1 citations · 3 across the 12 of their papers we have counts for
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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…
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…
Bounding adapted Wasserstein metrics
Jose Blanchet, Martin Larsson, Jonghwa Park +1
The Wasserstein distance is an important instance of an optimal transport cost. Its numerous mathematical properties as well as applications to various fields such…
Max-sliced Wasserstein concentration and uniform ratio bounds of empirical measures on RKHS
Ruiyu Han, Cynthia Rush, Johannes Wiesel
Optimal transport and the Wasserstein distance have recently seen a number of applications in the fields of statistics, machine learning, data science, and the phys…
Empirical martingale projections via the adapted Wasserstein distance
Jose Blanchet, Johannes Wiesel, Erica Zhang +1
Given a collection of multidimensional pairs , we study the problem of projecting the associated suitably smoothed empirical measure onto the space of…
On the Martingale Schrödinger Bridge between Two Distributions
Marcel Nutz, Johannes Wiesel
We study a martingale Schrödinger bridge problem: given two probability distributions, find their martingale coupling with minimal relative entropy. Our main result provides Schröd…