Zobrazeno 1 - 10
of 236
pro vyhledávání: '"Nutz, Marcel"'
Autor:
González-Sanz, Alberto, Nutz, Marcel
The quadratically regularized optimal transport problem is empirically known to have sparse solutions: its optimal coupling $\pi_{\varepsilon}$ has sparse support for small regularization parameter $\varepsilon$, in contrast to entropic regularizatio
Externí odkaz:
http://arxiv.org/abs/2410.03353
In optimal transport, quadratic regularization is a sparse alternative to entropic regularization: the solution measure tends to have small support. Computational experience suggests that the support decreases monotonically to the unregularized count
Externí odkaz:
http://arxiv.org/abs/2408.07871
Autor:
González-Sanz, Alberto, Nutz, Marcel
Linear programs with quadratic regularization are attracting renewed interest due to their applications in optimal transport: unlike entropic regularization, the squared-norm penalty gives rise to sparse approximations of optimal transport couplings.
Externí odkaz:
http://arxiv.org/abs/2408.04088
Autor:
Nutz, Marcel
The optimal transport problem with quadratic regularization is useful when sparse couplings are desired. The density of the optimal coupling is described by two functions called potentials; equivalently, potentials can be defined as a solution of the
Externí odkaz:
http://arxiv.org/abs/2404.06847
Autor:
Nutz, Marcel, Wiesel, Johannes
We study a martingale Schr\"odinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schr\"odinger potentials for this coupling. Namely, under certain conditio
Externí odkaz:
http://arxiv.org/abs/2401.05209
In the theory of lossy compression, the rate-distortion (R-D) function $R(D)$ describes how much a data source can be compressed (in bit-rate) at any given level of fidelity (distortion). Obtaining $R(D)$ for a given data source establishes the funda
Externí odkaz:
http://arxiv.org/abs/2310.18908
We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk can wareh
Externí odkaz:
http://arxiv.org/abs/2310.14144
Guyon and Lekeufack recently proposed a path-dependent volatility model and documented its excellent performance in fitting market data and capturing stylized facts. The instantaneous volatility is modeled as a linear combination of two processes, on
Externí odkaz:
http://arxiv.org/abs/2307.01319
Autor:
Ghosal, Promit, Nutz, Marcel
We study Sinkhorn's algorithm for solving the entropically regularized optimal transport problem. Its iterate $\pi_{t}$ is shown to satisfy $H(\pi_{t}|\pi_{*})+H(\pi_{*}|\pi_{t})=O(t^{-1})$ where $H$ denotes relative entropy and $\pi_{*}$ the optimal
Externí odkaz:
http://arxiv.org/abs/2212.06000
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 surprisin
Externí odkaz:
http://arxiv.org/abs/2209.14432