Sparse Regularized Optimal Transport with Deformed <i>q</i>-Entropy

Abstract

Optimal transport is a mathematical tool that has been a widely used to measure the distance between two probability distributions. To mitigate the cubic computational complexity of the vanilla formulation of the optimal transport problem, regularized optimal transport has received attention in recent years, which is a convex program to minimize the linear transport cost with an added convex regularizer. Sinkhorn optimal transport is the most prominent one regularized with negative Shannon entropy, leading to densely supported solutions, which are often undesirable in light of the interpretability of transport plans. In this paper, we report that a deformed entropy designed by q-algebra, a popular generalization of the standard algebra studied in Tsallis statistical mechanics, makes optimal transport solutions supported sparsely. This entropy with a deformation parameter q interpolates the negative Shannon entropy (q=1) and the squared 2-norm (q=0), and the solution becomes more sparse as q tends to zero. Our theoretical analysis reveals that a larger q leads to a faster convergence when optimized with the Broyden–Fletcher–Goldfarb–Shanno (BFGS) algorithm. In summary, the deformation induces a trade-off between the sparsity and convergence speed.

Keywords

• optimal transport
• Sinkhorn algorithm
• convex analysis
• entropy
• quasi-Newton method