ time, where $n$ is the dimension of $x,y$. Thus, running time depends on the dimension rather than the full representation size of $μ,ν$. Our main result is a general algorithm for transporting any product distribution $μ$ to any $ν$ with cost $Δ+ δ$ under $\ell_p^p$, where $Δ$ is the Knothe-Rosenblatt transport cost and $δ$ is a computational error decreasing with runtime. This requires $ν$ to be "sequentially samplable" with bounded average sampling cost, a new but natural notion. We further prove: An algorithmic version of Talagrand's inequality for transporting the standard Gaussian $Φ^n$ to arbitrary $ν$ under squared Euclidean cost. For $ν= Φ^n$ conditioned on a set $\mathcal{S}$ of measure $\varepsilon$, we construct the sequential sampler in expected time $poly(n/\varepsilon)$ using membership oracle access to $\mathcal{S}$. This yields an algorithmic transport from $Φ^n$ to $Φ^n|\mathcal{S}$ in $poly(n/\varepsilon)$ time and expected squared distance $O(\log 1/\varepsilon)$, optimal for general $\mathcal{S}$ of measure $\varepsilon$. As corollary, we obtain the first computational concentration result (Etesami et al. SODA 2020) for Gaussian measure under Euclidean distance with dimension-independent transportation cost, resolving an open question of Etesami et al. Specifically, for any $\mathcal{S}$ of Gaussian measure $\varepsilon$, most $Φ^n$ samples can be mapped to $\mathcal{S}$ within distance $O(\sqrt{\log 1/\varepsilon})$ in $poly(n/\varepsilon)$ time.
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