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# -*- coding: utf-8 -*-
"""
Solvers for the original linear program OT problem
"""
# Author: Remi Flamary <remi.flamary@unice.fr>
#
# License: MIT License
import multiprocessing
import sys
import numpy as np
from scipy.sparse import coo_matrix
from . import cvx
from .cvx import barycenter
# import compiled emd
from .emd_wrap import emd_c, check_result, emd_1d_sorted
from ..utils import dist
from ..utils import parmap
__all__ = ['emd', 'emd2', 'barycenter', 'free_support_barycenter', 'cvx',
'emd_1d', 'emd2_1d', 'wasserstein_1d']
def center_ot_dual(alpha0, beta0, a=None, b=None):
r"""Center dual OT potentials w.r.t. theirs weights
The main idea of this function is to find unique dual potentials
that ensure some kind of centering/fairness. The main idea is to find dual potentials that lead to the same final objective value for both source and targets (see below for more details). It will help having
stability when multiple calling of the OT solver with small changes.
Basically we add another constraint to the potential that will not
change the objective value but will ensure unicity. The constraint
is the following:
.. math::
\alpha^T a= \beta^T b
in addition to the OT problem constraints.
since :math:`\sum_i a_i=\sum_j b_j` this can be solved by adding/removing
a constant from both :math:`\alpha_0` and :math:`\beta_0`.
.. math::
c=\frac{\beta0^T b-\alpha_0^T a}{1^Tb+1^Ta}
\alpha=\alpha_0+c
\beta=\beta0+c
Parameters
----------
alpha0 : (ns,) numpy.ndarray, float64
Source dual potential
beta0 : (nt,) numpy.ndarray, float64
Target dual potential
a : (ns,) numpy.ndarray, float64
Source histogram (uniform weight if empty list)
b : (nt,) numpy.ndarray, float64
Target histogram (uniform weight if empty list)
Returns
-------
alpha : (ns,) numpy.ndarray, float64
Source centered dual potential
beta : (nt,) numpy.ndarray, float64
Target centered dual potential
"""
# if no weights are provided, use uniform
if a is None:
a = np.ones(alpha0.shape[0]) / alpha0.shape[0]
if b is None:
b = np.ones(beta0.shape[0]) / beta0.shape[0]
# compute constant that balances the weighted sums of the duals
c = (b.dot(beta0) - a.dot(alpha0)) / (a.sum() + b.sum())
# update duals
alpha = alpha0 + c
beta = beta0 - c
return alpha, beta
def estimate_dual_null_weights(alpha0, beta0, a, b, M):
r"""Estimate feasible values for 0-weighted dual potentials
The feasible values are computed efficiently but rather coarsely.
.. warning::
This function is necessary because the C++ solver in emd_c
discards all samples in the distributions with
zeros weights. This means that while the primal variable (transport
matrix) is exact, the solver only returns feasible dual potentials
on the samples with weights different from zero.
First we compute the constraints violations:
.. math::
V=\alpha+\beta^T-M
Next we compute the max amount of violation per row (alpha) and
columns (beta)
.. math::
v^a_i=\max_j V_{i,j}
v^b_j=\max_i V_{i,j}
Finally we update the dual potential with 0 weights if a
constraint is violated
.. math::
\alpha_i = \alpha_i -v^a_i \quad \text{ if } a_i=0 \text{ and } v^a_i>0
\beta_j = \beta_j -v^b_j \quad \text{ if } b_j=0 \text{ and } v^b_j>0
In the end the dual potentials are centered using function
:ref:`center_ot_dual`.
Note that all those updates do not change the objective value of the
solution but provide dual potentials that do not violate the constraints.
