Convergence of the Sinkhorn algorithm when the Schrödinger problem has no solution (2207.02977v2)

Abstract: The Sinkhorn algorithm is the most popular method for solving the entropy minimization problem called the Schr\"odinger problem: in the non-degenerate cases, the latter admits a unique solution towards which the algorithm converges linearly. Here, motivated by recent applications of the Schr\"odinger problem with respect to structured stochastic processes (such as increasing ones), we study the Sinkhorn algorithm in degenerate cases where it might happen that no solution exist at all. We show that in this case, the algorithm ultimately alternates between two limit points. Moreover, these limit points can be used to compute the solution of a relaxed version of the Schr\"odinger problem, which appears as the $\Gamma$-limit of a problem where the marginal constraints are replaced by asymptotically large marginal penalizations, exactly in the spirit of the so-called unbalanced optimal transport. Finally, our work focuses on the support of the solution of the relaxed problem, giving its typical shape and designing a procedure to compute it quickly. We showcase promising numerical applications related to a model used in cell biology.