# Copyright OTT-JAX
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
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# See the License for the specific language governing permissions and
# limitations under the License.
import abc
import functools
import math
from typing import Any, Callable, Dict, Optional, Tuple, Union
import jax
import jax.numpy as jnp
import jaxopt
import numpy as np
from ott.math import fixed_point_loop, matrix_square_root
from ott.math import utils as mu
__all__ = [
"PNormP",
"SqPNorm",
"Euclidean",
"SqEuclidean",
"Cosine",
"Arccos",
"ElasticL1",
"ElasticL2",
"ElasticSTVS",
"ElasticSqKOverlap",
"Bures",
"UnbalancedBures",
"SoftDTW",
]
[docs]
@jax.tree_util.register_pytree_node_class
class CostFn(abc.ABC):
"""Base class for all costs.
Cost functions evaluate a function on a pair of inputs. For convenience,
that function is split into two norms -- evaluated on each input separately --
followed by a pairwise cost that involves both inputs, as in:
.. math::
c(x, y) = norm(x) + norm(y) + pairwise(x, y)
If the :attr:`norm` function is not implemented, that value is handled as
:math:`0`, and only :func:`pairwise` is used.
"""
# no norm function created by default.
norm: Optional[Callable[[jnp.ndarray], Union[float, jnp.ndarray]]] = None
[docs]
@abc.abstractmethod
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute cost between :math:`x` and :math:`y`.
Args:
x: Array.
y: Array.
Returns:
The cost.
"""
[docs]
def barycenter(self, weights: jnp.ndarray,
xs: jnp.ndarray) -> Tuple[jnp.ndarray, Any]:
"""Barycentric operator.
Args:
weights: Convex set of weights.
xs: Points.
Returns:
A list, whose first element is the barycenter of `xs` using `weights`
coefficients, followed by auxiliary information on the convergence of
the algorithm.
"""
raise NotImplementedError("Barycenter is not implemented.")
@classmethod
def _padder(cls, dim: int) -> jnp.ndarray:
"""Create a padding vector of adequate dimension, well-suited to a cost.
Args:
dim: Dimensionality of the data.
Returns:
The padding vector.
"""
return jnp.zeros((1, dim))
def __call__(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute cost between :math:`x` and :math:`y`.
Args:
x: Array.
y: Array.
Returns:
The cost, optionally including the :attr:`norms <norm>` of
:math:`x`/:math:`y`.
"""
cost = self.pairwise(x, y)
if self.norm is None:
return cost
return cost + self.norm(x) + self.norm(y)
[docs]
def all_pairs(self, x: jnp.ndarray, y: jnp.ndarray) -> jnp.ndarray:
"""Compute matrix of all pairwise costs, including the :attr:`norms <norm>`.
Args:
x: Array of shape ``[n, ...]``.
y: Array of shape ``[m, ...]``.
Returns:
Array of shape ``[n, m]`` of cost evaluations.
"""
return jax.vmap(lambda x_: jax.vmap(lambda y_: self(x_, y_))(y))(x)
[docs]
def all_pairs_pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> jnp.ndarray:
"""Compute matrix of all pairwise costs, excluding the :attr:`norms <norm>`.
Args:
x: Array of shape ``[n, ...]``.
y: Array of shape ``[m, ...]``.
Returns:
Array of shape ``[n, m]`` of cost evaluations.
"""
return jax.vmap(lambda x_: jax.vmap(lambda y_: self.pairwise(x_, y_))(y))(x)
[docs]
def twist_operator(
self, vec: jnp.ndarray, dual_vec: jnp.ndarray, variable: bool
) -> jnp.ndarray:
r"""Twist inverse operator of the cost function.
Given a cost function :math:`c`, the twist operator returns
:math:`\nabla_{1}c(x, \cdot)^{-1}(z)` if ``variable`` is ``0``,
and :math:`\nabla_{2}c(\cdot, y)^{-1}(z)` if ``variable`` is ``1``, for
:math:`x=y` equal to ``vec`` and :math:`z` equal to ``dual_vec``.
Args:
vec: ``[p,]`` point at which the twist inverse operator is evaluated.
dual_vec: ``[q,]`` point to invert by the operator.
variable: apply twist inverse operator on first (i.e. value set to ``0``
or equivalently ``False``) or second (``1`` or ``True``) variable.
Returns:
A vector.
"""
raise NotImplementedError("Twist operator is not implemented.")
def tree_flatten(self): # noqa: D102
return (), None
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
del aux_data
return cls(*children)
@jax.tree_util.register_pytree_node_class
class TICost(CostFn):
"""Base class for translation invariant (TI) costs.
Such costs are defined using a function :math:`h`, mapping vectors to
real-values, to be used as:
.. math::
c(x, y) = h(z), z := x - y.
If that cost function is used to form an Entropic map using the
:cite:`brenier:91` theorem, then the user should ensure :math:`h` is
strictly convex, as well as provide the Legendre transform of :math:`h`,
whose gradient is necessarily the inverse of the gradient of :math:`h`.
"""
@abc.abstractmethod
def h(self, z: jnp.ndarray) -> float:
"""TI function acting on difference of :math:`x-y` to output cost.
Args:
z: Array of shape ``[d,]``.
Returns:
The cost.
"""
def h_legendre(self, z: jnp.ndarray) -> float:
"""Legendre transform of :func:`h` when it is convex."""
raise NotImplementedError("Legendre transform of `h` is not implemented.")
