sinkhorn

Definition

An iterative algorithm — alternately renormalising the rows and columns of a matrix until both marginals are satisfied — named after Richard Sinkhorn. In ML it is the workhorse for entropy-regularised optimal transport: the iterations are cheap, parallelise well on GPUs and are differentiable, so a transport cost can sit inside a loss. What it returns is the regularised solution, not the exact plan.

Explainers using this term

• Optimal Transport — The Mathematics of Moving DistributionsSinkhorn Distances: Lightspeed Computation of Optimal Transport