A note on overrelaxation in the Sinkhorn algorithm

Published 23 Dec 2020 in math.OC, cs.NA, math.NA, math.ST, and stat.TH | (2012.12562v3)

Abstract: 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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