提出新理论框架,让Sinkhorn算法在有异常值时仍高效收敛。
On the Efficiency of Sinkhorn-Knopp for Entropically Regularized Optimal Transport
- 引入'良好有界性'概念,分离数据中正常部分与极端异常值。
- 证明算法迭代次数仅需O(log n - log ε),与正则化代价无关。
- 预缩放后可实现完全去维度的O(log(1/ε))收敛,适合高维数据处理。
Sinkhorn-Knopp(SK)算法是矩阵缩放和熵正则化最优传输(EOT)的核心方法。尽管其在实践中表现高效,但现有理论在存在异常值时对目标边际精度ε的保证严重退化,受限于全局最大正则化成本η‖C‖∞或矩阵最小最大项比ν。这导致理论与实践脱节。本文通过引入新概念‘良好有界性’——一种局部整体质量属性,严格区分数据中正常部分与极端异常值,解决了这一矛盾。对于EOT,我们证明在该性质下,SK可在O(log n - log ε)次迭代内恢复目标传输计划,完全独立于η‖C‖∞。此外,一个几乎无成本的预缩放步骤可彻底消除维度依赖,将收敛速度提升至严格维度无关的O(log(1/ε))。在更一般情形下,我们建立了由矩阵密度阈值决定的尖锐相变:当密度超过阈值时,迭代复杂度不再依赖ν;低于阈值时,ν的影响不可避免,且构造实例显示此时SK需Ω(n/ε)次迭代。
原文摘要 · Abstract (English)
The Sinkhorn--Knopp (SK) algorithm is a cornerstone method for matrix scaling and entropically regularized optimal transport (EOT). Despite its empirical efficiency, existing theoretical guarantees to achieve a target marginal accuracy $\varepsilon$ deteriorate severely in the presence of outliers, bottlenecked either by the global maximum regularized cost $η\|C\|_\infty$ (where $η$ is the regularization parameter and $C$ the cost matrix) or the matrix's minimum-to-maximum entry ratio $ν$. This creates a fundamental disconnect between theory and practice. In this paper, we resolve this discrepancy. For EOT, we introduce the novel concept of well-boundedness, a local bulk mass property that rigorously isolates the well-behaved portion of the data from extreme outliers. We prove that governed by this fundamental notion, SK recovers the target transport plan for a problem of dimension $n$ in $O(\log n - \log \varepsilon)$ iterations, completely independent of the regularized cost $η\|C\|_\infty$. Furthermore, we show that a virtually cost-free pre-scaling step eliminates the dimensional dependence entirely, accelerating convergence to a strictly dimension-free $O(\log(1/\varepsilon))$ iterations. Beyond EOT, we establish a sharp phase transition for general $(\boldsymbol{u},\boldsymbol{v})$-scaling governed by a critical matrix density threshold. We prove that when a matrix's density exceeds this threshold, the iteration complexity is strictly independent of $ν$. Conversely, when the density falls below this threshold, the dependence on $ν$ becomes unavoidable; in this sub-critical regime, we construct instances where SK requires $Ω(n/\varepsilon)$ iterations.
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