(MARTINGALE) OPTIMAL TRANSPORT AND ANOMALY DETECTION WITH NEURAL NETWORKS: A PRIMAL-DUAL ALGORITHM

Pierre Henry-Labordère
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Pierre Henry-Labordère: Societe Generale - Société Générale

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Abstract: In this paper, we introduce a primal-dual algorithm for solving (martingale) optimal transportation problems, with cost functions satisfying the twist condition, close to the one that has been used recently for training generative adversarial networks. As some additional applications, we consider anomaly detection and automatic generation of financial data.

Date: 2019-04-10
New Economics Papers: this item is included in nep-bec, nep-big and nep-cmp
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