Theoretical and computational aspects of robust optimal transportation, with applications to statistics and machine learning
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Optimal transport (OT) theory and the related p-Wasserstein distance (W_p, p≥ 1) are popular tools in statistics and machine learning. Recent studies have been remarking that inference based on OT and on W_p is sensitive to outliers. To cope with this issue, we work on a robust version of the primal OT problem (ROBOT) and show that it defines a robust version of W_1, called robust Wasserstein distance, which is able to downweight the impact of outliers. We study properties of this novel distance and use it to define minimum distance estimators. Our novel estimators do not impose any moment restrictions: this allows us to extend the use of OT methods to inference on heavy-tailed distributions. We also provide statistical guarantees of the proposed estimators. Moreover, we derive the dual form of the ROBOT and illustrate its applicability to machine learning. Numerical exercises (see also the supplementary material) provide evidence of the benefits yielded by our methods.
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