Seminar: "Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure"
AUEB STATISTICS SEMINAR SERIES OCTOBER 2021
George Deligiannidis (Associate Professor of Statistics, Department of Statistics, University of Oxford)
Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure
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 Schrödinger bridges.
This is joint work with V. de Bortoli and A. Doucet.