Merge pull request #123 from rflamary/bug_dual

[WIP] Bug on dual potential (constraint violation when some weights are 0)

Author: rflamary

ot/lp/__init__.py

@@ -23,11 +23,158 @@
 from .cvx import barycenter
 from ..utils import dist
 
-__all__=['emd', 'emd2', 'barycenter', 'free_support_barycenter', 'cvx',
-         'emd_1d', 'emd2_1d', 'wasserstein_1d']
+__all__ = ['emd', 'emd2', 'barycenter', 'free_support_barycenter', 'cvx',
+           'emd_1d', 'emd2_1d', 'wasserstein_1d']
 
 
-def emd(a, b, M, numItermax=100000, log=False, dense=True):
+def center_ot_dual(alpha0, beta0, a=None, b=None):
+    r"""Center dual OT potentials w.r.t. theirs weights
+
+    The main idea of this function is to find unique dual potentials
+    that ensure some kind of centering/fairness. The main idea is to find dual potentials that lead to the same final objective value for both source and targets (see below for more details). It will help having
+    stability when multiple calling of the OT solver with small changes.
+
+    Basically we add another constraint to the potential that will not
+    change the objective value but will ensure unicity. The constraint
+    is the following:
+
+    .. math::
+        \alpha^T a= \beta^T b
+
+    in addition to the OT problem constraints.
+
+    since :math:`\sum_i a_i=\sum_j b_j` this can be solved by adding/removing
+    a constant from both  :math:`\alpha_0` and :math:`\beta_0`.
+
+    .. math::
+        c=\frac{\beta0^T b-\alpha_0^T a}{1^Tb+1^Ta}
+
+        \alpha=\alpha_0+c
+
+        \beta=\beta0+c
+
+    Parameters
+    ----------
+    alpha0 : (ns,) numpy.ndarray, float64
+        Source dual potential
+    beta0 : (nt,) numpy.ndarray, float64
+        Target dual potential
+    a : (ns,) numpy.ndarray, float64
+        Source histogram (uniform weight if empty list)
+    b : (nt,) numpy.ndarray, float64
+        Target histogram (uniform weight if empty list)
+
+    Returns
+    -------
+    alpha : (ns,) numpy.ndarray, float64
+        Source centered dual potential
+    beta : (nt,) numpy.ndarray, float64
+        Target centered dual potential
+
+    """
+    # if no weights are provided, use uniform
+    if a is None:
+        a = np.ones(alpha0.shape[0]) / alpha0.shape[0]
+    if b is None:
+        b = np.ones(beta0.shape[0]) / beta0.shape[0]
+
+    # compute constant that balances the weighted sums of the duals
+    c = (b.dot(beta0) - a.dot(alpha0)) / (a.sum() + b.sum())
+
+    # update duals
+    alpha = alpha0 + c
+    beta = beta0 - c
+
+    return alpha, beta
+
+
+def estimate_dual_null_weights(alpha0, beta0, a, b, M):
+    r"""Estimate feasible values for 0-weighted dual potentials
+
+    The feasible values are computed efficiently but rather coarsely.
+
+    .. warning::
+        This function is necessary because the C++ solver in emd_c
+        discards all samples in the distributions with 
+        zeros weights. This means that while the primal variable (transport 
+        matrix) is exact, the solver only returns feasible dual potentials
+        on the samples with weights different from zero. 
+
+    First we compute the constraints violations:
+
+    .. math::
+        V=\alpha+\beta^T-M
+
+    Next we compute the max amount of violation per row (alpha) and
+    columns (beta)
+
+    .. math::
+        v^a_i=\max_j V_{i,j}
+
+        v^b_j=\max_i V_{i,j}
+
+    Finally we update the dual potential with 0 weights if a
+    constraint is violated
+
+    .. math::
+        \alpha_i = \alpha_i -v^a_i \quad \text{ if } a_i=0 \text{ and } v^a_i>0
+
+        \beta_j = \beta_j -v^b_j \quad \text{ if } b_j=0 \text{ and } v^b_j>0
+
+    In the end the dual potentials are centered using function
+    :ref:`center_ot_dual`.
+
+    Note that all those updates do not change the objective value of the
+    solution but provide dual potentials that do not violate the constraints.
+
+    Parameters
+    ----------
+    alpha0 : (ns,) numpy.ndarray, float64
+        Source dual potential
+    beta0 : (nt,) numpy.ndarray, float64
+        Target dual potential
+    alpha0 : (ns,) numpy.ndarray, float64
+        Source dual potential
+    beta0 : (nt,) numpy.ndarray, float64
+        Target dual potential
+    a : (ns,) numpy.ndarray, float64
+        Source distribution (uniform weights if empty list)
+    b : (nt,) numpy.ndarray, float64
+        Target distribution (uniform weights if empty list)
+    M : (ns,nt) numpy.ndarray, float64
+        Loss matrix (c-order array with type float64)
+
+    Returns
+    -------
+    alpha : (ns,) numpy.ndarray, float64
+        Source corrected dual potential
+    beta : (nt,) numpy.ndarray, float64
+        Target corrected dual potential
+
+    """
+
+    # binary indexing of non-zeros weights
+    asel = a != 0
+    bsel = b != 0
+
+    # compute dual constraints violation
+    constraint_violation = alpha0[:, None] + beta0[None, :] - M
+
+    # Compute largest violation per line and columns
+    aviol = np.max(constraint_violation, 1)
+    bviol = np.max(constraint_violation, 0)
+
+    # update corrects violation of
+    alpha_up = -1 * ~asel * np.maximum(aviol, 0)
+    beta_up = -1 * ~bsel * np.maximum(bviol, 0)
+
+    alpha = alpha0 + alpha_up
+    beta = beta0 + beta_up
+
+    return center_ot_dual(alpha, beta, a, b)
+
+
+def emd(a, b, M, numItermax=100000, log=False, dense=True, center_dual=True):
     r"""Solves the Earth Movers distance problem and returns the OT matrix
 
