Related papers: Coupling Theory, Optimal Transport, and Strassen's…
As the title suggests, this is the third paper in a series addressing bilevel optimization problems that are governed by the Kantorovich problem of optimal transport. These tasks can be reformulated as mathematical problems with…
In [K.J. Ciosmak, Applications of Strassen's theorem and Choquet theory to optimal transport problems, to uniformly convex functions and to uniformly smooth functions, Nonlinear Anal. 232 (2023), Paper No. 113267, 32 pp.], Theorem 2.3. does…
We investigate stochastic interpolation, a recently introduced framework for high dimensional sampling which bears many similarities to diffusion modeling. Stochastic interpolation generates a data sample by first randomly initializing a…
In the first part of the paper we briefly decribe the classical problem, raised by Monge in 1781, of optimal transportation of mass. We discuss also Kantorovich's weak solution of the problem, which leads to general existence results, to a…
It is well known that martingale transport plans between marginals $\mu\neq\nu$ are never given by Monge maps -- with the understanding that the map is over the first marginal $\mu$, or forward in time. Here, we change the perspective, with…
A general theory is provided delivering convergence of maximal cyclically monotone mappings containing the supports of coupling measures of sequences of pairs of possibly random probability measures on Euclidean space. The theory is based…
Optimal Transport is a theory that allows to define geometrical notions of distance between probability distributions and to find correspondences, relationships, between sets of points. Many machine learning applications are derived from…
There is a duality theory connecting certain stochastic orderings between cumulative distribution functions F_1,F_2 and stochastic orderings between their inverses F_1^(-1),F_2^(-1). This underlies some theories of utility in the case of…
The Monge-Kantorovich problem is revisited by means of a variant of the saddle-point method without appealing to $c$-conjugates. A new abstract characterization of the optimal plans is obtained in the case where the cost function takes…
These notes constitute a sort of Crash Course in Optimal Transport Theory. The different features of the problem of Monge-Kantorovitch are treated, starting from convex duality issues. The main properties of space of probability measures…
We prove a version for random measures of the celebrated Kantorovich-Rubinstein duality theorem and we give an application to the coupling of random variables which extends and unifies known results.
We study the dual formulation of the Monge-Kantorovich optimal transportation problem, in particular under what circumstances it is permitted in an infinite dimensional setting to use cylindrical functions, i.e. functions of the form…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
Optimal Transport is a foundational mathematical theory that connects optimization, partial differential equations, and probability. It offers a powerful framework for comparing probability distributions and has recently become an important…
A classical result of Strassen asserts that given probabilities $\mu, \nu$ on the real line which are in convex order, there exists a \emph{martingale coupling} with these marginals, i.e.\ a random vector $(X_1,X_2)$ such that $X_1\sim \mu,…
This work deals with the asymptotic distribution of both potentials and couplings of entropic regularized optimal transport for compactly supported probabilities in $\R^d$. We first provide the central limit theorem of the Sinkhorn…
It is known from clever mathematical examples \cite{Ca10} that the Monge ansatz may fail in continuous two-marginal optimal transport (alias optimal coupling alias optimal assignment) problems. Here we show that this effect already occurs…
We completely characterise the optimal solutions for the three-marginal optimal transport problem - introduced in [K. Bolbotowski, G. Bouchitt\'e, Kantorovich-Rubinstein duality theory for the Hessian, 2024, preprint], and whose relaxation…
Suppose that $c(x,y)$ is the cost of transporting a unit of mass from $x\in X$ to $y\in Y$ and suppose that a mass distribution $\mu$ on $X$ is transported optimally (so that the total cost of transportation is minimal) to the mass…
We establish a variant of Monge--Kantorovich duality for a constrained optimal transport problem with a continuum of agents, a finite set of alternatives, and general linear constraints. As an application, we revisit the large-market model…