Massively scalable sinkhorn distances via the nyström method

Jason Altschuler, Francis Bach, Alessandro Rudi, Jonathan Niles-Weed

Research output: Contribution to journalConference articlepeer-review

Abstract

The Sinkhorn “distance,” a variant of the Wasserstein distance with entropic regularization, is an increasingly popular tool in machine learning and statistical inference. However, the time and memory requirements of standard algorithms for computing this distance grow quadratically with the size of the data, making them prohibitively expensive on massive data sets. In this work, we show that this challenge is surprisingly easy to circumvent: combining two simple techniques-the Nyström method and Sinkhorn scaling-provably yields an accurate approximation of the Sinkhorn distance with significantly lower time and memory requirements than other approaches. We prove our results via new, explicit analyses of the Nyström method and of the stability properties of Sinkhorn scaling. We validate our claims experimentally by showing that our approach easily computes Sinkhorn distances on data sets hundreds of times larger than can be handled by other techniques.

Original languageEnglish (US)
JournalAdvances in Neural Information Processing Systems
Volume32
StatePublished - 2019
Event33rd Annual Conference on Neural Information Processing Systems, NeurIPS 2019 - Vancouver, Canada
Duration: Dec 8 2019Dec 14 2019

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

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