Dear all,
On Wednesday, February 1st, at 14h00 in Aula Dal Passo at Roma Tor Vergata, RoMaDS (https://www.mat.uniroma2.it/~rds/about.php) will host Giovanni Conforti (École Polytechnique) with the seminar
"A probabilistic approach to exponential convergence of Sinkhorn's algorithm"
Abstract: The entropic optimal transport problem (EOT) is obtained adding an entropic regularisation term in the cost function of the Monge-Kantorovich problem and is nowadays regularly employed in machine learning applications as a more tractable and numerically more stable version of the optimal transport problem. On the other hand, E.Schrödinger asked back in 1931 the question of finding the most likely evolution of a cloud of independent Brownian particles conditionally to observations. The mathematical formulation of his question through large deviations theory is known as the Schrödinger problem and turns out to be fully equivalent to EOT. In this talk, I shall illustrate both viewpoints and then move on to sketch the ideas of a probabilistic method to show exponential convergence of Sinkhorn's algorithm, whose application the heart of the recent successful applications of EOT in statistical machine learning and beyond. In particular, we shall discuss how the proposed method opens new perspective for showing exponential convergence for marginal distribution that are non compactly supported.
We encourage in-person partecipation. Should you be unable to come, here is the link to the event on Teams:
https://teams.microsoft.com/l/meetup-join/19%3arfsL73KX-fw86y1YnXq2nk5VnZFwP...
The seminar is part of the Excellence Project Math@TOV.
You can find a schedule with the next events at the following link: https://www.mat.uniroma2.it/~rds/events.php .