Efficient Gradient Flows in Sliced-Wasserstein Space [article]

Clément Bonet, Nicolas Courty, François Septier, Lucas Drumetz
2022 arXiv   pre-print
Minimizing functionals in the space of probability distributions can be done with Wasserstein gradient flows. To solve them numerically, a possible approach is to rely on the Jordan-Kinderlehrer-Otto (JKO) scheme which is analogous to the proximal scheme in Euclidean spaces. However, it requires solving a nested optimization problem at each iteration, and is known for its computational challenges, especially in high dimension. To alleviate it, very recent works propose to approximate the JKO
more » ... eme leveraging Brenier's theorem, and using gradients of Input Convex Neural Networks to parameterize the density (JKO-ICNN). However, this method comes with a high computational cost and stability issues. Instead, this work proposes to use gradient flows in the space of probability measures endowed with the sliced-Wasserstein (SW) distance. We argue that this method is more flexible than JKO-ICNN, since SW enjoys a closed-form differentiable approximation. Thus, the density at each step can be parameterized by any generative model which alleviates the computational burden and makes it tractable in higher dimensions.
arXiv:2110.10972v3 fatcat:i4wu5eyhlbf5lbwzqy25x37nla