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Approximation of optimal transport problems with marginal moments constraints.
Aurélien Alfonsi
Rafaël Coyaud
Virginie Ehrlacher
Damiano Lombardi
Published in:
Math. Comput. (2021)
Keyphrases
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optimality criteria
closed form
optimal solution
combinatorial problems
approximation schemes
search algorithm
lower bound
dynamic programming
random variables
constraint satisfaction
decision variables