PythonOT 8000 · rflamary · Apr 4, 2022 · Apr 1, 2022 · Apr 1, 2022 · Apr 1, 2022
diff --git a/RELEASES.md b/RELEASES.md
@@ -5,6 +5,8 @@
 
 #### New features
 
+- Add stochastic loss and OT plan computation for regularized OT and 
+  backend examples(PR #360).
 - Implementation of factored OT with emd and sinkhorn (PR #358).
 - A brand new logo for POT (PR #357)
 - Better list of related examples in quick start guide with `minigallery` (PR #334).

diff --git a/examples/backends/plot_dual_ot_pytorch.py b/examples/backends/plot_dual_ot_pytorch.py
@@ -0,0 +1,168 @@
+# -*- coding: utf-8 -*-
+r"""
+======================================================================
+Dual OT solvers for entropic and quadratic regularized OT with Pytorch
+======================================================================
+
+
+"""
+
+# Author: Remi Flamary <remi.flamary@polytechnique.edu>
+#
+# License: MIT License
+
+# sphinx_gallery_thumbnail_number = 3
+
+import numpy as np
+import matplotlib.pyplot as pl
+import torch
+import ot
+import ot.plot
+
+# %%
+# Data generation
+# ---------------
+
+torch.manual_seed(1)
+
+n_source_samples = 100
+n_target_samples = 100
+theta = 2 * np.pi / 20
+noise_level = 0.1
+
+Xs, ys = ot.datasets.make_data_classif(
+    'gaussrot', n_source_samples, nz=noise_level)
+Xt, yt = ot.datasets.make_data_classif(
+    'gaussrot', n_target_samples, theta=theta, nz=noise_level)
+
+# one of the target mode changes its variance (no linear mapping)
+Xt[yt == 2] *= 3
+Xt = Xt + 4
+
+
+# %%
+# Plot data
+# ---------
+
+pl.figure(1, (10, 5))
+pl.clf()
+pl.scatter(Xs[:, 0], Xs[:, 1], marker='+', label='Source samples')
+pl.scatter(Xt[:, 0], Xt[:, 1], marker='o', label='Target samples')
+pl.legend(loc=0)
+pl.title('Source and target distributions')
+
+# %%
+# Convert data to torch tensors
+# -----------------------------
+
+xs = torch.tensor(Xs)
+xt = torch.tensor(Xt)
+
+# %%
+# Estimating dual variables for entropic OT
+# -----------------------------------------
+
+u = torch.randn(n_source_samples, requires_grad=True)
+v = torch.randn(n_source_samples, requires_grad=True)
+
+reg = 0.5
+
+optimizer = torch.optim.Adam([u, v], lr=1)
+
+# number of iteration
+n_iter = 200
+
+
+losses = []
+
+for i in range(n_iter):
+
+    # generate noise samples
+
+    # minus because we maximize te dual loss
+    loss = -ot.stochastic.loss_dual_entropic(u, v, xs, xt, reg=reg)
+    losses.append(float(loss.detach()))
+
+    if i % 10 == 0:
+        print("Iter: {:3d}, loss={}".format(i, losses[-1]))
+
+    loss.backward()
+    optimizer.step()
+    optimizer.zero_grad()
+
+
+pl.figure(2)
+pl.plot(losses)
+pl.grid()
+pl.title('Dual objective (negative)')
+pl.xlabel("Iterations")
+
+Ge = ot.stochastic.plan_dual_entropic(u, v, xs, xt, reg=reg)
+
# %%
+# Plot teh estimated entropic OT plan
+# -----------------------------------
+
+pl.figure(3, (10, 5))
+pl.clf()
+ot.plot.plot2D_samples_mat(Xs, Xt, Ge.detach().numpy(), alpha=0.1)
+pl.scatter(Xs[:, 0], Xs[:, 1], marker='+', label='Source samples', zorder=2)
+pl.scatter(Xt[:, 0], Xt[:, 1], marker='o', label='Target samples', zorder=2)
+pl.legend(loc=0)
+pl.title('Source and target distributions')
+
+
+# %%
+# Estimating dual variables for quadratic OT
+# -----------------------------------------
+
