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Marco Cuturi

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Published work

40 published item(s)

preprint2026arXiv

DynaMiCS: Fine-tuning LLMs with Performance Constraints using Dynamic Mixtures

Multi-domain fine-tuning of large language models requires improving performance on target domains while preserving performance on constrained domains, such as general knowledge, instruction following, or safety evaluations. Existing data mixing strategies rely on fixed heuristics or adaptive rules that cannot explicitly enforce preservation of such capabilities. We propose DynaMiCS, a dynamic mixture optimizer that casts multi-domain fine-tuning as a constrained optimization problem. At each update, DynaMiCS performs short domain-specific probing runs to estimate a slope matrix of local cross-domain effects, capturing how training on each fine-tuning dataset affects each evaluation domain. These estimates are then used to compute mixture weights through optimization over the probability simplex, with the objective of improving target-domain performance while keeping constrained-domain losses below reference levels. Across multi-domain fine-tuning scenarios with varying numbers of target and constrained domains, DynaMiCS achieves stronger target-domain improvements and higher constraint satisfaction than fixed-mixture baselines, at lower computational cost and without reference models, per-example scoring, or manually tuned mixture weights.

preprint2026arXiv

HyperTransport: Amortized Conditioning of T2I Generative Models

As foundation models grow in capability, the ability to efficiently and reliably control their behavior becomes critical. Fine-tuning these models can be costly, and while prompting can be practical for controllability, it remains fragile due to models' high sensitivity to exact prompt wording and structure. This brittleness has driven interest in activation steering techniques that offer more stable and predictable control over model behavior. However, existing activation steering methods require per-concept optimization, which makes them ill-suited to deployment scenarios where the concept set is large, evolving, or only specified at request time: each new concept incurs at least minutes of optimization on the target model. We propose HyperTransport, a hypernetwork framework that amortizes this cost by mapping embeddings from a pretrained encoder (CLIP in our instantiation) directly to intervention parameters, trained end-to-end using an optimal transport loss. Once trained, HyperTransport produces each new intervention in a single hypernetwork forward pass, 3600-7000x faster than per-concept fitting. On concepts unseen during training, it matches the strongest per-concept baselines at inducing the target concept. By decoupling concept representation from intervention prediction, HyperTransport combines three capabilities that no existing approach offers as a set: amortized steering for open-ended concept sets, continuous interpretable strength control, and cross-modal conditioning where reference images can directly steer text-based generation. We validate HyperTransport on DMD2 and Nitro-1-PixArt across 167 held-out test concepts via CLIP-based metrics, a VLM-as-a-judge evaluation, and a user study. In pairwise comparisons, both human and VLM judges prefer HyperTransport over prompting ~2x as often.

preprint2026arXiv

Locking Pretrained Weights via Deep Low-Rank Residual Distillation

The quality of open-weight language models has dramatically improved in recent years. Sharing weights greatly facilitates model adoption by enabling their use across diverse hardware and software platforms. They also allow for more open research and testing, to the extent that users can use them as checkpoints, fine-tune them according to their needs, and potentially redistribute them. In some cases, however, concerns on modifying these weights towards unauthorized uses may outweigh the pros of giving users such a freedom. Defending against such adaptation is non-trivial: since an adaptive attacker can observe all weights and architectures by definition, they can reverse simple structural defenses, and use optimization to defeat the simplest locking mechanisms. In this work, we exploit the inference-training asymmetry of automatic differentiation as a novel defense axis. We propose DLR-Lock, a method where the purveyor of the model purposely replaces each pretrained MLP in their model with a deep low-rank residual network (DLR-Net) of comparable parameter count, forcing activation memory that grows linearly with depth during backpropagation. DLR-Nets are efficiently trained via module-wise distillation. We show that, beyond this memory overhead, DLR-Lock results in architectural mismatches that complicate the optimization landscape of standard fine-tuning, and a backward pass that incurs disproportionately more overhead than the forward pass. Our defense succeeds in withstanding adaptive attackers with full knowledge of the defense strategy while preserving the original model's capabilities. Experiments on LLM validate these claims.

preprint2026arXiv

Nectar: Neural Estimation of Cached-Token Attention via Regression

Evaluating softmax attention over a fixed long context requires reading every cached key-value pair for each new query token. For a given context (a book, a manual, a legal corpus) the attention output is a deterministic function of the query. We propose Nectar, which fits a compact neural network to this function for queries drawn from a task-relevant distribution. Nectar fits two networks per layer and KV-head: a target network that predicts the attention output and a score network that predicts the log-normalizer. The pair plugs into the standard masked self-attention at inference time, replacing the $O(n)$ attention over the cache with a forward pass whose cost does not depend on $n$. Each module carries on the order of $|θ|$ parameters per layer and KV-head, typically much smaller than the $2nd$ KV-cache footprint at the same granularity. We report experiments on models from 1.7B to 8B parameters across five long-context datasets. The approximation error tracks the next-token accuracy gap to full attention, and allocating capacity non-uniformly across layers reduces that gap in our ablation. Beyond this analysis of metrics, we check that the text generations (following a question prompt) of a model equipped with a Nectar module match in semantic content those obtained by giving the same model access to the full cache.