Parameters
----------
alpha0 : (ns,) numpy.ndarray, float64
Source dual potential
beta0 : (nt,) numpy.ndarray, float64
Target dual potential
alpha0 : (ns,) numpy.ndarray, float64
Source dual potential
beta0 : (nt,) numpy.ndarray, float64
Target dual potential
a : (ns,) numpy.ndarray, float64
Source distribution (uniform weights if empty list)
b : (nt,) numpy.ndarray, float64
Target distribution (uniform weights if empty list)
M : (ns,nt) numpy.ndarray, float64
Loss matrix (c-order array with type float64)
Returns
-------
alpha : (ns,) numpy.ndarray, float64
Source corrected dual potential
beta : (nt,) numpy.ndarray, float64
Target corrected dual potential
"""
# binary indexing of non-zeros weights
asel = a != 0
bsel = b != 0
# compute dual constraints violation
constraint_violation = alpha0[:, None] + beta0[None, :] - M
# Compute largest violation per line and columns
aviol = np.max(constraint_violation, 1)
bviol = np.max(constraint_violation, 0)
# update corrects violation of
alpha_up = -1 * ~asel * np.maximum(aviol, 0)
beta_up = -1 * ~bsel * np.maximum(bviol, 0)
alpha = alpha0 + alpha_up
beta = beta0 + beta_up
return center_ot_dual(alpha, beta, a, b)
def emd(a, b, M, numItermax=100000, log=False, center_dual=True):
r"""Solves the Earth Movers distance problem and returns the OT matrix
.. math::
\gamma = arg\min_\gamma <\gamma,M>_F
s.t. \gamma 1 = a
\gamma^T 1= b
\gamma\geq 0
where :
- M is the metric cost matrix
- a and b are the sample weights
.. warning::
Note that the M matrix needs to be a C-order numpy.array in float64
format.
Uses the algorithm proposed in [1]_
Parameters
----------
a : (ns,) numpy.ndarray, float64
Source histogram (uniform weight if empty list)
b : (nt,) numpy.ndarray, float64
Target histogram (uniform weight if empty list)
M : (ns,nt) numpy.ndarray, float64
Loss matrix (c-order array with type float64)
numItermax : int, optional (default=100000)
The maximum number of iterations before stopping the optimization
algorithm if it has not converged.
log: bool, optional (default=False)
If True, returns a dictionary containing the cost and dual
variables. Otherwise returns only the optimal transportation matrix.
center_dual: boolean, optional (default=True)
If True, centers the dual potential using function
:ref:`center_ot_dual`.
Returns
-------
gamma: (ns x nt) numpy.ndarray
Optimal transportation matrix for the given parameters
log: dict
If input log is true, a dictionary containing the cost and dual
variables and exit status
Examples
--------
Simple example with obvious solution. The function emd accepts lists and
perform automatic conversion to numpy arrays
>>> import ot
>>> a=[.5,.5]
>>> b=[.5,.5]
>>> M=[[0.,1.],[1.,0.]]
>>> ot.emd(a,b,M)
array([[0.5, 0. ],
[0. , 0.5]])
References
----------
.. [1] Bonneel, N., Van De Panne, M., Paris, S., & Heidrich, W.
(2011, December). Displacement interpolation using Lagrangian mass
transport. In ACM Transactions on Graphics (TOG) (Vol. 30, No. 6, p.
158). ACM.
See Also
--------
ot.bregman.sinkhorn : Entropic regularized OT
ot.optim.cg : General regularized OT"""
a = np.asarray(a, dtype=np.float64)
b = np.asarray(b, dtype=np.float64)
M = np.asarray(M, dtype=np.float64)
# if empty array given then use uniform distributions
if len(a) == 0:
a = np.ones((M.shape[0],), dtype=np.float64) / M.shape[0]
if len(b) == 0:
b = np.ones((M.shape[1],), dtype=np.float64) / M.shape[1]
assert (a.shape[0] == M.shape[0] and b.shape[0] == M.shape[1]), \
"Dimension mismatch, check dimensions of M with a and b"
asel = a != 0
bsel = b != 0
G, cost, u, v, result_code = emd_c(a, b, M, numItermax)
if center_dual:
u, v = center_ot_dual(u, v, a, b)
if np.any(~asel) or np.any(~bsel):
u, v = estimate_dual_null_weights(u, v, a, b, M)
result_code_string = check_result(result_code)
if log:
log = {}
log['cost'] = cost
log['u'] = u
log['v'] = v
log['warning'] = result_code_string
log['result_code'] = result_code
return G, log
return G
def emd2(a, b, M, processes=multiprocessing.cpu_count(),
numItermax=100000, log=False, return_matrix=False,
center_dual=True):
r"""Solves the Earth Movers distance problem and returns the loss
.. math::
\min_\gamma <\gamma,M>_F
s.t. \gamma 1 = a
\gamma^T 1= b
\gamma\geq 0
where :
- M is the metric cost matrix
- a and b are the sample weights
.. warning::
Note that the M matrix needs to be a C-order numpy.array in float64
format.
