5 papers
The Capturing and Logging Ecological Virtual Experiences and Reality (CLEVER) - Job Simulator Dataset
Qidi J. Wang, Xiaozheng Wang, Akhilesh M. Anand +3
Virtual reality (VR) motion tracking and interaction data has become increasingly recognized as valuable for machine learning experiments for a variety of purposes, including predi…
The Martingale Sinkhorn Algorithm
Manuel Hasenbichler, Benjamin Joseph, Gregoire Loeper +2
We develop a numerical method for the martingale analogue of the Benamou--Brenier optimal transport problem, which seeks a martingale interpolating two prescribed marginals which i…
Sensitivity of causal distributionally robust optimization
Yifan Jiang, Jan Obloj
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models pena…
Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport
Benjamin Joseph, Gregoire Loeper, Jan Obloj
We develop a non-parametric, semimartingale optimal transport, calibration methodology for local volatility models with stochastic interest rate. The method finds a fully calibrate…
Wasserstein distributional adversarial training for deep neural networks
Xingjian Bai, Guangyi He, Yifan Jiang +1
Design of adversarial attacks for deep neural networks, as well as methods of adversarial training against them, are subject of intense research. In this paper, we propose methods…