Stochastic Optimal Transportation
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Stochastic Optimal Transportation
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Author : Toshio Mikami
language : en
Publisher: Springer Nature
Release Date : 2021-06-15
Stochastic Optimal Transportation written by Toshio Mikami and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-15 with Mathematics categories.
In this book, the optimal transportation problem (OT) is described as a variational problem for absolutely continuous stochastic processes with fixed initial and terminal distributions. Also described is Schrödinger’s problem, which is originally a variational problem for one-step random walks with fixed initial and terminal distributions. The stochastic optimal transportation problem (SOT) is then introduced as a generalization of the OT, i.e., as a variational problem for semimartingales with fixed initial and terminal distributions. An interpretation of the SOT is also stated as a generalization of Schrödinger’s problem. After the brief introduction above, the fundamental results on the SOT are described: duality theorem, a sufficient condition for the problem to be finite, forward–backward stochastic differential equations (SDE) for the minimizer, and so on. The recent development of the superposition principle plays a crucial role in the SOT. A systematic method is introduced to consider two problems: one with fixed initial and terminal distributions and one with fixed marginal distributions for all times. By the zero-noise limit of the SOT, the probabilistic proofs to Monge’s problem with a quadratic cost and the duality theorem for the OT are described. Also described are the Lipschitz continuity and the semiconcavity of Schrödinger’s problem in marginal distributions and random variables with given marginals, respectively. As well, there is an explanation of the regularity result for the solution to Schrödinger’s functional equation when the space of Borel probability measures is endowed with a strong or a weak topology, and it is shown that Schrödinger’s problem can be considered a class of mean field games. The construction of stochastic processes with given marginals, called the marginal problem for stochastic processes, is discussed as an application of the SOT and the OT.
Planning And Control Of Transportation Systems
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Author : Cynthia Barnhart
language : en
Publisher:
Release Date : 2000
Planning And Control Of Transportation Systems written by Cynthia Barnhart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Optimization processes (Mathematics) categories.
Topics In Optimal Transportation
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Author : Cédric Villani
language : en
Publisher: American Mathematical Soc.
Release Date : 2021-08-25
Topics In Optimal Transportation written by Cédric Villani and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-25 with Education categories.
This is the first comprehensive introduction to the theory of mass transportation with its many—and sometimes unexpected—applications. In a novel approach to the subject, the book both surveys the topic and includes a chapter of problems, making it a particularly useful graduate textbook. In 1781, Gaspard Monge defined the problem of “optimal transportation” (or the transferring of mass with the least possible amount of work), with applications to engineering in mind. In 1942, Leonid Kantorovich applied the newborn machinery of linear programming to Monge's problem, with applications to economics in mind. In 1987, Yann Brenier used optimal transportation to prove a new projection theorem on the set of measure preserving maps, with applications to fluid mechanics in mind. Each of these contributions marked the beginning of a whole mathematical theory, with many unexpected ramifications. Nowadays, the Monge-Kantorovich problem is used and studied by researchers from extremely diverse horizons, including probability theory, functional analysis, isoperimetry, partial differential equations, and even meteorology. Originating from a graduate course, the present volume is intended for graduate students and researchers, covering both theory and applications. Readers are only assumed to be familiar with the basics of measure theory and functional analysis.
Optimal Transportation And Action Minimizing Measures
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Author : Alessio Figalli
language : en
Publisher: Edizioni della Normale
Release Date : 2008-07-17
Optimal Transportation And Action Minimizing Measures written by Alessio Figalli and has been published by Edizioni della Normale this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-17 with Mathematics categories.
In this book we describe recent developments in the theory of optimal transportation, and some of its applications to fluid dynamics. Moreover we explore new variants of the original problem, and we try to figure out some common (and sometimes unexpected) features in this emerging variety of problems . In Chapter 1 we study the optimal transportation problem on manifolds with geometric costs coming from Tonelli Lagrangians, while in Chapter 2 we consider a generalization of the classical transportation problem called the optimal irrigation problem. Then, Chapter 3 is about the Brenier variational theory of incompressible flows, which concerns a weak formulation of the Euler equations viewed as a geodesic equation in the space of measure-preserving diffeomorphism. Chapter 4 is devoted to the study of regularity and uniqueness of solutions of Hamilton-Jacobi equations applying the Aubry-Mather theory. Finally, the last chapter deals with a DiPerna-Lions theory for martingale solutions of stochastic differential equations.
General Class Of Stochastic Transportation Problems
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Author : Nabil S. Rageh
language : en
Publisher:
Release Date : 1970
General Class Of Stochastic Transportation Problems written by Nabil S. Rageh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970 with Transportation categories.
Convex And Stochastic Optimization
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Author : J. Frédéric Bonnans
language : en
Publisher: Springer
Release Date : 2019-04-24
Convex And Stochastic Optimization written by J. Frédéric Bonnans and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-04-24 with Mathematics categories.
This textbook provides an introduction to convex duality for optimization problems in Banach spaces, integration theory, and their application to stochastic programming problems in a static or dynamic setting. It introduces and analyses the main algorithms for stochastic programs, while the theoretical aspects are carefully dealt with. The reader is shown how these tools can be applied to various fields, including approximation theory, semidefinite and second-order cone programming and linear decision rules. This textbook is recommended for students, engineers and researchers who are willing to take a rigorous approach to the mathematics involved in the application of duality theory to optimization with uncertainty.
Proceedings Of The Sixth International Forum On Decision Sciences
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Author : Xiang Li
language : en
Publisher: Springer Nature
Release Date : 2019-09-16
Proceedings Of The Sixth International Forum On Decision Sciences written by Xiang Li and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-09-16 with Business & Economics categories.
The proceedings focus on selected aspects of the current and upcoming trends in transportation, logistics and decision-making. In detail the included scientific papers analyze the problem of Decision Making under Uncertainty, Stochastic Optimization, Transportation, Logistics and Intelligent Business. The variety of the papers delivers added value for both scholars and practitioners. This book is the documentation of the symposium “The Sixth International Forum on Decision Sciences”, which took place in Jinan, Shandong province, China.
Computational Optimal Transport
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Author : Gabriel Peyre
language : en
Publisher: Foundations and Trends(r) in M
Release Date : 2019-02-12
Computational Optimal Transport written by Gabriel Peyre and has been published by Foundations and Trends(r) in M this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-12 with Computers categories.
The goal of Optimal Transport (OT) is to define geometric tools that are useful to compare probability distributions. Their use dates back to 1781. Recent years have witnessed a new revolution in the spread of OT, thanks to the emergence of approximate solvers that can scale to sizes and dimensions that are relevant to data sciences. Thanks to this newfound scalability, OT is being increasingly used to unlock various problems in imaging sciences (such as color or texture processing), computer vision and graphics (for shape manipulation) or machine learning (for regression, classification and density fitting). This monograph reviews OT with a bias toward numerical methods and their applications in data sciences, and sheds lights on the theoretical properties of OT that make it particularly useful for some of these applications. Computational Optimal Transport presents an overview of the main theoretical insights that support the practical effectiveness of OT before explaining how to turn these insights into fast computational schemes. Written for readers at all levels, the authors provide descriptions of foundational theory at two-levels. Generally accessible to all readers, more advanced readers can read the specially identified more general mathematical expositions of optimal transport tailored for discrete measures. Furthermore, several chapters deal with the interplay between continuous and discrete measures, and are thus targeting a more mathematically-inclined audience. This monograph will be a valuable reference for researchers and students wishing to get a thorough understanding of Computational Optimal Transport, a mathematical gem at the interface of probability, analysis and optimization.
Optimal Transport
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Author : Cédric Villani
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-26
Optimal Transport written by Cédric Villani and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-26 with Mathematics categories.
At the close of the 1980s, the independent contributions of Yann Brenier, Mike Cullen and John Mather launched a revolution in the venerable field of optimal transport founded by G. Monge in the 18th century, which has made breathtaking forays into various other domains of mathematics ever since. The author presents a broad overview of this area, supplying complete and self-contained proofs of all the fundamental results of the theory of optimal transport at the appropriate level of generality. Thus, the book encompasses the broad spectrum ranging from basic theory to the most recent research results. PhD students or researchers can read the entire book without any prior knowledge of the field. A comprehensive bibliography with notes that extensively discuss the existing literature underlines the book’s value as a most welcome reference text on this subject.
Mass Transportation Problems
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Author : Svetlozar T. Rachev
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-05-09
Mass Transportation Problems written by Svetlozar T. Rachev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05-09 with Mathematics categories.
The first comprehensive account of the theory of mass transportation problems and its applications. In Volume I, the authors systematically develop the theory with emphasis on the Monge-Kantorovich mass transportation and the Kantorovich-Rubinstein mass transshipment problems. They then discuss a variety of different approaches towards solving these problems and exploit the rich interrelations to several mathematical sciences - from functional analysis to probability theory and mathematical economics. The second volume is devoted to applications of the above problems to topics in applied probability, theory of moments and distributions with given marginals, queuing theory, risk theory of probability metrics and its applications to various fields, among them general limit theorems for Gaussian and non-Gaussian limiting laws, stochastic differential equations and algorithms, and rounding problems. Useful to graduates and researchers in theoretical and applied probability, operations research, computer science, and mathematical economics, the prerequisites for this book are graduate level probability theory and real and functional analysis.