Abstract:
In this paper, we focus on computational aspects of the Wasserstein barycenter problem. We propose two algorithms to compute Wasserstein barycenters of m discrete measures of size n with accuracy \e. The first algorithm, based on mirror prox with a specific norm, meets the complexity of celebrated accelerated iterative Bregman projections (IBP), namely \widetilde O(mn^2\sqrt n/\e), however, with no limitations in contrast to the (accelerated) IBP, which is numerically unstable under small regularization parameter. The second algorithm, based on area-convexity and dual extrapolation, improves the previously best-known convergence rates for the Wasserstein barycenter problem enjoying \widetilde O(mn^2/\e) complexity.
