Simplify stabilized Sinkhorn algorithm (#99)

* Move file

* Move test file

* Improve stabilized Sinkhorn algorithm

* Add test and remove redundant computations

* Bump version

Author: devmotion

Project.toml

@@ -1,7 +1,7 @@
 name = "OptimalTransport"
 uuid = "7e02d93a-ae51-4f58-b602-d97af76e3b33"
 authors = ["zsteve <[email protected]>"]
-version = "0.3.10"
+version = "0.3.11"
 
 [deps]
 Distances = "b4f34e82-e78d-54a5-968a-f98e89d6e8f7"

src/OptimalTransport.jl

@@ -27,7 +27,8 @@ include("distances/bures.jl")
 include("utils.jl")
 include("exact.jl")
 include("wasserstein.jl")
-include("entropic.jl")
+include("entropic/sinkhorn.jl")
+include("entropic/sinkhorn_stabilized.jl")
 include("quadratic.jl")
 
 end

src/entropic.jl renamed to src/entropic/sinkhorn.jl

@@ -461,136 +461,6 @@ function sinkhorn_unbalanced2(
     return dot(γ, C)
 end
 
-"""
-    sinkhorn_stabilized_epsscaling(μ, ν, C, ε; lambda = 0.5, k = 5, kwargs...)
-
-Compute the optimal transport plan for the entropically regularized optimal transport problem
-with source and target marginals `μ` and `ν`, cost matrix `C` of size `(length(μ), length(ν))`, and entropic regularisation parameter `ε`. Employs the log-domain stabilized algorithm of Schmitzer et al. [^S19] with ε-scaling.
-
-`k` ε-scaling steps are used with scaling factor `lambda`, i.e. sequentially solve Sinkhorn using `sinkhorn_stabilized` with regularisation parameters
-``ε_i \\in [λ^{1-k}, \\ldots, λ^{-1}, 1] \\times ε``.
-
-See also: [`sinkhorn_stabilized`](@ref), [`sinkhorn`](@ref)
-"""
-function sinkhorn_stabilized_epsscaling(μ, ν, C, ε; lambda=0.5, k=5, kwargs...)
-    α = zero(μ)
-    β = zero(ν)
-    for ε_i in (ε * lambda^(1 - j) for j in k:-1:1)
-        @debug "Epsilon-scaling Sinkhorn algorithm: ε = $ε_i"
-        α, β = sinkhorn_stabilized(
-            μ, ν, C, ε_i; alpha=α, beta=β, return_duals=true, kwargs...
-        )
-    end
-    gamma = similar(C)
-    getK!(gamma, C, α, β, ε, μ, ν)
-    return gamma
-end
-
-function getK!(K, C, α, β, ε, μ, ν)
-    @. K = exp(-(C - α - β') / ε) * μ * ν'
-    return K
-end
-
-"""
-    sinkhorn_stabilized(μ, ν, C, ε; absorb_tol = 1e3, alpha_0 = zero(μ), beta = zero(ν), maxiter = 1_000, atol = tol, rtol=nothing, return_duals = false)
-
-Compute the optimal transport plan for the entropically regularized optimal transport problem
-with source and target marginals `μ` and `ν`, cost matrix `C` of size `(length(μ), length(ν))`, and entropic regularisation parameter `ε`. Employs the log-domain stabilized algorithm of Schmitzer et al. [^S19]
-
-`alpha` and `beta` are initial scalings for the stabilized Gibbs kernel. If not specified, `alpha` and `beta` are initialised to zero.
-
-If `return_duals = true`, then the optimal dual variables `(u, v)` corresponding to `(μ, ν)` are returned. Otherwise, the coupling `γ` is returned.
-
-[^S19]: Schmitzer, B., 2019. Stabilized sparse scaling algorithms for entropy regularized transport problems. SIAM Journal on Scientific Computing, 41(3), pp.A1443-A1481.
-
-See also: [`sinkhorn`](@ref)
-"""
-function sinkhorn_stabilized(
-    μ,
-    ν,
-    C,
-    ε;
-    absorb_tol=1e3,
-    maxiter=1_000,
-    tol=nothing,
-    atol=tol,
-    rtol=nothing,
-    check_convergence=10,
-    alpha=zero(μ),
-    beta=zero(ν),
-    return_duals=false,
-)
-    if tol !== nothing
-        Base.depwarn(
-            "keyword argument `tol` is deprecated, please use `atol` and `rtol`",
-            :sinkhorn_stabilized,
-        )
-    end
-    sum(μ) ≈ sum(ν) ||
-        throw(ArgumentError("source and target marginals must have the same mass"))
-
-    T = float(Base.promote_eltype(μ, ν, C))
-    _atol = atol === nothing ? 0 : atol
-    _rtol = rtol === nothing ? (_atol > zero(_atol) ? zero(T) : sqrt(eps(T))) : rtol
-
-    norm_μ = sum(abs, μ)
-    isconverged = false
-
-    K = similar(C)
-    gamma = similar(C)
-
-    getK!(K, C, alpha, beta, ε, μ, ν)
-    u = μ ./ sum(K; dims=2)
-    v = ν ./ (K' * u)
-    tmp_u = similar(u)
-    for iter in 0:maxiter
-        if (max(norm(u, Inf), norm(v, Inf)) > absorb_tol)
-            @debug "Absorbing (u, v) into (alpha, beta)"
-            # absorb into α, β
-            alpha += ε * log.(u)
-            beta += ε * log.(v)
-            u .= 1
-            v .= 1
-            getK!(K, C, alpha, beta, ε, μ, ν)
-        end
-        if iter % check_convergence == 0
-            # check marginal
-            getK!(gamma, C, alpha, beta, ε, μ, ν)
-            @. gamma *= u * v'
-            norm_diff = sum(abs, gamma * ones(size(ν)) - μ)
-            norm_uKv = sum(abs, gamma)
-            @debug "Stabilized Sinkhorn algorithm (" *
-                   string(iter) *
-                   "/" *
-                   string(maxiter) *
-                   ": error of source marginal = " *
-                   string(norm_diff)
-
-            if norm_diff < max(_atol, _rtol * max(norm_μ, norm_uKv))
-                @debug "Stabilized Sinkhorn algorithm ($iter/$maxiter): converged"
-                isconverged = true
-                break
-            end
-        end
-        mul!(tmp_u, K, v)
-        u = μ ./ tmp_u
-        mul!(v, K', u)
-        v = ν ./ v
-    end
-
-    if !isconverged
-        @warn "Stabilized Sinkhorn algorithm ($maxiter/$maxiter): not converged"
-    end
-
-    alpha = alpha + ε * log.(u)
-    beta = beta + ε * log.(v)
-    if return_duals
-        return alpha, beta
-    end
-    getK!(gamma, C, alpha, beta, ε, μ, ν)
-    return gamma
-end
-
 """
     sinkhorn_barycenter(μ, C, ε, w; tol=1e-9, check_marginal_step=10, max_iter=1000)