A gradient descent perspective on Sinkhorn

Published 10 Feb 2020 in math.OC | (2002.03758v3)

Abstract: We present a new perspective on the popular Sinkhorn algorithm, showing that it can be seen as a Bregman gradient descent (mirror descent) of a relative entropy (Kullback-Leibler divergence). This viewpoint implies a new sublinear convergence rate with a robust constant.

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