Title: Near-linear time approximation algorithms for optimal transport via Sinkhorn iteration,
Abstract: Computing optimal transport distances such as the earth mover's distance is a
fundamental problem in machine learning, statistics, and computer vision.
Despite the recent introduction of several algorithms with good empirical
performance, it is unknown whether general optimal transport distances can be
approximated in near-linear time. This paper demonstrates that this ambitious
goal is in fact achieved by Cuturi's Sinkhorn Distances. This result relies on
a new analysis of Sinkhorn iteration, which also directly suggests a new greedy
coordinate descent algorithm, Greenkhorn, with the same theoretical guarantees.
Numerical simulations illustrate that Greenkhorn significantly outperforms the
classical Sinkhorn algorithm in practice.