Abstract:In this paper we determine quantitative stability bounds for the Hessian of entropic potentials, i.e., the dual solution to the entropic optimal transport problem. Up to authors' knowledge this is the first work addressing this second-order quantitative stability estimate in general unbounded settings. Our proof strategy relies on semiconcavity properties of entropic potentials and on the representation of entropic transport plans as laws of forward and backward diffusion processes, known as Schr\"odinger bridges. Moreover, our approach allows to deduce a stochastic proof of quantitative stability entropic estimates and integrated gradient estimates as well. Finally, as a direct consequence of these stability bounds, we deduce exponential convergence rates for gradient and Hessian of Sinkhorn iterates along Sinkhorn's algorithm, a problem that was still open in unbounded settings. Our rates have a polynomial dependence on the regularization parameter.
Abstract:We study stability of optimizers and convergence of Sinkhorn's algorithm in the framework of entropic optimal transport. We show entropic stability for optimal plans in terms of the Wasserstein distance between their marginals under a semiconcavity assumption on the sum of the cost and one of the two entropic potentials. When employed in the analysis of Sinkhorn's algorithm, this result gives a natural sufficient condition for its exponential convergence, which does not require the ground cost to be bounded. By controlling from above the Hessians of Sinkhorn potentials in examples of interest, we obtain new exponential convergence results. For instance, for the first time we obtain exponential convergence for log-concave marginals and quadratic costs for all values of the regularization parameter. Moreover, the convergence rate has a linear dependence on the regularization: this behavior is sharp and had only been previously obtained for compact distributions arXiv:2407.01202. Other interesting new applications include subspace elastic costs [Cuturi et al. PMLR 202(2023)], weakly log-concave marginals, marginals with light tails, where, under reinforced assumptions, we manage to improve the rates obtained in arXiv:2311.04041, the case of unbounded Lipschitz costs, and compact Riemannian manifolds.