Merge pull request #58 from rflamary/speedup

Speedup Sinkhorn with einsum + bench

Author: rflamary

Makefile

@@ -1,6 +1,7 @@
 
 
 PYTHON=python3
+branch := $(shell git symbolic-ref --short -q HEAD)
 
 help :
 	@echo "The following make targets are available:"
@@ -57,6 +58,16 @@ rdoc :
 notebook :
 	ipython notebook --matplotlib=inline  --notebook-dir=notebooks/
 
+bench : 
+	@git stash  >/dev/null 2>&1
+	@echo 'Branch master'
+	@git checkout master >/dev/null 2>&1
+	python3 $(script)
+	@echo 'Branch $(branch)'
+	@git checkout $(branch) >/dev/null 2>&1
+	python3 $(script)
+	@git stash apply >/dev/null 2>&1
+	
 autopep8 :
 	autopep8 -ir test ot examples --jobs -1
 

ot/bregman.py

@@ -350,7 +350,6 @@ def sinkhorn_knopp(a, b, M, reg, numItermax=1000,
     np.exp(K, out=K)
 
     # print(np.min(K))
-    tmp = np.empty(K.shape, dtype=M.dtype)
     tmp2 = np.empty(b.shape, dtype=M.dtype)
 
     Kp = (1 / a).reshape(-1, 1) * K
@@ -359,6 +358,7 @@ def sinkhorn_knopp(a, b, M, reg, numItermax=1000,
     while (err > stopThr and cpt < numItermax):
         uprev = u
         vprev = v
+
         KtransposeU = np.dot(K.T, u)
         v = np.divide(b, KtransposeU)
         u = 1. / np.dot(Kp, v)
@@ -379,11 +379,9 @@ def sinkhorn_knopp(a, b, M, reg, numItermax=1000,
                 err = np.sum((u - uprev)**2) / np.sum((u)**2) + \
                     np.sum((v - vprev)**2) / np.sum((v)**2)
             else:
-                np.multiply(u.reshape(-1, 1), K, out=tmp)
-                np.multiply(tmp, v.reshape(1, -1), out=tmp)
-                np.sum(tmp, axis=0, out=tmp2)
-                tmp2 -= b
-                err = np.linalg.norm(tmp2)**2
+                # compute right marginal tmp2= (diag(u)Kdiag(v))^T1
+                np.einsum('i,ij,j->j', u, K, v, out=tmp2)
+                err = np.linalg.norm(tmp2 - b)**2  # violation of marginal
             if log:
                 log['err'].append(err)
 
@@ -398,10 +396,7 @@ def sinkhorn_knopp(a, b, M, reg, numItermax=1000,
         log['v'] = v
 
     if nbb:  # return only loss
-        res = np.zeros((nbb))
-        for i in range(nbb):
-            res[i] = np.sum(
-                u[:, i].reshape((-1, 1)) * K * v[:, i].reshape((1, -1)) * M)
+        res = np.einsum('ik,ij,jk,ij->k', u, K, v, M)
         if log:
             return res, log
         else: