SFU MOCAD Seminar: Brendan Pass

I will discuss various joint works with Luca Nenna and PhD student Joshua Hiew. We show that entropically regularized optimal transport with discrete marginals and general cost functions can be characterized by a well-posed ordinary differential equation. The techniques adapt easily to a wide range of variants of optimal transport, with additional linear constraints, including multi-marginal optimal transport and martingale optimal transport. For all of these problems, the ODE can be solved by standard schemes, yielding a new computational method. This method has the advantage of simultaneously yielding the solution for all values of the regularization parameter.