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MiS Preprint
110/2020
A note on overrelaxation in the Sinkhorn algorithm
Tobias Lehmann, Max von Renesse, Alexander Sambale and André Uschmajew
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.
