A note on overrelaxation in the Sinkhorn algorithm

12/23/2020

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by   Tobias Lehmann, et al.

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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.