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Efficient Neural Network Approaches for Conditional Optimal Transport: Discussion and Reference by@bayesianinference

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by Bayesian InferenceApril 15th, 2024

This paper is available on arxiv under CC 4.0 license.

**Authors:**

(1) Zheyu Oliver Wang, Department of Aeronautics and Astronautics, Massachusetts Institute of Technology, Cambridge, MA and [email protected];

(2) Ricardo Baptista, Computing + Mathematical Sciences, California Institute of Technology, Pasadena, CA and [email protected];

(3) Youssef Marzouk, Department of Aeronautics and Astronautics, Massachusetts Institute of Technology, Cambridge, MA and [email protected];

(4) Lars Ruthotto, Department of Mathematics, Emory University, Atlanta, GA and [email protected];

(5) Deepanshu Verma, Department of Mathematics, Emory University, Atlanta, GA and [email protected].

- Abstract & Introduction
- Background and Related Work
- Partially Convex Potential Maps (PCP-Map) for Conditional OT
- Conditional OT flow (COT-Flow)
- Implementation and Experimental Setup
- Numerical Experiments
- Discussion and Reference

We present two measure transport approaches, PCP-Map and COT-Flow, that learn conditional distributions by approximately solving the static and dynamic conditional optimal transport problems, respectively. Specifically, penalizing transport costs in the learning problem provides unique optimal transport maps, known as the conditional Brenier map, between the target conditional distribution and the reference. Furthermore, for PCP-Map, minimizing the quadratic transport costs motivate us to exploit the structure of the Brenier map by constraining the search to monotone maps given as the gradient of convex potentials. Similarly, for COT flow this choice leads to a conservative vector field, which we enforce by design.

Our comparison to the SMC-ABC approach for the stochastic Lotka-Volterra problem shows common trade-offs when selecting conditional sampling approaches. Advantages of the ABC approach include its strong theoretical guarantees and well-known guidelines for choosing the involved hyper-parameters (annealing, burn-in, number of samples to skip to reduce correlation, etc.). The disadvantages are that ABC typically requires a large number of likelihood evaluations to produce (approximately) i.i.d. samples and produce low-variance estimators in high-dimensional parameter

spaces; the computation is difficult to parallelize in the sequential Monte Carlo setting, and the sampling process is not amortized over the conditioning variable y∗, i.e., it needs to be recomputed whenever y∗ changes.

Comparisons to the flow-based NPE method for the high-dimensional 1D shallow water equations problem illustrate the superior numerical accuracy achieved by our approaches. In terms of numerical efficiency, the PCP-Map approach, while providing a working computational scheme to the static COT problem, achieves significantly faster convergence than the amortized CP-Flow approach.

Learning posterior distributions using our techniques or similar measure transport approaches is attractive for real-world applications where samples from the joint distributions are available (or can be generated efficiently), but evaluating the prior density or the likelihood model is intractable. Common examples where a non-intrusive approach for conditional sampling can be fruitful include inverse problems where the predictive model involves stochastic differential equations (as in subsection 6.2) or legacy code and imaging problems where only prior samples are available.

Given the empirical nature of our study, we paid particular attention to the setup and reproducibility of our numerical experiments. To show the robustness of our approaches to hyperparameters and to provide guidelines for hyperparameter selection in future experiments, we report the results of a simple two-step heuristic that randomly samples hyperparameters and identifies the most promising configurations after a small number of training steps. We stress that the same search space of hyperparameters is used across all numerical experiments.

The results of the shallow water dataset subsection 6.3 indicate that both methods can learn high-dimensional COT maps. Here, the number of effective parameters in the dataset was n = 14, and the number of effective measurements was m = 3500. Particularly worth noting is that PCPMap, on average, converges in around 715 seconds on this challenging high-dimensional problem.

Since both approaches perform similarly in our numerical experiments, we want to comment on some distinguishing factors. One advantage of the PCP-Map approach is that it only depends on three hyperparameters (feature width, context width, and network depth), and we observed consistent performance for most choices. This feature is particularly attractive when experimenting with new problems. The limitation is that a carefully designed network architecture needs to be imposed to guarantee partial convexity of the potential. On the other hand, the value function (i.e., the velocity field) in COT-Flow can be designed almost arbitrarily. Thus, the latter approach may be

beneficial when new data types and their invariances need to be modeled, e.g., permutation invariances or symmetries, that might conflict with the network architecture required by the direct transport map. Both approaches also differ in terms of their numerical implementation. Training the PCP-Map via backpropagation is relatively straightforward, but sampling requires solving a convex program, which can be more expensive than integrating the ODE defined by the COT-Flow approach, especially when that model is trained well, and the velocity is constant along trajectories. Training the COT-Flow model, however, is more involved due to the ODE constraints.

Although our numerical evidence supports the effectiveness of our methods, important remaining limitations of our approaches include the absence of theoretical guarantees for sample efficiency and optimization. In particular, statistical complexity and approximation theoretic analysis for approximating COT maps using PCP-Map or COT-Flow in a conditional sampling context will be beneficial. We also point out that it can be difficult to quantify the produced samples’ accuracy without a benchmark method.

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