add unbalanced tests with stabilization

Author: Hicham Janati

test/test_unbalanced.py

@@ -8,8 +8,10 @@
 import ot
 import pytest
 
+from scipy.misc import logsumexp
 
-@pytest.mark.parametrize("method", ["sinkhorn"])
+
+@pytest.mark.parametrize("method", ["sinkhorn", "sinkhorn_stabilized"])
 def test_unbalanced_convergence(method):
     # test generalized sinkhorn for unbalanced OT
     n = 100
@@ -23,29 +25,34 @@ def test_unbalanced_convergence(method):
 
     M = ot.dist(x, x)
     epsilon = 1.
-    alpha = 1.
-    K = np.exp(- M / epsilon)
+    mu = 1.
 
-    G, log = ot.unbalanced.sinkhorn_unbalanced(a, b, M, reg=epsilon, alpha=alpha,
+    G, log = ot.unbalanced.sinkhorn_unbalanced(a, b, M, reg=epsilon, mu=mu,
                                                stopThr=1e-10, method=method,
                                                log=True)
-    loss = ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, alpha,
+    loss = ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, mu,
                                               method=method)
     # check fixed point equations
-    fi = alpha / (alpha + epsilon)
-    v_final = (b / K.T.dot(log["u"])) ** fi
-    u_final = (a / K.dot(log["v"])) ** fi
+    # in log-domain
+    fi = mu / (mu + epsilon)
+    logb = np.log(b + 1e-16)
+    loga = np.log(a + 1e-16)
+    logKtu = logsumexp(log["logu"][None, :] - M.T / epsilon, axis=1)
+    logKv = logsumexp(log["logv"][None, :] - M / epsilon, axis=1)
+
+    v_final = fi * (logb - logKtu)
+    u_final = fi * (loga - logKv)
 
     np.testing.assert_allclose(
-        u_final, log["u"], atol=1e-05)
+        u_final, log["logu"], atol=1e-05)
     np.testing.assert_allclose(
-        v_final, log["v"], atol=1e-05)
+        v_final, log["logv"], atol=1e-05)
 
     # check if sinkhorn_unbalanced2 returns the correct loss
     np.testing.assert_allclose((G * M).sum(), loss, atol=1e-5)
 
 
-@pytest.mark.parametrize("method", ["sinkhorn"])
+@pytest.mark.parametrize("method", ["sinkhorn", "sinkhorn_stabilized"])
 def test_unbalanced_multiple_inputs(method):
     # test generalized sinkhorn for unbalanced OT
     n = 100
@@ -59,27 +66,55 @@ def test_unbalanced_multiple_inputs(method):
 
     M = ot.dist(x, x)
     epsilon = 1.
-    alpha = 1.
-    K = np.exp(- M / epsilon)
+    mu = 1.
 
-    loss, log = ot.unbalanced.sinkhorn_unbalanced(a, b, M, reg=epsilon,
-                                                  alpha=alpha,
+    loss, log = ot.unbalanced.sinkhorn_unbalanced(a, b, M, reg=epsilon, mu=mu,
                                                   stopThr=1e-10, method=method,
                                                   log=True)
     # check fixed point equations
-    fi = alpha / (alpha + epsilon)
-    v_final = (b / K.T.dot(log["u"])) ** fi
-
-    u_final = (a[:, None] / K.dot(log["v"])) ** fi
+    # in log-domain
+    fi = mu / (mu + epsilon)
+    logb = np.log(b + 1e-16)
+    loga = np.log(a + 1e-16)[:, None]
+    logKtu = logsumexp(log["logu"][:, None, :] - M[:, :, None] / epsilon,
+                       axis=0)
+    logKv = logsumexp(log["logv"][None, :] - M[:, :, None] / epsilon, axis=1)
+    v_final = fi * (logb - logKtu)
+    u_final = fi * (loga - logKv)
 
     np.testing.assert_allclose(
-        u_final, log["u"], atol=1e-05)
+        u_final, log["logu"], atol=1e-05)
     np.testing.assert_allclose(
-        v_final, log["v"], atol=1e-05)
+        v_final, log["logv"], atol=1e-05)
 
     assert len(loss) == b.shape[1]
 
