- Augmented Lagrangian simulations
AUGMENTED LAGRANGIAN METHODS FOR TRANSPORT OPTIMIZATION, MEAN-FIELD GAMES AND DEGENERATE PDES
by Benamou and Carlier.
All scripts are in the following zip files.
( I will post a README soon)
- Semi-Discrete Monge-Ampere OT package (Q. Merigot)
- Classical Bunching effect for the Monopolist problem with bilinear utility computed with a Dykstra Algorithm (Carlier-Dupuis in preparation) . Convex potential over customer space and product purchased in gradient space.
- Congested crowd motion with a Wasserstein Gradient Flow approach – centered repulsive potential – people exit on the right – (Benamou-Carlier-Merigot-Oudet)
- Crowd motion with rationnal anticipation, MFG model
2 exits at the front of theatre (Yves Achdou).
- Monge (Beckman problem) density flow after Benamou-Carlier
- More results and code available
at Mokaplan.
- Links toward 1-D Martingal Optimal Transportation by Zeliade.
http://www.zanadu.io/nbviewer/ISOTACE/ChangeOfNumeraire2Marginals.htmlhttp://www.zanadu.io/nbviewer/ISOTACE/Optimal_transport_option_bounds_for_SSVI.html
