Wasserstein barycenters in the manifold of all positive definite matrices
Authors:
Elham Nobari and Bijan Ahmadi Kakavandi
Journal:
Quart. Appl. Math. 77 (2019), 655-669
MSC (2010):
Primary 49Q20, 49M25, 49M29, 65J10
DOI:
https://doi.org/10.1090/qam/1535
Published electronically:
February 7, 2019
MathSciNet review:
3962587
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Abstract: In this paper, we study the Wasserstein barycenter of finitely many Borel probability measures on $\mathbb {P}_{n}$, the Riemannian manifold of all $n\times n$ real positive definite matrices as well as its associated dual problem, namely the optimal transport problem. Our results generalize some results of Agueh and Carlier on $\mathbb {R}^{n}$ to $\mathbb {P}_{n}$. We show the existence of the optimal solutions and the Wasserstein barycenter measure. Furthermore, via a discretization approach and using the BFGS (Broyden-Fletcher-Goldfarb-Shanno) method for nonsmooth convex optimization, we propose a numerical method for computing the potential functions of the optimal transport problem. Also, thanks to the so-called optimal transport Jacobian on Riemannian manifolds of Cordero-Erausquin, McCann, and Schmuckenschläger, we show that the density of the Wasserstein barycenter measure can be approximated numerically. The paper concludes with some numerical experiments.
References
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- Robert R. Phelps, Convex functions, monotone operators and differentiability, 2nd ed., Lecture Notes in Mathematics, vol. 1364, Springer-Verlag, Berlin, 1993. MR 1238715
- Filippo Santambrogio, Optimal transport for applied mathematicians, Progress in Nonlinear Differential Equations and their Applications, vol. 87, Birkhäuser/Springer, Cham, 2015. Calculus of variations, PDEs, and modeling. MR 3409718
- Salem Said, Lionel Bombrun, Yannick Berthoumieu, and Jonathan H. Manton, Riemannian Gaussian distributions on the space of symmetric positive definite matrices, IEEE Trans. Inform. Theory 63 (2017), no. 4, 2153–2170. MR 3626862, DOI https://doi.org/10.1109/TIT.2017.2653803
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- Cédric Villani, Optimal transport, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 338, Springer-Verlag, Berlin, 2009. Old and new. MR 2459454
- Cédric Villani, Topics in optimal transportation, Graduate Studies in Mathematics, vol. 58, American Mathematical Society, Providence, RI, 2003. MR 1964483
References
- Martial Agueh and Guillaume Carlier, Barycenters in the Wasserstein space, SIAM J. Math. Anal. 43 (2011), no. 2, 904–924. MR 2801182, DOI https://doi.org/10.1137/100805741
- Luigi Ambrosio, Nicola Gigli, and Giuseppe Savaré, Gradient flows in metric spaces and in the space of probability measures, Lectures in Mathematics ETH Zürich, Birkhäuser Verlag, Basel, 2005. MR 2129498
- Hédy Attouch and Haïm Brezis, Duality for the sum of convex functions in general Banach spaces, Aspects of mathematics and its applications, North-Holland Math. Library, vol. 34, North-Holland, Amsterdam, 1986, pp. 125–133. MR 849549, DOI https://doi.org/10.1016/S0924-6509%2809%2970252-1
- Jean-David Benamou and Yann Brenier, A numerical method for the optimal time-continuous mass transport problem and related problems, Monge Ampère equation: applications to geometry and optimization (Deerfield Beach, FL, 1997) Contemp. Math., vol. 226, Amer. Math. Soc., Providence, RI, 1999, pp. 1–11. MR 1660739, DOI https://doi.org/10.1090/conm/226/03232
- Rajendra Bhatia, Positive definite matrices, Princeton Series in Applied Mathematics, Princeton University Press, Princeton, NJ, 2007. MR 2284176
- R. Bhatia, T. Jain, and Y. Lim, On the Bures-Wasserstein distance between positive definite matrices, Expositiones Mathematicae, 2018.
