(Martingale) Optimal Transport And Anomaly Detection With Neural Networks: A Primal-dual Algorithm

Pierre Henry-Labordere

Papers from arXiv.org

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, Revised 2019-04
New Economics Papers: this item is included in nep-big, nep-cmp, nep-pay and nep-tre
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.04546

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