 
@@ -43,7 +190,7 @@ def emd(a, b, M, numItermax=100000, log=False, dense=True):
     - a and b are the sample weights
 
     .. warning::
-        Note that the M matrix needs to be a C-order numpy.array in float64 
+        Note that the M matrix needs to be a C-order numpy.array in float64
         format.
 
     Uses the algorithm proposed in [1]_
@@ -66,6 +213,9 @@ def emd(a, b, M, numItermax=100000, log=False, dense=True):
         If True, returns math:`\gamma` as a dense ndarray of shape (ns, nt).
         Otherwise returns a sparse representation using scipy's `coo_matrix`
         format.
+    center_dual: boolean, optional (default=True)
+        If True, centers the dual potential using function
+        :ref:`center_ot_dual`.
 
     Returns
     -------
@@ -107,7 +257,6 @@ def emd(a, b, M, numItermax=100000, log=False, dense=True):
     b = np.asarray(b, dtype=np.float64)
     M = np.asarray(M, dtype=np.float64)
 
-
     # if empty array given then use uniform distributions
     if len(a) == 0:
         a = np.ones((M.shape[0],), dtype=np.float64) / M.shape[0]
@@ -117,11 +266,27 @@ def emd(a, b, M, numItermax=100000, log=False, dense=True):
     assert (a.shape[0] == M.shape[0] and b.shape[0] == M.shape[1]), \
         "Dimension mismatch, check dimensions of M with a and b"
 
