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Numerical method for feasible and approximately optimal solutions of multi-marginal optimal transport beyond discrete measures
Ariel Neufeld, Qikun Xiang
We propose a numerical algorithm for the computation of multi-marginal optimal transport (MMOT) problems involving general probability measures that are not necessarily discrete. B…
Numerical method for approximately optimal solutions of two-stage distributionally robust optimization with marginal constraints
Ariel Neufeld, Qikun Xiang
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not…
Feasible approximation of matching equilibria for large-scale matching for teams problems
Ariel Neufeld, Qikun Xiang
We propose a numerical algorithm for computing approximately optimal solutions of the matching for teams problem. Our algorithm is efficient for problems involving large number of…
Langevin dynamics based algorithm e-THO POULA for stochastic optimization problems with discontinuous stochastic gradient
Dong-Young Lim, Ariel Neufeld, Sotirios Sabanis +1
We introduce a new Langevin dynamics based algorithm, called e-THO POULA, to solve optimization problems with discontinuous stochastic gradients which naturally appear…
Bounding the Difference between the Values of Robust and Non-Robust Markov Decision Problems
Ariel Neufeld, Julian Sester
In this note we provide an upper bound for the difference between the value function of a distributionally robust Markov decision problem and the value function of a non-robust Mar…