introduce multivariate cdf / quantiles #447
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Additional details and impacted files@@ Coverage Diff @@
## main #447 +/- ##
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+ Coverage 90.56% 90.59% +0.02%
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Files 57 57
Lines 6256 6274 +18
Branches 884 888 +4
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+ Hits 5666 5684 +18
Misses 448 448
Partials 142 142
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michalk8
requested changes
Oct 25, 2023
michalk8
requested changes
Oct 25, 2023
marcocuturi
commented
Oct 25, 2023
| @@ -499,31 +500,33 @@ def multivariate_cdf_quantile_maps( | |||
| to be uniform by default. | |||
| kwargs: keyword arguments passed on to the :func:`~ott.solvers.linear.solve` | |||
| function, which solves the OT problem between ``inputs`` and ``targets`` | |||
| using the Sinkhorn algorithm. | |||
| using the :class:`~ott.solvers.linear.sinkhorn.Sinkhorn` algorithm. | |||
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here i wasn't sure about the reference, because we use solve... that being said, probably not a good idea to use LR on this, because would crash :) so maybe an instance where we should force kwargs to only refer to sinkhorn...
| @@ -479,12 +480,12 @@ def multivariate_cdf_quantile_maps( | |||
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| Args: | |||
| inputs: 2D array of ``[n, d]`` vectors. | |||
| target_sampler: Callable that takes a ``key`` and ``[m,d]`` shape. | |||
| target_sampler: Callable that takes a ``rng`` and ``[m, d]`` shape. | |||
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sorry about this one!!!
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thanks a lot for the last fixes Michal! |
marcocuturi
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Oct 25, 2023
* introduce multiv cdf / quantiles * fix online memory * incorporate feedback from review * various fixes * remove doi * adding jittability * adding docs * Fix docstrings * Update test * Fix spellchecker --------- Co-authored-by: Michal Klein <[email protected]>
michalk8
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Oct 25, 2023
* Bump `jax>=0.4` * Update Docker image * Change GPU test name * Fix typo * Don't pre-allocate memory on GPU * Update step name * Fix GPU device number and jax installation * introduce multivariate cdf / quantiles (#447) (#449) * introduce multiv cdf / quantiles * fix online memory * incorporate feedback from review * various fixes * remove doi * adding jittability * adding docs * Fix docstrings * Update test * Fix spellchecker --------- Co-authored-by: Michal Klein <[email protected]>
michalk8
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Jun 27, 2024
* introduce multiv cdf / quantiles * fix online memory * incorporate feedback from review * various fixes * remove doi * adding jittability * adding docs * Fix docstrings * Update test * Fix spellchecker --------- Co-authored-by: Michal Klein <[email protected]>
michalk8
added a commit
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Jun 27, 2024
* Bump `jax>=0.4` * Update Docker image * Change GPU test name * Fix typo * Don't pre-allocate memory on GPU * Update step name * Fix GPU device number and jax installation * introduce multivariate cdf / quantiles (#447) (#449) * introduce multiv cdf / quantiles * fix online memory * incorporate feedback from review * various fixes * remove doi * adding jittability * adding docs * Fix docstrings * Update test * Fix spellchecker --------- Co-authored-by: Michal Klein <[email protected]>
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The idea comes from the great work of Marc Hallin and colleagues
https://arxiv.org/abs/1412.8434
The implementation essentially relies on entropic maps (Pooladian/Niles Weed) to approximate both CDF and Quantiles Monge maps (forward and backward between input measure and reference/uniform measure).
We can expect performance to degrade with dimension + sensitivity w.r.t. epsilon, and this can be observed in tests (hence fairly loose
atolvalues).