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Drop dependency on OptimalTransport and implement LP problem (#15)
Co-authored-by: David Widmann <devmotion@users.noreply.github.com>
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@@ -18,7 +18,7 @@ jobs: | |
strategy: | ||
matrix: | ||
version: | ||
- '1.4' | ||
- '1.3' | ||
- '1' | ||
- 'nightly' | ||
os: | ||
|
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function sqwasserstein(μ, ν, C, optimizer) | ||
P = optimal_transport_map(μ, ν, C, optimizer) | ||
return LinearAlgebra.dot(P, C) | ||
end | ||
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""" | ||
optimal_transport_map(μ, ν, C, optimizer) | ||
Solve the discrete optimal transport problem with source `μ`, target `ν`, and | ||
cost matrix `C` as a linear programming (LP) problem with the given `optimizer`. | ||
More concretely, this function returns a solution `P` of the LP problem | ||
```math | ||
\\begin{aligned} | ||
\\min_{p} c^T p & \\\\ | ||
\\text{subject to } A_1p &= μ \\\\ | ||
A_2p &= ν \\\\ | ||
0 &\\leq p | ||
\\end{aligned} | ||
``` | ||
where | ||
```math | ||
\\begin{aligned} | ||
p &= [P_{1,1},P_{2,1},\\ldots,P_{n,1},P_{2,1},\\ldots,P_{n,m}]^T, \\\\ | ||
c &= [C_{1,1},C_{2,1},\\ldots,C_{n,1},C_{2,1},\\ldots,C_{n,m}]^T, \\\\ | ||
A_1 &= \\begin{bmatrix} | ||
1_n^T \\otimes I_m | ||
\\end{bmatrix}, \\\\ | ||
A_2 &= \\begin{bmatrix} | ||
I_n \\otimes 1_m^T | ||
\\end{bmatrix}. | ||
\\end{aligned} | ||
``` | ||
A possible choice of `optimizer` is `Tulip.Optimizer()` in the `Tulip` package. | ||
""" | ||
function optimal_transport_map(μ, ν, C, model::MOI.ModelLike) | ||
nμ = length(μ) | ||
nν = length(ν) | ||
size(C) == (nμ, nν) || error("size of `C` does not match size of `μ` and `ν`") | ||
nC = length(C) | ||
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# define variables | ||
x = MOI.add_variables(model, nC) | ||
xmat = reshape(x, nμ, nν) | ||
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# define objective function | ||
T = eltype(C) | ||
zero_T = zero(T) | ||
MOI.set( | ||
model, | ||
MOI.ObjectiveFunction{MOI.ScalarAffineFunction{T}}(), | ||
MOI.ScalarAffineFunction(MOI.ScalarAffineTerm.(vec(C), x), zero_T), | ||
) | ||
MOI.set(model, MOI.ObjectiveSense(), MOI.MIN_SENSE) | ||
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# add constraints | ||
for xi in x | ||
MOI.add_constraint(model, MOI.SingleVariable(xi), MOI.GreaterThan(zero_T)) | ||
end | ||
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# add constraints for source | ||
for (xs, μi) in zip(eachrow(xmat), μ) | ||
f = MOI.ScalarAffineFunction( | ||
[MOI.ScalarAffineTerm(one(μi), xi) for xi in xs], zero(μi) | ||
) | ||
MOI.add_constraint(model, f, MOI.EqualTo(μi)) | ||
end | ||
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# add constraints for target | ||
for (xs, νi) in zip(eachcol(xmat), ν) | ||
f = MOI.ScalarAffineFunction( | ||
[MOI.ScalarAffineTerm(one(νi), xi) for xi in xs], zero(νi) | ||
) | ||
MOI.add_constraint(model, f, MOI.EqualTo(νi)) | ||
end | ||
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# compute optimal solution | ||
MOI.optimize!(model) | ||
p = MOI.get(model, MOI.VariablePrimal(), x) | ||
P = reshape(p, nμ, nν) | ||
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return P | ||
end |
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@testset "optimaltransport.jl" begin | ||
M = 200 | ||
N = 250 | ||
μ = rand(M) | ||
ν = rand(N) | ||
μ ./= sum(μ) | ||
ν ./= sum(ν) | ||
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# create random cost matrix | ||
C = pairwise(SqEuclidean(), rand(1, M), rand(1, N); dims=2) | ||
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# compute optimal transport map and cost with OptimalTransport.jl | ||
P_ot = emd(μ, ν, C, Tulip.Optimizer()) | ||
cost_ot = emd2(μ, ν, C, Tulip.Optimizer()) | ||
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# compute optimal transport map and squared Wasserstein distance | ||
lp = Tulip.Optimizer() | ||
P = optimal_transport_map(μ, ν, C, lp) | ||
@test size(C) == size(P) | ||
@test MOI.get(lp, MOI.TerminationStatus()) == MOI.OPTIMAL | ||
@test maximum(abs, P .- P_ot) < 1e-2 | ||
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lp = Tulip.Optimizer() | ||
cost = sqwasserstein(μ, ν, C, lp) | ||
@test dot(C, P) ≈ cost atol = 1e-5 | ||
@test MOI.get(lp, MOI.TerminationStatus()) == MOI.OPTIMAL | ||
@test cost ≈ cost_ot atol = 1e-5 | ||
end |
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