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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

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.

Received:
Dec 23, 2020
Published:
Dec 25, 2020

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inJournal
2022 Journal Open Access
Tobias Lehmann, Max von Renesse, Alexander Sambale and André Uschmajew

A note on overrelaxation in the Sinkhorn algorithm

In: Optimization letters, 16 (2022) 8, pp. 2209-2220