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math.OC2024
A dynamic programming principle for multiperiod control problems with bicausal constraints
Ruslan Mirmominov, Johannes Wiesel
We consider multiperiod stochastic control problems with non-parametric uncertainty on the underlying probabilistic model. We derive a new metric on the space of probability measur…
math.OC2024
Sparsity of Quadratically Regularized Optimal Transport: Bounds on concentration and bias
Johannes Wiesel, Xingyu Xu
We study the quadratically regularized optimal transport (QOT) problem for quadratic cost and compactly supported marginals and . It has been empirically observed that the o…