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute cost as evaluation of :func:`h` on :math:`x-y`."""
return self.h(x - y)
def twist_operator(
self, vec: jnp.ndarray, dual_vec: jnp.ndarray, variable: bool
) -> jnp.ndarray:
# Note: when `h` is pair, i.e. h(z) = h(-z), the expressions below coincide
if variable:
return vec + jax.grad(self.h_legendre)(-dual_vec)
return vec - jax.grad(self.h_legendre)(dual_vec)
[docs]
@jax.tree_util.register_pytree_node_class
class SqPNorm(TICost):
r"""Squared p-norm of the difference of two vectors.
Uses custom implementation of `norm` to avoid `NaN` values when
differentiating the norm of `x-x`.
Args:
p: Power of the p-norm, :math:`\ge 1`.
"""
def __init__(self, p: float):
super().__init__()
self.p = p
self.q = 1.0 / (1.0 - (1.0 / p)) if p > 1.0 else jnp.inf
[docs]
def h(self, z: jnp.ndarray) -> float: # noqa: D102
return 0.5 * mu.norm(z, self.p) ** 2
[docs]
def h_legendre(self, z: jnp.ndarray) -> float:
"""Legendre transform of :func:`h`.
For details on the derivation, see e.g., :cite:`boyd:04`, p. 93/94.
"""
return 0.5 * mu.norm(z, self.q) ** 2
def tree_flatten(self): # noqa: D102
return (), (self.p,)
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
del children
return cls(*aux_data)
[docs]
@jax.tree_util.register_pytree_node_class
class PNormP(TICost):
r"""p-norm to the power p (and divided by p) of the difference of two vectors.
Uses custom implementation of `norm` to avoid `NaN` values when
differentiating the norm of `x-x`.
Args:
p: Power of the p-norm in :math:`[1, +\infty)`.
Note that :func:`h_legendre` is not defined for ``p = 1``.
"""
def __init__(self, p: float):
super().__init__()
self.p = p
self.q = 1.0 / (1.0 - (1.0 / p)) if p > 1.0 else jnp.inf
[docs]
def h(self, z: jnp.ndarray) -> float: # noqa: D102
return mu.norm(z, self.p) ** self.p / self.p
[docs]
def h_legendre(self, z: jnp.ndarray) -> float: # noqa: D102
# not defined for `p=1`
return mu.norm(z, self.q) ** self.q / self.q
[docs]
def barycenter(self, weights: jnp.ndarray,
xs: jnp.ndarray) -> Tuple[jnp.ndarray, Any]:
"""Output barycenter of vectors."""
return jnp.average(xs, weights=weights, axis=0), None
def tree_flatten(self): # noqa: D102
return (), (self.p,)
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
del children
return cls(*aux_data)
[docs]
@jax.tree_util.register_pytree_node_class
class Euclidean(CostFn):
"""Euclidean distance.
Note that the Euclidean distance is not cast as a
:class:`~ott.geometry.costs.TICost`, since this would correspond to :math:`h`
being :func:`jax.numpy.linalg.norm`, whose gradient is not invertible,
because the function is not strictly convex (it is linear on rays).
"""
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute Euclidean norm using custom jvp implementation.
Here we use a custom jvp implementation for the norm that does not yield
`NaN` gradients when differentiating the norm of `(x-x)`, but defaults
instead to zero, using a `custom_jvp` rule.
"""
return mu.norm(x - y)
[docs]
@jax.tree_util.register_pytree_node_class
class SqEuclidean(TICost):
r"""Squared Euclidean distance.
Implemented as a translation invariant cost, :math:`h(z) = \|z\|^2`.
"""
[docs]
def norm(self, x: jnp.ndarray) -> Union[float, jnp.ndarray]:
"""Compute squared Euclidean norm for vector."""
return jnp.sum(x ** 2, axis=-1)
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute minus twice the dot-product between vectors."""
return -2.0 * jnp.vdot(x, y)
[docs]
def h(self, z: jnp.ndarray) -> float: # noqa: D102
return jnp.sum(z ** 2)
[docs]
def h_legendre(self, z: jnp.ndarray) -> float: # noqa: D102
return 0.25 * jnp.sum(z ** 2)
[docs]
def barycenter(self, weights: jnp.ndarray,
xs: jnp.ndarray) -> Tuple[jnp.ndarray, Any]:
"""Output barycenter of vectors when using squared-Euclidean distance."""
return jnp.average(xs, weights=weights, axis=0), None
[docs]
@jax.tree_util.register_pytree_node_class
class Cosine(CostFn):
"""Cosine distance cost function.
Args:
ridge: Ridge regularization.
"""
def __init__(self, ridge: float = 1e-8):
super().__init__()
self._ridge = ridge
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Cosine distance between vectors, denominator regularized with ridge."""
x_norm = jnp.linalg.norm(x, axis=-1)
y_norm = jnp.linalg.norm(y, axis=-1)
cosine_similarity = jnp.vdot(x, y) / (x_norm * y_norm + self._ridge)
return 1.0 - cosine_similarity
@classmethod
def _padder(cls, dim: int) -> jnp.ndarray:
return jnp.ones((1, dim))
[docs]
@jax.tree_util.register_pytree_node_class
class Arccos(CostFn):
r"""Arc-cosine cost function :cite:`cho:09`.
