Martingale optimal transport in the discrete case via simple linear programming techniques.
Nicole BäuerleDaniel SchmithalsPublished in: Math. Methods Oper. Res. (2019)
Keyphrases
- linear programming
- dynamic programming
- optimal solution
- real time
- linear program
- data streams
- neural network
- data sets
- multi agent
- data structure
- genetic algorithm
- special case
- np hard
- worst case
- optimization problems
- database
- closed form
- integer programming
- continuous variables
- convex sets
- quadratic programming
- locally optimal