Nested distance for stagewise-independent processes
Optimization and Control
2017-11-30 v1
Abstract
We prove that, for two discrete-time stagewise-independent processes with a stagewise metric, the nested distance is equal to the sum of the Wasserstein distances between the marginal distributions of each stage.
Cite
@article{arxiv.1711.10633,
title = {Nested distance for stagewise-independent processes},
author = {Filipe Goulart Cabral and Bernardo Freitas Paulo da Costa},
journal= {arXiv preprint arXiv:1711.10633},
year = {2017}
}
Comments
24 pages, 6 figures