Preprint
Oct 2026
On the Linear Convergence of SISTA for Entropic Martingale Optimal Transport
We prove a linear convergence rate of a Sinkhorn-type algorithm for entropic martingale optimal transport in arbitrary dimension. The algorithm follows a block-coordinate ascent scheme, alternating exact Sinkhorn updates for the marginal potentials with an explicit gradient step for the potential associated with the ma...
Giorgia Bifronte, Armand Ley, Maxime Sylvestre
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