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Convergence of a Newton algorithm for semi-discrete optimal transport
Jun Kitagawa, Quentin Mérigot, Boris Thibert
Source abstract
A popular way to solve optimal transport problems numerically is to assume that the source probability measure is absolutely continuous while the target measure is finitely supported. We introduce a damped Newton algorithm in this setting, which is experimentally efficient, and we establish its global linear convergence for cost functions satisfying an assumption that appears in the regularity theory for optimal transport.
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