Morgenstern colloquium by G. Peyré on “Numerical Optimal Transport and Applications” (Jan. 19, 2016)

Gabriel Peyré – Numerical Optimal Transport and Applications

Colloquium planned January 19th, 2016

Gabriel PeyréOptimal transport (OT) has become a fundamental mathematical theoretical tool at the interface between calculus of variations, partial differential equations and probability. It took however much more time for this notion to become mainstream in numerical applications. This situation is in large part due to the high computational cost of the underlying optimization problems.

There is however a recent wave of activity on the use of OT-related methods in fields as diverse as computer vision, computer graphics, statistical inference, machine learning and image processing. In this talk, I will review an emerging class of numerical approaches for the approximate resolution of OT-based optimization problems. These methods make use of an entropic regularization of the functionals to be minimized, in order to unleash the power of optimization algorithms based on Bregman-divergences geometry. This results in fast, simple and highly parallelizable algorithms, in sharp contrast with traditional solvers based on the geometry of linear programming. For instance, they allow for the first time to compute barycenters (according to OT distances) of probability distributions discretized on computational 2-D and 3-D grids with millions of points.

This offers a new perspective for the application of OT in machine learning (to perform clustering or classification of bag-of-features data representations) and imaging sciences (to perform color transfer or shape and texture morphing). These algorithms also enable the computation of gradient flows for the OT metric, and can thus for instance be applied to simulate crowd motions with congestion constraints.

We will also discus various extensions of classical OT, such as handling unbalanced transportation between arbitrary positive measures (the so-called Hellinger-Kantorovich/Wasserstein-Fisher-Rao problem), and the computation of OT between different metric spaces (the so-called Gromov-Wasserstein problem).