Uses the algorithm proposed in [1]_
Parameters
----------
a : (ns,) numpy.ndarray, float64
Source histogram (uniform weight if empty list)
b : (nt,) numpy.ndarray, float64
Target histogram (uniform weight if empty list)
M : (ns,nt) numpy.ndarray, float64
Loss matrix (c-order array with type float64)
processes : int, optional (default=nb cpu)
Nb of processes used for multiple emd computation (not used on windows)
numItermax : int, optional (default=100000)
The maximum number of iterations before stopping the optimization
algorithm if it has not converged.
log: boolean, optional (default=False)
If True, returns a dictionary containing the cost and dual
variables. Otherwise returns only the optimal transportation cost.
return_matrix: boolean, optional (default=False)
If True, returns the optimal transportation matrix in the log.
center_dual: boolean, optional (default=True)
If True, centers the dual potential using function
:ref:`center_ot_dual`.
Returns
-------
gamma: (ns x nt) ndarray
Optimal transportation matrix for the given parameters
log: dictnp
If input log is true, a dictionary containing the cost and dual
variables and exit status
Examples
--------
Simple example with obvious solution. The function emd accepts lists and
perform automatic conversion to numpy arrays
>>> import ot
>>> a=[.5,.5]
>>> b=[.5,.5]
>>> M=[[0.,1.],[1.,0.]]
>>> ot.emd2(a,b,M)
0.0
References
----------
.. [1] Bonneel, N., Van De Panne, M., Paris, S., & Heidrich, W.
(2011, December). Displacement interpolation using Lagrangian mass
transport. In ACM Transactions on Graphics (TOG) (Vol. 30, No. 6, p.
158). ACM.
See Also
--------
ot.bregman.sinkhorn : Entropic regularized OT
ot.optim.cg : General regularized OT"""
a = np.asarray(a, dtype=np.float64)
b = np.asarray(b, dtype=np.float64)
M = np.asarray(M, dtype=np.float64)
# problem with pikling Forks
if sys.platform.endswith('win32'):
processes = 1
# if empty array given then use uniform distributions
if len(a) == 0:
a = np.ones((M.shape[0],), dtype=np.float64) / M.shape[0]
if len(b) == 0:
b = np.ones((M.shape[1],), dtype=np.float64) / M.shape[1]
assert (a.shape[0] == M.shape[0] and b.shape[0] == M.shape[1]), \
"Dimension mismatch, check dimensions of M with a and b"
asel = a != 0
if log or return_matrix:
def f(b):
bsel = b != 0
G, cost, u, v, result_code = emd_c(a, b, M, numItermax)
if center_dual:
u, v = center_ot_dual(u, v, a, b)
if np.any(~asel) or np.any(~bsel):
u, v = estimate_dual_null_weights(u, v, a, b, M)
result_code_string = check_result(result_code)
log = {}
if return_matrix:
log['G'] = G
log['u'] = u
log['v'] = v
log['warning'] = result_code_string
log['result_code'] = result_code
return [cost, log]
else:
def f(b):
bsel = b != 0
G, cost, u, v, result_code = emd_c(a, b, M, numItermax)
if center_dual:
u, v = center_ot_dual(u, v, a, b)
if np.any(~asel) or np.any(~bsel):
u, v = estimate_dual_null_weights(u, v, a, b, M)
check_result(result_code)
return cost
if len(b.shape) == 1:
return f(b)
nb = b.shape[1]
if processes > 1:
res = parmap(f, [b[:, i] for i in range(nb)], processes)
else:
res = list(map(f, [b[:, i].copy() for i in range(nb)]))
return res
def free_support_barycenter(measures_locations, measures_weights, X_init, b=None, weights=None, numItermax=100,
stopThr=1e-7, verbose=False, log=None):
"""
Solves the free support (locations of the barycenters are optimized, not the weights) Wasserstein barycenter problem (i.e. the weighted Frechet mean for the 2-Wasserstein distance)
The function solves the Wasserstein barycenter problem when the barycenter measure is constrained to be supported on k atoms.