preprint2026arXiv

Scaling Categorical Flow Maps

Continuous diffusion and flow matching models could represent a powerful alternative to autoregressive approaches for language modelling (LM), as they unlock a host of advantages currently reserved for continuous modalities, including accelerated sampling and tilting. Recently, several works have demonstrated the possibility of generating discrete data continuously by a simple flow matching process between a Gaussian and the one-hot encoded data distribution. They have further shown the feasibility of accelerated sampling via Categorical Flow Maps (CFMs), resulting in competitive sample quality in the few-step regime. However, this method had only been evaluated at relatively modest scales ($<1$B), leaving the question of its scalability completely open. In this article, we train a $1.7$B-parameter base flow model on $2.1$T tokens and self-distill it into a CFM that generates diverse, high-quality text in as few as $4$ inference steps while maintaining near-data-level token entropy. Furthermore, we introduce a likelihood bound for CFMs in the semi-discrete setting, and show that they can be used to score the model on standard LM benchmarks, achieving results in the same range as discrete diffusion methods. Finally, we uncover some of the challenges that arise from training these models at scale, and we provide prescriptive insights on loss weighting and time scheduling.

preprint2023arXiv

Projection Robust Wasserstein Distance and Riemannian Optimization

Projection robust Wasserstein (PRW) distance, or Wasserstein projection pursuit (WPP), is a robust variant of the Wasserstein distance. Recent work suggests that this quantity is more robust than the standard Wasserstein distance, in particular when comparing probability measures in high-dimensions. However, it is ruled out for practical application because the optimization model is essentially non-convex and non-smooth which makes the computation intractable. Our contribution in this paper is to revisit the original motivation behind WPP/PRW, but take the hard route of showing that, despite its non-convexity and lack of nonsmoothness, and even despite some hardness results proved by~\citet{Niles-2019-Estimation} in a minimax sense, the original formulation for PRW/WPP \textit{can} be efficiently computed in practice using Riemannian optimization, yielding in relevant cases better behavior than its convex relaxation. More specifically, we provide three simple algorithms with solid theoretical guarantee on their complexity bound (one in the appendix), and demonstrate their effectiveness and efficiency by conducing extensive experiments on synthetic and real data. This paper provides a first step into a computational theory of the PRW distance and provides the links between optimal transport and Riemannian optimization.

preprint2022arXiv

Averaging Spatio-temporal Signals using Optimal Transport and Soft Alignments

Several fields in science, from genomics to neuroimaging, require monitoring populations (measures) that evolve with time. These complex datasets, describing dynamics with both time and spatial components, pose new challenges for data analysis. We propose in this work a new framework to carry out averaging of these datasets, with the goal of synthesizing a representative template trajectory from multiple trajectories. We show that this requires addressing three sources of invariance: shifts in time, space, and total population size (or mass/amplitude). Here we draw inspiration from dynamic time warping (DTW), optimal transport (OT) theory and its unbalanced extension (UOT) to propose a criterion that can address all three issues. This proposal leverages a smooth formulation of DTW (Soft-DTW) that is shown to capture temporal shifts, and UOT to handle both variations in space and size. Our proposed loss can be used to define spatio-temporal barycenters as Fréchet means. Using Fenchel duality, we show how these barycenters can be computed efficiently, in parallel, via a novel variant of entropy-regularized debiased UOT. Experiments on handwritten letters and brain imaging data confirm our theoretical findings and illustrate the effectiveness of the proposed loss for spatio-temporal data.

preprint2022arXiv

Debiaser Beware: Pitfalls of Centering Regularized Transport Maps

Estimating optimal transport (OT) maps (a.k.a. Monge maps) between two measures $P$ and $Q$ is a problem fraught with computational and statistical challenges. A promising approach lies in using the dual potential functions obtained when solving an entropy-regularized OT problem between samples $P_n$ and $Q_n$, which can be used to recover an approximately optimal map. The negentropy penalization in that scheme introduces, however, an estimation bias that grows with the regularization strength. A well-known remedy to debias such estimates, which has gained wide popularity among practitioners of regularized OT, is to center them, by subtracting auxiliary problems involving $P_n$ and itself, as well as $Q_n$ and itself. We do prove that, under favorable conditions on $P$ and $Q$, debiasing can yield better approximations to the Monge map. However, and perhaps surprisingly, we present a few cases in which debiasing is provably detrimental in a statistical sense, notably when the regularization strength is large or the number of samples is small. These claims are validated experimentally on synthetic and real datasets, and should reopen the debate on whether debiasing is needed when using entropic optimal transport.

