Semidiscrete optimal transport is a challenging generalization of the classical transportation problem in linear programming. The goal is to design a joint distribution for two random variables (one continuous, one discrete) with fixed marginals, in a way that minimizes expected cost. We formulate a novel variant of this problem in which the cost functions are unknown, but can be learned through noisy observations; however, only one function can be sampled at a time. We develop a semi-myopic algorithm that couples online learning with stochastic approximation, and prove that it achieves optimal convergence rates, despite the non-smoothness of the stochastic gradient and the lack of strong concavity in the objective function.
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