[MRG] Update pymanopt requirement and API for ot.dr (#443)

* updayte pymanopt API step 1

* add realease information

* update requireents for tests on windows

.github/requirements_test_windows.txt

@@ -3,8 +3,7 @@ scipy>=1.3
 cython
 matplotlib
 autograd
-pymanopt==0.2.4; python_version <'3'
-pymanopt==0.2.6rc1; python_version >= '3'
+pymanopt
 cvxopt
 scikit-learn
 pytest

RELEASES.md

@@ -15,6 +15,8 @@
 - Backend version of `ot.partial` and `ot.smooth` (PR #388)
 - Added argument for warmstart of dual potentials in Sinkhorn-based methods in `ot.bregman` (PR #437)
 - Add parameters method in `ot.da.SinkhornTransport` (PR #440)
+- `ot.dr` now uses the new Pymanopt API and POT is compatible with current
+  Pymanopt (PR #443)
 
 #### Closed issues
 

docs/requirements_rtd.txt

@@ -9,7 +9,6 @@ scipy>=1.0
 cython
 matplotlib
 autograd
-pymanopt==0.2.4; python_version <'3'
-pymanopt; python_version >= '3'
+pymanopt
 cvxopt
 scikit-learn

ot/dr.py

@@ -17,10 +17,10 @@
 
 from scipy import linalg
 import autograd.numpy as np
-from pymanopt.function import Autograd
-from pymanopt.manifolds import Stiefel
-from pymanopt import Problem
-from pymanopt.solvers import SteepestDescent, TrustRegions
+
+import pymanopt
+import pymanopt.manifolds
+import pymanopt.optimizers
 
 
 def dist(x1, x2):
@@ -38,8 +38,8 @@ def sinkhorn(w1, w2, M, reg, k):
     ui = np.ones((M.shape[0],))
     vi = np.ones((M.shape[1],))
     for i in range(k):
-        vi = w2 / (np.dot(K.T, ui))
-        ui = w1 / (np.dot(K, vi))
+        vi = w2 / (np.dot(K.T, ui) + 1e-50)
+        ui = w1 / (np.dot(K, vi) + 1e-50)
     G = ui.reshape((M.shape[0], 1)) * K * vi.reshape((1, M.shape[1]))
     return G
 
@@ -222,7 +222,9 @@ def wda(X, y, p=2, reg=1, k=10, solver=None, sinkhorn_method='sinkhorn', maxiter
     else:
         regmean = np.ones((len(xc), len(xc)))
 
-    @Autograd
+    manifold = pymanopt.manifolds.Stiefel(d, p)
+
+    @pymanopt.function.autograd(manifold)
     def cost(P):
         # wda loss
         loss_b = 0
@@ -243,21 +245,21 @@ def cost(P):
         return loss_w / loss_b
 
     # declare manifold and problem
-    manifold = Stiefel(d, p)
-    problem = Problem(manifold=manifold, cost=cost)
+
+    problem = pymanopt.Problem(manifold=manifold, cost=cost)
 
     # declare solver and solve
     if solver is None:
-        solver = SteepestDescent(maxiter=maxiter, logverbosity=verbose)
+        solver = pymanopt.optimizers.SteepestDescent(max_iterations=maxiter, log_verbosity=verbose)
     elif solver in ['tr', 'TrustRegions']:
-        solver = TrustRegions(maxiter=maxiter, logverbosity=verbose)
+        solver = pymanopt.optimizers.TrustRegions(max_iterations=maxiter, log_verbosity=verbose)
 
-    Popt = solver.solve(problem, x=P0)
+    Popt = solver.run(problem, initial_point=P0)
 
     def proj(X):
-        return (X - mx.reshape((1, -1))).dot(Popt)
+        return (X - mx.reshape((1, -1))).dot(Popt.point)
 
-    return Popt, proj
+    return Popt.point, proj
 
 
 def projection_robust_wasserstein(X, Y, a, b, tau, U0=None, reg=0.1, k=2, stopThr=1e-3, maxiter=100, verbose=0):

requirements.txt

@@ -2,8 +2,7 @@ numpy>=1.20
 scipy>=1.3
 matplotlib
 autograd
-pymanopt==0.2.4; python_version <'3'
-pymanopt==0.2.6rc1; python_version >= '3'
+pymanopt
 cvxopt
 scikit-learn
 torch