General construction and classes of explicit L^1-optimal couplings

DOI10.3150/22-BEJ1481zbMATH Open1504.49065OpenAlexW4306158324MaRDI QIDQ2108511FDOQ2108511

Authors: Giovanni Puccetti, Ludger Rüschendorf 

Publication date: 19 December 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-29/issue-1/General-construction-and-classes-of-explicit-L1-optimal-couplings/10.3150/22-BEJ1481.full

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zbMATH Keywords

Monge-Kantorovich problemoptimal mass transportationGaussian distributionsKantorovich-Rubinstein theoremoptimal couplings\(L^1\)-Wasserstein distanceKantorovich \(\ell_1\)-metric

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Optimal transportation (49Q22) Duality theory (optimization) (49N15)

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Cited In (2)

• Optimal couplings are totally positive and more
• Improved algorithms for computing worst value-at-risk

Uses Software

• EMD

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