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Poster
in
Workshop: New Frontiers in Learning, Control, and Dynamical Systems

Randomized methods for computing optimal transport without regularization and their convergence analysis

Yue Xie · Zhongjian Wang · Zhiwen Zhang


Abstract: The optimal transport (OT) problem can be reduced to a linear programming (LP) problem through discretization. In this paper, we introduce the random block coordinate descent (RBCD) methods to directly solve this LP problem. Our approach involves restricting the potentially large-scale optimization problem to small LP subproblems constructed via randomly chosen working sets. By using a random Gauss-Southwell-$q$ rule to select these working sets, we equip the vanilla version of ($\bf \text{RBCD}_0$) with almost sure convergence and a linear convergence rate to solve general standard LP problems. To further improve the efficiency of the ($\bf \text{RBCD}_0$) method, we explore the special structure of constraints in the OT problems and propose several approaches for refining the random working set selection and accelerating the vanilla method. Our preliminary numerical experiments demonstrate that the accelerated random block coordinate descent ($\bf \text{ARBCD}$) method is comparable to Sinkhorn's algorithm when seeking solutions with relatively high accuracy, and offers the advantage of saving memory.

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