Entropic approximation for multi-dimensional martingale optimal transport

Understand

We study the existing algorithms that solve the multidimensional martingale optimal transport.

• Then we provide a new algorithm based on entropic regularization and Newton's method.
• Then we provide theoretical convergence rate results and we check that this algorithm performs better through numerical experiments.
• We also give a simple way to deal with the absence of convex ordering among the marginals.