相关论文: Estimation of Stationary Optimal Transport Plans

Motion planning is a fundamental problem in autonomous robotics that requires finding a path to a specified goal that avoids obstacles and takes into account a robot's limitations and constraints. It is often desirable for this path to also…

In graph analysis, a classic task consists in computing similarity measures between (groups of) nodes. In latent space random graphs, nodes are associated to unknown latent variables. One may then seek to compute distances directly in the…

The problem of the mean-square optimal linear estimation of linear functionals which depend on the unknown values of a multidimensional continuous time stationary stochastic process is considered. Estimates are based on observations of the…

Intrinsic location functional is a large class of random locations containing locations that one may encounter in many cases, e.g., the location of the path supremum/infimum over a given interval, the first/last hitting time, etc. It has…

We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to…

Large sectors of the recent optimization literature focused in the last decade on the development of optimal stochastic first order schemes for constrained convex models under progressively relaxed assumptions. Stochastic proximal point is…

We study a general stochastic ranking problem where an algorithm needs to adaptively select a sequence of elements so as to "cover" a random scenario (drawn from a known distribution) at minimum expected cost. The coverage of each scenario…

We study the stability of entropically regularized optimal transport with respect to the marginals. Given marginals converging weakly, we establish a strong convergence for the Schr\"odinger potentials describing the density of the optimal…

Of stochastic differential equations, diffusion processes have been adopted in numerous applications, as more relevant and flexible models. This paper studies diffusion processes in a different setting, where for a given stationary…

The problem of multi-area interchange scheduling in the presence of stochastic generation and load is considered. A new interchange scheduling technique based on a two-stage stochastic minimization of overall expected operating cost is…

We study the counting of level crossings for inertial random processes exposed to stochastic resetting events. We develop the general approach of stochastic resetting for inertial processes with sudden changes in the state characterized by…

We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…

Persistence diagrams (PDs) are now routinely used to summarize the underlying topology of complex data. Despite several appealing properties, incorporating PDs in learning pipelines can be challenging because their natural geometry is not…

This paper considers a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of a related stochastic processes called penalties. We…

We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrated model which is the closest, in a way that can be defined…

We consider invariant transports of stationary random measures on $\mathbb{R}^d$ and establish natural mixing criteria that guarantee persistence of asymptotic variances. To check our mixing assumptions, which are based on two-point Palm…

Spurred by the growth of transportation network companies and increasing data capabilities, vehicle routing and ride-matching algorithms can improve the efficiency of private transportation services. However, existing routing solutions do…

We study continuous-time Markov chains on the non-negative integers under mild regularity conditions (in particular, the set of jump vectors is finite and both forward and backward jumps are possible). Based on the so-called flux balance…

Tiering is an essential technique for building large-scale information retrieval systems. While the selection of documents for high priority tiers critically impacts the efficiency of tiering, past work focuses on optimizing it with respect…

We study the small-regularisation limit of the entropic optimal transport problem on the line with distance cost. While convergence of entropic minimizers is well understood in the discrete setting and in the case where the cost is…