Quantitative Uniform Stability of the Iterative Proportional Fitting Procedure
Speaker: George Deligiannidis, University of Oxford
After obtaining my PhD from the School of Mathematical Sciences of the University of Nottingham under the supervision of Sergey Utev and Huiling Le, I moved to the Department of Mathematics of the University of Leicester as a Teaching Assistant/Fellow. In 2012 I moved to the Department of Statistics of the University of Oxford as Departmental Lecturer. I stayed in Oxford until September 2016 when I moved to the Department of Mathematics of King’s College London as Lecturer in Statistics. I moved back to the University of Oxford in December 2017 as Associate Professor of Statistics
We establish the uniform in time stability, w.r.t. the marginals, of the Iterative Propor- tional Fitting Procedure, also known as Sinkhorn algorithm, used to solve entropy-regularised Optimal Transport problems. Our result is quantitative and stated in terms of the 1- Wasserstein metric. As a corollary we establish a quantitative stability result for Schrödinger bridges.
This is joint work with V. de Bortoli and A. Doucet.