<ul><li>Entropic optimal transport problems are important in machine learning and generative modeling.</li><li>The Sinkhorn algorithm is commonly used to solve these problems in finite spaces.</li><li>This article presents a finite-dimensional recursive formulation of the Sinkhorn algorithm for general Gaussian multivariate models.</li><li>The algorithm is closely related to the Kalman filter and provides closed form expressions of entropic transport maps and Schrödinger bridges.</li></ul>

Gaussian entropic optimal transport: Schr\"odinger bridges and the Sinkhorn algorithm

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