+    asel = a != 0
+    bsel = b != 0
+
     if dense:
-        G, cost, u, v, result_code = emd_c(a, b, M, numItermax,dense)
+        G, cost, u, v, result_code = emd_c(a, b, M, numItermax, dense)
+
+        if center_dual:
+            u, v = center_ot_dual(u, v, a, b)
+
+        if np.any(~asel) or np.any(~bsel):
+            u, v = estimate_dual_null_weights(u, v, a, b, M)
+
     else:
-        Gv, iG, jG, cost, u, v, result_code = emd_c(a, b, M, numItermax,dense)
-        G = coo_matrix((Gv, (iG, jG)), shape=(a.shape[0], b.shape[0]))        
+        Gv, iG, jG, cost, u, v, result_code = emd_c(a, b, M, numItermax, dense)
+        G = coo_matrix((Gv, (iG, jG)), shape=(a.shape[0], b.shape[0]))
+
+        if center_dual:
+            u, v = center_ot_dual(u, v, a, b)
+
+        if np.any(~asel) or np.any(~bsel):
+            u, v = estimate_dual_null_weights(u, v, a, b, M)
 
     result_code_string = check_result(result_code)
     if log:
@@ -136,7 +301,8 @@ def emd(a, b, M, numItermax=100000, log=False, dense=True):
 
 
 def emd2(a, b, M, processes=multiprocessing.cpu_count(),
-         numItermax=100000, log=False, dense=True, return_matrix=False):
+         numItermax=100000, log=False, dense=True, return_matrix=False,
+         center_dual=True):
     r"""Solves the Earth Movers distance problem and returns the loss
 
     .. math::
@@ -151,7 +317,7 @@ def emd2(a, b, M, processes=multiprocessing.cpu_count(),
     - a and b are the sample weights
 
     .. warning::
-        Note that the M matrix needs to be a C-order numpy.array in float64 
+        Note that the M matrix needs to be a C-order numpy.array in float64
         format.
 
     Uses the algorithm proposed in [1]_
@@ -177,7 +343,10 @@ def emd2(a, b, M, processes=multiprocessing.cpu_count(),
     dense: boolean, optional (default=True)
         If True, returns math:`\gamma` as a dense ndarray of shape (ns, nt).
         Otherwise returns a sparse representation using scipy's `coo_matrix`
-        format.       
+        format.
+    center_dual: boolean, optional (default=True)
+        If True, centers the dual potential using function
+        :ref:`center_ot_dual`.
 
     Returns
     -------
@@ -221,7 +390,7 @@ def emd2(a, b, M, processes=multiprocessing.cpu_count(),
 
     # problem with pikling Forks
     if sys.platform.endswith('win32'):
-        processes=1
+        processes = 1
 
     # if empty array given then use uniform distributions
     if len(a) == 0:
@@ -232,13 +401,22 @@ def emd2(a, b, M, processes=multiprocessing.cpu_count(),
     assert (a.shape[0] == M.shape[0] and b.shape[0] == M.shape[1]), \
         "Dimension mismatch, check dimensions of M with a and b"
 
+    asel = a != 0
+
     if log or return_matrix:
         def f(b):
+            bsel = b != 0
             if dense:
-                G, cost, u, v, result_code = emd_c(a, b, M, numItermax,dense)
+                G, cost, u, v, result_code = emd_c(a, b, M, numItermax, dense)
             else:
-                Gv, iG, jG, cost, u, v, result_code = emd_c(a, b, M, numItermax,dense)
-                G = coo_matrix((Gv, (iG, jG)), shape=(a.shape[0], b.shape[0]))                
+                Gv, iG, jG, cost, u, v, result_code = emd_c(a, b, M, numItermax, dense)
+                G = coo_matrix((Gv, (iG, jG)), shape=(a.shape[0], b.shape[0]))
+
+            if center_dual:
+                u, v = center_ot_dual(u, v, a, b)
+
+            if np.any(~asel) or np.any(~bsel):
+                u, v = estimate_dual_null_weights(u, v, a, b, M)
 
             result_code_string = check_result(result_code)
             log = {}
@@ -251,11 +429,18 @@ def f(b):
             return [cost, log]
     else:
         def f(b):
+            bsel = b != 0
             if dense:
-                G, cost, u, v, result_code = emd_c(a, b, M, numItermax,dense)
+                G, cost, u, v, result_code = emd_c(a, b, M, numItermax, dense)
             else:
-                Gv, iG, jG, cost, u, v, result_code = emd_c(a, b, M, numItermax,dense)
-                G = coo_matrix((Gv, (iG, jG)), shape=(a.shape[0], b.shape[0]))                
+                Gv, iG, jG, cost, u, v, result_code = emd_c(a, b, M, numItermax, dense)
+                G = coo_matrix((Gv, (iG, jG)), shape=(a.shape[0], b.shape[0]))
+
+            if center_dual:
+                u, v = center_ot_dual(u, v, a, b)
+
+            if np.any(~asel) or np.any(~bsel):
+                u, v = estimate_dual_null_weights(u, v, a, b, M)
 
