Monge-Kantorovich transportation problem and optimal couplings

MaRDI QIDQ2466441zbMATH OpenFDO

Authors Ludger Rüschendorf

Publication date 14 January 2008

Published in Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) (Search for Journal in Brave)

zbMATH Keywords

recursive algorithmduality theorypolar factorizationstochastic equation\(c\)-convexityminimal metric

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Optimality conditions and duality in mathematical programming (90C46) Inequalities; stochastic orderings (60E15) Systems of functional equations and inequalities (39B72)

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Cited in

(25)

• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Monge properties, discrete convexity and applications
• The Monge-Kantorovich problem: achievements, connections, and perspectives
• An extension of the kantorovich-rubinstein mass-transshipment problem
• The boundary method for semi-discrete optimal transport partitions and Wasserstein distance computation
• Numerical and analytical results for the transportation problem of Monge-Kantorovich
• Non-Archimedean transportation problems and Kantorovich ultra-norms
• Robust bounds for derivative prices in Markovian models
• Long history of the Monge-Kantorovich transportation problem
• Robust \(Q\)-learning algorithm for Markov decision processes under Wasserstein uncertainty
• Distribution functions, extremal limits and optimal transport
• scientific article; zbMATH DE number 3901718 (Why is no real title available?)
• The Kantorovich metric: the initial history and little-known applications
• How to show that some rays are maximal transport rays in Monge Problem
• Robust price bounds for the forward starting straddle
• Tightening robust price bounds for exotic derivatives
• Structural results on convexity relative to cost functions
• Improved algorithms for computing worst value-at-risk
• Optimal partial mass transportation and obstacle Monge-Kantorovich equation
• A Monge property for the \(d\)-dimensional transportation problem
• scientific article; zbMATH DE number 1789879 (Why is no real title available?)
• scientific article; zbMATH DE number 5595241 (Why is no real title available?)
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• The Kantorovich Problem and Wasserstein Metric in the Theory of Belief Functions
• Optimal vector quantization in terms of Wasserstein distance

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