The cost is implemented as:
.. math::
c_n(x, y) = -\log(\frac{1}{\pi} \|x\|^n \|y\|^n J_n(\theta))
where :math:`\theta := \arccos(\frac{x \cdot y}{\|x\| \|y\|})` and
:math:`J_n(\theta) := (-1)^n (\sin \theta)^{2n + 1}
(\frac{1}{\sin \theta}\frac{\partial}{\partial \theta})^n
(\frac{\pi - \theta}{\sin \theta})`.
Args:
n: Order of the kernel. For :math:`n > 2`, successive applications of
:func:`~jax.grad` are used to compute the :math:`J_n(\theta)`.
ridge: Ridge regularization.
"""
def __init__(self, n: int, ridge: float = 1e-8):
self.n = n
self._ridge = ridge
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray): # noqa: D102
x_norm = jnp.linalg.norm(x, axis=-1)
y_norm = jnp.linalg.norm(y, axis=-1)
cosine_similarity = jnp.vdot(x, y) / (x_norm * y_norm + self._ridge)
theta = jnp.arccos(cosine_similarity)
if self.n == 0:
m = 1.0 - theta / jnp.pi
elif self.n == 1:
j = jnp.sin(theta) + (jnp.pi - theta) * jnp.cos(theta)
m = (x_norm * y_norm) * (j / jnp.pi)
elif self.n == 2:
j = 3.0 * jnp.sin(theta) * jnp.cos(theta) + (jnp.pi - theta) * (
1.0 + 2.0 * jnp.cos(theta) ** 2
)
m = (x_norm * y_norm) ** 2 * (j / jnp.pi)
else:
j = self._j(theta) # less optimized version using autodiff
m = (x_norm * y_norm) ** self.n * (j / jnp.pi)
return -jnp.log(m + self._ridge)
@jax.jit
def _j(self, theta: float) -> float:
def f(t: float, i: int) -> float:
if i == 0:
return (jnp.pi - t) / jnp.sin(t)
return jax.grad(f)(t, i - 1) / jnp.sin(t)
n = self.n
return (-1) ** n * jnp.sin(theta) ** (2.0 * n + 1.0) * f(theta, n)
def tree_flatten(self): # noqa: D102
return [], {"n": self.n, "ridge": self._ridge}
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
del children
return cls(**aux_data)
class RegTICost(TICost, abc.ABC):
r"""Base class for regularized translation-invariant costs.
.. math::
\frac{1}{2} \|\cdot\|_2^2 + \text{scaling_reg} reg\left(matrix \cdot\right)
where :func:`reg` is the regularization function.
Args:
scaling_reg: Strength of the :meth:`regularization <reg>`.
matrix: :math:`p \times d` projection matrix in the Stiefel manifold,
namely with **orthonormalized rows**.
orthogonal: Whether to regularize in the orthogonal complement
to promote displacements in the span of ``matrix``.
"""
def __init__(
self,
scaling_reg: float = 1.0,
matrix: Optional[jnp.ndarray] = None,
orthogonal: bool = False,
):
super().__init__()
self.scaling_reg = scaling_reg
self.matrix = matrix
self.orthogonal = orthogonal
@abc.abstractmethod
def _reg(self, z: jnp.ndarray) -> float:
"""Regularization function."""
def _reg_stiefel_orth(self, z: jnp.ndarray) -> float:
raise NotImplementedError(
"Regularization in the orthogonal "
"subspace is not implemented."
)
def reg(self, z: jnp.ndarray) -> float:
"""Regularization function.
Args:
z: Array of shape ``[d,]``.
Returns:
The regularization value.
"""
if self.matrix is None:
return self._reg(z)
if self.orthogonal:
return self._reg_stiefel_orth(z)
return self._reg(self.matrix @ z)
def prox_reg(self, z: jnp.ndarray, tau: float = 1.0) -> jnp.ndarray:
"""Proximal operator of :meth:`reg`.
Args:
z: Array of shape ``[d,]``.
tau: Positive weight.
Returns:
The prox of ``z``.
"""
if self.matrix is None:
return self._prox_reg(z, tau)
if self.orthogonal:
# regularization in the orthogonal subspace
return self._prox_reg_stiefel_orth(z, tau)
return self._prox_reg_stiefel(z, tau)
def _prox_reg(self, z: jnp.ndarray, tau: float = 1.0) -> jnp.ndarray:
raise NotImplementedError("Proximal operator is not implemented.")
def _prox_reg_stiefel_orth(
self, z: jnp.ndarray, tau: float = 1.0
) -> jnp.ndarray:
def orth(x: jnp.ndarray) -> jnp.ndarray:
return x - self.matrix.T @ (self.matrix @ x)
# assumes `matrix` has orthogonal rows
tmp = orth(z)
return z - orth(tmp - self._prox_reg(tmp, tau))
def _prox_reg_stiefel(self, z: jnp.ndarray, tau: float) -> jnp.ndarray:
# assumes `matrix` has orthogonal rows
tmp = self.matrix @ z
return z - self.matrix.T @ (tmp - self._prox_reg(tmp, tau))
def prox_legendre_reg(self, z: jnp.ndarray, tau: float = 1.0) -> jnp.ndarray:
r"""Proximal operator of the Legendre transform of :meth:`reg`.
Uses Moreau's decomposition:
.. math::
x = \text{prox}_{\tau f} \left(x\right) +
\tau \text{prox}_{\frac{1}{\tau} f^*} \left(\frac{x}{\tau}\right)
Args:
z: Array of shape ``[d,]``.
tau: Positive weight.
