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Quantitative uniform stability of the iterative proportional fitting procedure

ArXiv(2024)

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Abstract
We establish that the iterates of the iterative proportional fitting procedure, also known as Sinkhorn's algorithm and commonly used to solve entropy-regularised optimal transport problems, are stable w.r.t. perturbations of the marginals, uniformly in time. Our result is quantitative and stated in terms of the 1-Wasserstein metric. As a corollary we establish a quantitative stability result for Schrodinger bridges.
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Key words
Entropy regularized optimal transport,Schrodinger bridge,iterative proportional fitting procedure,Sinkhorn algorithm,particle filtering
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