Statistical and Computational Guarantees of Kernel Max-Sliced Wasserstein Distances

Optimal transport has been very successful for various machine learning tasks; however, it is known to suffer from the curse of dimensionality. Hence, dimensionality reduction is desirable when applied to high-dimensional data with low-dimensional structures. The kernel max-sliced (KMS) Wasserstein distance is developed for this purpose by finding an optimal nonlinear mapping that reduces data into one dimension before computing the Wasserstein distance. However, its theoretical properties have not yet been fully developed. In this paper, we provide sharp finite-sample guarantees under milder technical assumptions compared with state-of-the-art for the KMS $p$-Wasserstein distance between two empirical distributions with n samples for general $p\in[1,\infty)$. Algorithm-wise, we show that computing the KMS 2-Wasserstein distance is NP-hard, and then we further propose a semidefinite relaxation (SDR) formulation (which can be solved efficiently in polynomial time) and provide a relaxation gap for the SDP solution. We provide numerical examples to demonstrate the good performance of our scheme for high-dimensional two-sample testing.

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