Computational methods for adapted optimal transport

DOI10.1214/23-aap1975arXiv2203.05005MaRDI QIDQ6126117

Gudmund Pammer, Stephan Eckstein

Publication date: 9 April 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.05005

zbMATH Keywords

algorithmstabilityregularizationentropic regularizationcausal optimal transportSinkhorn's algorithmadapted optimal transport

Mathematics Subject Classification ID

Stochastic programming (90C15) Linear optimal control problems (49N05)

Cites Work

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