preprint2022arXiv

Fixed-Support Wasserstein Barycenters: Computational Hardness and Fast Algorithm

We study the fixed-support Wasserstein barycenter problem (FS-WBP), which consists in computing the Wasserstein barycenter of $m$ discrete probability measures supported on a finite metric space of size $n$. We show first that the constraint matrix arising from the standard linear programming (LP) representation of the FS-WBP is \textit{not totally unimodular} when $m \geq 3$ and $n \geq 3$. This result resolves an open question pertaining to the relationship between the FS-WBP and the minimum-cost flow (MCF) problem since it proves that the FS-WBP in the standard LP form is not an MCF problem when $m \geq 3$ and $n \geq 3$. We also develop a provably fast \textit{deterministic} variant of the celebrated iterative Bregman projection (IBP) algorithm, named \textsc{FastIBP}, with a complexity bound of $\tilde{O}(mn^{7/3}\varepsilon^{-4/3})$, where $\varepsilon \in (0, 1)$ is the desired tolerance. This complexity bound is better than the best known complexity bound of $\tilde{O}(mn^2\varepsilon^{-2})$ for the IBP algorithm in terms of $\varepsilon$, and that of $\tilde{O}(mn^{5/2}\varepsilon^{-1})$ from accelerated alternating minimization algorithm or accelerated primal-dual adaptive gradient algorithm in terms of $n$. Finally, we conduct extensive experiments with both synthetic data and real images and demonstrate the favorable performance of the \textsc{FastIBP} algorithm in practice.

preprint2022arXiv

Low-rank Optimal Transport: Approximation, Statistics and Debiasing

The matching principles behind optimal transport (OT) play an increasingly important role in machine learning, a trend which can be observed when OT is used to disambiguate datasets in applications (e.g. single-cell genomics) or used to improve more complex methods (e.g. balanced attention in transformers or self-supervised learning). To scale to more challenging problems, there is a growing consensus that OT requires solvers that can operate on millions, not thousands, of points. The low-rank optimal transport (LOT) approach advocated in \cite{scetbon2021lowrank} holds several promises in that regard, and was shown to complement more established entropic regularization approaches, being able to insert itself in more complex pipelines, such as quadratic OT. LOT restricts the search for low-cost couplings to those that have a low-nonnegative rank, yielding linear time algorithms in cases of interest. However, these promises can only be fulfilled if the LOT approach is seen as a legitimate contender to entropic regularization when compared on properties of interest, where the scorecard typically includes theoretical properties (statistical complexity and relation to other methods) or practical aspects (debiasing, hyperparameter tuning, initialization). We target each of these areas in this paper in order to cement the impact of low-rank approaches in computational OT.

preprint2022arXiv

Optimal Transport Tools (OTT): A JAX Toolbox for all things Wasserstein

Optimal transport tools (OTT-JAX) is a Python toolbox that can solve optimal transport problems between point clouds and histograms. The toolbox builds on various JAX features, such as automatic and custom reverse mode differentiation, vectorization, just-in-time compilation and accelerators support. The toolbox covers elementary computations, such as the resolution of the regularized OT problem, and more advanced extensions, such as barycenters, Gromov-Wasserstein, low-rank solvers, estimation of convex maps, differentiable generalizations of quantiles and ranks, and approximate OT between Gaussian mixtures. The toolbox code is available at \texttt{https://github.com/ott-jax/ott}

preprint2022arXiv

Proximal Optimal Transport Modeling of Population Dynamics

We propose a new approach to model the collective dynamics of a population of particles evolving with time. As is often the case in challenging scientific applications, notably single-cell genomics, measuring features for these particles requires destroying them. As a result, the population can only be monitored with periodic snapshots, obtained by sampling a few particles that are sacrificed in exchange for measurements. Given only access to these snapshots, can we reconstruct likely individual trajectories for all other particles? We propose to model these trajectories as collective realizations of a causal Jordan-Kinderlehrer-Otto (JKO) flow of measures: The JKO scheme posits that the new configuration taken by a population at time $t+1$ is one that trades off an improvement, in the sense that it decreases an energy, while remaining close (in Wasserstein distance) to the previous configuration observed at $t$. In order to learn such an energy using only snapshots, we propose JKOnet, a neural architecture that computes (in end-to-end differentiable fashion) the JKO flow given a parametric energy and initial configuration of points. We demonstrate the good performance and robustness of the JKOnet fitting procedure, compared to a more direct forward method.

preprint2022arXiv

Simultaneous Multiple-Prompt Guided Generation Using Differentiable Optimal Transport

Recent advances in deep learning, such as powerful generative models and joint text-image embeddings, have provided the computational creativity community with new tools, opening new perspectives for artistic pursuits. Text-to-image synthesis approaches that operate by generating images from text cues provide a case in point. These images are generated with a latent vector that is progressively refined to agree with text cues. To do so, patches are sampled within the generated image, and compared with the text prompts in the common text-image embedding space; The latent vector is then updated, using gradient descent, to reduce the mean (average) distance between these patches and text cues. While this approach provides artists with ample freedom to customize the overall appearance of images, through their choice in generative models, the reliance on a simple criterion (mean of distances) often causes mode collapse: The entire image is drawn to the average of all text cues, thereby losing their diversity. To address this issue, we propose using matching techniques found in the optimal transport (OT) literature, resulting in images that are able to reflect faithfully a wide diversity of prompts. We provide numerous illustrations showing that OT avoids some of the pitfalls arising from estimating vectors with mean distances, and demonstrate the capacity of our proposed method to perform better in experiments, qualitatively and quantitatively.

