An entropic formulation of martingale optimal transport is solved by Sinkhorn-type algorithms with sparse Newton iterations, yielding approximate constraint satisfaction and fast practical convergence.
, Henry-Labordere , P
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An efficient algorithm for entropic optimal transport under martingale-type constraints
An entropic formulation of martingale optimal transport is solved by Sinkhorn-type algorithms with sparse Newton iterations, yielding approximate constraint satisfaction and fast practical convergence.