Gaussian entropic optimal transport: Schr\"odinger bridges and the Sinkhorn algorithm
Gaussian entropic optimal transport: Schr\"odinger bridges and the Sinkhorn algorithm
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 using Sinkhorn algorithm (a.k.a. iterative proportional fitting procedure). However, in more general settings the Sinkhorn iterations are based …