Data depth is a statistical function that generalizes order and quantiles to the multivariate setting and beyond, with applications spanning over descriptive and visual statistics, anomaly detection, testing, etc. The celebrated halfspace depth exploits data geometry via an optimization program to deliver properties of invariances, robustness, and non-parametricity. Nevertheless, it implicitly assumes convex data supports and requires exponential computational cost. To tackle distribution's multimodality, we extend the halfspace depth in a Reproducing Kernel Hilbert Space (RKHS). We show that the obtained depth is intuitive and establish its consistency with provable concentration bounds that allow for homogeneity testing. The proposed depth can be computed using manifold gradient making faster than halfspace depth by several orders of magnitude. The performance of our depth is demonstrated through numerical simulations as well as applications such as anomaly detection on real data and homogeneity testing.

Optimal transport (OT) compares probability distributions by computing a meaningful alignment between their samples. CO-optimal transport (COOT) takes this comparison further by inferring an alignment between features as well. While this approach leads to better alignments and generalizes both OT and Gromov-Wasserstein distances, we provide a theoretical result showing that it is sensitive to outliers that are omnipresent in real-world data. This prompts us to propose unbalanced COOT for which we provably show its robustness to noise in the compared datasets. To the best of our knowledge, this is the first such result for OT methods in incomparable spaces. With this result in hand, we provide empirical evidence of this robustness for the challenging tasks of heterogeneous domain adaptation with and without varying proportions of classes and simultaneous alignment of samples and features across single-cell measurements.

Entropy regularization in optimal transport (OT) has been the driver of many recent interests for Wasserstein metrics and barycenters in machine learning. It allows to keep the appealing geometrical properties of the unregularized Wasserstein distance while having a significantly lower complexity thanks to Sinkhorn's algorithm. However, entropy brings some inherent smoothing bias, resulting for example in blurred barycenters. This side effect has prompted an increasing temptation in the community to settle for a slower algorithm such as log-domain stabilized Sinkhorn which breaks the parallel structure that can be leveraged on GPUs, or even go back to unregularized OT. Here we show how this bias is tightly linked to the reference measure that defines the entropy regularizer and propose debiased Wasserstein barycenters that preserve the best of both worlds: fast Sinkhorn-like iterations without entropy smoothing. Theoretically, we prove that the entropic OT barycenter of univariate Gaussians is a Gaussian and quantify its variance bias. This result is obtained by extending the differentiability and convexity of entropic OT to sub-Gaussian measures with unbounded supports. Empirically, we illustrate the reduced blurring and the computational advantage on various applications.

Comparing data defined over space and time is notoriously hard, because it involves quantifying both spatial and temporal variability, while at the same time taking into account the chronological structure of data. Dynamic Time Warping (DTW) computes an optimal alignment between time series in agreement with the chronological order, but is inherently blind to spatial shifts. In this paper, we propose Spatio-Temporal Alignments (STA), a new differentiable formulation of DTW, in which spatial differences between time samples are accounted for using regularized optimal transport (OT). Our temporal alignments are handled through a smooth variant of DTW called soft-DTW, for which we prove a new property: soft-DTW increases quadratically with time shifts. The cost matrix within soft-DTW that we use are computed using unbalanced OT, to handle the case in which observations are not normalized probabilities. Experiments on handwritten letters and brain imaging data confirm our theoretical findings and illustrate the effectiveness of STA as a dissimilarity for spatio-temporal data.

Magnetoencephalography and electroencephalography (M/EEG) are non-invasive modalities that measure the weak electromagnetic fields generated by neural activity. Estimating the location and magnitude of the current sources that generated these electromagnetic fields is a challenging ill-posed regression problem known as \emph{source imaging}. When considering a group study, a common approach consists in carrying out the regression tasks independently for each subject. An alternative is to jointly localize sources for all subjects taken together, while enforcing some similarity between them. By pooling all measurements in a single multi-task regression, one makes the problem better posed, offering the ability to identify more sources and with greater precision. The Minimum Wasserstein Estimates (MWE) promotes focal activations that do not perfectly overlap for all subjects, thanks to a regularizer based on Optimal Transport (OT) metrics. MWE promotes spatial proximity on the cortical mantel while coping with the varying noise levels across subjects. On realistic simulations, MWE decreases the localization error by up to 4 mm per source compared to individual solutions. Experiments on the Cam-CAN dataset show a considerable improvement in spatial specificity in population imaging. Our analysis of a multimodal dataset shows how multi-subject source localization closes the gap between MEG and fMRI for brain mapping.

Magnetoencephalography (MEG) and electroencephalogra-phy (EEG) are non-invasive modalities that measure the weak electromagnetic fields generated by neural activity. Inferring the location of the current sources that generated these magnetic fields is an ill-posed inverse problem known as source imaging. When considering a group study, a baseline approach consists in carrying out the estimation of these sources independently for each subject. The ill-posedness of each problem is typically addressed using sparsity promoting regularizations. A straightforward way to define a common pattern for these sources is then to average them. A more advanced alternative relies on a joint localization of sources for all subjects taken together, by enforcing some similarity across all estimated sources. An important advantage of this approach is that it consists in a single estimation in which all measurements are pooled together, making the inverse problem better posed. Such a joint estimation poses however a few challenges, notably the selection of a valid regularizer that can quantify such spatial similarities. We propose in this work a new procedure that can do so while taking into account the geometrical structure of the cortex. We call this procedure Minimum Wasserstein Estimates (MWE). The benefits of this model are twofold. First, joint inference allows to pool together the data of different brain geometries, accumulating more spatial information. Second, MWE are defined through Optimal Transport (OT) metrics which provide a tool to model spatial proximity between cortical sources of different subjects, hence not enforcing identical source location in the group. These benefits allow MWE to be more accurate than standard MEG source localization techniques. To support these claims, we perform source localization on realistic MEG simulations based on forward operators derived from MRI scans. On a visual task dataset, we demonstrate how MWE infer neural patterns similar to functional Magnetic Resonance Imaging (fMRI) maps.

Several regression problems encountered in the high-dimensional regime involve the prediction of one (or several) values using a very large number of regressors. In many of these problems, these regressors relate to physical locations, describing for instance measurements taken at neighboring locations, or, more generally quantities that are tied by some underlying geometry: In climate science, regressors may correspond to physical measurements (surface temperature, wind velocity) at different locations across the ocean [Chatterjee et al., 2012]; In genomics, these regressors map to positions on the genome [Laurent et al., 2009]; In functional brain imaging, features correspond to 3D locations in the brain, and a single regression task can correspond to estimating a quantity for a given patient [Owen et al., 2009]. These challenging high-dimensional learning problems have been tackled in recent years using a combination of two approaches: multitask learning to increase the sample size and sparsity. Indeed, it is not uncommon in these problems to aim at predicting several - not just one - related target variables simultaneously. When considering multiple regression tasks, a natural assumption is that prediction functions (and therefore their parameters) for related tasks should share some similarities.