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

probabilistic graphical modelsentropy regularized multi-marginal optimal transport

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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(15)

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• Efficient and exact multimarginal optimal transport with pairwise costs
• Polynomial-time algorithms for multimarginal optimal transport problems with structure
• Graph-structured tensor optimization for nonlinear density control and mean field games
• Wasserstein Barycenters Are NP-Hard to Compute
• Low-Rank Tensor Approximations for Solving Multimarginal Optimal Transport Problems
• Learning hidden Markov models from aggregate observations
• Feedback particle filter for collective inference
• Distributionally robust optimization using optimal transport for Gaussian mixture models
• Inference With Aggregate Data in Probabilistic Graphical Models: An Optimal Transport Approach
• Hardness results for multimarginal optimal transport problems
• A family of pairwise multi-marginal optimal transports that define a generalized metric

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