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arXiv · 2108.08129

Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure

George Deligiannidis·Valentin De Bortoli·Arnaud Doucet
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Abstract

We establish the uniform in time stability, w.r.t. the marginals, of the Iterative Proportional Fitting Procedure, also known as Sinkhorn algorithm, used to solve entropy-regularised Optimal Transport problems. Our result is quantitative and stated in terms of the 1-Wasserstein metric. As a corollary we establish a quantitative stability result for Schrödinger bridges.

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George Deligiannidis, Valentin De Bortoli, Arnaud Doucet. 2021-10-22. Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure. https://arxiv.org/abs/2108.08129

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