Bringing regularized optimal transport to lightspeed: a splitting method adapted for GPUs

• URL: http://arxiv.org/abs/2305.18483v1
• Date: Mon, 29 May 2023 12:04:55 GMT
• Title: Bringing regularized optimal transport to lightspeed: a splitting method adapted for GPUs
• Authors: Jacob Lindb\"ack, Zesen Wang, Mikael Johansson
• Abstract summary: We present an efficient algorithm for regularized optimal transport. In contrast to previous methods, we use the Douglas-Rachford splitting technique to develop an efficient solver that can handle a broad class of regularizers.
• Score: 9.297785393486976
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We present an efficient algorithm for regularized optimal transport. In contrast to previous methods, we use the Douglas-Rachford splitting technique to develop an efficient solver that can handle a broad class of regularizers. The algorithm has strong global convergence guarantees, low per-iteration cost, and can exploit GPU parallelization, making it considerably faster than the state-of-the-art for many problems. We illustrate its competitiveness in several applications, including domain adaptation and learning of generative models.

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