Using Sinkhorn in the JKO scheme adds linear diffusion

Abstract

The JKO scheme is a time-discrete scheme of implicit Euler type that allows to construct weak solutions of evolution PDEs which have a Wasserstein gradient structure. The purpose of this work is to study the effect of replacing the classical quadratic optimal transport problem by the Schr\"odinger problem (\emph{a.k.a.}\ the entropic regularization of optimal transport, efficiently computed by the Sinkhorn algorithm) at each step of this scheme. We find that if $\epsilon$ is the regularization parameter of the Schr\"odinger problem, and $\tau$ is the time step parameter, considering the limit $\tau,\epsilon \to 0$ with $\frac{\epsilon}{\tau} \to \alpha \in \mathbb{R}_+$ results in adding the term $\frac{\alpha}{2} \Delta \rho$ on the right-hand side of the limiting PDE. In the case $\alpha = 0$ we improve a previous result by Carlier, Duval, Peyr{\'e} and Schmitzer (2017).