1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347
|
# -*- coding: utf-8 -*-
"""
Regularized Unbalanced OT solvers
"""
# Author: Hicham Janati <hicham.janati@inria.fr>
# Laetitia Chapel <laetitia.chapel@univ-ubs.fr>
# Quang Huy Tran <quang-huy.tran@univ-ubs.fr>
#
# License: MIT License
from ..backend import get_backend
from ..utils import list_to_array, get_parameter_pair
def mm_unbalanced(
a,
b,
M,
reg_m,
c=None,
reg=0,
div="kl",
G0=None,
numItermax=1000,
stopThr=1e-15,
verbose=False,
log=False,
):
r"""
Solve the unbalanced optimal transport problem and return the OT plan.
The function solves the following optimization problem:
.. math::
W = \arg \min_\gamma \quad \langle \gamma, \mathbf{M} \rangle_F +
\mathrm{reg_{m1}} \cdot \mathrm{div}(\gamma \mathbf{1}, \mathbf{a}) +
\mathrm{reg_{m2}} \cdot \mathrm{div}(\gamma^T \mathbf{1}, \mathbf{b}) +
\mathrm{reg} \cdot \mathrm{div}(\gamma, \mathbf{c})
s.t.
\gamma \geq 0
where:
- :math:`\mathbf{M}` is the (`dim_a`, `dim_b`) metric cost matrix
- :math:`\mathbf{a}` and :math:`\mathbf{b}` are source and target
unbalanced distributions
- :math:`\mathbf{c}` is a reference distribution for the regularization
- div is a divergence, either Kullback-Leibler or half-squared :math:`\ell_2` divergence
The algorithm used for solving the problem is a maximization-
minimization algorithm as proposed in :ref:`[41] <references-regpath>`
Parameters
----------
a : array-like (dim_a,)
Unnormalized histogram of dimension `dim_a`
If `a` is an empty list or array ([]),
then `a` is set to uniform distribution.
b : array-like (dim_b,)
Unnormalized histogram of dimension `dim_b`
If `b` is an empty list or array ([]),
then `b` is set to uniform distribution.
M : array-like (dim_a, dim_b)
loss matrix
reg_m: float or indexable object of length 1 or 2
Marginal relaxation term: nonnegative but cannot be infinity.
If :math:`\mathrm{reg_{m}}` is a scalar or an indexable object of length 1,
then the same :math:`\mathrm{reg_{m}}` is applied to both marginal relaxations.
If :math:`\mathrm{reg_{m}}` is an array,
it must have the same backend as input arrays `(a, b, M)`.
reg : float, optional (default = 0)
Regularization term >= 0.
By default, solve the unregularized problem
c : array-like (dim_a, dim_b), optional (default = None)
Reference measure for the regularization.
If None, then use :math:`\mathbf{c} = \mathbf{a} \mathbf{b}^T`.
div: string, optional
Divergence to quantify the difference between the marginals.
Can take two values: 'kl' (Kullback-Leibler) or 'l2' (half-squared)
G0: array-like (dim_a, dim_b)
Initialization of the transport matrix
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
-------
gamma : (dim_a, dim_b) array-like
Optimal transportation matrix for the given parameters
log : dict
log dictionary returned only if `log` is `True`
Examples
--------
>>> import ot
>>> import numpy as np
>>> a=[.5, .5]
>>> b=[.5, .5]
>>> M=[[1., 36.],[9., 4.]]
>>> np.round(ot.unbalanced.mm_unbalanced(a, b, M, 5, div='kl'), 2)
array([[0.45, 0. ],
[0. , 0.34]])
>>> np.round(ot.unbalanced.mm_unbalanced(a, b, M, 5, div='l2'), 2)
array([[0.4, 0. ],
[0. , 0.1]])
.. _references-regpath:
References
----------
.. [41] Chapel, L., Flamary, R., Wu, H., Févotte, C., and Gasso, G. (2021).
Unbalanced optimal transport through non-negative penalized
linear regression. NeurIPS.
See Also
--------
ot.lp.emd : Unregularized OT
ot.unbalanced.sinkhorn_unbalanced : Entropic regularized OT
"""
M, a, b = list_to_array(M, a, b)
nx = get_backend(M, a, b)
dim_a, dim_b = M.shape
if len(a) == 0:
a = nx.ones(dim_a, type_as=M) / dim_a
if len(b) == 0:
b = nx.ones(dim_b, type_as=M) / dim_b
G = a[:, None] * b[None, :] if G0 is None else G0
if reg > 0: # regularized case
c = a[:, None] * b[None, :] if c is None else c
else: # unregularized case
c = 0
reg_m1, reg_m2 = get_parameter_pair(reg_m)
if log:
log = {"err": [], "G": []}
div = div.lower()
if div == "kl":
sum_r = reg + reg_m1 + reg_m2
r1, r2, r = reg_m1 / sum_r, reg_m2 / sum_r, reg / sum_r
K = (a[:, None] ** r1) * (b[None, :] ** r2) * (c**r) * nx.exp(-M / sum_r)
elif div == "l2":
K = (reg_m1 * a[:, None]) + (reg_m2 * b[None, :]) + reg * c - M
K = nx.maximum(K, nx.zeros((dim_a, dim_b), type_as=M))
else:
raise ValueError("Unknown div = {}. Must be either 'kl' or 'l2'".format(div))
for i in range(numItermax):
Gprev = G
if div == "kl":
Gd = (nx.sum(G, 1, keepdims=True) ** r1) * (
nx.sum(G, 0, keepdims=True) ** r2
) + 1e-16
G = K * G ** (r1 + r2) / Gd
elif div == "l2":
Gd = (
reg_m1 * nx.sum(G, 1, keepdims=True)
+ reg_m2 * nx.sum(G, 0, keepdims=True)
+ reg * G
+ 1e-16
)
G = K * G / Gd
err = nx.sqrt(nx.sum((G - Gprev) ** 2))
if log:
log["err"].append(err)
log["G"].append(G)
if verbose:
print("{:5d}|{:8e}|".format(i, err))
if err < stopThr:
break
if log:
linear_cost = nx.sum(G * M)
log["cost"] = linear_cost
m1, m2 = nx.sum(G, 1), nx.sum(G, 0)
if div == "kl":
cost = (
linear_cost
+ reg_m1 * nx.kl_div(m1, a, mass=True)
+ reg_m2 * nx.kl_div(m2, b, mass=True)
)
if reg > 0:
cost = cost + reg * nx.kl_div(G, c, mass=True)
else:
cost = (
linear_cost
+ reg_m1 * 0.5 * nx.sum((m1 - a) ** 2)
+ reg_m2 * 0.5 * nx.sum((m2 - b) ** 2)
)
if reg > 0:
cost = cost + reg * 0.5 * nx.sum((G - c) ** 2)
log["total_cost"] = cost
return G, log
else:
return G
def mm_unbalanced2(
a,
b,
M,
reg_m,
c=None,
reg=0,
div="kl",
G0=None,
returnCost="linear",
numItermax=1000,
stopThr=1e-15,
verbose=False,
log=False,
):
r"""
Solve the unbalanced optimal transport problem and return the OT cost.
