Near-linear time approximation algorithms for optimal transport via Sinkhorn iteration

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, and provides guidance towards parameter tuning for this algorithm. This result relies on a new analysis of Sinkhorn iterations that also directly suggests a new algorithm Greenkhorn with the same theoretical guarantees. Numerical simulations clearly illustrate that Greenkhorn significantly outperforms the classical Sinkhorn algorithm in practice.