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Search: subject:"Sinkhorn algorithm"
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Sinkhorn algorithm
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Finding hall blockers by matrix scaling
Hayashi, Koyo
;
Sakabe, Keiya
- In:
Mathematics of operations research
49
(
2024
)
4
,
pp. 2166-2179
Persistent link: https://www.econbiz.de/10015197836
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2
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
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3
A note on overrelaxation in the
Sinkhorn
algorithm
Lehmann, Tobias
;
von Renesse, Max-K.
;
Sambale, Alexander
; …
- In:
Optimization Letters
16
(
2021
)
8
,
pp. 2209-2220
We derive an a priori parameter range for overrelaxation of the
Sinkhorn
algorithm
, which guarantees global convergence …
Persistent link: https://www.econbiz.de/10014501397
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