This problem is considered in [1] (Algorithm 2). There are two differences with the following codes:
- we do not optimize over the weights
- we do not do line search for the locations updates, we use i.e. theta = 1 in [1] (Algorithm 2). This can be seen as a discrete implementation of the fixed-point algorithm of [2] proposed in the continuous setting.
Parameters
----------
measures_locations : list of (k_i,d) numpy.ndarray
The discrete support of a measure supported on k_i locations of a d-dimensional space (k_i can be different for each element of the list)
measures_weights : list of (k_i,) numpy.ndarray
Numpy arrays where each numpy array has k_i non-negatives values summing to one representing the weights of each discrete input measure
X_init : (k,d) np.ndarray
Initialization of the support locations (on k atoms) of the barycenter
b : (k,) np.ndarray
Initialization of the weights of the barycenter (non-negatives, sum to 1)
weights : (k,) np.ndarray
Initialization of the coefficients of the barycenter (non-negatives, sum to 1)
numItermax : int, optional
Max number of iterations
stopThr : float, optional
Stop threshold on error (>0)
verbose : bool, optional
Print information along iterations
log : bool, optional
record log if True
Returns
-------
X : (k,d) np.ndarray
Support locations (on k atoms) of the barycenter
References
----------
.. [1] Cuturi, Marco, and Arnaud Doucet. "Fast computation of Wasserstein barycenters." International Conference on Machine Learning. 2014.
.. [2] Álvarez-Esteban, Pedro C., et al. "A fixed-point approach to barycenters in Wasserstein space." Journal of Mathematical Analysis and Applications 441.2 (2016): 744-762.
"""
iter_count = 0
N = len(measures_locations)
k = X_init.shape[0]
d = X_init.shape[1]
if b is None:
b = np.ones((k,)) / k
if weights is None:
weights = np.ones((N,)) / N
X = X_init
log_dict = {}
displacement_square_norms = []
displacement_square_norm = stopThr + 1.
while (displacement_square_norm > stopThr and iter_count < numItermax):
T_sum = np.zeros((k, d))
for (measure_locations_i, measure_weights_i, weight_i) in zip(measures_locations, measures_weights,
weights.tolist()):
M_i = dist(X, measure_locations_i)
T_i = emd(b, measure_weights_i, M_i)
T_sum = T_sum + weight_i * np.reshape(1. / b, (-1, 1)) * np.matmul(T_i, measure_locations_i)
displacement_square_norm = np.sum(np.square(T_sum - X))
if log:
displacement_square_norms.append(displacement_square_norm)
X = T_sum
if verbose:
print('iteration %d, displacement_square_norm=%f\n', iter_count, displacement_square_norm)
iter_count += 1
if log:
log_dict['displacement_square_norms'] = displacement_square_norms
return X, log_dict
else:
return X
def emd_1d(x_a, x_b, a=None, b=None, metric='sqeuclidean', p=1., dense=True,
log=False):
r"""Solves the Earth Movers distance problem between 1d measures and returns
the OT matrix
.. math::
\gamma = arg\min_\gamma \sum_i \sum_j \gamma_{ij} d(x_a[i], x_b[j])
s.t. \gamma 1 = a,
\gamma^T 1= b,
\gamma\geq 0
where :
- d is the metric
- x_a and x_b are the samples
- a and b are the sample weights
When 'minkowski' is used as a metric, :math:`d(x, y) = |x - y|^p`.
Uses the algorithm detailed in [1]_
Parameters
----------
x_a : (ns,) or (ns, 1) ndarray, float64
Source dirac locations (on the real line)
x_b : (nt,) or (ns, 1) ndarray, float64
Target dirac locations (on the real line)
a : (ns,) ndarray, float64, optional
Source histogram (default is uniform weight)
b : (nt,) ndarray, float64, optional
Target histogram (default is uniform weight)
metric: str, optional (default='sqeuclidean')
Metric to be used. Only strings listed in :func:`ot.dist` are accepted.
