Pré-Publication, Document De Travail Année : 2023

Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure

George Deligiannidis
  • Fonction : Auteur
Arnaud Doucet
  • Fonction : Auteur

Résumé

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 Schr\"odinger bridges.

Dates et versions

hal-03945499 , version 1 (18-01-2023)

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George Deligiannidis, Valentin de Bortoli, Arnaud Doucet. Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure. 2023. ⟨hal-03945499⟩

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