An algorithm to approximate the optimal expected inner product of two vectors with given marginals

DOI10.1016/J.JMAA.2017.02.003zbMATH Open1361.65043OpenAlexW3122091473MaRDI QIDQ136014FDOQ136014

Authors: Giovanni Puccetti, Giovanni Puccetti 

Publication date: July 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2017.02.003

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zbMATH Keywords

\(p\)-Wasserstein distanceEarth Mover's distancelinear sum assignment problemoptimal transportationsswapping algorithm

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Variational problems in a geometric measure-theoretic setting (49Q20)

Cites Work

• The earth mover's distance as a metric for image retrieval
• A characterization of random variables with minimum \(L^ 2\)-distance
• The geometry of optimal transportation
• Optimal Transport
• Assignment Problems
• Multivariate comonotonicity
• On optimal matchings
• Asymptotics for transportation cost in high dimensions
• Optimal transportation plans and convergence in distribution
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Almost sure convergence of the minimum bipartite matching functional in Euclidean space
• Worst case portfolio vectors and diversification effects
• Extremal dependence concepts
• On \(c\)-optimal random variables
• A computational fluid mechanics solution to the Monge-Kantorovich mass transfer problem
• Computation of sharp bounds on the distribution of a function of dependent risks
• Discrete optimal transport: complexity, geometry and applications
• Combinatorial Optimization Over Two Random Point Sets
• Title not available (Why is that?)
• Bounds on total economic capital: the DNB case study
• COMONOTONIC MEASURES OF MULTIVARIATE RISKS
• Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
• Title not available (Why is that?)
• The complete mixability and convex minimization problems with monotone marginal densities

Cited In (8)

• Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference
• On the computation of Wasserstein barycenters
• General construction and classes of explicit \(L^1\)-optimal couplings
• An optimal transport-based characterization of convex order
• Measuring linear correlation between random vectors
• \(L_p\)-norm spherical copulas
• Polynomial bivariate copulas of degree five: characterization and some particular inequalities
• waspr

Uses Software

• EMD

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