no code implementations • 8 Feb 2021 • Espen Bernton, Promit Ghosal, Marcel Nutz
The exact rate function is determined in a general setting and linked to the Kantorovich potential of optimal transport.
Optimization and Control Functional Analysis Probability 90C25, 60F10, 49N05
no code implementations • 31 Dec 2019 • Espen Bernton, Jeremy Heng, Arnaud Doucet, Pierre E. Jacob
This is achieved by iteratively modifying the transition kernels of the reference Markov chain to obtain a process whose marginal distribution at time $T$ becomes closer to $\pi_T = \pi$, via regression-based approximations of the corresponding iterative proportional fitting recursion.
