Projection Robust Wasserstein Barycenter
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Collecting and aggregating information from several probability measures or histograms is a fundamental task in machine learning. One of the popular solution methods for this task is to compute the barycenter of the probability measures under the Wasserstein metric. However, approximating the Wasserstein barycenter is numerically challenging because of the curse of dimensionality. This paper proposes the projection robust Wasserstein barycenter (PRWB) that mitigates the curse of dimensionality. This new model projects the probability measures onto a lower-dimensional subspace that maximizes the Wasserstein barycenter objective. The resulting problem is a max-min problem over the Stiefel manifold, which is numerically challenging in practice. Combining the iterative Bregman projection algorithm and Riemannian optimization, we propose two new algorithms for computing the PRWB. The complexity of arithmetic operations of the proposed algorithms for obtaining an ϵ-stationary solution is analyzed. We incorporate the PRWB into a discrete distribution clustering algorithm, and the numerical results on real text datasets confirm that our PRWB model helps improve the clustering performance significantly.
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