 
+def test_stabilized_vs_sinkhorn():
+    # test if stable version matches sinkhorn
+    n = 100
+
+    # Gaussian distributions
+    a = ot.datasets.make_1D_gauss(n, m=20, s=5)  # m= mean, s= std
+    b1 = ot.datasets.make_1D_gauss(n, m=60, s=8)
+    b2 = ot.datasets.make_1D_gauss(n, m=30, s=4)
+
+    # creating matrix A containing all distributions
+    b = np.vstack((b1, b2)).T
+
+    M = ot.utils.dist0(n)
+    M /= np.median(M)
+    epsilon = 0.1
+    mu = 1.
+    G, log = ot.unbalanced.sinkhorn_stabilized_unbalanced(a, b, M, reg=epsilon,
+                                                          mu=mu,
+                                                          log=True)
+    G2, log2 = ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, mu,
+                                                  method="sinkhorn", log=True)
+
+    np.testing.assert_allclose(G, G2)
+
+
 def test_unbalanced_barycenter():
     # test generalized sinkhorn for unbalanced OT barycenter
     n = 100
@@ -92,27 +127,30 @@ def test_unbalanced_barycenter():
     A = A * np.array([1, 2])[None, :]
     M = ot.dist(x, x)
     epsilon = 1.
-    alpha = 1.
-    K = np.exp(- M / epsilon)
+    mu = 1.
 
-    q, log = ot.unbalanced.barycenter_unbalanced(A, M, reg=epsilon, alpha=alpha,
+    q, log = ot.unbalanced.barycenter_unbalanced(A, M, reg=epsilon, mu=mu,
                                                  stopThr=1e-10,
                                                  log=True)
     # check fixed point equations
-    fi = alpha / (alpha + epsilon)
-    v_final = (q[:, None] / K.T.dot(log["u"])) ** fi
-    u_final = (A / K.dot(log["v"])) ** fi
+    fi = mu / (mu + epsilon)
+    logA = np.log(A + 1e-16)
+    logq = np.log(q + 1e-16)[:, None]
+    logKtu = logsumexp(log["logu"][:, None, :] - M[:, :, None] / epsilon,
+                       axis=0)
+    logKv = logsumexp(log["logv"][None, :] - M[:, :, None] / epsilon, axis=1)
+    v_final = fi * (logq - logKtu)
+    u_final = fi * (logA - logKv)
 
     np.testing.assert_allclose(
-        u_final, log["u"], atol=1e-05)
+        u_final, log["logu"], atol=1e-05)
     np.testing.assert_allclose(
-        v_final, log["v"], atol=1e-05)
+        v_final, log["logv"], atol=1e-05)
 
 
 def test_implemented_methods():
-    IMPLEMENTED_METHODS = ['sinkhorn']
-    TO_BE_IMPLEMENTED_METHODS = ['sinkhorn_stabilized',
-                                 'sinkhorn_epsilon_scaling']
+    IMPLEMENTED_METHODS = ['sinkhorn', 'sinkhorn_stabilized']
+    TO_BE_IMPLEMENTED_METHODS = ['sinkhorn_reg_scaling']
     NOT_VALID_TOKENS = ['foo']
     # test generalized sinkhorn for unbalanced OT barycenter
     n = 3
@@ -126,21 +164,21 @@ def test_implemented_methods():
 
     M = ot.dist(x, x)
     epsilon = 1.
-    alpha = 1.
+    mu = 1.
     for method in IMPLEMENTED_METHODS:
-        ot.unbalanced.sinkhorn_unbalanced(a, b, M, epsilon, alpha,
+        ot.unbalanced.sinkhorn_unbalanced(a, b, M, epsilon, mu,
                                           method=method)
-        ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, alpha,
+        ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, mu,
                                            method=method)
     with pytest.warns(UserWarning, match='not implemented'):
         for method in set(TO_BE_IMPLEMENTED_METHODS):
-            ot.unbalanced.sinkhorn_unbalanced(a, b, M, epsilon, alpha,
+            ot.unbalanced.sinkhorn_unbalanced(a, b, M, epsilon, mu,
                                               method=method)
-            ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, alpha,
+            ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, mu,
                                                method=method)
     with pytest.raises(ValueError):
         for method in set(NOT_VALID_TOKENS):
-            ot.unbalanced.sinkhorn_unbalanced(a, b, M, epsilon, alpha,
+            ot.unbalanced.sinkhorn_unbalanced(a, b, M, epsilon, mu,
                                               method=method)
-            ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, alpha,
+            ot.unbalanced.sinkhorn_unbalanced2(a, b, M, epsilon, mu,
                                                method=method)