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Poster
Parallel Streaming Wasserstein Barycenters
Matt Staib · Sebastian Claici · Justin Solomon · Stefanie Jegelka

Tue Dec 05 06:30 PM -- 10:30 PM (PST) @ Pacific Ballroom #184
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Efficiently aggregating data from different sources is a challenging problem, particularly when samples from each source are distributed differently. These differences can be inherent to the inference task or present for other reasons: sensors in a sensor network may be placed far apart, affecting their individual measurements. Conversely, it is computationally advantageous to split Bayesian inference tasks across subsets of data, but data need not be identically distributed across subsets. One principled way to fuse probability distributions is via the lens of optimal transport: the Wasserstein barycenter is a single distribution that summarizes a collection of input measures while respecting their geometry. However, computing the barycenter scales poorly and requires discretization of all input distributions and the barycenter itself. Improving on this situation, we present a scalable, communication-efficient, parallel algorithm for computing the Wasserstein barycenter of arbitrary distributions. Our algorithm can operate directly on continuous input distributions and is optimized for streaming data. Our method is even robust to nonstationary input distributions and produces a barycenter estimate that tracks the input measures over time. The algorithm is semi-discrete, needing to discretize only the barycenter estimate. To the best of our knowledge, we also provide the first bounds on the quality of the approximate barycenter as the discretization becomes finer. Finally, we demonstrate the practical effectiveness of our method, both in tracking moving distributions on a sphere, as well as in a large-scale Bayesian inference task.

Keywords: MCMC · Convex Optimization · Probabilistic Methods · Distributed Inference

Author Information

Matt Staib (MIT)
Sebastian Claici (MIT)
Justin Solomon (MIT)
Stefanie Jegelka (MIT)

Stefanie Jegelka is an X-Consortium Career Development Assistant Professor in the Department of EECS at MIT. She is a member of the Computer Science and AI Lab (CSAIL), the Center for Statistics and an affiliate of the Institute for Data, Systems and Society and the Operations Research Center. Before joining MIT, she was a postdoctoral researcher at UC Berkeley, and obtained her PhD from ETH Zurich and the Max Planck Institute for Intelligent Systems. Stefanie has received a Sloan Research Fellowship, an NSF CAREER Award, a DARPA Young Faculty Award, the German Pattern Recognition Award and a Best Paper Award at the International Conference for Machine Learning (ICML). Her research interests span the theory and practice of algorithmic machine learning.

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