Multi-Marginal Optimal Transport and Probabilistic Graphical Models

DOI10.1109/TIT.2021.3077465MaRDI QIDQ5001817zbMATH OpenFDO

Authors Isabel Haasler, Rahul Singh, Qinsheng Zhang, Johan Karlsson, Yongxin Chen

Publication date 23 July 2021

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.14113

zbMATH Keywords

entropy regularized multi-marginal optimal transportprobabilistic graphical models

Mathematics Subject Classification ID

Optimal transportation (49Q22) Probabilistic graphical models (62H22) Transportation, logistics and supply chain management (90B06)

Abstract: We study multi-marginal optimal transport problems from a probabilistic graphical model perspective. We point out an elegant connection between the two when the underlying cost for optimal transport allows a graph structure. In particular, an entropy regularized multi-marginal optimal transport is equivalent to a Bayesian marginal inference problem for probabilistic graphical models with the additional requirement that some of the marginal distributions are specified. This relation on the one hand extends the optimal transport as well as the probabilistic graphical model theories, and on the other hand leads to fast algorithms for multi-marginal optimal transport by leveraging the well-developed algorithms in Bayesian inference. Several numerical examples are provided to highlight the results.

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Cited in

(19)

• Hardness results for multimarginal optimal transport problems
• Learning hidden Markov models from aggregate observations
• Feedback particle filter for collective inference
• Multimarginal Optimal Transport with a Tree-Structured Cost and the Schrödinger Bridge Problem
• Wasserstein Barycenters Are NP-Hard to Compute
• Polynomial-time algorithms for multimarginal optimal transport problems with structure
• Inference With Aggregate Data in Probabilistic Graphical Models: An Optimal Transport Approach
• A family of pairwise multi-marginal optimal transports that define a generalized metric
• Monge-Kantorovich optimal transport through constrictions and flow-rate constraints
• Low-Rank Tensor Approximations for Solving Multimarginal Optimal Transport Problems
• Efficient and exact multimarginal optimal transport with pairwise costs
• Graph-structured tensor optimization for nonlinear density control and mean field games
• Minimum information dependence modeling
• State estimation and structure identification of complex networks with time-varying delays and model uncertainty based on probabilistic graph neural network
• Distributionally robust optimization using optimal transport for Gaussian mixture models
• Computation of robust option prices via structured multimarginal martingale optimal transport
• Data assimilation for sign-indefinite priors: a generalization of Sinkhorn's algorithm
• Convergence rate of entropy-regularized multi-marginal optimal transport costs
• Sparsification techniques for large-scale optimal transport problems

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