Returns:
The prox of ``z``.
"""
return z - tau * self.prox_reg(z / tau, 1.0 / tau)
def h(self, z: jnp.ndarray) -> float: # noqa: D102
out = 0.5 * jnp.sum(z ** 2)
return out + self.scaling_reg * self.reg(z)
def h_legendre(self, z: jnp.ndarray) -> float: # noqa: D102
q = self.prox_reg(jax.lax.stop_gradient(z))
return jnp.sum(q * z) - self.h(q)
def h_transform(self, f: Callable[[jnp.ndarray], float],
**kwargs: Any) -> Callable[[jnp.ndarray], float]:
r"""Compute the h-transform of a concave function.
Return a callable :math:`f_h` defined as:
.. math::
f_h(x) = \min_y h(x - y) - f(y)
This is equivalent, up to a change of variables, :math:`z = x - y`, to
define
.. math::
\min_z h(z) - f(x - z). \\
\min_z h(z) + \tilde{f}(z, x).
where :math:`\tilde{f}(z, x) := -f(x - z)`.
This is solved using proximal gradient descent, which requires having
access to the prox of :math:`\text{scaling_h} \cdot h` and not only to that
of :meth:`h`. Given the properties of :meth:`h`, the prox is obtained by
rescaling the output of the prox of a suitable scaling of :meth:`prox_reg`.
Args:
f: Concave function.
kwargs: Keyword arguments for :class:`~jaxopt.ProximalGradient`.
Returns:
The h-transform of ``f``.
"""
def minus_f(z: jnp.ndarray, x: jnp.ndarray) -> float:
return -f(x - z)
def prox(
x: jnp.ndarray, scaling_reg: float, scaling_h: float
) -> jnp.ndarray:
# https://web.stanford.edu/~boyd/papers/pdf/prox_algs.pdf 2.2.
tmp = 1.0 / (1.0 + scaling_h)
tau = scaling_reg * scaling_h * tmp
return self.prox_reg(x * tmp, tau)
def f_h(x: jnp.ndarray) -> float:
pg = jaxopt.ProximalGradient(fun=minus_f, prox=prox, **kwargs)
pg_run = pg.run(x, self.scaling_reg, x=x)
pg_sol = jax.lax.stop_gradient(pg_run.params)
return self.h(pg_sol) + minus_f(pg_sol, x)
return f_h
def barycenter(self, weights: jnp.ndarray,
xs: jnp.ndarray) -> Tuple[jnp.ndarray, Any]:
"""Output barycenter of vectors."""
return jnp.average(xs, weights=weights, axis=0), None
def tree_flatten(self): # noqa: D102
return (self.scaling_reg, self.matrix), {"orthogonal": self.orthogonal}
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
return cls(*children, **aux_data)
[docs]
@jax.tree_util.register_pytree_node_class
class ElasticL1(RegTICost):
r"""Cost inspired by elastic net :cite:`zou:05` regularization.
.. math::
\frac{1}{2} \|\cdot\|_2^2 + \text{scaling_reg} \|\text{matrix} \cdot\|_1
Args:
scaling_reg: Strength of the :meth:`regularization <reg>`.
matrix: :math:`p \times d` projection matrix with **orthogonal rows**.
orthogonal: Whether to regularize in the orthogonal complement
to promote displacements in the span of ``matrix``.
"""
def _reg(self, z: jnp.ndarray) -> float: # noqa: D102
return jnp.linalg.norm(z, ord=1)
def _prox_reg(self, z: jnp.ndarray, tau: float = 1.0) -> jnp.ndarray:
return jnp.sign(z) * jax.nn.relu(jnp.abs(z) - tau * self.scaling_reg)
[docs]
@jax.tree_util.register_pytree_node_class
class ElasticL2(RegTICost):
r"""Cost with L2 regularization.
.. math::
\frac{1}{2} \|\cdot\|_2^2 + \text{scaling_reg} \|\text{matrix} \cdot\|_2^2
Args:
scaling_reg: Strength of the :meth:`regularization <reg>`.
matrix: :math:`p \times d` projection matrix with **orthogonal rows**.
orthogonal: Whether to regularize in the orthogonal complement
to promote displacements in the span of ``matrix``.
"""
def _reg(self, z: jnp.ndarray) -> float: # noqa: D102
return 0.5 * jnp.sum(z ** 2)
def _reg_stiefel_orth(self, z: jnp.ndarray) -> float:
# Pythagorean identity
return self._reg(z) - self._reg(self.matrix @ z)
def _prox_reg(self, z: jnp.ndarray, tau: float = 1.0) -> jnp.ndarray:
return z / (1.0 + tau * self.scaling_reg)
def _prox_reg_stiefel_orth(
self, z: jnp.ndarray, tau: float = 1.0
) -> jnp.ndarray:
out = z + tau * self.scaling_reg * self.matrix.T @ (self.matrix @ z)
return self._prox_reg(out, tau)
[docs]
@jax.tree_util.register_pytree_node_class
class ElasticSTVS(RegTICost):
r"""Cost with soft thresholding operator with vanishing shrinkage (STVS)
:cite:`schreck:15` regularization.
