A KL-relaxed formulation of bi-causal optimal transport is solved via policy gradients with proven convergence to the original problem and nonasymptotic regret guarantees for the resulting algorithm.
Notice that (A.3) holds for any initial coupling inΠ(µ0, µ′ 0)
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Scalable Bi-causal Optimal Transport via KL Relaxation and Policy Gradients
A KL-relaxed formulation of bi-causal optimal transport is solved via policy gradients with proven convergence to the original problem and nonasymptotic regret guarantees for the resulting algorithm.