Compressed online Sinkhorn

The use of optimal transport (OT) distances, and in particular entropic-regularised OT distances, is an increasingly popular evaluation metric in many areas of machine learning and data science. Their use has largely been driven by the availability of efficient algorithms such as the Sinkhorn algorithm. One of the drawbacks of the Sinkhorn algorithm for large-scale data processing is that it is a two-phase method, where one first draws a large stream of data from the probability distributions, before applying the Sinkhorn algorithm to the discrete probability measures. More recently, there have been several works developing stochastic versions of Sinkhorn that directly handle continuous streams of data. In this work, we revisit the recently introduced online Sinkhorn algorithm of [Mensch and Peyr'e, 2020]. Our contributions are twofold: We improve the convergence analysis for the online Sinkhorn algorithm, the new rate that we obtain is faster than the previous rate under certain parameter choices. We also present numerical results to verify the sharpness of our result. Secondly, we propose the compressed online Sinkhorn algorithm which combines measure compression techniques with the online Sinkhorn algorithm. We provide numerical experiments to show practical numerical gains, as well as theoretical guarantees on the efficiency of our approach.