.. math::
\frac{1}{2} \|\cdot\|_2^2 + \text{scaling_reg}^2\mathbf{1}_d^T\left(\sigma(\cdot) -
\frac{1}{2} \exp\left(-2\sigma(\cdot)\right) + \frac{1}{2}\right)
where :math:`\sigma(\cdot) := \text{asinh}\left(\frac{\cdot}
{2\text{scaling_reg}}\right)`
Args:
scaling_reg: Strength of the :meth:`regularization <reg>`.
matrix: :math:`p \times d` projection matrix with **orthogonal rows**.
orthogonal: Whether to regularize in the orthogonal complement
to promote displacements in the span of ``matrix``.
""" # noqa: D205,E501
def _reg(self, z: jnp.ndarray) -> float: # noqa: D102
u = jnp.arcsinh(jnp.abs(z) / (2 * self.scaling_reg))
out = u - 0.5 * jnp.exp(-2.0 * u)
# Lemma 2.1 of `schreck:15`;
# don't use `self.scaling_reg ** 2` because it's included in `h`
return self.scaling_reg * jnp.sum(out + 0.5) # make positive
def _prox_reg( # noqa: D102
self, z: jnp.ndarray, tau: float = 1.0
) -> jnp.ndarray:
tmp = 1.0 - (self.scaling_reg * tau / (jnp.abs(z) + 1e-12)) ** 2
return jax.nn.relu(tmp) * z
[docs]
@jax.tree_util.register_pytree_node_class
class ElasticSqKOverlap(RegTICost):
r"""Cost with squared k-overlap norm regularization :cite:`argyriou:12`.
.. math::
\frac{1}{2} \|\cdot\|_2^2 + \frac{1}{2} \text{scaling_reg} \|\cdot\|_{ovk}^2
where :math:`\|\cdot\|_{ovk}^2` is the squared k-overlap norm,
see def. 2.1 of :cite:`argyriou:12`.
Args:
k: Number of groups. Must be in ``[0, d)`` where :math:`d` is the
dimensionality of the data.
args: Positional arguments for :class:`~ott.geometry.costs.RegTICost`.
kwargs: Keyword arguments for :class:`~ott.geometry.costs.RegTICost`.
"""
def __init__(self, k: int, *args, **kwargs: Any):
super().__init__(*args, **kwargs)
self.k = k
def _reg(self, z: jnp.ndarray) -> float: # noqa: D102
# Prop 2.1 in :cite:`argyriou:12`
k = self.k
top_w = jax.lax.top_k(jnp.abs(z), k)[0] # Fetch largest k values
top_w = jnp.flip(top_w) # Sort k-largest from smallest to largest
# sum (dim - k) smallest values
sum_bottom = jnp.sum(jnp.abs(z)) - jnp.sum(top_w)
cumsum_top = jnp.cumsum(top_w)
# Cesaro mean of top_w (each term offset with sum_bottom).
cesaro = sum_bottom + cumsum_top
cesaro /= jnp.arange(k) + 1
# Choose first index satisfying constraint in Prop 2.1
lower_bound = cesaro - top_w >= 0
# Last upper bound is always True.
upper_bound = jnp.concatenate(((top_w[1:] - cesaro[:-1]
> 0), jnp.array((True,))))
r = jnp.argmax(lower_bound * upper_bound)
s = jnp.sum(jnp.where(jnp.arange(k) < k - r - 1, jnp.flip(top_w) ** 2, 0))
return 0.5 * (s + (r + 1) * cesaro[r] ** 2)
[docs]
def prox_reg(self, z: jnp.ndarray, tau: float = 1.0) -> float: # noqa: D102
@functools.partial(jax.vmap, in_axes=[0, None, None])
def find_indices(r: int, l: jnp.ndarray,
z: jnp.ndarray) -> Tuple[jnp.ndarray, jnp.ndarray]:
@functools.partial(jax.vmap, in_axes=[None, 0, None])
def inner(r: int, l: int,
z: jnp.ndarray) -> Tuple[jnp.ndarray, jnp.ndarray]:
i = k - r - 1
res = jnp.sum(z * ((i <= ixs) & (ixs < l)))
res /= l - k + (beta + 1) * r + beta + 1
cond1_left = jnp.logical_or(i == 0, (z[i - 1] / beta + 1) > res)
cond1_right = res >= (z[i] / (beta + 1))
cond1 = jnp.logical_and(cond1_left, cond1_right)
cond2_left = z[l - 1] > res
cond2_right = jnp.logical_or(l == d, res >= z[l])
cond2 = jnp.logical_and(cond2_left, cond2_right)
return res, cond1 & cond2
return inner(r, l, z)
del tau # this case is not handled and currently not needed
# Alg. 1 of :cite:`argyriou:12`
k, d, beta = self.k, z.shape[-1], 1.0 / self.scaling_reg
ixs = jnp.arange(d)
z, sgn = jnp.abs(z), jnp.sign(z)
z_ixs = jnp.argsort(z)[::-1]
z_sorted = z[z_ixs]
# (k, d - k + 1)
T, mask = find_indices(jnp.arange(k), jnp.arange(k, d + 1), z_sorted)
(r,), (l,) = jnp.where(mask, size=1) # size=1 for jitting
T = T[r, l]
q1 = (beta / (beta + 1)) * z_sorted * (ixs < (k - r - 1))
q2 = (z_sorted - T) * jnp.logical_and((k - r - 1) <= ixs, ixs < (l + k))
q = q1 + q2
# change sign and reorder
return sgn * q[jnp.argsort(z_ixs.astype(float))]
def tree_flatten(self): # noqa: D102
children, aux_data = super().tree_flatten()
return children, (self.k, aux_data)
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
k, aux_data = aux_data
return cls(k, *children, **aux_data)
[docs]
@jax.tree_util.register_pytree_node_class
class Bures(CostFn):
"""Bures distance between a pair of (mean, covariance matrix).
