The sample complexity of learning transport maps

Series
Stochastics Seminar
Time
Thursday, March 30, 2023 - 3:30pm for 1 hour (actually 50 minutes)
Location
Skiles 006
Speaker
Philippe Rigollet – Massachusetts Institute of Technology
Organizer
Cheng Mao

Optimal transport has recently found applications in a variety of fields ranging from graphics to biology. Underlying these applications is a new statistical paradigm where the goal is to couple multiple data sources. It gives rise to interesting new questions ranging from the design of estimators to minimax rates of convergence. I will review several applications where the central problem consists in estimating transport maps. After studying optimal transport as a potential solution, I will argue that its entropic version is a good alternative model. In particular, it completely escapes the curse of dimensionality that plagues statistical optimal transport.