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/ Département de mathématiques et de statistique

Je donne


Conférence de Gaoyue Guo, candidat au poste de professeur en mathématiques financières, 13 déc. 10h30



Gaoyue Guo


University of Michigan




Some computational aspects on (martingale) optimal transportation


The optimal transport is concerned with transferring mass from one location to another in such a way as to optimize a given criterion. The talk contains two parts. Motivated by the robust finance, a constrained optimal transport problem has recently been taken into consideration, where an additional martingale constraint is imposed on the transport's dynamics. We develop two numerical methods to solve such problems: using discretization and linear programming applied to the primal side and using penalization and deep neural networks applied to the dual side. In the second part, we consider a parametrized semi-discrete optimal transport problem. The optimization problem under consideration has a common formulation with various machine learning problems, while the objective function's regularity is not clear. We adopt Lloyd's algorithm to this optimization problem and obtain some convergence results.



Date : Vendredi le 13 décembre 2019

Heure : 10h30 à 11h30

Lieu : Pavillon André-Aisenstadt

Salle : 6214