Related papers: Non-asymptotic convergence bounds for Sinkhorn ite…
Entropic optimal transport (OT) and the Sinkhorn algorithm have made it practical for machine learning practitioners to perform the fundamental task of calculating transport distance between statistical distributions. In this work, we focus…
In this work, we develop a collection of novel methods for the entropic-regularised optimal transport problem, which are inspired by existing mirror descent interpretations of the Sinkhorn algorithm used for solving this problem. These are…
We show non-asymptotic exponential convergence of Sinkhorn iterates to the Schr\"odinger potentials, solutions of the quadratic Entropic Optimal Transport problem on $\mathbb{R}^ d$. Our results hold under mild assumptions on the marginal…
This paper is devoted to the stochastic approximation of entropically regularized Wasserstein distances between two probability measures, also known as Sinkhorn divergences. The semi-dual formulation of such regularized optimal…
Entropic optimal transport problems are regularized versions of optimal transport problems. These models play an increasingly important role in machine learning and generative modelling. For finite spaces, these problems are commonly solved…
We study Sinkhorn's algorithm for solving the entropically regularized optimal transport problem. Its iterate $\pi_{t}$ is shown to satisfy $H(\pi_{t}|\pi_{*})+H(\pi_{*}|\pi_{t})=O(t^{-1})$ where $H$ denotes relative entropy and $\pi_{*}$…
This paper exploit the equivalence between the Schr\"odinger Bridge problem and the entropy penalized optimal transport in order to find a different approach to the duality, in the spirit of optimal transport. This approach results in a…
Optimal transport (OT) defines a powerful framework to compare probability distributions in a geometrically faithful way. However, the practical impact of OT is still limited because of its computational burden. We propose a new class of…
This work introduces novel computational methods for entropic optimal transport (OT) problems under martingale-type conditions. The considered problems include the discrete martingale optimal transport (MOT) problem. Moreover, as the…
An optimal transport (OT) problem seeks to find the cheapest mapping between two distributions with equal total density, given the cost of transporting density from one place to another. Unbalanced OT allows for different total density in…
We provide a computational complexity analysis for the Sinkhorn algorithm that solves the entropic regularized Unbalanced Optimal Transport (UOT) problem between two measures of possibly different masses with at most $n$ components. We show…
We study the convergence rate of Sinkhorn's algorithm for solving entropy-regularized optimal transport problems when at least one of the probability measures, $\mu$, admits a density over $\mathbb{R}^d$. For a semi-concave cost function…
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on \mathbb{R}. The investigation of the EMOT problem arises in the calibration problem of the Stochastic Volatility Models, where martingale constraints…
Entropic optimal transport problems play an increasingly important role in machine learning and generative modelling. In contrast with optimal transport maps which often have limited applicability in high dimensions, Schrodinger bridges can…
Entropy-regularized optimal transport, which has strong links to the Schr\"odinger bridge problem in statistical mechanics, enjoys a variety of applications from trajectory inference to generative modeling. A major driver of renewed…
We propose a novel neural algorithm for the fundamental problem of computing the entropic optimal transport (EOT) plan between continuous probability distributions which are accessible by samples. Our algorithm is based on the saddle point…
We show that the discrete Sinkhorn algorithm - as applied in the setting of Optimal Transport on a compact manifold - converges to the solution of a fully non-linear parabolic PDE of Monge-Ampere type, in a large-scale limit. The latter…
This paper presents consideration of the Semi-Relaxed Sinkhorn (SR-Sinkhorn) algorithm for the semi-relaxed optimal transport (SROT) problem, which relaxes one marginal constraint of the standard OT problem. For evaluation of how the…
The optimal transport (OT) problem is a classical optimization problem having the form of linear programming. Machine learning applications put forward new computational challenges in its solution. In particular, the OT problem defines a…
The Schr\"odinger bridge problem seeks the optimal stochastic process that connects two given probability distributions with minimal energy modification. While the Sinkhorn algorithm is widely used to solve the static optimal transport…