On the Convergence Rate of Sinkhorn's Algorithm

Promit Ghosal, Marcel Nutz

We study Sinkhorn's algorithm for solving the entropically regularized optimal transport problem. Its iterate ${\pi }_t$ is shown to satisfy $H({\pi }_t|{\pi }_{\ast })+H({\pi }_{\ast }|{\pi }_t)=O(t^{-1})$…