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Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure

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If you have a question about this talk, please contact Dr Sergio Bacallado.

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 SchroŐądinger bridges.

This is joint work with V. de Bortoli and A. Doucet.

This talk is part of the Statistics series.

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