Relative-Translation Invariant Wasserstein Distance

TL;DR

This paper introduces the relative-translation invariant Wasserstein distance ($RW_p$), a new metric for comparing probability distributions under translation shifts, with efficient computation methods and practical validation in real-world tasks.

Contribution

The paper proposes the $RW_p$ distance, extending optimal transport to be translation-invariant, and develops an efficient Sinkhorn algorithm for its computation, validated through experiments.

Findings

$RW_2$ is decomposable and translation-invariant.

The $RW_2$ Sinkhorn algorithm improves computational efficiency.

$RW_2$ is robust to distribution translations in practical tasks.

Abstract

We introduce a new family of distances, relative-translation invariant Wasserstein distances ($RW_p$), for measuring the similarity of two probability distributions under distribution shift. Generalizing it from the classical optimal transport model, we show that $RW_p$ distances are also real distance metrics defined on the quotient set $\mathcal{P}_p(\mathbb{R}^n)/\sim$ and invariant to distribution translations. When $p=2$, the $RW_2$ distance enjoys more exciting properties, including decomposability of the optimal transport model, translation-invariance of the $RW_2$ distance, and a Pythagorean relationship between $RW_2$ and the classical quadratic Wasserstein distance ($W_2$). Based on these properties, we show that a distribution shift, measured by $W_2$ distance, can be explained in the bias-variance perspective. In addition, we propose a variant of the Sinkhorn algorithm, named $RW_2$ Sinkhorn algorithm, for efficiently calculating $RW_2$ distance, coupling solutions, as well as $W_2$ distance. We also provide the analysis of numerical stability and time complexity for the proposed algorithm. Finally, we validate the $RW_2$ distance metric and the algorithm performance with three experiments. We conduct one numerical validation for the $RW_2$ Sinkhorn algorithm and show two real-world applications demonstrating the effectiveness of using $RW_2$ under distribution shift: digits recognition and similar thunderstorm detection. The experimental results report that our proposed algorithm significantly improves the computational efficiency of Sinkhorn in certain practical applications, and the $RW_2$ distance is robust to distribution translations compared with baselines.