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On the Linear Convergence of the Multimarginal Sinkhorn Algorithm

The aim of this note is to give an elementary proof of linear convergence of the Sinkhorn algorithm for the entropic regularization of multimarginal optimal transport in the setting of general probability spaces. The proof simply relies on (i) the fact that Sinkhorn iterates are bounded, (ii) the strong convexity of the exponential on bounded intervals, and (iii) the convergence analysis of the coordinate descent (Gauss--Seidel) method of Beck and Tetruashvili [SIAM J. Optim, 23 (2013), pp. 2037--2060].

Ketersediaan

Informasi Detail

Judul Seri

SIAM JOURNAL ON OPTIMIZATION; Vol.32 No.2 April-June 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 786-794

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

LINEAR CONVERGENCE
BLOCK COORDINATE DESCENT
SINKHORN ALGORITHM
MULTIMARGINAL ENTROPIC OPTIMAL TRANSPORT

Info Detail Spesifik

https://doi.org/10.1137/21M1410634

Pernyataan Tanggungjawab

Guillaume Carlier

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