Efficient Discretization of Optimal Transport

Abstract

Obtaining solutions to optimal transportation (OT) problems is typically intractable when marginal spaces are continuous. Recent research has focused on approximating continuous solutions with discretization methods based on i.i.d. sampling, and this has shown convergence as the sample size increases. However, obtaining OT solutions with large sample sizes requires intensive computation effort, which can be prohibitive in practice. In this paper, we propose an algorithm for calculating discretizations with a given number of weighted points for marginal distributions by minimizing the (entropy-regularized) Wasserstein distance and providing bounds on the performance. The results suggest that our plans are comparable to those obtained with much larger numbers of i.i.d. samples and are more efficient than existing alternatives. Moreover, we propose a local, parallelizable version of such discretizations for applications, which we demonstrate by approximating adorable images.