Due to implementation details, this function runs faster when
`'sqeuclidean'`, `'cityblock'`, or `'euclidean'` metrics are used.
p: float, optional (default=1.0)
The p-norm to apply for if metric='minkowski'
dense: boolean, optional (default=True)
If True, returns math:`\gamma` as a dense ndarray of shape (ns, nt).
Otherwise returns a sparse representation using scipy's `coo_matrix`
format. Due to implementation details, this function runs faster when
`'sqeuclidean'`, `'minkowski'`, `'cityblock'`, or `'euclidean'` metrics
are used.
log: boolean, optional (default=False)
If True, returns a dictionary containing the cost.
Otherwise returns only the optimal transportation matrix.
Returns
-------
gamma: (ns, nt) ndarray
Optimal transportation matrix for the given parameters
log: dict
If input log is True, a dictionary containing the cost
Examples
--------
Simple example with obvious solution. The function emd_1d accepts lists and
performs automatic conversion to numpy arrays
>>> import ot
>>> a=[.5, .5]
>>> b=[.5, .5]
>>> x_a = [2., 0.]
>>> x_b = [0., 3.]
>>> ot.emd_1d(x_a, x_b, a, b)
array([[0. , 0.5],
[0.5, 0. ]])
>>> ot.emd_1d(x_a, x_b)
array([[0. , 0.5],
[0.5, 0. ]])
References
----------
.. [1] Peyré, G., & Cuturi, M. (2017). "Computational Optimal
Transport", 2018.
See Also
--------
ot.lp.emd : EMD for multidimensional distributions
ot.lp.emd2_1d : EMD for 1d distributions (returns cost instead of the
transportation matrix)
"""
a = np.asarray(a, dtype=np.float64)
b = np.asarray(b, dtype=np.float64)
x_a = np.asarray(x_a, dtype=np.float64)
x_b = np.asarray(x_b, dtype=np.float64)
assert (x_a.ndim == 1 or x_a.ndim == 2 and x_a.shape[1] == 1), \
"emd_1d should only be used with monodimensional data"
assert (x_b.ndim == 1 or x_b.ndim == 2 and x_b.shape[1] == 1), \
"emd_1d should only be used with monodimensional data"
# if empty array given then use uniform distributions
if a.ndim == 0 or len(a) == 0:
a = np.ones((x_a.shape[0],), dtype=np.float64) / x_a.shape[0]
if b.ndim == 0 or len(b) == 0:
b = np.ones((x_b.shape[0],), dtype=np.float64) / x_b.shape[0]
x_a_1d = x_a.reshape((-1,))
x_b_1d = x_b.reshape((-1,))
perm_a = np.argsort(x_a_1d)
perm_b = np.argsort(x_b_1d)
G_sorted, indices, cost = emd_1d_sorted(a[perm_a], b[perm_b],
x_a_1d[perm_a], x_b_1d[perm_b],
metric=metric, p=p)
G = coo_matrix((G_sorted, (perm_a[indices[:, 0]], perm_b[indices[:, 1]])),
shape=(a.shape[0], b.shape[0]))
if dense:
G = G.toarray()
if log:
log = {'cost': cost}
return G, log
return G
def emd2_1d(x_a, x_b, a=None, b=None, metric='sqeuclidean', p=1., dense=True,
log=False):
r"""Solves the Earth Movers distance problem between 1d measures and returns
the loss
.. math::
\gamma = arg\min_\gamma \sum_i \sum_j \gamma_{ij} d(x_a[i], x_b[j])
s.t. \gamma 1 = a,
\gamma^T 1= b,
\gamma\geq 0
where :
- d is the metric
- x_a and x_b are the samples
- a and b are the sample weights
When 'minkowski' is used as a metric, :math:`d(x, y) = |x - y|^p`.
