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

DOI10.3150/22-BEJ1481zbMath1504.49065OpenAlexW4306158324MaRDI QIDQ2108511

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

zbMATH Keywords

Gaussian distributionsoptimal couplingsMonge-Kantorovich problemoptimal mass transportationKantorovich-Rubinstein theorem\(L^1\)-Wasserstein distanceKantorovich \(\ell_1\)-metric

Mathematics Subject Classification ID

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

Related Items (1)

Improved algorithms for computing worst value-at-risk

Uses Software

• EMD

Cites Work

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