A Specialized Semismooth Newton Method for Kernel-Based Optimal Transport

Kernel-based optimal transport (OT) estimators offer an alternative, functional estimation procedure to address OT problems from samples. Recent works suggest that these estimators are more statistically efficient than plug-in (linear programming-based) OT estimators when comparing probability measures in high-dimensions [Vacher et al., 2021]. Unfortunately, that statistical benefit comes at a very steep computational price: because their computation relies on the short-step interior-point method (SSIPM), which comes with a large iteration count in practice, these estimators quickly become…