Σεμινάριο: "Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure"

ΚΥΚΛΟΣ ΣΕΜΙΝΑΡΙΩΝ ΣΤΑΤΙΣΤΙΚΗΣ ΟΚΤΩΒΡΙΟΣ 2021

Ομιλητής: George Deligiannidis (Associate Professor of Statistics, Department of Statistics, University of Oxford)

Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure

ΠΕΡΙΛΗΨΗ:

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.

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