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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 Schrödinger bridges.

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

This talk is part of the Statistics series.

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