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- Title
Convergence of a Newton algorithm for semi-discrete optimal transport.
- Authors
Kitagawa, Jun; Mérigot, Quentin; Thibert, Boris
- Abstract
A popular way to solve optimal transport problems numerically is to assume that the source probability measure is absolutely continuous while the target measure is finitely supported. We introduce a damped Newton algorithm in this setting, which is experimentally efficient, and we establish its global linear convergence for cost functions satisfying an assumption that appears in the regularity theory for optimal transport.
- Subjects
STOCHASTIC convergence; PROBABILITY measures; LAGUERRE geometry; COST functions; ALGORITHMS
- Publication
Journal of the European Mathematical Society (EMS Publishing), 2019, Vol 21, Issue 9, p2603
- ISSN
1435-9855
- Publication type
Article
- DOI
10.4171/JEMS/889