Quantitative contraction rates for Sinkhorn's algorithm: beyond bounded costs and compact marginals

Abstract

We show non-asymptotic exponential convergence of Sinkhorn iterates to the Schrödinger potentials, solutions of the quadratic Entropic Optimal Transport problem on ${\mathbb{R}}^d$. Our results hold under mild assumptions on the marginal inputs: in particular, we only assume that they admit an asymptotically positive log-concavity profile, covering as special cases log-concave distributions and bounded smooth perturbations of quadratic potentials. Up to the authors' knowledge, these are the first results which establish exponential convergence of Sinkhorn's algorithm in a general setting without assuming bounded cost functions or compactly supported marginals.

35 pages, final version accepted in Annals of Applied Probability