##### Department of Mathematics,

University of California San Diego

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### Math 278C - Optimization and Data Science

## Shiqian Ma

#### UC Davis

## Riemannian Optimization for Projection Robust Optimal Transport

##### Abstract:

The optimal transport problem is known to suffer the curse of dimensionality. A recently proposed approach to mitigate the curse of dimensionality is to project the sampled data from the high dimensional probability distribution onto a lower-dimensional subspace, and then compute the optimal transport between the projected data. However, this approach requires to solve a max-min problem over the Stiefel manifold, which is very challenging in practice. In this talk, we propose a Riemannian block coordinate descent (RBCD) method to solve this problem. We analyze the complexity of arithmetic operations for RBCD to obtain an $\epsilon$-stationary point, and show that it significantly improves the corresponding complexity of existing methods. Numerical results on both synthetic and real datasets demonstrate that our method is more efficient than existing methods, especially when the number of sampled data is very large. We will also discuss how the same idea can be used to solve the projection robust Wasserstein barycenter problem.

Host: Jiawang Nie

### April 13, 2022

### 3:00 PM

https://ucsd.zoom.us/j/93696624146

Meeting ID: 936 9662 4146

Password: OPT2022SP

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