Args:
dimension: Dimensionality of the data.
sqrtm_kw: Dictionary of keyword arguments to control the
behavior of inner calls to :func:`~ott.math.matrix_square_root.sqrtm`.
"""
def __init__(self, dimension: int, sqrtm_kw: Optional[Dict[str, Any]] = None):
super().__init__()
self._dimension = dimension
self._sqrtm_kw = {} if sqrtm_kw is None else sqrtm_kw
[docs]
def norm(self, x: jnp.ndarray) -> jnp.ndarray:
"""Compute norm of Gaussian, sq. 2-norm of mean + trace of covariance."""
mean, cov = x_to_means_and_covs(x, self._dimension)
norm = jnp.sum(mean ** 2, axis=-1)
norm += jnp.trace(cov, axis1=-2, axis2=-1)
return norm
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute - 2 x Bures dot-product."""
mean_x, cov_x = x_to_means_and_covs(x, self._dimension)
mean_y, cov_y = x_to_means_and_covs(y, self._dimension)
mean_dot_prod = jnp.vdot(mean_x, mean_y)
sq_x = matrix_square_root.sqrtm(cov_x, self._dimension, **self._sqrtm_kw)[0]
sq_x_y_sq_x = jnp.matmul(sq_x, jnp.matmul(cov_y, sq_x))
sq__sq_x_y_sq_x = matrix_square_root.sqrtm(
sq_x_y_sq_x, self._dimension, **self._sqrtm_kw
)[0]
return -2 * (mean_dot_prod + jnp.trace(sq__sq_x_y_sq_x, axis1=-2, axis2=-1))
[docs]
def covariance_fixpoint_iter(
self,
covs: jnp.ndarray,
weights: jnp.ndarray,
tolerance: float = 1e-4,
sqrtm_kw: Optional[Dict[str, Any]] = None,
**kwargs: Any
) -> jnp.ndarray:
"""Iterate fix-point updates to compute barycenter of Gaussians.
Args:
covs: [batch, d^2] covariance matrices
weights: simplicial weights (non-negative, sum to 1)
tolerance: tolerance of the fixed-point procedure. That tolerance is
applied to the Frobenius norm (normalized by total size)
of two successive iterations of the algorithm
sqrtm_kw: keyword arguments for :func:`~ott.math.matrix_square_root.sqrtm`
kwargs: keyword arguments for the outer fixed-point iteration
Returns:
List containing Weighted Bures average of the covariance matrices, and
vector of (normalized) 2-norms of successive differences between iterates,
to monitor convergence.
"""
sqrtm_kw = {} if sqrtm_kw is None else sqrtm_kw
# Pop values or set defaults for fixed-point loop.
min_iterations = kwargs.pop("min_iterations", 1)
max_iterations = kwargs.pop("max_iterations", 100)
inner_iterations = kwargs.pop("inner_iterations", 5)
@functools.partial(jax.vmap, in_axes=[None, 0, 0])
def scale_covariances(
cov_sqrt: jnp.ndarray, cov: jnp.ndarray, weight: jnp.ndarray
) -> jnp.ndarray:
"""Rescale covariance in barycenter step."""
return weight * matrix_square_root.sqrtm_only((cov_sqrt @ cov) @ cov_sqrt,
**sqrtm_kw)
def cond_fn(iteration: int, constants: Tuple[Any, ...], state) -> bool:
del constants
_, diffs = state
return diffs[iteration // inner_iterations] > tolerance
def body_fn(
iteration: int, constants: Tuple[Any, ...],
state: Tuple[jnp.ndarray, float], compute_error: bool
) -> Tuple[jnp.ndarray, float]:
del constants, compute_error
cov, diffs = state
cov_sqrt, cov_inv_sqrt, _ = matrix_square_root.sqrtm(cov, **sqrtm_kw)
scaled_cov = jnp.linalg.matrix_power(
jnp.sum(scale_covariances(cov_sqrt, covs, weights), axis=0), 2
)
next_cov = (cov_inv_sqrt @ scaled_cov) @ cov_inv_sqrt
diff = jnp.sum((next_cov - cov) ** 2) / jnp.prod(jnp.array(cov.shape))
diffs = diffs.at[iteration // inner_iterations].set(diff)
return next_cov, diffs
def init_state() -> Tuple[jnp.ndarray, float]:
cov_init = jnp.eye(self._dimension)
diffs = -jnp.ones(math.ceil(max_iterations / inner_iterations))
return cov_init, diffs
cov, diffs = fixed_point_loop.fixpoint_iter(
cond_fn=cond_fn,
body_fn=body_fn,
min_iterations=min_iterations,
max_iterations=max_iterations,
inner_iterations=inner_iterations,
constants=(),
state=init_state(),
)
return cov, diffs
[docs]
def barycenter(
self,
weights: jnp.ndarray,
xs: jnp.ndarray,
tolerance: float = 1e-4,
sqrtm_kw: Optional[Dict[str, Any]] = None,
**kwargs: Any
) -> Tuple[jnp.ndarray, jnp.ndarray]:
"""Compute the Bures barycenter of weighted Gaussian distributions.
