A quantized, tree-based backward dynamic programming algorithm computes adapted Wasserstein distances with statistical consistency and claimed, but unbenchmarked, parallel speedups.
The nested sinkhorn divergence to learn the nested distance.Computational Management Science, 19(2):269–293, 2022
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Nested Optimal Transport Distances
A quantized, tree-based backward dynamic programming algorithm computes adapted Wasserstein distances with statistical consistency and claimed, but unbenchmarked, parallel speedups.