The function solves the following optimization problem:
.. math::
\min_\gamma \quad \langle \gamma, \mathbf{M} \rangle_F +
\mathrm{reg_{m1}} \cdot \mathrm{div}(\gamma \mathbf{1}, \mathbf{a}) +
\mathrm{reg_{m2}} \cdot \mathrm{div}(\gamma^T \mathbf{1}, \mathbf{b}) +
\mathrm{reg} \cdot \mathrm{div}(\gamma, \mathbf{c})
s.t.
\gamma \geq 0
where:
- :math:`\mathbf{M}` is the (`dim_a`, `dim_b`) metric cost matrix
- :math:`\mathbf{a}` and :math:`\mathbf{b}` are source and target
unbalanced distributions
- :math:`\mathbf{c}` is a reference distribution for the regularization
- :math:`\mathrm{div}` is a divergence, either Kullback-Leibler or half-squared :math:`\ell_2` divergence
The algorithm used for solving the problem is a maximization-
minimization algorithm as proposed in :ref:`[41] <references-regpath>`
Parameters
----------
a : array-like (dim_a,)
Unnormalized histogram of dimension `dim_a`
If `a` is an empty list or array ([]),
then `a` is set to uniform distribution.
b : array-like (dim_b,)
Unnormalized histogram of dimension `dim_b`
If `b` is an empty list or array ([]),
then `b` is set to uniform distribution.
M : array-like (dim_a, dim_b)
loss matrix
reg_m: float or indexable object of length 1 or 2
Marginal relaxation term: nonnegative but cannot be infinity.
If :math:`\mathrm{reg_{m}}` is a scalar or an indexable object of length 1,
then the same :math:`\mathrm{reg_{m}}` is applied to both marginal relaxations.
If :math:`\mathrm{reg_{m}}` is an array,
it must have the same backend as input arrays `(a, b, M)`.
reg : float, optional (default = 0)
Entropy regularization term >= 0.
By default, solve the unregularized problem
c : array-like (dim_a, dim_b), optional (default = None)
Reference measure for the regularization.
If None, then use :math:`\mathbf{c} = mathbf{a} mathbf{b}^T`.
div: string, optional
Divergence to quantify the difference between the marginals.
Can take two values: 'kl' (Kullback-Leibler) or 'l2' (half-squared)
G0: array-like (dim_a, dim_b)
Initialization of the transport matrix
returnCost: string, optional (default = "linear")
If `returnCost` = "linear", then return the linear part of the unbalanced OT loss.
If `returnCost` = "total", then return the total unbalanced OT loss.
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
-------
ot_cost : array-like
the OT cost between :math:`\mathbf{a}` and :math:`\mathbf{b}`
log : dict
log dictionary returned only if `log` is `True`
Examples
--------
>>> import ot
>>> import numpy as np
>>> a=[.5, .5]
>>> b=[.5, .5]
>>> M=[[1., 36.],[9., 4.]]
>>> np.round(ot.unbalanced.mm_unbalanced2(a, b, M, 5, div='l2'), 2)
0.8
>>> np.round(ot.unbalanced.mm_unbalanced2(a, b, M, 5, div='kl'), 2)
1.79
References
----------
.. [41] Chapel, L., Flamary, R., Wu, H., Févotte, C., and Gasso, G. (2021).
Unbalanced optimal transport through non-negative penalized
linear regression. NeurIPS.
See Also
--------
ot.lp.emd2 : Unregularized OT loss
ot.unbalanced.sinkhorn_unbalanced2 : Entropic regularized OT loss
"""
_, log_mm = mm_unbalanced(
a,
b,
M,
reg_m,
c=c,
reg=reg,
div=div,
G0=G0,
numItermax=numItermax,
stopThr=stopThr,
verbose=verbose,
log=True,
)
if returnCost == "linear":
cost = log_mm["cost"]
elif returnCost == "total":
cost = log_mm["total_cost"]
else:
raise ValueError("Unknown returnCost = {}".format(returnCost))
if log:
return cost, log_mm
else:
return cost
|