             result_code_string = check_result(result_code)
             check_result(result_code)
@@ -265,15 +450,14 @@ def f(b):
         return f(b)
     nb = b.shape[1]
 
-    if processes>1:
+    if processes > 1:
         res = parmap(f, [b[:, i] for i in range(nb)], processes)
     else:
         res = list(map(f, [b[:, i].copy() for i in range(nb)]))
 
     return res
 
 
-
 def free_support_barycenter(measures_locations, measures_weights, X_init, b=None, weights=None, numItermax=100, stopThr=1e-7, verbose=False, log=None):
     """
     Solves the free support (locations of the barycenters are optimized, not the weights) Wasserstein barycenter problem (i.e. the weighted Frechet mean for the 2-Wasserstein distance)
@@ -326,7 +510,7 @@ def free_support_barycenter(measures_locations, measures_weights, X_init, b=None
     k = X_init.shape[0]
     d = X_init.shape[1]
     if b is None:
-        b = np.ones((k,))/k
+        b = np.ones((k,)) / k
     if weights is None:
         weights = np.ones((N,)) / N
 
@@ -337,7 +521,7 @@ def free_support_barycenter(measures_locations, measures_weights, X_init, b=None
 
     displacement_square_norm = stopThr + 1.
 
-    while ( displacement_square_norm > stopThr and iter_count < numItermax ):
+    while (displacement_square_norm > stopThr and iter_count < numItermax):
 
         T_sum = np.zeros((k, d))
 
@@ -347,7 +531,7 @@ def free_support_barycenter(measures_locations, measures_weights, X_init, b=None
             T_i = emd(b, measure_weights_i, M_i)
             T_sum = T_sum + weight_i * np.reshape(1. / b, (-1, 1)) * np.matmul(T_i, measure_locations_i)
 
-        displacement_square_norm = np.sum(np.square(T_sum-X))
+        displacement_square_norm = np.sum(np.square(T_sum - X))
         if log:
             displacement_square_norms.append(displacement_square_norm)
 

ot/lp/emd_wrap.pyx

@@ -40,6 +40,8 @@ def check_result(result_code):
     return message
 
 
+
+
 @cython.boundscheck(False)
 @cython.wraparound(False)
 def emd_c(np.ndarray[double, ndim=1, mode="c"] a, np.ndarray[double, ndim=1, mode="c"]  b, np.ndarray[double, ndim=2, mode="c"]  M, int max_iter, bint dense):
@@ -64,6 +66,12 @@ def emd_c(np.ndarray[double, ndim=1, mode="c"] a, np.ndarray[double, ndim=1, mod
     .. warning::
         Note that the M matrix needs to be a C-order :py.cls:`numpy.array`
 
+    .. warning::
+        The C++ solver discards all samples in the distributions with 
+        zeros weights. This means that while the primal variable (transport 
+        matrix) is exact, the solver only returns feasible dual potentials
+        on the samples with weights different from zero. 
+
     Parameters
     ----------
     a : (ns,) numpy.ndarray, float64

test/test_ot.py

@@ -338,6 +338,10 @@ def test_dual_variables():
     np.testing.assert_almost_equal(cost1, log['cost'])
     check_duality_gap(a, b, M, G, log['u'], log['v'], log['cost'])
 
+    constraint_violation = log['u'][:, None] + log['v'][None, :] - M
+
+    assert constraint_violation.max() < 1e-8
+
 
 def check_duality_gap(a, b, M, G, u, v, cost):
     cost_dual = np.vdot(a, u) + np.vdot(b, v)