A note on overrelaxation in the Sinkhorn algorithm

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 pa...

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Hauptverfasser:	Lehmann, Tobias, von Renesse, Max-K, Sambale, Alexander, Uschmajew, André
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science - Numerical Analysis Mathematics - Numerical Analysis Mathematics - Optimization and Control Mathematics - Statistics Theory Statistics - Theory
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