Computational Optimal Transport
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Optimal Transport (OT) is a mathematical gem at the interface between probability, analysis and optimization. The goal of that theory is to define geometric tools that are useful to compare probability distributions. Earlier contributions originated from Monge's work in the 18th century, to be later rediscovered under a different formalism by Tolstoi in the 1920's, Kantorovich, Hitchcock and Koopmans in the 1940's. The problem was solved numerically by Dantzig in 1949 and others in the 1950's within the framework of linear programming, paving the way for major industrial applications in the second half of the 20th century. OT was later rediscovered under a different light by analysts in the 90's, following important work by Brenier and others, as well as in the computer vision/graphics fields under the name of earth mover's distances. Recent years have witnessed yet another revolution in the spread of OT, thanks to the emergence of approximate solvers that can scale to sizes and dimensions that are relevant to data sciences. Thanks to this newfound scalability, OT is being increasingly used to unlock various problems in imaging sciences (such as color or texture processing), computer vision and graphics (for shape manipulation) or machine learning (for regression,classification and density fitting). This short book reviews OT with a bias toward numerical methods and their applications in data sciences, and sheds lights on the theoretical properties of OT that make it particularly useful for some of these applications.
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