On Sinkhorn's Algorithm and Choice Modeling

• URL: http://arxiv.org/abs/2310.00260v1
• Date: Sat, 30 Sep 2023 05:20:23 GMT
• Title: On Sinkhorn's Algorithm and Choice Modeling
• Authors: Zhaonan Qu, Alfred Galichon, Johan Ugander
• Abstract summary: We show that the associated maximum likelihood estimation problems are equivalent to a classic matrix balancing problem with target row and column sums. This perspective opens doors between two seemingly unrelated research areas. We draw inspirations from these connections and resolve important open problems on the study of Sinkhorn's algorithm.
• Score: 6.43826005042477
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: For a broad class of choice and ranking models based on Luce's choice axiom, including the Bradley--Terry--Luce and Plackett--Luce models, we show that the associated maximum likelihood estimation problems are equivalent to a classic matrix balancing problem with target row and column sums. This perspective opens doors between two seemingly unrelated research areas, and allows us to unify existing algorithms in the choice modeling literature as special instances or analogs of Sinkhorn's celebrated algorithm for matrix balancing. We draw inspirations from these connections and resolve important open problems on the study of Sinkhorn's algorithm. We first prove the global linear convergence of Sinkhorn's algorithm for non-negative matrices whenever finite solutions to the matrix balancing problem exist. We characterize this global rate of convergence in terms of the algebraic connectivity of the bipartite graph constructed from data. Next, we also derive the sharp asymptotic rate of linear convergence, which generalizes a classic result of Knight (2008), but with a more explicit analysis that exploits an intrinsic orthogonality structure. To our knowledge, these are the first quantitative linear convergence results for Sinkhorn's algorithm for general non-negative matrices and positive marginals. The connections we establish in this paper between matrix balancing and choice modeling could help motivate further transmission of ideas and interesting results in both directions.

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