An Optimal Transport Approach for the Schrödinger Bridge Problem and Convergence of Sinkhorn Algorithm
An Optimal Transport Approach for the Schrödinger Bridge Problem and Convergence of Sinkhorn Algorithm
Abstract This paper exploit the equivalence between the Schrödinger Bridge problem (Léonard in J Funct Anal 262:1879–1920, 2012; Nelson in Phys Rev 150:1079, 1966; Schrödinger in Über die umkehrung der naturgesetze. Verlag Akademie der wissenschaften in kommission bei Walter de Gruyter u, Company, 1931) and the entropy penalized optimal transport …