SMS scnews item created by Anna Aksamit at Wed 17 Feb 2021 1108
Type: Seminar
Distribution: World
Expiry: 3 Mar 2021
Calendar1: 24 Feb 2021 1000-1100
CalLoc1: zoom talk
Auth: (aaks9559) in SMS-WASM

Stochastics and Finance: Marcel Nutz -- Entropic Optimal Transport

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
February 24 at 10am (Sydney time) Marcel Nutz will give a talk via Zoom.  

Zoom link: 

Speaker: Prof Marcel Nutz (Columbia University) 

Title: Entropic Optimal Transport 

Abstract: Applied optimal transport is flourishing after computational advances have
enabled its use in real-world problems with large data sets.  Entropic regularization is
a key method to approximate optimal transport in high dimensions while retaining
feasible computational complexity.  In this talk we discuss the convergence of entropic
optimal transport to the unregularized counterpart as the regularization parameter
vanishes, with a focus on the local behavior.  Based on joint works with Espen Bernton
(Columbia), Promit Ghosal (MIT), Johannes Wiesel (Columbia). 

Please feel free to forward this message to anyone who might be interested in this

Kind regards, 


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