- Martin R. Bridson and André Haefliger, Metric spaces of non-positive curvature, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 319, Springer-Verlag, Berlin, 1999. MR 1744486
- Guillaume Carlier, Adam Oberman, and Edouard Oudet, Numerical methods for matching for teams and Wasserstein barycenters, ESAIM Math. Model. Numer. Anal. 49 (2015), no. 6, 1621–1642. MR 3423268, DOI https://doi.org/10.1051/m2an/2015033
- Dario Cordero-Erausquin, Robert J. McCann, and Michael Schmuckenschläger, A Riemannian interpolation inequality à la Borell, Brascamp and Lieb, Invent. Math. 146 (2001), no. 2, 219–257. MR 1865396, DOI https://doi.org/10.1007/s002220100160
- Gerald B. Folland, Real analysis, 2nd ed., with Modern techniques and their applications; A Wiley-Interscience Publication, Pure and Applied Mathematics (New York), John Wiley & Sons, Inc., New York, 1999. MR 1681462
- Leszek Gasiński and Nikolaos S. Papageorgiou, Nonlinear analysis, Series in Mathematical Analysis and Applications, vol. 9, Chapman & Hall/CRC, Boca Raton, FL, 2006. MR 2168068
- Young-Heon Kim and Brendan Pass, Wasserstein barycenters over Riemannian manifolds, Adv. Math. 307 (2017), 640–683. MR 3590527, DOI https://doi.org/10.1016/j.aim.2016.11.026
- Thibaut Le Gouic and Jean-Michel Loubes, Existence and consistency of Wasserstein barycenters, Probab. Theory Related Fields 168 (2017), no. 3-4, 901–917. MR 3663634, DOI https://doi.org/10.1007/s00440-016-0727-z
- Adrian S. Lewis and Michael L. Overton, Nonsmooth optimization via quasi-Newton methods, Math. Program. 141 (2013), no. 1-2, Ser. A, 135–163. MR 3097282, DOI https://doi.org/10.1007/s10107-012-0514-2
- Robert J. McCann, Existence and uniqueness of monotone measure-preserving maps, Duke Math. J. 80 (1995), no. 2, 309–323. MR 1369395, DOI https://doi.org/10.1215/S0012-7094-95-08013-2
- Robert J. McCann, Polar factorization of maps on Riemannian manifolds, Geom. Funct. Anal. 11 (2001), no. 3, 589–608. MR 1844080, DOI https://doi.org/10.1007/PL00001679
- Maher Moakher, A differential geometric approach to the geometric mean of symmetric positive-definite matrices, SIAM J. Matrix Anal. Appl. 26 (2005), no. 3, 735–747. MR 2137480, DOI https://doi.org/10.1137/S0895479803436937
- Barrett O’Neill, Semi-Riemannian geometry: With applications to relativity, Pure and Applied Mathematics, vol. 103, Academic Press, Inc. [Harcourt Brace Jovanovich, Publishers], New York, 1983. MR 719023
- Diethard Pallaschke and Stefan Rolewicz, Foundations of mathematical optimization: Convex analysis without linearity, Mathematics and its Applications, vol. 388, Kluwer Academic Publishers Group, Dordrecht, 1997. MR 1442257
- Robert R. Phelps, Convex functions, monotone operators and differentiability, 2nd ed., Lecture Notes in Mathematics, vol. 1364, Springer-Verlag, Berlin, 1993. MR 1238715
- Filippo Santambrogio, Optimal transport for applied mathematicians: Calculus of variations, PDEs, and modeling, Progress in Nonlinear Differential Equations and their Applications, vol. 87, Birkhäuser/Springer, Cham, 2015. MR 3409718
- Salem Said, Lionel Bombrun, Yannick Berthoumieu, and Jonathan H. Manton, Riemannian Gaussian distributions on the space of symmetric positive definite matrices, IEEE Trans. Inform. Theory 63 (2017), no. 4, 2153–2170. MR 3626862, DOI https://doi.org/10.1109/TIT.2017.2653803
- A. Skajaa, Limited Memory BFGS for Nonsmooth Optimization, Master’s thesis, Courant Institute of Mathematical Science (2010).
- Cédric Villani, Optimal transport: Old and new, Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], vol. 338, Springer-Verlag, Berlin, 2009. MR 2459454
- Cédric Villani, Topics in optimal transportation, Graduate Studies in Mathematics, vol. 58, American Mathematical Society, Providence, RI, 2003. MR 1964483
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Additional Information
Elham Nobari
Affiliation:
Department of Mathematics, University of Science and Technology of Mazandaran, Behshahr, Iran
MR Author ID:
1182530
Email:
e.nobari@mazust.ac.ir
Bijan Ahmadi Kakavandi
Affiliation:
Corresponding author. Department of Mathematical Sciences, Shahid Beheshti University G. C., Tehran, Iran. P.O. Box 19839-69411
MR Author ID:
802542
ORCID:
0000-0002-4790-0626
Email:
b_ahmadi@sbu.ac.ir
Keywords:
Wasserstein barycenters,
optimal transport,
positive definite matrices,
numerical methods for nonsmooth convex minimization
Received by editor(s):
June 28, 2018
Received by editor(s) in revised form:
November 24, 2018
Published electronically:
February 7, 2019
Article copyright:
© Copyright 2019
Brown University