Related papers: Marginal and dependence uncertainty: bounds, optim…
We construct Two-Point Flux Approximation (TPFA) finite volume schemes to solve the quadratic optimal transport problem in its dynamic form, namely the problem originally introduced by Benamou and Brenier. We show numerically that these…
Given a two-variable function $f$ without critical points and a compact region $R$ bounded by two level curves of $f$, this note proves that the integral over $R$ of the second-order directional derivative of $f$ in the tangential…
Functional lifting methods provide a tool for approximating solutions of difficult non-convex problems by embedding them into a larger space. In this work, we investigate a mathematically rigorous formulation based on embedding into the…
We focus on Optimal Transport PDE on the unit sphere $\mathbb{S}^2$ with a particular type of cost function $c(x,y) = F(x \cdot y, x \cdot \hat{e}, y \cdot \hat{e})$ which we call cost functions with preferential direction, where $\hat{e}…
We give a necessary and sufficient condition on the cost function so that the map solution of Monge's optimal transportation problem is continuous for arbitrary smooth positive data. This condition was first introduced by Ma, Trudinger and…
We present a new duality theory for non-convex variational problems, under possibly mixed Dirichlet and Neumann boundary conditions. The dual problem reads nicely as a linear programming problem, and our main result states that there is no…
The canonical theory of sublinear expectations, a foundation of stochastic calculus under ambiguity, is insensitive to the non-convex geometry of primitive uncertainty models. This paper develops a new stochastic calculus for a structured…
We prove sharp inequalities for determinants of Toeplitz operators and twisted Laplace operators on the two-sphere, generalizing the Moser-Trudinger-Onofri inequality. In particular a sharp version of conjectures of Gillet-Soule and Fang…
Entropically regularized optimal transport between probability measures supported on compact subsets of Euclidean space admits a representation as an information projection under moment inequality constraints. Exploiting this structure, I…
The paper is centered around a new proof of the infinitesimal rigidity of convex polyhedra. The proof is based on studying derivatives of the discrete Hilbert-Einstein functional on the space of "warped polyhedra" with a fixed metric on the…
Recent research has made significant progress on the problem of bounding log partition functions for exponential family graphical models. Such bounds have associated dual parameters that are often used as heuristic estimates of the marginal…
Quadratic regularization has emerged as a potential alternative to the popular entropic regularization in computational optimal transport, offering the theoretical advantage of producing sparse couplings through its hinge density structure.…
Given a smooth Riemannian manifold $(M,g)$, compact and without boundary, we analyze the dynamical optimal mass transport problem where the cost is given by the sum of the kinetic energy and the relative entropy with respect to a reference…
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison of the relevant random outcomes to the respective benchmarks…
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…
Non-additive measures, also known as fuzzy measures, capacities, and monotonic games, are increasingly used in different fields. Applications have been built within computer science and artificial intelligence related to e.g. decision…
Continuity of the value of the martingale optimal transport problem on the real line w.r.t. its marginals was recently established in Backhoff-Veraguas and Pammer [2] and Wiesel [21]. We present a new perspective of this result using the…
We establish quantitative stability bounds for the quadratic optimal transport map $T_\mu$ between a fixed probability density $\rho$ and a probability measure $\mu$ on $\mathbb{R}^d$. Under general assumptions on $\rho$, we prove that the…
We consider separable nonconvex optimization problems under affine constraints. For these problems, the Shapley-Folkman theorem provides an upper bound on the duality gap as a function of the nonconvexity of the objective functions, but…
Let $X$ and $Y$ be domains of $\mathbb{R}^n$ equipped with respective probability measures $\mu$ and $ \nu$. We consider the problem of optimal transport from $\mu$ to $\nu$ with respect to a cost function $c: X \times Y \to \mathbb{R}$. To…