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arXiv 2012.12562math.OCcs.NAmath.NAmath.STstat.TH
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A note on overrelaxation in the Sinkhorn algorithm

Tobias Lehmann, Max-K. von Renesse, Alexander Sambale, André Uschmajew

英文摘要:

We derive an a priori parameter range for overrelaxation of the Sinkhorn algorithm, which guarantees global convergence and a strictly faster asymptotic local convergence. Guided by the spectral analysis of the linearized problem we pursue a zero cost procedure to choose a near optimal relaxation parameter.

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