+u = torch.randn(n_source_samples, requires_grad=True)
+v = torch.randn(n_source_samples, requires_grad=True)
+
+reg = 0.01
+
+optimizer = torch.optim.Adam([u, v], lr=1)
+
+# number of iteration
+n_iter = 200
+
+
+losses = []
+
+
+for i in range(n_iter):
+
+    # generate noise samples
+
+    # minus because we maximize te dual loss
+    loss = -ot.stochastic.loss_dual_quadratic(u, v, xs, xt, reg=reg)
+    losses.append(float(loss.detach()))
+
+    if i % 10 == 0:
+        print("Iter: {:3d}, loss={}".format(i, losses[-1]))
+
+    loss.backward()
+    optimizer.step()
+    optimizer.zero_grad()
+
+
+pl.figure(4)
+pl.plot(losses)
+pl.grid()
+pl.title('Dual objective (negative)')
+pl.xlabel("Iterations")
+
+Gq = ot.stochastic.plan_dual_quadratic(u, v, xs, xt, reg=reg)
+
+
+# %%
+# Plot the estimated quadratic OT plan
+# -----------------------------------
+
+pl.figure(5, (10, 5))
+pl.clf()
+ot.plot.plot2D_samples_mat(Xs, Xt, Gq.detach().numpy(), alpha=0.1)
+pl.scatter(Xs[:, 0], Xs[:, 1], marker='+', label='Source samples', zorder=2)
+pl.scatter(Xt[:, 0], Xt[:, 1], marker='o', label='Target samples', zorder=2)
+pl.legend(loc=0)
+pl.title('OT plan with quadratic regularization')
diff --git a/examples/backends/plot_stoch_continuous_ot_pytorch.py b/examples/backends/plot_stoch_continuous_ot_pytorch.py
@@ -0,0 +1,189 @@
+# -*- coding: utf-8 -*-
+r"""
+======================================================================
+Continuous OT plan estimation with Pytorch
+======================================================================
+
+
+"""
+
+# Author: Remi Flamary <remi.flamary@polytechnique.edu>
+#
+# License: MIT License
+
+# sphinx_gallery_thumbnail_number = 3
+
+import numpy as np
+import matplotlib.pyplot as pl
+import torch
+from torch import nn
+import ot
+import ot.plot
+
+# %%
+# Data generation
+# ---------------
+
+torch.manual_seed(42)
+np.random.seed(42)
+
+n_source_samples = 10000
+n_target_samples = 10000
+theta = 2 * np.pi / 20
+noise_level = 0.1
+
+Xs = np.random.randn(n_source_samples, 2) * 0.5
+Xt = np.random.randn(n_target_samples, 2) * 2
+
+# one of the target mode changes its variance (no linear mapping)
+Xt = Xt + 4
+
+
+# %%
+# Plot data
+# ---------
+nvisu = 300
+pl.figure(1, (5, 5))
+pl.clf()
+pl.scatter(Xs[:nvisu, 0], Xs[:nvisu, 1], marker='+', label='Source samples', alpha=0.5)
+pl.scatter(Xt[:nvisu, 0], Xt[:nvisu, 1], marker='o', label='Target samples', alpha=0.5)
+pl.legend(loc=0)
+ax_bounds = pl.axis()
+pl.title('Source and target distributions')
+
+# %%
+# Convert data to torch tensors
+# -----------------------------
+
+xs = torch.tensor(Xs)
+xt = torch.tensor(Xt)
+
+# %%
+# Estimating deep dual variables for entropic OT
+# ----------------------------------------------
+
+torch.manual_seed(42)
+
+# define the MLP model
+
+
+class Potential(torch.nn.Module):
+    def __init__(self):
+        super(Potential, self).__init__()
+        self.fc1 = nn.Linear(2, 200)
+        self.fc2 = nn.Linear(200, 1)
+        self.relu = torch.nn.ReLU()  # instead of Heaviside step fn
+
+    def forward(self, x):
+        output = self.fc1(x)
+        output = self.relu(output)  # instead of Heaviside step fn
+        output = self.fc2(output)
+        return output.ravel()
+
+
+u = Potential().double()
