<ul><li>Entropic optimal transport problems are regularized versions of optimal transport problems.</li><li>The Sinkhorn algorithm is commonly used to solve these problems for finite spaces.</li><li>A finite-dimensional recursive formulation of the Sinkhorn algorithm for Gaussian multivariate models is proposed.</li><li>The algorithm is closely related to the Kalman filter and provides closed form expressions for entropic transport maps and Schrödinger bridges.</li></ul>

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

Discover more