Sinkhorn-Knopp balancing with generalised martingale-type constraints

Abstract

We consider the problem of optimally distributing resources from a set of suppliers to a set of consumers in the presence of general transportation constraints, and including heterogeneous flexibility in the marginal constraints. Such problems frequently arise in a variety of practical settings; for example, in the context of sharing economy applications, where one is not only interested in the transportation plan, but also its realisation, and in other problems that involve the study of martingales. Our principal contribution in this paper is to consider a generalisation of the classic entropically regularised Optimal Transport formulation in which such problems can be solved with a Sinkhorn algorithm. In particular, we present provably convergent Sinkhorn-like algorithms for solving this class of problems, and provide examples to both illustrate the utility of our approach as well as its efficacy.