Improved Rate of First Order Algorithms for Entropic Optimal Transport

This paper improves the state-of-the-art rate of a first-order algorithm for solving entropy regularized optimal transport. The resulting rate for approximating the optimal transport (OT) has been improved from widetildeO(n2.5/ε) to widetildeO(n2/ε), where n is the problem size and ε is the accuracy level. In particular, we propose an accelerated primal-dual stochastic mirror descent algorithm with variance reduction. Such special design helps us improve the rate compared to other accelerated primal-dual algorithms. We further propose a batch version of our stochastic algorithm, which improves the computational performance through parallel computing. To compare, we prove that the computational complexity of the Stochastic Sinkhorn algorithm is widetildeO(n2/ε2), which is slower than our accelerated primal-dual stochastic mirror algorithm. Experiments are done using synthetic and real data, and the results match our theoretical rates. Our algorithm may inspire more research to develop accelerated primal-dual algorithms that have rate widetildeO(n2/ε) for solving OT.