preprint2021arXiv

Equitable and Optimal Transport with Multiple Agents

We introduce an extension of the Optimal Transport problem when multiple costs are involved. Considering each cost as an agent, we aim to share equally between agents the work of transporting one distribution to another. To do so, we minimize the transportation cost of the agent who works the most. Another point of view is when the goal is to partition equitably goods between agents according to their heterogeneous preferences. Here we aim to maximize the utility of the least advantaged agent. This is a fair division problem. Like Optimal Transport, the problem can be cast as a linear optimization problem. When there is only one agent, we recover the Optimal Transport problem. When two agents are considered, we are able to recover Integral Probability Metrics defined by $α$-Hölder functions, which include the widely-known Dudley metric. To the best of our knowledge, this is the first time a link is given between the Dudley metric and Optimal Transport. We provide an entropic regularization of that problem which leads to an alternative algorithm faster than the standard linear program.

preprint2021arXiv

Fast and Robust Comparison of Probability Measures in Heterogeneous Spaces

Comparing two probability measures supported on heterogeneous spaces is an increasingly important problem in machine learning. Such problems arise when comparing for instance two populations of biological cells, each described with its own set of features, or when looking at families of word embeddings trained across different corpora/languages. For such settings, the Gromov Wasserstein (GW) distance is often presented as the gold standard. GW is intuitive, as it quantifies whether one measure can be isomorphically mapped to the other. However, its exact computation is intractable, and most algorithms that claim to approximate it remain expensive. Building on \cite{memoli-2011}, who proposed to represent each point in each distribution as the 1D distribution of its distances to all other points, we introduce in this paper the Anchor Energy (AE) and Anchor Wasserstein (AW) distances, which are respectively the energy and Wasserstein distances instantiated on such representations. Our main contribution is to propose a sweep line algorithm to compute AE \emph{exactly} in log-quadratic time, where a naive implementation would be cubic. This is quasi-linear w.r.t. the description of the problem itself. Our second contribution is the proposal of robust variants of AE and AW that uses rank statistics rather than the original distances. We show that AE and AW perform well in various experimental settings at a fraction of the computational cost of popular GW approximations. Code is available at \url{https://github.com/joisino/anchor-energy}.

preprint2021arXiv

Low-Rank Sinkhorn Factorization

Several recent applications of optimal transport (OT) theory to machine learning have relied on regularization, notably entropy and the Sinkhorn algorithm. Because matrix-vector products are pervasive in the Sinkhorn algorithm, several works have proposed to \textit{approximate} kernel matrices appearing in its iterations using low-rank factors. Another route lies instead in imposing low-rank constraints on the feasible set of couplings considered in OT problems, with no approximations on cost nor kernel matrices. This route was first explored by Forrow et al., 2018, who proposed an algorithm tailored for the squared Euclidean ground cost, using a proxy objective that can be solved through the machinery of regularized 2-Wasserstein barycenters. Building on this, we introduce in this work a generic approach that aims at solving, in full generality, the OT problem under low-rank constraints with arbitrary costs. Our algorithm relies on an explicit factorization of low rank couplings as a product of \textit{sub-coupling} factors linked by a common marginal; similar to an NMF approach, we alternatively updates these factors. We prove the non-asymptotic stationary convergence of this algorithm and illustrate its efficiency on benchmark experiments.

preprint2020arXiv

Computational Optimal Transport

Optimal transport (OT) theory can be informally described using the words of the French mathematician Gaspard Monge (1746-1818): A worker with a shovel in hand has to move a large pile of sand lying on a construction site. The goal of the worker is to erect with all that sand a target pile with a prescribed shape (for example, that of a giant sand castle). Naturally, the worker wishes to minimize her total effort, quantified for instance as the total distance or time spent carrying shovelfuls of sand. Mathematicians interested in OT cast that problem as that of comparing two probability distributions, two different piles of sand of the same volume. They consider all of the many possible ways to morph, transport or reshape the first pile into the second, and associate a "global" cost to every such transport, using the "local" consideration of how much it costs to move a grain of sand from one place to another. Recent years have witnessed the spread of OT in several fields, 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.

preprint2020arXiv

Debiased Sinkhorn barycenters

Entropy regularization in optimal transport (OT) has been the driver of many recent interests for Wasserstein metrics and barycenters in machine learning. It allows to keep the appealing geometrical properties of the unregularized Wasserstein distance while having a significantly lower complexity thanks to Sinkhorn's algorithm. However, entropy brings some inherent smoothing bias, resulting for example in blurred barycenters. This side effect has prompted an increasing temptation in the community to settle for a slower algorithm such as log-domain stabilized Sinkhorn which breaks the parallel structure that can be leveraged on GPUs, or even go back to unregularized OT. Here we show how this bias is tightly linked to the reference measure that defines the entropy regularizer and propose debiased Wasserstein barycenters that preserve the best of both worlds: fast Sinkhorn-like iterations without entropy smoothing. Theoretically, we prove that the entropic OT barycenter of univariate Gaussians is a Gaussian and quantify its variance bias. This result is obtained by extending the differentiability and convexity of entropic OT to sub-Gaussian measures with unbounded supports. Empirically, we illustrate the reduced blurring and the computational advantage on various applications.

preprint2020arXiv

Learning with Differentiable Perturbed Optimizers

Machine learning pipelines often rely on optimization procedures to make discrete decisions (e.g., sorting, picking closest neighbors, or shortest paths). Although these discrete decisions are easily computed, they break the back-propagation of computational graphs. In order to expand the scope of learning problems that can be solved in an end-to-end fashion, we propose a systematic method to transform optimizers into operations that are differentiable and never locally constant. Our approach relies on stochastically perturbed optimizers, and can be used readily together with existing solvers. Their derivatives can be evaluated efficiently, and smoothness tuned via the chosen noise amplitude. We also show how this framework can be connected to a family of losses developed in structured prediction, and give theoretical guarantees for their use in learning tasks. We demonstrate experimentally the performance of our approach on various tasks.

preprint2020arXiv

Missing Data Imputation using Optimal Transport

Missing data is a crucial issue when applying machine learning algorithms to real-world datasets. Starting from the simple assumption that two batches extracted randomly from the same dataset should share the same distribution, we leverage optimal transport distances to quantify that criterion and turn it into a loss function to impute missing data values. We propose practical methods to minimize these losses using end-to-end learning, that can exploit or not parametric assumptions on the underlying distributions of values. We evaluate our methods on datasets from the UCI repository, in MCAR, MAR and MNAR settings. These experiments show that OT-based methods match or out-perform state-of-the-art imputation methods, even for high percentages of missing values.

preprint2020arXiv

Noisy Adaptive Group Testing using Bayesian Sequential Experimental Design

When the infection prevalence of a disease is low, Dorfman showed 80 years ago that testing groups of people can prove more efficient than testing people individually. Our goal in this paper is to propose new group testing algorithms that can operate in a noisy setting (tests can be mistaken) to decide adaptively (looking at past results) which groups to test next, with the goal to converge to a good detection, as quickly, and with as few tests as possible. We cast this problem as a Bayesian sequential experimental design problem. Using the posterior distribution of infection status vectors for $n$ patients, given observed tests carried out so far, we seek to form groups that have a maximal utility. We consider utilities such as mutual information, but also quantities that have a more direct relevance to testing, such as the AUC of the ROC curve of the test. Practically, the posterior distributions on $\{0,1\}^n$ are approximated by sequential Monte Carlo (SMC) samplers and the utility maximized by a greedy optimizer. Our procedures show in simulations significant improvements over both adaptive and non-adaptive baselines, and are far more efficient than individual tests when disease prevalence is low. Additionally, we show empirically that loopy belief propagation (LBP), widely regarded as the SoTA decoder to decide whether an individual is infected or not given previous tests, can be unreliable and exhibit oscillatory behavior. Our SMC decoder is more reliable, and can improve the performance of other group testing algorithms.

preprint2020arXiv

Precision-Recall Curves Using Information Divergence Frontiers

Despite the tremendous progress in the estimation of generative models, the development of tools for diagnosing their failures and assessing their performance has advanced at a much slower pace. Recent developments have investigated metrics that quantify which parts of the true distribution is modeled well, and, on the contrary, what the model fails to capture, akin to precision and recall in information retrieval. In this paper, we present a general evaluation framework for generative models that measures the trade-off between precision and recall using Rényi divergences. Our framework provides a novel perspective on existing techniques and extends them to more general domains. As a key advantage, this formulation encompasses both continuous and discrete models and allows for the design of efficient algorithms that do not have to quantize the data. We further analyze the biases of the approximations used in practice.

preprint2020arXiv

Regularity as Regularization: Smooth and Strongly Convex Brenier Potentials in Optimal Transport

Estimating Wasserstein distances between two high-dimensional densities suffers from the curse of dimensionality: one needs an exponential (wrt dimension) number of samples to ensure that the distance between two empirical measures is comparable to the distance between the original densities. Therefore, optimal transport (OT) can only be used in machine learning if it is substantially regularized. On the other hand, one of the greatest achievements of the OT literature in recent years lies in regularity theory: Caffarelli showed that the OT map between two well behaved measures is Lipschitz, or equivalently when considering 2-Wasserstein distances, that Brenier convex potentials (whose gradient yields an optimal map) are smooth. We propose in this work to draw inspiration from this theory and use regularity as a regularization tool. We give algorithms operating on two discrete measures that can recover nearly optimal transport maps with small distortion, or equivalently, nearly optimal Brenier potentials that are strongly convex and smooth. The problem boils down to solving alternatively a convex QCQP and a discrete OT problem, granting access to the values and gradients of the Brenier potential not only on sampled points, but also out of sample at the cost of solving a simpler QCQP for each evaluation. We propose algorithms to estimate and evaluate transport maps with desired regularity properties, benchmark their statistical performance, apply them to domain adaptation and visualize their action on a color transfer task.

