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We introduce a new technique, which we call the boundary method, for solving semi-discrete optimal transport problems with a wide range of cost functions. The boundary method reduces the effective dimension of the problem, thus improving complexity. For cost functions equal to a p-norm with p in (1,infinity), we provide mathematical justification, convergence analysis, and algorithmic development. Our testing supports the boundary method with these p-norms, as well as other, more general cost functions.
We give a new and constructive proof of the existence of global-in-time weak solutions of the 3-dimensional incompressible semi-geostrophic equations (SG) in geostrophic coordinates, for arbitrary initial measures with compact support. This new proof
Numerical approximation of a general class of nonlinear unidirectional wave equations with a convolution-type nonlocality in space is considered. A semi-discrete numerical method based on both a uniform space discretization and the discrete convoluti
Projection robust Wasserstein (PRW) distance, or Wasserstein projection pursuit (WPP), is a robust variant of the Wasserstein distance. Recent work suggests that this quantity is more robust than the standard Wasserstein distance, in particular when
In this paper, we propose a numerical method to solve the classic $L^2$-optimal transport problem. Our algorithm is based on use of multiple shooting, in combination with a continuation procedure, to solve the boundary value problem associated to the
We provide a survey of recent results on model calibration by Optimal Transport. We present the general framework and then discuss the calibration of local, and local-stochastic, volatility models to European options, the joint VIX/SPX calibration pr