Hilbert Curve Projection Distance for Distribution Comparison

Distribution comparison plays a central role in many machine learning tasks like data classification and generative modeling. In this study, we propose a novel metric, called Hilbert curve projection (HCP) distance, to measure the distance between two probability distributions with high robustness and low complexity. In particular, we first project two high-dimensional probability densities using Hilbert curve to obtain a coupling between them, and then calculate the transport distance between these two densities in the original space, according to the coupling. We show that HCP distance is a proper metric and is well-defined for absolutely continuous probability measures. Furthermore, we demonstrate that the empirical HCP distance converges to its population counterpart at a rate of no more than $O(n^{-1/2d})$ under regularity conditions. To suppress the curse-of-dimensionality, we also develop two variants of the HCP distance using (learnable) subspace projections. Experiments on both synthetic and real-world data show that our HCP distance works as an effective surrogate of the Wasserstein distance with low complexity and overcomes the drawbacks of the sliced Wasserstein distance.