preprint2020arXiv

Regularized Optimal Transport is Ground Cost Adversarial

Regularizing the optimal transport (OT) problem has proven crucial for OT theory to impact the field of machine learning. For instance, it is known that regularizing OT problems with entropy leads to faster computations and better differentiation using the Sinkhorn algorithm, as well as better sample complexity bounds than classic OT. In this work we depart from this practical perspective and propose a new interpretation of regularization as a robust mechanism, and show using Fenchel duality that any convex regularization of OT can be interpreted as ground cost adversarial. This incidentally gives access to a robust dissimilarity measure on the ground space, which can in turn be used in other applications. We propose algorithms to compute this robust cost, and illustrate the interest of this approach empirically.

preprint2020arXiv

Supervised Quantile Normalization for Low-rank Matrix Approximation

Low rank matrix factorization is a fundamental building block in machine learning, used for instance to summarize gene expression profile data or word-document counts. To be robust to outliers and differences in scale across features, a matrix factorization step is usually preceded by ad-hoc feature normalization steps, such as \texttt{tf-idf} scaling or data whitening. We propose in this work to learn these normalization operators jointly with the factorization itself. More precisely, given a $d\times n$ matrix $X$ of $d$ features measured on $n$ individuals, we propose to learn the parameters of quantile normalization operators that can operate row-wise on the values of $X$ and/or of its factorization $UV$ to improve the quality of the low-rank representation of $X$ itself. This optimization is facilitated by the introduction of a new differentiable quantile normalization operator built using optimal transport, providing new results on top of existing work by (Cuturi et al. 2019). We demonstrate the applicability of these techniques on synthetic and genomics datasets.

preprint2016arXiv

Stochastic Optimization for Large-scale Optimal Transport

Optimal transport (OT) defines a powerful framework to compare probability distributions in a geometrically faithful way. However, the practical impact of OT is still limited because of its computational burden. We propose a new class of stochastic optimization algorithms to cope with large-scale problems routinely encountered in machine learning applications. These methods are able to manipulate arbitrary distributions (either discrete or continuous) by simply requiring to be able to draw samples from them, which is the typical setup in high-dimensional learning problems. This alleviates the need to discretize these densities, while giving access to provably convergent methods that output the correct distance without discretization error. These algorithms rely on two main ideas: (a) the dual OT problem can be re-cast as the maximization of an expectation ; (b) entropic regularization of the primal OT problem results in a smooth dual optimization optimization which can be addressed with algorithms that have a provably faster convergence. We instantiate these ideas in three different setups: (i) when comparing a discrete distribution to another, we show that incremental stochastic optimization schemes can beat Sinkhorn's algorithm, the current state-of-the-art finite dimensional OT solver; (ii) when comparing a discrete distribution to a continuous density, a semi-discrete reformulation of the dual program is amenable to averaged stochastic gradient descent, leading to better performance than approximately solving the problem by discretization ; (iii) when dealing with two continuous densities, we propose a stochastic gradient descent over a reproducing kernel Hilbert space (RKHS). This is currently the only known method to solve this problem, apart from computing OT on finite samples. We backup these claims on a set of discrete, semi-discrete and continuous benchmark problems.

preprint2015arXiv

A Smoothed Dual Approach for Variational Wasserstein Problems

Variational problems that involve Wasserstein distances have been recently proposed to summarize and learn from probability measures. Despite being conceptually simple, such problems are computationally challenging because they involve minimizing over quantities (Wasserstein distances) that are themselves hard to compute. We show that the dual formulation of Wasserstein variational problems introduced recently by Carlier et al. (2014) can be regularized using an entropic smoothing, which leads to smooth, differentiable, convex optimization problems that are simpler to implement and numerically more stable. We illustrate the versatility of this approach by applying it to the computation of Wasserstein barycenters and gradient flows of spacial regularization functionals.

preprint2015arXiv

Fast Optimal Transport Averaging of Neuroimaging Data

Knowing how the Human brain is anatomically and functionally organized at the level of a group of healthy individuals or patients is the primary goal of neuroimaging research. Yet computing an average of brain imaging data defined over a voxel grid or a triangulation remains a challenge. Data are large, the geometry of the brain is complex and the between subjects variability leads to spatially or temporally non-overlapping effects of interest. To address the problem of variability, data are commonly smoothed before group linear averaging. In this work we build on ideas originally introduced by Kantorovich to propose a new algorithm that can average efficiently non-normalized data defined over arbitrary discrete domains using transportation metrics. We show how Kantorovich means can be linked to Wasserstein barycenters in order to take advantage of an entropic smoothing approach. It leads to a smooth convex optimization problem and an algorithm with strong convergence guarantees. We illustrate the versatility of this tool and its empirical behavior on functional neuroimaging data, functional MRI and magnetoencephalography (MEG) source estimates, defined on voxel grids and triangulations of the folded cortical surface.