+v = Potential().double()
+
+reg = 1
+
+optimizer = torch.optim.Adam(list(u.parameters()) + list(v.parameters()), lr=.005)
+
+# number of iteration
+n_iter = 1000
+n_batch = 500
+
+
+losses = []
+
+for i in range(n_iter):
+
+    # generate noise samples
+
+    iperms = torch.randint(0, n_source_samples, (n_batch,))
+    ipermt = torch.randint(0, n_target_samples, (n_batch,))
+
+    xsi = xs[iperms]
+    xti = xt[ipermt]
+
+    # minus because we maximize te dual loss
+    loss = -ot.stochastic.loss_dual_entropic(u(xsi), v(xti), xsi, xti, reg=reg)
+    losses.append(float(loss.detach()))
+
+    if i % 10 == 0:
+        print("Iter: {:3d}, loss={}".format(i, losses[-1]))
+
+    loss.backward()
+    optimizer.step()
+    optimizer.zero_grad()
+
+
+pl.figure(2)
+pl.plot(losses)
+pl.grid()
+pl.title('Dual objective (negative)')
+pl.xlabel("Iterations")
+
+
+# %%
+# Plot the density on arget for a given source sample
+# ---------------------------------------------------
+
+
+nv = 100
+xl = np.linspace(ax_bounds[0], ax_bounds[1], nv)
+yl = np.linspace(ax_bounds[2], ax_bounds[3], nv)
+
+XX, YY = np.meshgrid(xl, yl)
+
+xg = np.concatenate((XX.ravel()[:, None], YY.ravel()[:, None]), axis=1)
+
+wxg = np.exp(-((xg[:, 0] - 4)**2 + (xg[:, 1] - 4)**2) / (2 * 2))
+wxg = wxg / np.sum(wxg)
+
+xg = torch.tensor(xg)
+wxg = torch.tensor(wxg)
+
+
+pl.figure(4, (12, 4))
+pl.clf()
+pl.subplot(1, 3, 1)
+
+iv = 2
+Gg = ot.stochastic.plan_dual_entropic(u(xs[iv:iv + 1, :]), v(xg), xs[iv:iv + 1, :], xg, reg=reg, wt=wxg)
+Gg = Gg.reshape((nv, nv)).detach().numpy()
+
+pl.scatter(Xs[:nvisu, 0], Xs[:nvisu, 1], marker='+', zorder=2, alpha=0.05)
+pl.scatter(Xt[:nvisu, 0], Xt[:nvisu, 1], marker='o', zorder=2, alpha=0.05)
+pl.scatter(Xs[iv:iv + 1, 0], Xs[iv:iv + 1, 1], s=100, marker='+', label='Source sample', zorder=2, alpha=1, color='C0')
+pl.pcolormesh(XX, YY, Gg, cmap='Greens', label='Density of transported sourec sample')
+pl.legend(loc=0)
+ax_bounds = pl.axis()
+pl.title('Density of transported source sample')
+
+pl.subplot(1, 3, 2)
+
+iv = 3
+Gg = ot.stochastic.plan_dual_entropic(u(xs[iv:iv + 1, :]), v(xg), xs[iv:iv + 1, :], xg, reg=reg, wt=wxg)
+Gg = Gg.reshape((nv, nv)).detach().numpy()
+
+pl.scatter(Xs[:nvisu, 0], Xs[:nvisu, 1], marker='+', zorder=2, alpha=0.05)
+pl.scatter(Xt[:nvisu, 0], Xt[:nvisu, 1], marker='o', zorder=2, alpha=0.05)
+pl.scatter(Xs[iv:iv + 1, 0], Xs[iv:iv + 1, 1], s=100, marker='+', label='Source sample', zorder=2, alpha=1, color='C0')
+pl.pcolormesh(XX, YY, Gg, cmap='Greens', label='Density of transported sourec sample')
+pl.legend(loc=0)
+ax_bounds = pl.axis()
+pl.title('Density of transported source sample')
+
+pl.subplot(1, 3, 3)
+
+iv = 6
+Gg = ot.stochastic.plan_dual_entropic(u(xs[iv:iv + 1, :]), v(xg), xs[iv:iv + 1, :], xg, reg=reg, wt=wxg)
+Gg = Gg.reshape((nv, nv)).detach().numpy()
+
+pl.scatter(Xs[:nvisu, 0], Xs[:nvisu, 1], marker='+', zorder=2, alpha=0.05)
+pl.scatter(Xt[:nvisu, 0], Xt[:nvisu, 1], marker='o', zorder=2, alpha=0.05)
+pl.scatter(Xs[iv:iv + 1, 0], Xs[iv:iv + 1, 1], s=100, marker='+', label='Source sample', zorder=2, alpha=1, color='C0')
+pl.pcolormesh(XX, YY, Gg, cmap='Greens', label='Density of transported sourec sample')
+pl.legend(loc=0)
+ax_bounds = pl.axis()
+pl.title('Density of transported source sample')