Related papers: Monotonicity Preserving Transformations of MOT and…
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this…
The Self-Optimal-Transport (SOT) feature transform is designed to upgrade the set of features of a data instance to facilitate downstream matching or grouping related tasks. The transformed set encodes a rich representation of high order…
We show continuity of the martingale optimal transport optimisation problem as a functional of its marginals. This is achieved via an estimate on the projection in the nested/causal Wasserstein distance of an arbitrary coupling on to the…
Optimal transport (OT) theory underlies many emerging machine learning (ML) methods nowadays solving a wide range of tasks such as generative modeling, transfer learning and information retrieval. These latter works, however, usually build…
Optimal transport (OT) is a powerful geometric tool used to compare and align probability measures following the least effort principle. Despite its widespread use in machine learning (ML), OT problem still bears its computational burden,…
We explore the structure of solutions to a family of non-linear martingale optimal transport (MOT) problems that involve conditional expectations in the objective functional. En route general results concerning optimization over…
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we…
Recent advances in multimodal learning have largely relied on pairwise contrastive objectives to align different modalities, such as text, video, and audio, in a shared embedding space. While effective in bi-modal setups, these approaches…
Under the prevalent potential outcome model in causal inference, each unit is associated with multiple potential outcomes but at most one of which is observed, leading to many causal quantities being only partially identified. The inherent…
Optimal Transport (OT) theory has seen an increasing amount of attention from the computer science community due to its potency and relevance in modeling and machine learning. It introduces means that serve as powerful ways to compare…
This paper shows that the semi-dual formulation of the optimal transport problem has a degenerate saddle-point structure, and that its numerical solution is equivalent to solving a constrained optimization problem. We derive necessary and…
We study the multi-marginal partial optimal transport (POT) problem between $m$ discrete (unbalanced) measures with at most $n$ supports. We first prove that we can obtain two equivalence forms of the multimarginal POT problem in terms of…
We establish dual attainment for the multimarginal, multi-asset martingale optimal transport (MOT) problem, a fundamental question in the mathematical theory of model-independent pricing and hedging in quantitative finance. Our main result…
Classical entropy regularization is poorly suited to continuous-time martingale transport, since relative entropy between diffusion laws typically forces their volatility characteristics to coincide. We introduce a specific-entropy…
We study the convergence of entropically regularized optimal transport to optimal transport. The main result is concerned with the convergence of the associated optimizers and takes the form of a large deviations principle quantifying the…
We study the complexity of approximating the multimarginal optimal transport (MOT) distance, a generalization of the classical optimal transport distance, considered here between $m$ discrete probability distributions supported each on $n$…
The basic problem of optimal transportation consists in minimizing the expected costs $\mathbb {E}[c(X_1,X_2)]$ by varying the joint distribution $(X_1,X_2)$ where the marginal distributions of the random variables $X_1$ and $X_2$ are…
Entropic optimal transport (EOT) in continuous spaces with quadratic cost is a classical tool for solving the domain translation problem. In practice, recent approaches optimize a weak dual EOT objective depending on a single potential, but…
This survey has been written in occasion of the School and Workshop about Optimal Transport on Quantum Structures at Erd\"os Center in September 2022. We discuss some recent results on noncommutative entropic optimal transport problems and…
In this work, we develop a collection of novel methods for the entropic-regularised optimal transport problem, which are inspired by existing mirror descent interpretations of the Sinkhorn algorithm used for solving this problem. These are…