preprint2015arXiv

Mean-Reverting Portfolios: Tradeoffs Between Sparsity and Volatility

Mean-reverting assets are one of the holy grails of financial markets: if such assets existed, they would provide trivially profitable investment strategies for any investor able to trade them, thanks to the knowledge that such assets oscillate predictably around their long term mean. The modus operandi of cointegration-based trading strategies [Tsay, 2005, §8] is to create first a portfolio of assets whose aggregate value mean-reverts, to exploit that knowledge by selling short or buying that portfolio when its value deviates from its long-term mean. Such portfolios are typically selected using tools from cointegration theory [Engle and Granger, 1987, Johansen, 1991], whose aim is to detect combinations of assets that are stationary, and therefore mean-reverting. We argue in this work that focusing on stationarity only may not suffice to ensure profitability of cointegration-based strategies. While it might be possible to create syn- thetically, using a large array of financial assets, a portfolio whose aggre- gate value is stationary and therefore mean-reverting, trading such a large portfolio incurs in practice important trade or borrow costs. Looking for stationary portfolios formed by many assets may also result in portfolios that have a very small volatility and which require significant leverage to be profitable. We study in this work algorithmic approaches that can take mitigate these effects by searching for maximally mean-reverting portfo- lios which are sufficiently sparse and/or volatile.

preprint2015arXiv

On Wasserstein Two Sample Testing and Related Families of Nonparametric Tests

Nonparametric two sample or homogeneity testing is a decision theoretic problem that involves identifying differences between two random variables without making parametric assumptions about their underlying distributions. The literature is old and rich, with a wide variety of statistics having being intelligently designed and analyzed, both for the unidimensional and the multivariate setting. Our contribution is to tie together many of these tests, drawing connections between seemingly very different statistics. In this work, our central object is the Wasserstein distance, as we form a chain of connections from univariate methods like the Kolmogorov-Smirnov test, PP/QQ plots and ROC/ODC curves, to multivariate tests involving energy statistics and kernel based maximum mean discrepancy. Some connections proceed through the construction of a \textit{smoothed} Wasserstein distance, and others through the pursuit of a "distribution-free" Wasserstein test. Some observations in this chain are implicit in the literature, while others seem to have not been noticed thus far. Given nonparametric two sample testing's classical and continued importance, we aim to provide useful connections for theorists and practitioners familiar with one subset of methods but not others.

preprint2015arXiv

Principal Geodesic Analysis for Probability Measures under the Optimal Transport Metric

Given a family of probability measures in P(X), the space of probability measures on a Hilbert space X, our goal in this paper is to highlight one ore more curves in P(X) that summarize efficiently that family. We propose to study this problem under the optimal transport (Wasserstein) geometry, using curves that are restricted to be geodesic segments under that metric. We show that concepts that play a key role in Euclidean PCA, such as data centering or orthogonality of principal directions, find a natural equivalent in the optimal transport geometry, using Wasserstein means and differential geometry. The implementation of these ideas is, however, computationally challenging. To achieve scalable algorithms that can handle thousands of measures, we propose to use a relaxed definition for geodesics and regularized optimal transport distances. The interest of our approach is demonstrated on images seen either as shapes or color histograms.

preprint2015arXiv

Wasserstein Training of Boltzmann Machines

The Boltzmann machine provides a useful framework to learn highly complex, multimodal and multiscale data distributions that occur in the real world. The default method to learn its parameters consists of minimizing the Kullback-Leibler (KL) divergence from training samples to the Boltzmann model. We propose in this work a novel approach for Boltzmann training which assumes that a meaningful metric between observations is given. This metric can be represented by the Wasserstein distance between distributions, for which we derive a gradient with respect to the model parameters. Minimization of this new Wasserstein objective leads to generative models that are better when considering the metric and that have a cluster-like structure. We demonstrate the practical potential of these models for data completion and denoising, for which the metric between observations plays a crucial role.

preprint2014arXiv

Fast Computation of Wasserstein Barycenters

We present new algorithms to compute the mean of a set of empirical probability measures under the optimal transport metric. This mean, known as the Wasserstein barycenter, is the measure that minimizes the sum of its Wasserstein distances to each element in that set. We propose two original algorithms to compute Wasserstein barycenters that build upon the subgradient method. A direct implementation of these algorithms is, however, too costly because it would require the repeated resolution of large primal and dual optimal transport problems to compute subgradients. Extending the work of Cuturi (2013), we propose to smooth the Wasserstein distance used in the definition of Wasserstein barycenters with an entropic regularizer and recover in doing so a strictly convex objective whose gradients can be computed for a considerably cheaper computational cost using matrix scaling algorithms. We use these algorithms to visualize a large family of images and to solve a constrained clustering problem.