Uses the algorithm detailed in [1]_
Parameters
----------
x_a : (ns,) or (ns, 1) ndarray, float64
Source dirac locations (on the real line)
x_b : (nt,) or (ns, 1) ndarray, float64
Target dirac locations (on the real line)
a : (ns,) ndarray, float64, optional
Source histogram (default is uniform weight)
b : (nt,) ndarray, float64, optional
Target histogram (default is uniform weight)
metric: str, optional (default='sqeuclidean')
Metric to be used. Only strings listed in :func:`ot.dist` are accepted.
Due to implementation details, this function runs faster when
`'sqeuclidean'`, `'minkowski'`, `'cityblock'`, or `'euclidean'` metrics
are used.
p: float, optional (default=1.0)
The p-norm to apply for if metric='minkowski'
dense: boolean, optional (default=True)
If True, returns math:`\gamma` as a dense ndarray of shape (ns, nt).
Otherwise returns a sparse representation using scipy's `coo_matrix`
format. Only used if log is set to True. Due to implementation details,
this function runs faster when dense is set to False.
log: boolean, optional (default=False)
If True, returns a dictionary containing the transportation matrix.
Otherwise returns only the loss.
Returns
-------
loss: float
Cost associated to the optimal transportation
log: dict
If input log is True, a dictionary containing the Optimal transportation
matrix for the given parameters
Examples
--------
Simple example with obvious solution. The function emd2_1d accepts lists and
performs automatic conversion to numpy arrays
>>> import ot
>>> a=[.5, .5]
>>> b=[.5, .5]
>>> x_a = [2., 0.]
>>> x_b = [0., 3.]
>>> ot.emd2_1d(x_a, x_b, a, b)
0.5
>>> ot.emd2_1d(x_a, x_b)
0.5
References
----------
.. [1] Peyré, G., & Cuturi, M. (2017). "Computational Optimal
Transport", 2018.
See Also
--------
ot.lp.emd2 : EMD for multidimensional distributions
ot.lp.emd_1d : EMD for 1d distributions (returns the transportation matrix
instead of the cost)
"""
# If we do not return G (log==False), then we should not to cast it to dense
# (useless overhead)
G, log_emd = emd_1d(x_a=x_a, x_b=x_b, a=a, b=b, metric=metric, p=p,
dense=dense and log, log=True)
cost = log_emd['cost']
if log:
log_emd = {'G': G}
return cost, log_emd
return cost
def wasserstein_1d(x_a, x_b, a=None, b=None, p=1.):
r"""Solves the p-Wasserstein distance problem between 1d measures and returns
the distance
.. math::
\min_\gamma \left( \sum_i \sum_j \gamma_{ij} \|x_a[i] - x_b[j]\|^p \right)^{1/p}
s.t. \gamma 1 = a,
\gamma^T 1= b,
\gamma\geq 0
where :
- x_a and x_b are the samples
- a and b are the sample weights
Uses the algorithm detailed in [1]_
Parameters
----------
x_a : (ns,) or (ns, 1) ndarray, float64
Source dirac locations (on the real line)
x_b : (nt,) or (ns, 1) ndarray, float64
Target dirac locations (on the real line)
a : (ns,) ndarray, float64, optional
Source histogram (default is uniform weight)
b : (nt,) ndarray, float64, optional
Target histogram (default is uniform weight)
p: float, optional (default=1.0)
The order of the p-Wasserstein distance to be computed
Returns
-------
dist: float
p-Wasserstein distance
Examples
--------
Simple example with obvious solution. The function wasserstein_1d accepts
lists and performs automatic conversion to numpy arrays
>>> import ot
>>> a=[.5, .5]
>>> b=[.5, .5]
>>> x_a = [2., 0.]
>>> x_b = [0., 3.]
>>> ot.wasserstein_1d(x_a, x_b, a, b)
0.5
>>> ot.wasserstein_1d(x_a, x_b)
0.5
References
----------
.. [1] Peyré, G., & Cuturi, M. (2017). "Computational Optimal
Transport", 2018.
See Also
--------
ot.lp.emd_1d : EMD for 1d distributions
"""
cost_emd = emd2_1d(x_a=x_a, x_b=x_b, a=a, b=b, metric='minkowski', p=p,
dense=False, log=False)
return np.power(cost_emd, 1. / p)
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