Implements the fixed point approach proposed in :cite:`alvarez-esteban:16`
for the computation of the mean and the covariance of the barycenter of
weighted Gaussian distributions.
Args:
weights: The barycentric weights.
xs: The points to be used in the computation of the barycenter, where
each point is described by a concatenation of the mean and the
covariance (raveled).
tolerance: convergence tolerance to control the termination of the
algorithm.
sqrtm_kw: Arguments passed on to the
:func:`~ott.math.matrix_square_root.sqrtm` function used within
:meth:`covariance_fixpoint_iter`. This defines the precision
(in terms of convergence threshold, and number of iterations) of the
matrix square root calls that are used at each outer iteration of
the computation of Gaussian barycenters. These values are, by default,
the same as those used to define the Bures cost object itself.
kwargs: Passed on to :meth:`covariance_fixpoint_iter`, to specify the
number of iterations and tolerance of the fixed-point iteration of the
barycenter routine, by parameterizing `tolerance` and other relevant
arguments passed on to :func:`~ott.math.fixed_point_loop.fixpoint_iter`,
namely `min_iterations`, `max_iterations` and `inner_iterations`.
Returns:
A list holding a concatenation of the mean and the raveled covariance
of the barycenter as its first element, followed by a vector of
norms of successive differences in iterates.
"""
# Ensure that barycentric weights sum to 1.
weights = weights / jnp.sum(weights)
mus, covs = x_to_means_and_covs(xs, self._dimension)
mu_bary = jnp.sum(weights[:, None] * mus, axis=0)
cov_bary, diffs = self.covariance_fixpoint_iter(
covs=covs,
weights=weights,
tolerance=tolerance,
sqrtm_kw=sqrtm_kw if sqrtm_kw is not None else self._sqrtm_kw,
**kwargs
)
return mean_and_cov_to_x(mu_bary, cov_bary, self._dimension), diffs
@classmethod
def _padder(cls, dim: int) -> jnp.ndarray:
dimension = int((-1 + math.sqrt(1 + 4 * dim)) / 2)
padding = mean_and_cov_to_x(
jnp.zeros((dimension,)), jnp.eye(dimension), dimension
)
return padding[jnp.newaxis, :]
def tree_flatten(self): # noqa: D102
return (), (self._dimension, self._sqrtm_kw)
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
del children
return cls(*aux_data)
[docs]
@jax.tree_util.register_pytree_node_class
class UnbalancedBures(CostFn):
"""Unbalanced Bures distance between two triplets of `(mass, mean, cov)`.
This cost uses the notation defined in :cite:`janati:20`, eq. 37, 39, 40.
Args:
dimension: Dimensionality of the data.
sigma: Entropic regularization.
gamma: KL-divergence regularization for the marginals.
kwargs: Keyword arguments for :func:`~ott.math.matrix_square_root.sqrtm`.
"""
def __init__(
self,
dimension: int,
*,
sigma: float = 1.0,
gamma: float = 1.0,
**kwargs: Any,
):
super().__init__()
self._dimension = dimension
self._sigma = sigma
self._gamma = gamma
self._sqrtm_kw = kwargs
[docs]
def norm(self, x: jnp.ndarray) -> jnp.ndarray:
"""Compute norm of Gaussian for unbalanced Bures.
Args:
x: Array of shape ``[n_points + n_points + n_dim ** 2,]``, potentially
batched, corresponding to the raveled mass, means and the covariance
matrix.
Returns:
The norm, array of shape ``[]`` or ``[batch,]`` in the batched case.
"""
return self._gamma * x[..., 0]
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float:
"""Compute dot-product for unbalanced Bures.
Args:
x: Array of shape ``[n_points + n_points + n_dim ** 2,]``
corresponding to the raveled mass, means and the covariance matrix.
y: Array of shape ``[n_points + n_points + n_dim ** 2,]``
corresponding to the raveled mass, means and the covariance matrix.
Returns:
The cost.
"""
# Sets a few constants
gam = self._gamma
sig2 = self._sigma ** 2
lam = sig2 + gam / 2.0
tau = gam / (2.0 * lam)
# Extracts mass, mean vector, covariance matrices
mass_x, mass_y = x[0], y[0]
mean_x, cov_x = x_to_means_and_covs(x[1:], self._dimension)
mean_y, cov_y = x_to_means_and_covs(y[1:], self._dimension)
diff_means = mean_x - mean_y
# Identity matrix of suitable size
iden = jnp.eye(self._dimension)
# Creates matrices needed in the computation
tilde_a = 0.5 * gam * (iden - lam * jnp.linalg.inv(cov_x + lam * iden))
tilde_b = 0.5 * gam * (iden - lam * jnp.linalg.inv(cov_y + lam * iden))
tilde_a_b = jnp.matmul(tilde_a, tilde_b)
c_mat = matrix_square_root.sqrtm(
1 / tau * tilde_a_b + 0.25 * (sig2 ** 2) * iden, **self._sqrtm_kw
)[0]
