Jie Wang 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 … Read more
We consider the variable selection problem for two-sample tests, aiming to select the most informative variables to determine whether two collections of samples follow the same distribution. To address this, we propose a novel framework based on the kernel maximum mean discrepancy (MMD). Our approach seeks a subset of variables with a pre-specified size that … Read more
We study distributionally robust optimization with Sinkhorn distance—a variant of Wasserstein distance based on entropic regularization. We derive a convex programming dual reformulation for general nominal distributions, transport costs, and loss functions. To solve the dual reformulation, we develop a stochastic mirror descent algorithm with biased subgradient estimators and derive its computational complexity guarantees. Finally, … Read more