Learning Costs for Structured Monge Displacements
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Optimal transport theory has provided machine learning with several tools to infer a push-forward map between densities from samples. While this theory has recently seen tremendous methodological developments in machine learning, its practical implementation remains notoriously difficult, because it is plagued by both computational and statistical challenges. Because of such difficulties, existing approaches rarely depart from the default choice of estimating such maps with the simple squared-Euclidean distance as the ground cost, c(x,y)=x-y^2_2. We follow a different path in this work, with the motivation of learning a suitable cost structure to encourage maps to transport points along engineered features. We extend the recently proposed Monge-Bregman-Occam pipeline <cit.>, that rests on an alternative cost formulation that is also cost-invariant c(x,y)=h(x-y), but which adopts a more general form as h=12 ℓ_2^2+τ, where τ is an appropriately chosen regularizer. We first propose a method that builds upon proximal gradient descent to generate ground truth transports for such structured costs, using the notion of h-transforms and h-concave potentials. We show more generally that such a method can be extended to compute h-transforms for entropic potentials. We study a regularizer that promotes transport displacements in low-dimensional spaces, and propose to learn such a basis change using Riemannian gradient descent on the Stiefel manifold. We show that these changes lead to estimators that are more robust and easier to interpret.
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