preprint2014arXiv

Iterative Bregman Projections for Regularized Transportation Problems

This article details a general numerical framework to approximate so-lutions to linear programs related to optimal transport. The general idea is to introduce an entropic regularization of the initial linear program. This regularized problem corresponds to a Kullback-Leibler Bregman di-vergence projection of a vector (representing some initial joint distribu-tion) on the polytope of constraints. We show that for many problems related to optimal transport, the set of linear constraints can be split in an intersection of a few simple constraints, for which the projections can be computed in closed form. This allows us to make use of iterative Bregman projections (when there are only equality constraints) or more generally Bregman-Dykstra iterations (when inequality constraints are in-volved). We illustrate the usefulness of this approach to several variational problems related to optimal transport: barycenters for the optimal trans-port metric, tomographic reconstruction, multi-marginal optimal trans-port and in particular its application to Brenier's relaxed solutions of in-compressible Euler equations, partial un-balanced optimal transport and optimal transport with capacity constraints.

preprint2013arXiv

Sinkhorn Distances: Lightspeed Computation of Optimal Transportation Distances

Optimal transportation distances are a fundamental family of parameterized distances for histograms. Despite their appealing theoretical properties, excellent performance in retrieval tasks and intuitive formulation, their computation involves the resolution of a linear program whose cost is prohibitive whenever the histograms' dimension exceeds a few hundreds. We propose in this work a new family of optimal transportation distances that look at transportation problems from a maximum-entropy perspective. We smooth the classical optimal transportation problem with an entropic regularization term, and show that the resulting optimum is also a distance which can be computed through Sinkhorn-Knopp's matrix scaling algorithm at a speed that is several orders of magnitude faster than that of transportation solvers. We also report improved performance over classical optimal transportation distances on the MNIST benchmark problem.

preprint2012arXiv

Positivity and Transportation

We prove in this paper that the weighted volume of the set of integral transportation matrices between two integral histograms r and c of equal sum is a positive definite kernel of r and c when the set of considered weights forms a positive definite matrix. The computation of this quantity, despite being the subject of a significant research effort in algebraic statistics, remains an intractable challenge for histograms of even modest dimensions. We propose an alternative kernel which, rather than considering all matrices of the transportation polytope, only focuses on a sub-sample of its vertices known as its Northwestern corner solutions. The resulting kernel is positive definite and can be computed with a number of operations O(R^2d) that grows linearly in the complexity of the dimension d, where R^2, the total amount of sampled vertices, is a parameter that controls the complexity of the kernel.

preprint2011arXiv

Autoregressive Kernels For Time Series

We propose in this work a new family of kernels for variable-length time series. Our work builds upon the vector autoregressive (VAR) model for multivariate stochastic processes: given a multivariate time series x, we consider the likelihood function p_θ(x) of different parameters θin the VAR model as features to describe x. To compare two time series x and x', we form the product of their features p_θ(x) p_θ(x') which is integrated out w.r.t θusing a matrix normal-inverse Wishart prior. Among other properties, this kernel can be easily computed when the dimension d of the time series is much larger than the lengths of the considered time series x and x'. It can also be generalized to time series taking values in arbitrary state spaces, as long as the state space itself is endowed with a kernel κ. In that case, the kernel between x and x' is a a function of the Gram matrices produced by κon observations and subsequences of observations enumerated in x and x'. We describe a computationally efficient implementation of this generalization that uses low-rank matrix factorization techniques. These kernels are compared to other known kernels using a set of benchmark classification tasks carried out with support vector machines.

preprint2011arXiv

Ground Metric Learning

Transportation distances have been used for more than a decade now in machine learning to compare histograms of features. They have one parameter: the ground metric, which can be any metric between the features themselves. As is the case for all parameterized distances, transportation distances can only prove useful in practice when this parameter is carefully chosen. To date, the only option available to practitioners to set the ground metric parameter was to rely on a priori knowledge of the features, which limited considerably the scope of application of transportation distances. We propose to lift this limitation and consider instead algorithms that can learn the ground metric using only a training set of labeled histograms. We call this approach ground metric learning. We formulate the problem of learning the ground metric as the minimization of the difference of two polyhedral convex functions over a convex set of distance matrices. We follow the presentation of our algorithms with promising experimental results on binary classification tasks using GIST descriptors of images taken in the Caltech-256 set.

preprint2003arXiv

A covariance kernel for proteins

We propose a new kernel for biological sequences which borrows ideas and techniques from information theory and data compression. This kernel can be used in combination with any kernel method, in particular Support Vector Machines for protein classification. By incorporating prior biological assumptions on the properties of amino-acid sequences and using a Bayesian averaging framework, we compute the value of this kernel in linear time and space, benefiting from previous achievements proposed in the field of universal coding. Encouraging classification results are reported on a standard protein homology detection experiment.