c_mat -= 0.5 * sig2 * iden
# Computes log determinants (their sign should be >0).
sldet_c, ldet_c = jnp.linalg.slogdet(c_mat)
sldet_t_ab, ldet_t_ab = jnp.linalg.slogdet(tilde_a_b)
sldet_ab, ldet_ab = jnp.linalg.slogdet(jnp.matmul(cov_x, cov_y))
sldet_c_ab, ldet_c_ab = jnp.linalg.slogdet(c_mat - 2.0 * tilde_a_b / gam)
# Gathers all these results to compute log total mass of transport
log_m_pi = (0.5 * self._dimension * sig2 / (gam + sig2)) * jnp.log(sig2)
log_m_pi += (1.0 / (tau + 1.0)) * (
jnp.log(mass_x) + jnp.log(mass_y) + ldet_c + 0.5 *
(tau * ldet_t_ab - ldet_ab)
)
log_m_pi += -jnp.sum(
diff_means * jnp.linalg.solve(cov_x + cov_y + lam * iden, diff_means)
) / (2.0 * (tau + 1.0))
log_m_pi += -0.5 * ldet_c_ab
# if all logdet signs are 1, output value, nan otherwise
pos_signs = (sldet_c + sldet_c_ab + sldet_t_ab + sldet_t_ab) == 4
return jax.lax.cond(
pos_signs, lambda: 2 * sig2 * mass_x * mass_y - 2 *
(sig2 + gam) * jnp.exp(log_m_pi), lambda: jnp.nan
)
def tree_flatten(self): # noqa: D102
return (), (self._dimension, self._sigma, self._gamma, self._sqrtm_kw)
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
del children
dim, sigma, gamma, kwargs = aux_data
return cls(dim, sigma=sigma, gamma=gamma, **kwargs)
[docs]
@jax.tree_util.register_pytree_node_class
class SoftDTW(CostFn):
"""Soft dynamic time warping (DTW) cost :cite:`cuturi:17`.
Args:
gamma: Smoothing parameter :math:`> 0` for the soft-min operator.
ground_cost: Ground cost function. If ``None``,
use :class:`~ott.geometry.costs.SqEuclidean`.
debiased: Whether to compute the debiased soft-DTW :cite:`blondel:21`.
"""
def __init__(
self,
gamma: float,
ground_cost: Optional[CostFn] = None,
debiased: bool = False
):
self.gamma = gamma
self.ground_cost = SqEuclidean() if ground_cost is None else ground_cost
self.debiased = debiased
[docs]
def pairwise(self, x: jnp.ndarray, y: jnp.ndarray) -> float: # noqa: D102
c_xy = self._soft_dtw(x, y)
if self.debiased:
return c_xy - 0.5 * (self._soft_dtw(x, x) + self._soft_dtw(y, y))
return c_xy
def _soft_dtw(self, t1: jnp.ndarray, t2: jnp.ndarray) -> float:
def body(
carry: Tuple[jnp.ndarray, jnp.ndarray],
current_antidiagonal: jnp.ndarray
) -> Tuple[Tuple[jnp.ndarray, jnp.ndarray], jnp.ndarray]:
# modified from: https://github.com/khdlr/softdtw_jax
two_ago, one_ago = carry
diagonal, right, down = two_ago[:-1], one_ago[:-1], one_ago[1:]
best = mu.softmin(
jnp.stack([diagonal, right, down], axis=-1), self.gamma, axis=-1
)
next_row = best + current_antidiagonal
next_row = jnp.pad(next_row, (1, 0), constant_values=jnp.inf)
return (one_ago, next_row), next_row
t1 = t1[:, None] if t1.ndim == 1 else t1
t2 = t2[:, None] if t2.ndim == 1 else t2
dist = self.ground_cost.all_pairs(t1, t2)
n, m = dist.shape
if n < m:
dist = dist.T
n, m = m, n
model_matrix = jnp.full((n + m - 1, n), fill_value=jnp.inf)
mask = np.tri(n + m - 1, n, k=0, dtype=bool)
mask = mask & mask[::-1, ::-1]
model_matrix = model_matrix.T.at[mask.T].set(dist.ravel()).T
init = (
jnp.pad(model_matrix[0], (1, 0), constant_values=jnp.inf),
jnp.pad(
model_matrix[1] + model_matrix[0, 0], (1, 0),
constant_values=jnp.inf
)
)
(_, carry), _ = jax.lax.scan(body, init, model_matrix[2:])
return carry[-1]
def tree_flatten(self): # noqa: D102
return (self.gamma, self.ground_cost), {"debiased": self.debiased}
@classmethod
def tree_unflatten(cls, aux_data, children): # noqa: D102
return cls(*children, **aux_data)
def x_to_means_and_covs(x: jnp.ndarray,
dimension: int) -> Tuple[jnp.ndarray, jnp.ndarray]:
"""Extract means and covariance matrices of Gaussians from raveled vector.
Args:
x: [num_gaussians, dimension, (1 + dimension)] array of concatenated means
and covariances (raveled) dimension: the dimension of the Gaussians.
dimension: Dimensionality of the Gaussians.
Returns:
Means and covariances of shape ``[num_gaussian, dimension]``.
"""
x = jnp.atleast_2d(x)
means = x[:, :dimension]
covariances = jnp.reshape(
x[:, dimension:dimension + dimension ** 2], (-1, dimension, dimension)
)
return jnp.squeeze(means), jnp.squeeze(covariances)
def mean_and_cov_to_x(
mean: jnp.ndarray, covariance: jnp.ndarray, dimension: int
) -> jnp.ndarray:
"""Ravel a Gaussian's mean and covariance matrix to d(1 + d) vector."""
return jnp.concatenate(
(mean, jnp.reshape(covariance, (dimension * dimension)))
)
