A Corrected Inexact Proximal Augmented Lagrangian Method with a Relative Error Criterion for a Class of Group-Quadratic Regularized Optimal Transport Problems

Author:

Yang Lei,Liang LingORCID,Chu Hong T. M.,Toh Kim-Chuan

Funder

Natural Science Foundation of Guangdong Province

Publisher

Springer Science and Business Media LLC

Reference67 articles.

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5. Beiglböck, M., Henry-Labordere, P., Penkner, F.: Model-independent bounds for option prices-a mass transport approach. Financ. Stoch. 17, 477–501 (2013)

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