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The classical static Schrödinger Bridge (SSB) problem, which seeks the most likely stochastic evolution between two marginal probability measures, has been studied extensively in the optimal transport and statistical physics communities, and more recently in machine learning communities in the surge of generative models. The standard approach to solve SSB is to first identify its Kantorovich dual and use Sinkhorn's algorithm to find the optimal potential functions. While the original SSB is only a strictly convex minimization problem, this approach is known to warrant linear convergence under mild assumptions. In this work, we consider a generalized SSB allowing any strictly increasing divergence functional, far generalizing the entropy functional x log(x) in the standard SSB. This problem naturally arises in a wide range of seemingly unrelated problems in entropic optimal transport, random graphs/matrices, and combinatorics. We establish Kantorovich duality and linear convergence of Sinkhorn's algorithm for the generalized SSB problem under mild conditions. Our results provide a new rigorous foundation for understanding Sinkhorn-type iterative methods in the context of large-scale generalized Schrödinger bridges.more » « lessFree, publicly-accessible full text available July 16, 2026
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