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Martingale Optimal Transport (minicorso, parte I) [orario aggiornato] – Nizar Touzi (Ecole Polytechnique, Paris)

We provide an introduction to martingale optimal transport. In the context of the one-period version of the problem, we establish the Kantorovitch duality, we discuss the existence for the primal and the dual problems, and we provide the martingale…

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Optimization & Numerical Analysis seminars. Recent Progress on the Nearest Correlation Matrix Problem. – Natasa Strabic – The University of Manchester (Il Seminario si svolgerà nella Sala Seminari Ovest, Dipartimento Informatica.)

In a wide range of applications it is required to replace an empirically obtained unit diagonal indefinite symmetric matrix with a valid correlation matrix (unit diagonal positive semidefinite matrix). A popular replacement is the nearest…

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Optimization & Numerical Analysis seminars. Fast Computation of Centrality Indices – Caterina Fenu – Università di Pisa (Il Seminario si svolgerà nella Sala Seminari Ovest, Dipartimento Informatica.)

One of the main issues in complex networks theory is to find the “most important” nodes. To this aim, one can use matrix functions applied to its adjacency matrix. After an introduction on the use of Gauss-type quadrature rules, we will discuss a…

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