Related papers: On a discrete max-plus transportation problem
We present a multidimensional optimization problem that is formulated and solved in the tropical mathematics setting. The problem consists of minimizing a nonlinear objective function defined on vectors over an idempotent semifield by means…
We consider the problem of finding consistent upper price bounds and super replication strategies for exotic options, given the observation of call prices in the market. This field of research is called model-independent finance and has…
A new pairwise cost function is proposed for the optimal transport barycenter problem, adopting the form of the minimal action between two points, with a Lagrangian that takes into account an underlying probability distribution. Under this…
Optimal transportation problem seeks for a coupling $\pi$ of two probability measures $\mu$ and $\nu$ which minimize the total cost $\int c d\pi$, which is linear in $\pi$. In this paper, we introduce a variation of optimal transportation…
We present a numerical method to solve the optimal transport problem with a quadratic cost when the source and target measures are periodic probability densities. This method is based on a numerical resolution of the corresponding…
We study the max-plus or tropical analogue of the notion of polar: the polar of a cone represents the set of linear inequalities satisfied by its elements. We establish an analogue of the bipolar theorem, which characterizes all the…
We develop an idempotent version of probabilistic potential theory. The goal is to describe the set of max-plus harmonic functions, which give the stationary solutions of deterministic optimal control problems with additive reward. The…
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…
A result of Hohloch links the theory of integer partitions with the Monge formulation of the optimal transport problem, giving the optimal transport map between (Young diagrams of) integer partitions and their corresponding symmetric…
Many numerical and learning algorithms rely on the solution of the Monge-Kantorovich problem and Wasserstein distances, which provide appropriate distributional metrics. While the natural approach is to treat the problem as an…
We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual problem is introduced and shown to yield a complete duality…
This paper introduces a new structure of commutative semiring, generalizing the tropical semiring, and having an arithmetic that modifies the standard tropical operations, i.e. summation and maximum. Although our framework is combinatorial,…
We consider the Monge-Kantorovich transport problem in a purely measure theoretic setting, i.e. without imposing continuity assumptions on the cost function. It is known that transport plans which are concentrated on c-monotone sets are…
In this paper, we introduce a primal-dual algorithm for solving (martingale) optimal transportation problems, with cost functions satisfying the twist condition, close to the one that has been used recently for training generative…
Consider the problem of optimally matching two measures on the circle, or equivalently two periodic measures on the real line, and suppose the cost of matching two points satisfies the Monge condition. We introduce a notion of locally…
We demonstrate an iterative scheme to approximate the optimal transportation problem with a discrete target measure under certain standard conditions on the cost function. Additionally, we give a finite upper bound on the number of…
A multidimensional extremal problem in the idempotent algebra setting is considered which consists in minimizing a nonlinear functional defined on a finite-dimensional semimodule over an idempotent semifield. The problem integrates two…
In this paper, we present methods for solving a system of linear equations, $ AX=b $, over tropical semirings. To this end, if possible, we first reduce the order of the system through some row-column analysis, and obtain a new system with…
We consider the optimal transport problem over convex costs arising from optimal control of linear time-invariant(LTI) systems when the initial and target measures are assumed to be supported on the set of equilibrium points of the LTI…
We study MinMax solution methods for a general class of optimization problems related to (and including) optimal transport. Theoretically, the focus is on fitting a large class of problems into a single MinMax framework and generalizing…