The derivatives of Sinkhorn-Knopp converge

Published 26 Jul 2022 in math.OC and stat.ML | (2207.12717v2)

Abstract: We show that the derivatives of the Sinkhorn-Knopp algorithm, or iterative proportional fitting procedure, converge towards the derivatives of the entropic regularization of the optimal transport problem with a locally uniform linear convergence rate.

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