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Title: A Fast Globally Linearly Convergent Algorithm for the Computation of Wasserstein Barycenters
Authors: Yang, Lei 
Li, Jia
Sun Defeng 
Toh, Kim-Chuan 
Keywords: math.OC
Issue Date: 2018
Citation: Yang, Lei, Li, Jia, Sun Defeng, Toh, Kim-Chuan (2018). A Fast Globally Linearly Convergent Algorithm for the Computation of Wasserstein Barycenters. ScholarBank@NUS Repository.
Abstract: In this paper, we consider the problem of computing a Wasserstein barycenter for a set of discrete probability distributions with finite supports, which finds many applications in areas such as statistics, machine learning and image processing. When the support points of the barycenter are pre-specified, this problem can be modeled as a linear program (LP) whose problem size can be extremely large. To handle this large-scale LP, we analyse the structure of its dual problem, which is conceivably more tractable and can be reformulated as a well-structured convex problem with 3 kinds of block variables and a coupling linear equality constraint. We then adapt a symmetric Gauss-Seidel based alternating direction method of multipliers (sGS-ADMM) to solve the resulting dual problem and establish its global convergence and global linear convergence rate. As a critical component for efficient computation, we also show how all the subproblems involved can be solved exactly and efficiently. This makes our method suitable for computing a Wasserstein barycenter on a large dataset, without introducing an entropy regularization term as is commonly practiced. In addition, our sGS-ADMM can be used as a subroutine in an alternating minimization method to compute a barycenter when its support points are not pre-specified. Numerical results on synthetic datasets and image datasets demonstrate that our method is highly competitive for solving large-scale problems, in comparison to two existing representative methods and the commercial software Gurobi.
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